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Publications by Giampiero M. Gallo

Realized Volatility Forecasting: Robustness to Measurement Errors

International Journal of Forecasting

International Management

English

Forecasting Realized Volatility With Changes of Regimes

SSRN Electronic Journal

English

A Multiple Indicators Model for Volatility Using Intra-Daily Data

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

A Flexible Tool for Model Building: The Relevant Transformation of the Inputs Network Approach (RETINA)*

Oxford Bulletin of Economics and Statistics

Social Sciences

English

On the Interaction Between Ultra-High Frequency Measures of Volatility

SSRN Electronic Journal

English

Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

SSRN Electronic Journal

English