| A multiple indicators model for volatility using intra-daily data RF Engle, GM Gallo Journal of econometrics 131 (1-2), 3-27, 2006 | 755 | 2006 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns CT Brownlees, GM Gallo Computational statistics & data analysis 51 (4), 2232-2245, 2006 | 423 | 2006 |
| Comparison of volatility measures: a risk management perspective CT Brownlees, GM Gallo Journal of Financial Econometrics 8 (1), 29-56, 2010 | 266 | 2010 |
| Volatility spillovers, interdependence and comovements: A Markov Switching approach GM Gallo, E Otranto Computational Statistics & Data Analysis 52 (6), 3011-3026, 2008 | 179 | 2008 |
| Volatility spillovers in East Asian financial markets: a MEM-based approach RF Engle, GM Gallo, M Velucchi Review of Economics and Statistics 94 (1), 222-223, 2012 | 176 | 2012 |
| The effects of trading activity on market volatility GM Gallo, B Pacini The European Journal of Finance 6 (2), 163-175, 2000 | 152 | 2000 |
| Intra-daily volume modeling and prediction for algorithmic trading CT Brownlees, F Cipollini, GM Gallo Journal of Financial Econometrics 9 (3), 489-518, 2011 | 145 | 2011 |
| Copycats and common swings: the impact of the use of forecasts in information sets GM Gallo, CWJ Granger, Y Jeon IMF staff Papers 49 (1), 4-21, 2002 | 106 | 2002 |
| Multiplicative error models CT Brownlees, F Cipollini, GM Gallo Available at SSRN 1852285, 2011 | 100 | 2011 |
| A flexible tool for model building: the relevant transformation of the inputs network approach (RETINA) T Perez‐Amaral, GM Gallo, H White Oxford Bulletin of Economics and Statistics 65, 821-838, 2003 | 99 | 2003 |
| Vector multiplicative error models: representation and inference F Cipollini, RF Engle III, GM Gallo National Bureau of Economic Research, 2006 | 91 | 2006 |
| Semiparametric vector MEM F Cipollini, RF Engle, GM Gallo Journal of Applied Econometrics 28 (7), 1067-1086, 2013 | 83 | 2013 |
| Forecasting realized volatility with changing average levels GM Gallo, E Otranto International Journal of Forecasting 31 (3), 620-634, 2015 | 81 | 2015 |
| Volatility estimation via hidden Markov models A Rossi, GM Gallo Journal of Empirical Finance 13 (2), 203-230, 2006 | 81 | 2006 |
| On the asymmetric impact of macro–variables on volatility A Amendola, V Candila, GM Gallo Economic Modelling 76, 135-152, 2019 | 77 | 2019 |
| Volatility transmission across markets: a Multichain Markov Switching model GM Gallo, E Otranto Applied Financial Economics 17 (8), 659-670, 2007 | 71 | 2007 |
| A nonparametric Bayesian approach to detect the number of regimes in Markov switching models E Otranto, GM Gallo Econometric Reviews 21 (4), 477-496, 2002 | 69 | 2002 |
| Mixture Processes for Financial Intradaily Durations. G De Luca, GM Gallo Studies in Nonlinear Dynamics & Econometrics 8 (2), 2004 | 59 | 2004 |
| Metodi quantitativi per i mercati finanziari GM Gallo, B Pacini Carocci Editore, 2002 | 56 | 2002 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures M Barigozzi, C Brownlees, GM Gallo, D Veredas Journal of econometrics 182 (2), 364-384, 2014 | 54 | 2014 |
Fabrizio CipolliniVerified email at unifi.it
