1 citations · 2 across the 3 of their papers we have counts for
3 papers
Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito
Fabio Bacchini, Lorenzo Di Biagio, Giampiero M. Gallo +1
The main component of the NextGeneration EU (NGEU) program is the Recovery and Resilience Facility (RRF), spanning an implementation period between 2021 and 2026. The RRF also incl…
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Fabrizio Cipollini, Giampiero M. Gallo, Alessandro Palandri
We focus on the time-varying modeling of VaR at a given coverage , assessing whether the quantiles of the distribution of the returns standardized by their conditional means and…
Volatility jumps and the classification of monetary policy announcements
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Mu…