1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.RM2023★ 1 cited
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…
q-fin.ST2020
A dynamic conditional approach to portfolio weights forecasting
Fabrizio Cipollini, Giampiero M. Gallo, Alessandro Palandri
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is be…