2 papers
q-fin.GN2020
On Classifying the Effects of Policy Announcements on Volatility
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, includi…
q-fin.ST2020
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
Demetrio Lacava, Giampiero M. Gallo, Edoardo Otranto
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have o…