1 citations · 1 across the 9 of their papers we have counts for
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VOLatility Archive for Realized Estimates (VOLARE)
Fabrizio Cipollini, Giulia Cruciani, Giampiero M. Gallo +3
VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures c…
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
Demetrio Lacava, Edoardo Otranto
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 1…
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…