5 papers
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…
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…
Doubly Multiplicative Error Models with Long- and Short-run Components
Alessandra Amendola, Vincenzo Candila, Fabrizio Cipollini +1
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively,…
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…
Copula--based Specification of vector MEMs
Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation proces…