1 citations · 3 across the 11 of their papers we have counts for
13 papers
Measuring Sentiment News with Transformer-Based Language Models
Maria Saveria Mavillonio, Stefano Borgioli, Caterina Giannetti +2
Measuring sentiment from financial news is a central task in economics and finance, yet most existing indicators rely on dictionary-based approaches that infer sentiment from word…
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…
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
This paper examines the dynamic relationship between electoral polls and indicators of economic and financial uncertainty during the last two U.S. presidential elections (2020 and…
Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
Giampiero Gallo, Ostap Okhrin, Giuseppe Storti
This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in "additive" and "multiplicative" models. Utilizing a panel of 960…
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…
Multiplicative Error Models: 20 years on
Fabrizio Cipollini, Giampiero M. Gallo
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature t…
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…
Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
Vincenzo Candila, Giampiero M. Gallo, Lea Petrella
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is…
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…