1 citations · 3 across the 11 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
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…
econ.GN2023★ 1 cited
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…