Publications

Title	Authors	Year
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? Working Paper, 2024	G.M. Gallo; O. Okhrin; G. Storti	2024
Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment Working Paper, 2024	S. Borgioli; G.M. Gallo; C. .Ongari	2024
Modeling and evaluating conditional quantile dynamics in VaR forecasts Working Paper, 2023	F. Cipollini; G.M. Gallo; A. Palandri	2023
Volatility jumps and the classification of monetary policy announcements Working Paper, 2023	G.M. Gallo; D. Lacava; E. Otranto	2023
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS Working Paper, 2022	Scaffidi Domianello; G.M. Gallo; E. Otranto	2022
Measuring the Effects of Unconventional Policies on Stock Market Volatility Working Paper, 2020	D. Lacava; G.M. Gallo; E. Otranto	2020
On Classifying the Effects of Policy Announcements on Volatility Working Paper, 2020	G.M. Gallo; D. Lacava; E. Otranto	2020

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