Working Papers

Title	Authors	Year	Number
Dynamic tail risk forecasting: what do realized skewness and kurtosis add?	G.M. Gallo; O. Okhrin; G. Storti	2024	24_16
Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment	S. Borgioli; G.M. Gallo; C. .Ongari	2024	24_15
Modeling and evaluating conditional quantile dynamics in VaR forecasts	F. Cipollini; G.M. Gallo; A. Palandri	2023	23_08
Volatility jumps and the classification of monetary policy announcements	G.M. Gallo; D. Lacava; E. Otranto	2023	23_06
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS	Scaffidi Domianello; G.M. Gallo; E. Otranto	2022	22_05
On Classifying the Effects of Policy Announcements on Volatility	G.M. Gallo; D. Lacava; E. Otranto	2020	2020_08
Measuring the Effects of Unconventional Policies on Stock Market Volatility	D. Lacava; G.M. Gallo; E. Otranto	2020	2020_06

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