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Danilo Vassallo

Danilo Vassallo

Scuola Normale Superiore di Pisa - Pisa / Italy
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 5202512
Scuola Normale Superiore
person_outline Danilo Vassallo's MOST POPULAR ARTICLES
1-) A DCC-type approach for realized covariance modeling with score-driven dynamics International Journal of Forecasting 37 (2), 569-586, 2021
2-) A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics Quantitative Finance 22 (12), 2237-2255, 2022
3-) Asset allocation and risk taking under different interest rate regimes ECB Working Paper, 2023
4-) Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII ECB Working Paper, 2024
5-) Estimating the full effect of a partially anticipated event: a market-based approach applied to the case of TLTROIIIB Mosk, D VassalloECB Working Paper, 202412024