Financial econometric analysis at ultra-high frequency: Data handling concerns. - Christian T. Brownlees; Giampiero M. Gallo (Comput. Stat. Data Anal., 2006)

Volatility spillovers, interdependence and comovements: A Markov Switching approach. - Giampiero M. Gallo; Edoardo Otranto (Comput. Stat. Data Anal., 2008)

Automated variable selection in vector multiplicative error models. - Fabrizio Cipollini; Giampiero M. Gallo (Comput. Stat. Data Anal., 2010)

The sixth special issue on computational econometrics. - David A. Belsley; Cathy W. S. Chen; Christian Francq; Giampiero M. Gallo; Lynda Khalaf; Erricos John Kontoghiorghes; Herman K. van Dijk (Comput. Stat. Data Anal., 2012)

On classifying the effects of policy announcements on volatility. - Giampiero M. Gallo; Demetrio Lacava; Edoardo Otranto (Int. J. Approx. Reason., 2021)

Modeling meaningful volatility events to classify monetary policy announcements. - Giampiero M. Gallo; Demetrio Lacava; Edoardo Otranto (Big Data Res., 2025)