| A DCC-type approach for realized covariance modeling with score-driven dynamics D Vassallo, G Buccheri, F Corsi International Journal of Forecasting 37 (2), 569-586, 2021 | 19 | 2021 |
| Volatility-targeting strategies and the market sell-off D Vassallo, H Lieven, T Kostka Financial Stability Review. Frankfurt am Main: European Central Bank, 2020 | 7 | 2020 |
| A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics D Vassallo, G Bormetti, F Lillo Quantitative Finance 22 (12), 2237-2255, 2022 | 3 | 2022 |
| Asset allocation and risk taking under different interest rate regimes L Hermans, T Kostka, D Vassallo ECB Working Paper, 2023 | 1 | 2023 |
| Estimating the full effect of a partially anticipated event: a market-based approach applied to the case of TLTROIII B Mosk, D Vassallo European Central Bank Working Paper Series, 2024 | | 2024 |
| Dynamic models for financial and sentiment time series D Vassallo Scuola Normale Superiore, 2022 | | 2022 |
| Lieven Hermans, Thomas Kostka D Vassallo | | |
