Gabriele Fiorentini : Citation Profile

Are you Gabriele Fiorentini?

Università degli Studi di Firenze
Rimini Centre for Economic Analysis (RCEA) (00% share)

12

H index

12

i10 index

588

Citations

RESEARCH PRODUCTION:

22

Articles

62

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1993 - 2019). See details.
   Cites by year: 22
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 43 (6.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfi82
   Updated: 2019-07-14    RAS profile: 2019-05-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Sentana, Enrique (30)

Galesi, Alessandro (12)

Perez Quiros, Gabriel (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gabriele Fiorentini.

Is cited by:

Sentana, Enrique (34)

Calzolari, Giorgio (22)

Rigobon, Roberto (19)

Weber, Enzo (18)

Normandin, Michel (17)

Ruiz, Esther (16)

Lütkepohl, Helmut (14)

Petrella, Ivan (13)

Demos, Antonis (12)

Delle Monache, Davide (11)

Hallin, Marc (11)

Cites to:

Sentana, Enrique (119)

Calzolari, Giorgio (43)

Engle, Robert (22)

Monfort, Alain (16)

Pesaran, M (16)

Drost, Feike C. (15)

Mencia, Javier (13)

LINTON, OLIVER (12)

gourieroux, christian (12)

Demos, Antonis (11)

pagan, adrian (11)

Main data

Where Gabriele Fiorentini has published?

Journals with more than one article published# docs
Journal of Econometrics4
Journal of Business & Economic Statistics3
Economics Letters2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)9
Working Paper series / Rimini Centre for Economic Analysis8
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"5
MPRA Paper / University Library of Munich, Germany4
Working Papers / Banco de Espaa3

Recent works citing Gabriele Fiorentini (2019 and 2018)

YearTitle of citing document
2017A Model of the Fed’s View on Inflation. (2017). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Economic Research Papers. RePEc:ags:uwarer:269087.

Full description at Econpapers || Download paper

2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Dufrenot, Gilles ; Rhouzlane, Meryem. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

Full description at Econpapers || Download paper

2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

Full description at Econpapers || Download paper

2018The relevance of currency-denomination for the cross-border effects of monetary policy. (2018). argimon, isabel. In: Working Papers. RePEc:bde:wpaper:1827.

Full description at Econpapers || Download paper

2019The natural interest rate in Latin America. (2019). Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1067.

Full description at Econpapers || Download paper

2018On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators. (2018). Demos, Antonis ; Antonis, Demos ; Stelios, Arvanitis . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:7:y:2018:i:1:p:38:n:2.

Full description at Econpapers || Download paper

2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708.

Full description at Econpapers || Download paper

2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Amengual, Dante ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

Full description at Econpapers || Download paper

2017Normality Tests for Latent Variables. (2017). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

Full description at Econpapers || Download paper

2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Amengual, Dante ; Sentana, Enrique ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

Full description at Econpapers || Download paper

2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

Full description at Econpapers || Download paper

2017System Priors for Econometric Time Series. (2017). Plašil, Miroslav ; Andrle, Michal ; Plasil, Miroslav . In: Working Papers. RePEc:cnb:wpaper:2017/01.

Full description at Econpapers || Download paper

2018A Model of the Feds View on Inflation. (2018). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12564.

Full description at Econpapers || Download paper

2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

Full description at Econpapers || Download paper

2017BIAS correction for dynamic factor models. (2017). Alonso, Andres Modesto ; Bastos, Guadalupe ; Garcia-Martos, Carolina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029.

Full description at Econpapers || Download paper

2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

Full description at Econpapers || Download paper

2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

Full description at Econpapers || Download paper

2018The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Bielecki, Marcin ; Penalver, Adrian ; Brand, Claus. In: Occasional Paper Series. RePEc:ecb:ecbops:2018217.

Full description at Econpapers || Download paper

2019Taylor-rule consistent estimates of the natural rate of interest. (2019). Mazelis, Falk ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20192257.

Full description at Econpapers || Download paper

2019Demographics and the natural real interest rate: historical and projected paths for the euro area. (2019). Papetti, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192258.

Full description at Econpapers || Download paper

2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

Full description at Econpapers || Download paper

2019Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46.

Full description at Econpapers || Download paper

2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

Full description at Econpapers || Download paper

2018Testing normality for unconditionally heteroscedastic macroeconomic variables. (2018). RAÏSSI, HAMDI ; Raissi, Hamdi. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:140-146.

Full description at Econpapers || Download paper

2018Econometrics with system priors. (2018). Plašil, Miroslav ; Plail, Miroslav ; Andrle, Michal. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:134-137.

Full description at Econpapers || Download paper

2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

Full description at Econpapers || Download paper

2018Penalized indirect inference. (2018). Blasques, Francisco ; Duplinskiy, Artem . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:34-54.

Full description at Econpapers || Download paper

2018A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33.

Full description at Econpapers || Download paper

2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

Full description at Econpapers || Download paper

2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

Full description at Econpapers || Download paper

2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

Full description at Econpapers || Download paper

2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

Full description at Econpapers || Download paper

2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

Full description at Econpapers || Download paper

2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

Full description at Econpapers || Download paper

2017Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis. (2017). Mensi, walid ; Kang, Sang Hoon ; Hammoudeh, Shawkat. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33.

Full description at Econpapers || Download paper

2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

Full description at Econpapers || Download paper

2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

Full description at Econpapers || Download paper

2019Bayesian forecast combination in VAR-DSGE models. (2019). Li, Xue ; Chin, Kuo-Hsuan. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:278-298.

Full description at Econpapers || Download paper

2017Robust inference in a linear functional model with replications using the t distribution. (2017). Galea, Manuel ; de Castro, Mario. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:160:y:2017:i:c:p:134-145.

Full description at Econpapers || Download paper

2018A model of FEDS view on inflation. (2018). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1803.

Full description at Econpapers || Download paper

2019Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359.

Full description at Econpapers || Download paper

2018Robust inference in models identified via heteroskedasticity. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:876.

Full description at Econpapers || Download paper

2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:halshs-02091035.

Full description at Econpapers || Download paper

2018Do Companies Benefit from Public Research Organizations? The Impact of the Fraunhofer Society in Germany. (2018). Pellens, Maikel ; Comin, Diego ; Schubert, Torben ; Licht, Georg. In: Papers in Innovation Studies. RePEc:hhs:lucirc:2018_007.

Full description at Econpapers || Download paper

2018Moment-based tests under parameter uncertainty. (2018). Bontemps, Christian. In: IDEI Working Papers. RePEc:ide:wpaper:32565.

Full description at Econpapers || Download paper

2018Early Life Determinants of Cognitive Ability: A Comparative Study on Madagascar and Senegal. (2018). Kaila, Heidi ; Sunder, Naveen ; Sahn, David E. In: IZA Discussion Papers. RePEc:iza:izadps:dp11550.

Full description at Econpapers || Download paper

2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

Full description at Econpapers || Download paper

2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations. (2017). Zakoian, Jean-Michel ; Monfort, Alain ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:79623.

Full description at Econpapers || Download paper

2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

Full description at Econpapers || Download paper

2018A model of the FEDs view on inflation. (2018). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/784ilbkihi9tkblnh7q2514823.

Full description at Econpapers || Download paper

2018The impact of pre-announced day-to-day interventions on the Colombian exchange rate. (2018). Villamizar-Villegas, mauricio ; Melo-Velandia, Luis ; Echavarria, Juan J. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:3:d:10.1007_s00181-017-1299-1.

Full description at Econpapers || Download paper

2018Oil and equity: too deep into each other. (2018). Delcoure, Natalya ; Singh, Harmeet . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9387-9.

Full description at Econpapers || Download paper

2019Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients.. (2019). Paraskevopoulos, Alexandros G ; Karanasos, Menelaos G ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:201911.

Full description at Econpapers || Download paper

2018Identifying contagion. (2018). Dungey, Mardi ; Renault, Eric. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:2:p:227-250.

Full description at Econpapers || Download paper

2017A Model of the Fed’s View on Inflation. (2017). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1145.

Full description at Econpapers || Download paper

2017Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework. (2017). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:674.

Full description at Econpapers || Download paper

2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Bertsche, Dominik ; Braun, Robin. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631.

Full description at Econpapers || Download paper

2019Do companies benefit from public research organizations? The impact of the Fraunhofer Society in Germany. (2019). Schubert, Torben ; Pellens, Maikel ; Licht, Georg ; Comin, Diego. In: ZEW Discussion Papers. RePEc:zbw:zewdip:19006.

Full description at Econpapers || Download paper

Works by Gabriele Fiorentini:

YearTitleTypeCited
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		chapter
2016A spectral EM algorithm for dynamic factor models In: Working Papers.
[Full Text][Citation analysis]		paper5
2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2018The rise and fall of the natural interest rate In: Working Papers.
[Full Text][Citation analysis]		paper8
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2001Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article114
2000The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 114		paper
2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114		paper
2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article23
2004INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers.
[Full Text][Citation analysis]		paper8
2007ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers.
[Full Text][Citation analysis]		paper15
2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper3
2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper7
2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019New testing approaches for mean-variance predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2019New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019New testing approaches for mean-variance predictability.(2019) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica.
[Full Text][Citation analysis]		article45
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
[Citation analysis]		article8
1998- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
1996Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2016Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2012The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
[Full Text][Citation analysis]		article3
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters.
[Full Text][Citation analysis]		article21
2001Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article157
1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 157		paper
1997Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 157		paper
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2007Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2002Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2001Constrained Indirect Inference Estimation.(2001) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
Short-term options with stochastic volatility: Estimation and empirical performance In: Studies on the Spanish Economy.
[Full Text][Citation analysis]		paper2
2000SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1999Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper5
2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper2
2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper5
1995Analytic Derivatives and the Computation of Garch Estimates. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper57
1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
1996Non-Admissible Decompositions in Unobserved Components Models In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper0
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper16
1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 16		article
1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1997A tobit model with garch errors In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper12
1998A tobit model with garch errors.(1998) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
1998- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper0
2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
[Full Text][Citation analysis]		article1
2004Constrained Indirect Estimation In: Review of Economic Studies.
[Full Text][Citation analysis]		article25
1993Estimating variances and covariances in a censored regression model In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1994Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper.
[Full Text][Citation analysis]		paper2
1993Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2008The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU In: Working Paper series.
[Full Text][Citation analysis]		paper0
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team