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    
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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.

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

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

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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.

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

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

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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.

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

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

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

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

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

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

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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.

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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Works by Gabriele Fiorentini:


YearTitleTypeCited
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
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2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
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2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
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2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
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2016A spectral EM algorithm for dynamic factor models In: Working Papers.
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2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
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2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
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2018The rise and fall of the natural interest rate In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
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2001Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics.
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2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
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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-.
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2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
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2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
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2004INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers.
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2007ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers.
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2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
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2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
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2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
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2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
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2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
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2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
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2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
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2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
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2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
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2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
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2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series.
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2019New testing approaches for mean-variance predictability In: CEPR Discussion Papers.
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2019New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive.
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2019New testing approaches for mean-variance predictability.(2019) In: Working Paper series.
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2004Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica.
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2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
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2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers.
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2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
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2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
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2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
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1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
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1998- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD.
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1996Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper.
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2016Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis.
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2012The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis.
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1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
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2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters.
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2001Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics.
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1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-.
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