Gabriele Fiorentini : Citation Profile


Are you Gabriele Fiorentini?

Università degli Studi di Firenze

13

H index

16

i10 index

734

Citations

RESEARCH PRODUCTION:

24

Articles

68

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 26
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 47 (6.02 %)

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   Permalink: http://citec.repec.org/pfi82
   Updated: 2021-04-17    RAS profile: 2021-03-21    
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Relations with other researchers


Works with:

Sentana, Enrique (27)

Galesi, Alessandro (7)

Perez Quiros, Gabriel (4)

Almuzara, Martin (2)

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 (55)

Calzolari, Giorgio (26)

Rigobon, Roberto (25)

Ruiz, Esther (21)

Weber, Enzo (20)

Normandin, Michel (17)

Amengual, Dante (16)

Lütkepohl, Helmut (15)

Demos, Antonis (14)

Hallin, Marc (14)

Delle Monache, Davide (13)

Cites to:

Sentana, Enrique (154)

Calzolari, Giorgio (52)

Engle, Robert (22)

Monfort, Alain (20)

Mencia, Javier (16)

gourieroux, christian (16)

Pesaran, M (15)

Drost, Feike C. (15)

LINTON, OLIVER (13)

Demos, Antonis (12)

Tauchen, George (12)

Main data


Where Gabriele Fiorentini has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Business & Economic Statistics3
Computational Statistics & Data Analysis2
Economics Letters2

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 Analysis9
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"6
MPRA Paper / University Library of Munich, Germany4
Working Papers / Banco de Espaa3

Recent works citing Gabriele Fiorentini (2021 and 2020)


YearTitle of citing document
2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2020Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245.

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2020A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110.

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2020A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2020An estimate of Pension System financial returns. (2020). Ramos, Roberto ; Moraga, Maria. In: Economic Bulletin. RePEc:bde:journl:y:2020:i:09:d:aa:n:24.

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2020Reflexiones sobre el diseño de un Fondo de Recuperación europeo. (2020). Perez, Javier J ; Marin, Paloma ; Kataryniuk, Ivan ; Arce, Oscar. In: Occasional Papers. RePEc:bde:opaper:2014.

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2020The ECB monetary policy response to the Covid-19 crisis. (2020). Martinez-Martin, Jaime ; Nuo, Galo ; Hurtado, Samuel ; Arce, Oscar ; Aguilar, Pablo ; Thomas, Carlos. In: Occasional Papers. RePEc:bde:opaper:2026e.

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2020Inference Using Simulated Neural Moments. (2020). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:1182.

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2020Gaussian Rank Correlation and Regression. (2020). Sentana, Enrique ; Amengual, Dante ; Tian, Zhanyuan. In: Working Papers. RePEc:cmf:wpaper:wp2020_2004.

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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023.

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2021Aggregate Output Measurements: A Common Trend Approach. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Almuzara, Martin. In: Working Papers. RePEc:cmf:wpaper:wp2021_2101.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2020Price connectedness between green bond and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:25-38.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; Miller, Shirley ; McCAUSLAND, William. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2020Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380.

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2020Agustín Maravall: An interview with the International Journal of Forecasting. (2020). Pea, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1241-1251.

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2021Ties 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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2021Aggregate Output Measurements: a Common Trend Approach. (2021). Sentana, Enrique ; Almuzara, Martin ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2021_03.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883.

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2020Contingent Linear Financial Networks. (2020). Rigobon, Roberto ; Dahleh, Munther A ; Jiang, Bomin. In: NBER Working Papers. RePEc:nbr:nberwo:26814.

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2020Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99658.

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2020Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models. (2020). Bystrov, Victor. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:12:y:2020:i:4:p:413-429.

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2021Indicators of monetary policy stance and financial conditions: an overview. (2021). Iskrev, Nikolay ; Soares, Carla ; Loureno, Rita Fradique. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202101.

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2021Aggregate output measurements: a common trend approach. (2021). Sentana, Enrique ; Almuzara, Martin ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:21-02.

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2020Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility. (2020). Hachula, Michael ; Rieth, Malte. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:3:p:759-785.

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2020A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Pfarrhofer, Michael ; Huber, Florian ; Piribauer, Philipp. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:911-926.

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2021Approximate Maximum Likelihood for Complex Structural Models. (2021). Renault, Eric ; Frazier, David T ; Czellar, Veronika. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1337.

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2021Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146.

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2020Natural rate chimera and bond pricing reality. (2020). Goy, Gavin W ; Brand, Claus ; Lemke, Wolfgang. In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics. RePEc:zbw:vfsc20:224546.

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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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This paper has another version. Agregated cites: 0
chapter
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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paper
2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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paper
2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
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article
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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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
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paper
2001Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics.
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article1
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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article124
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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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.
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paper
2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
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article28
2004INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers.
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paper11
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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2019Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics.
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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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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers.
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paper1
2021Aggregate Output Measurements: A Common Trend Approach In: Working Papers.
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paper1
2021Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive.
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2021Aggregate output measurements: a common trend approach.(2021) In: Working Paper series.
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2021Moment tests of independent components In: Working Papers.
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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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article3
1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
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article3
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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1997Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD.
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2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
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2007Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series.
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2002Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance.
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2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
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2001Constrained Indirect Inference Estimation.(2001) In: FMG Discussion Papers.
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Short-term options with stochastic volatility: Estimation and empirical performance In: Studies on the Spanish Economy.
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2000SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE.(2000) In: Working Papers. Serie AD.
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1999Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive.
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2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
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2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
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1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment. In: Centro de Estudios Monetarios Y Financieros-.
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1995Analytic Derivatives and the Computation of Garch Estimates. In: Centro de Estudios Monetarios Y Financieros-.
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1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
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1996Non-Admissible Decompositions in Unobserved Components Models In: Centro de Estudios Monetarios Y Financieros-.
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1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. In: Centro de Estudios Monetarios Y Financieros-.
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1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
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1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
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1997A tobit model with garch errors In: Working Papers. Serie AD.
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1998A tobit model with garch errors.(1998) In: Econometric Reviews.
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1998- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS In: Working Papers. Serie AD.
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2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
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2004Constrained Indirect Estimation In: Review of Economic Studies.
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2003Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers.
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1993Estimating variances and covariances in a censored regression model In: MPRA Paper.
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1994Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper.
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1993Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper.
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2008The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU In: Working Paper series.
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2014Comment In: Journal of Business & Economic Statistics.
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