Gabriele Fiorentini : Citation Profile


Are you Gabriele Fiorentini?

Università degli Studi di Firenze

14

H index

16

i10 index

840

Citations

RESEARCH PRODUCTION:

28

Articles

89

Papers

3

Chapters

RESEARCH ACTIVITY:

   30 years (1993 - 2023). See details.
   Cites by year: 28
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 68 (7.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfi82
   Updated: 2024-01-16    RAS profile: 2023-10-30    
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Relations with other researchers


Works with:

Sentana, Enrique (28)

Amengual, Dante (8)

Almuzara, Martin (7)

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 (52)

Calzolari, Giorgio (30)

Ruiz, Esther (28)

Rigobon, Roberto (25)

Weber, Enzo (20)

Amengual, Dante (19)

Hallin, Marc (18)

Normandin, Michel (17)

Lütkepohl, Helmut (16)

Demos, Antonis (15)

Broto, Carmen (15)

Cites to:

Sentana, Enrique (201)

Calzolari, Giorgio (55)

Engle, Robert (33)

Monfort, Alain (23)

Pesaran, Mohammad (21)

Mencia, Javier (19)

Bollerslev, Tim (19)

gourieroux, christian (19)

Tauchen, George (17)

pagan, adrian (16)

Demos, Antonis (15)

Main data


Where Gabriele Fiorentini has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics3
Economics Letters2
Computational Statistics & Data Analysis2
SERIEs: Journal of the Spanish Economic Association2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis11
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)9
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"8
CEPR Discussion Papers / C.E.P.R. Discussion Papers8
MPRA Paper / University Library of Munich, Germany4
Working Papers / Banco de España3
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Gabriele Fiorentini (2024 and 2023)


YearTitle of citing document
2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Closer to Finding Yeti. (2023). Sramkova, Lucia ; Mucka, Zuzana ; Karsay, Alexander ; Micko, Tomas. In: Working Papers. RePEc:cbe:wpaper:202301.

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2023Estimation of the TFP Gap for the Largest Five EMU Countries. (2023). Rossian, Thies ; Kiessner, Felix ; Carstensen, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10245.

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2023Inequality and the Zero Lower Bound. (2023). Rachedi, Omar ; Nuo, Galo ; Marbet, Joel ; Fernandez-Villaverde, Jesus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10471.

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2023Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02.

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2023Highly Irregular Serial Correlation Tests. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2023_2302.

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2023The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat
2023Monetary policy and the drifting natural rate of interest. (2023). Daudignon, Sandra ; Tristani, Oreste. In: Working Paper Series. RePEc:ecb:ecbwps:20232788.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

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2023Loose Monetary Policy and Financial Instability. (2023). Taylor, Alan M ; Schularick, Moritz ; Jorda, Oscar ; Grimm, Maximilian. In: Working Paper Series. RePEc:fip:fedfwp:95733.

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2023.

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2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

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2023Monetary policy, external instruments, and heteroskedasticity. (2023). Podstawski, Maximilian ; Rieth, Malte ; Schlaak, Thore. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:161-200.

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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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chapter
2016A spectral EM algorithm for dynamic factor models In: Working Papers.
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paper14
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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This paper has nother version. Agregated cites: 14
article
2018The rise and fall of the natural interest rate In: Working Papers.
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paper43
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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article136
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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This paper has nother version. Agregated cites: 136
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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This paper has nother version. Agregated cites: 136
paper
2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
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article41
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment In: Working Papers.
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paper11
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has nother version. Agregated cites: 11
paper
1995Analytic Derivatives and the Computation of GARCH Estimates In: Working Papers.
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paper83
1995Analytic Derivatives and the Computation of Garch Estimates..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has nother version. Agregated cites: 83
paper
1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
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article
1996Non-Admissible Decompositions in Unobserved Components Models In: Working Papers.
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1996Non-Admissible Decompositions in Unobserved Components Models.(1996) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has nother version. Agregated cites: 0
paper
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
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paper21
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has nother version. Agregated cites: 21
paper
1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
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This paper has nother version. Agregated cites: 21
article
1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
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1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers.
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2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
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paper1
2000The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada In: Working Papers.
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paper0
2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
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paper55
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
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article
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
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paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
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paper
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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paper
2003On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
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paper25
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters.
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This paper has nother version. Agregated cites: 25
article
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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This paper has nother version. Agregated cites: 9
article
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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This paper has nother version. Agregated cites: 2
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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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This paper has nother version. Agregated cites: 2
article
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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This paper has nother version. Agregated cites: 1
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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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2021Specification tests for non?Gaussian maximum likelihood estimators.(2021) In: Quantitative Economics.
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2018New Testing Approaches for Mean-Variance Predictability In: Working Papers.
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2019New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers.
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2021New testing approaches for mean–variance predictability.(2021) In: Journal of Econometrics.
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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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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers.
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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers.
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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions.(2023) In: Journal of Econometrics.
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2021Aggregate Output Measurements: A Common Trend Approach In: Working Papers.
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2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers.
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2023Aggregate Output Measurements: A Common Trend Approach.(2023) In: Advances in Econometrics.
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2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports.
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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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2022Moment tests of independent components.(2022) In: SERIEs: Journal of the Spanish Economic Association.
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2021Multivariate Hermite polynomials and information matrix tests In: Working Papers.
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2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive.
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2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series.
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2021Tests for random coefficient variation in vector autoregressive models In: Working Papers.
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2022Tests for Random Coefficient Variation in Vector Autoregressive Models.(2022) In: Advances in Econometrics.
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2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive.
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2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series.
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2022GDP Solera. The Ideal Vintage Mix In: Working Papers.
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2022GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports.
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2022PML vs minimum ? 2 : the comeback In: Working Papers.
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2022Specification tests for non-Gaussian structural vector autoregressions In: Working Papers.
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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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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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article20
2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
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paper1
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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paper3
2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
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This paper has nother version. Agregated cites: 3
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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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article1
2004Constrained Indirect Estimation In: Review of Economic Studies.
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article43
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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2017Marginal distribution of Markov-switching VAR processes In: Communications in Statistics - Theory and Methods.
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