13
H index
16
i10 index
734
Citations
Gabriele Fiorentini : Citation Profile
Università degli Studi di Firenze | RESEARCH PRODUCTION: 24 Articles 68 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1993 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Gabriele Fiorentini. | Is cited by:
| Cites to:
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Main data
Where Gabriele Fiorentini has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 5 |
| Journal of Business & Economic Statistics | 3 |
| Computational Statistics & Data Analysis | 2 |
| Economics Letters | 2 |
Recent works citing Gabriele Fiorentini (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper |
| 2020 | Quasi 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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2020 | Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245. Full description at Econpapers || Download paper |
| 2020 | A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110. Full description at Econpapers || Download paper |
| 2020 | A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517. Full description at Econpapers || Download paper |
| 2020 | An 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. Full description at Econpapers || Download paper |
| 2020 | Reflexiones 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. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2020 | Inference Using Simulated Neural Moments. (2020). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:1182. Full description at Econpapers || Download paper |
| 2020 | Gaussian Rank Correlation and Regression. (2020). Sentana, Enrique ; Amengual, Dante ; Tian, Zhanyuan. In: Working Papers. RePEc:cmf:wpaper:wp2020_2004. Full description at Econpapers || Download paper |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023. Full description at Econpapers || Download paper |
| 2021 | Aggregate Output Measurements: A Common Trend Approach. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Almuzara, Martin. In: Working Papers. RePEc:cmf:wpaper:wp2021_2101. Full description at Econpapers || Download paper |
| 2021 | Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102. Full description at Econpapers || Download paper |
| 2020 | Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666. Full description at Econpapers || Download paper |
| 2020 | Price 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. Full description at Econpapers || Download paper |
| 2020 | Generalized 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. Full description at Econpapers || Download paper |
| 2020 | Inference 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. Full description at Econpapers || Download paper |
| 2020 | Testing 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. Full description at Econpapers || Download paper |
| 2020 | Identification 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. Full description at Econpapers || Download paper |
| 2021 | Multivariate 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. Full description at Econpapers || Download paper |
| 2020 | Brent 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. Full description at Econpapers || Download paper |
| 2020 | Agustín 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. Full description at Econpapers || Download paper |
| 2021 | Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; MartÃÂnez GarcÃÂa, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359. Full description at Econpapers || Download paper |
| 2021 | Aggregate Output Measurements: a Common Trend Approach. (2021). Sentana, Enrique ; Almuzara, Martin ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2021_03. Full description at Econpapers || Download paper |
| 2020 | Simultaneous 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. Full description at Econpapers || Download paper |
| 2020 | The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883. Full description at Econpapers || Download paper |
| 2020 | Contingent Linear Financial Networks. (2020). Rigobon, Roberto ; Dahleh, Munther A ; Jiang, Bomin. In: NBER Working Papers. RePEc:nbr:nberwo:26814. Full description at Econpapers || Download paper |
| 2020 | Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99658. Full description at Econpapers || Download paper |
| 2020 | Identification 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. Full description at Econpapers || Download paper |
| 2021 | Indicators 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. Full description at Econpapers || Download paper |
| 2021 | Aggregate output measurements: a common trend approach. (2021). Sentana, Enrique ; Almuzara, Martin ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:21-02. Full description at Econpapers || Download paper |
| 2020 | Estimating 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. Full description at Econpapers || Download paper |
| 2020 | A multiâ€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. Full description at Econpapers || Download paper |
| 2021 | Approximate 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. Full description at Econpapers || Download paper |
| 2021 | Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146. Full description at Econpapers || Download paper |
| 2020 | Natural 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. Full description at Econpapers || Download paper |
Works by Gabriele Fiorentini:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Fast 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 | |
| 2015 | Fast 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 | |
| 2016 | Fast 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 | |
| 2016 | A spectral EM algorithm for dynamic factor models In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2015 | A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2018 | A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2001 | Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
| 2003 | Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 124 |
| 2000 | The 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: 124 | paper | |
| 2000 | THE 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: 124 | paper | |
| 2008 | Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 28 |
| 2004 | INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2007 | ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2007 | On 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: 20 | paper | |
| 2009 | Dynamic Specification Tests for Static Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Sequential 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 | |
| 2012 | Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Dynamic Specification Tests for Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Dynamic 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 | |
| 2019 | Dynamic 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 | |
| 2014 | Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Neglected 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: 1 | article | |
| 2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2019 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Aggregate Output Measurements: A Common Trend Approach In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2021 | Aggregate output measurements: a common trend approach.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2021 | Moment tests of independent components In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | New testing approaches for mean-variance predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica. [Full Text][Citation analysis] | article | 51 |
| 2003 | Likelihood-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: 51 | paper | |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
| 2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
| 2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
| 2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
| 1998 | Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal. [Citation analysis] | article | 8 |
| 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 | |
| 1996 | Control 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 | |
| 2016 | Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2012 | The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 1993 | Alternative covariance estimators of the standard Tobit model In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2004 | On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters. [Full Text][Citation analysis] | article | 25 |
| 2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 181 |
| 1997 | Identification, 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: 181 | paper | |
| 1997 | Identification, 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: 181 | paper | |
| 2008 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 28 |
| 2007 | Indirect 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: 28 | paper | |
| 2002 | Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
| 2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
| 2001 | Constrained Indirect Inference Estimation.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| Short-term options with stochastic volatility: Estimation and empirical performance In: Studies on the Spanish Economy. [Full Text][Citation analysis] | paper | 2 | |
| 2000 | SHORT-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 | |
| 1999 | Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 5 |
| 2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 2 |
| 2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1995 | Unobserved Components in ARCH Models: An Application to Seasonal Adjustment. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 11 |
| 1995 | Analytic Derivatives and the Computation of Garch Estimates. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 72 |
| 1996 | Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | article | |
| 1996 | Non-Admissible Decompositions in Unobserved Components Models In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
| 1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 18 |
| 1998 | Conditional 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: 18 | article | |
| 1997 | Conditional 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: 18 | paper | |
| 1997 | A tobit model with garch errors In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 14 |
| 1998 | A tobit model with garch errors.(1998) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
| 1998 | - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 2004 | Constrained Indirect Estimation In: Review of Economic Studies. [Full Text][Citation analysis] | article | 36 |
| 2003 | Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers. [Citation analysis] | paper | 1 |
| 1993 | Estimating variances and covariances in a censored regression model In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 1993 | Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2008 | The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU In: Working Paper series. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 |
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