Gabriele Fiorentini : Citation Profile

Are you Gabriele Fiorentini?

Università degli Studi di Firenze

13

H index

16

i10 index

799

Citations

RESEARCH PRODUCTION:

26

Articles

86

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 27
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 60 (6.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfi82
   Updated: 2022-08-13    RAS profile: 2022-05-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Sentana, Enrique (38)

Amengual, Dante (7)

Galesi, Alessandro (6)

Almuzara, Martin (4)

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 (45)

Ruiz, Esther (28)

Calzolari, Giorgio (28)

Rigobon, Roberto (25)

Weber, Enzo (20)

Amengual, Dante (18)

Normandin, Michel (17)

Lütkepohl, Helmut (16)

Broto, Carmen (15)

Demos, Antonis (15)

Hallin, Marc (14)

Cites to:

Sentana, Enrique (179)

Calzolari, Giorgio (54)

Engle, Robert (31)

Pesaran, M (21)

Monfort, Alain (19)

Bollerslev, Tim (19)

Mencia, Javier (18)

gourieroux, christian (15)

Drost, Feike C. (15)

Demos, Antonis (15)

Tauchen, George (15)

Main data

Where Gabriele Fiorentini has published?

Journals with more than one article published# docs
Journal of Econometrics6
Journal of Business & Economic Statistics3
Economics Letters2
Computational Statistics & Data Analysis2

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

Recent works citing Gabriele Fiorentini (2022 and 2021)

YearTitle of citing document
2022SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved?. (2022). Plagborg-Moller, Mikkel ; Montiel, Jose Luis ; Qian, Eric. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:112:y:2022:p:481-85.

Full description at Econpapers || Download paper

2021Modeling 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

2022Quasi 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

2021A 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

2021A Model of Natural Interest Rate: The Case of Bulgaria. (2021). Vassilev, Dilian. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:7:p:46-72.

Full description at Econpapers || Download paper

2021The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. (2021). Julio-Roman, Juan Manuel ; Rojas-Silva, Kimberly ; Rincon-Torres, Andrey Duvan. In: Borradores de Economia. RePEc:bdr:borrec:1171.

Full description at Econpapers || Download paper

2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

Full description at Econpapers || Download paper

2021The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957.

Full description at Econpapers || Download paper

2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

Full description at Econpapers || Download paper

2022Estimating dynamic systemic risk measures. (2022). Francq, Christian ; Cantin, Loic ; Zakoian, Jean-Michel. In: Working Papers. RePEc:crs:wpaper:2022-11.

Full description at Econpapers || Download paper

2021The implications of globalisation for the ECB monetary policy strategy. (2021). Schmitz, Martin ; Lastauskas, Povilas ; Kataryniuk, Iván ; JOCHEM, Axel ; Gunnella, Vanessa ; Georgiadis, Georgios ; Fontagné, Lionel ; Feldkircher, Martin ; Everett, Mary ; Carvalho, Daniel ; Labhard, Vincent ; Bricongne, Jean-Charles ; Felettigh, Alberto ; Cova, Pietro ; Dimitropoulou, Dimitra ; Hemmerle, Yannick ; Siena, Daniele ; Osbat, Chiara ; Venditti, Fabrizio ; Kuhnlenz, Markus ; Baumann, Ursel ; Zumer, Tina ; Parraga, Susana ; de Luigi, Clara ; Serafini, Roberta ; Mattias, Nilsson ; Carluccio, Juan ; Korhonen, Iikka ; Wacket, Helmut ; Banerjee, Biswajit ; Eichler, Eric ; Giron, Celestino ; Meinen, Philipp ; de Bandt, Olivier ; del Giudice, Davide ; van Schaik, Ilona ; Mozzanica, Mirco Balatti ; Dorrucci, Ettore ; Coim
2021The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2021). Weigert, Benjamin ; Rodriguez-Moreno, Maria ; Prieto, Esteban ; Nikolov, Kalin ; Maddaloni, Angela ; Mazelis, Falk ; Lewis, Vivien ; Geiger, Felix ; Martin, Alberto ; Jovanovic, Mario ; Miettinen, Pavo ; Andreeva, Desislava ; Cuciniello, Vincenzo ; Albertazzi, Ugo ; Heider, Florian ; Redak, Vanessa ; Bonatti, Guido ; Licak, Marek ; Jan, Jansen David ; Garabedian, Garo ; Altavilla, Carlo ; Chalamandaris, Dimitrios ; Fourel, Valere ; Pogulis, Armands ; Carlo Altavilla , ; Balfoussia, Hiona ; Ioannidis, Michael ; Patriek, Matic ; Fernandez, Luis ; Kok, Christoffer ; Cassar, Alan ; Klein, Melanie ; Papageorghiou, Maria ; Fahr, Stephan ; Falagiarda, Matteo ; Adolf, Petra ;
2021Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers. (2021). Smets, Frank ; Osbat, Chiara ; Koester, Gerrit ; Nickel, Christiane ; Lis, Eliza. In: Occasional Paper Series. RePEc:ecb:ecbops:2021280.

Full description at Econpapers || Download paper

2021Natural rate chimera and bond pricing reality. (2021). Lemke, Wolfgang ; Goy, Gavin ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20212612.

Full description at Econpapers || Download paper

2021Demographics and the natural real interest Rate: historical and projected paths for the euro area. (2021). Papetti, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:132:y:2021:i:c:s0165188921001445.

Full description at Econpapers || Download paper

2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

Full description at Econpapers || Download paper

2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

Full description at Econpapers || Download paper

2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

Full description at Econpapers || Download paper

2021M&A rumors about unlisted firms. (2021). Cumming, Douglas ; Czellar, Veronika ; Alperovych, Yan ; Groh, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1324-1339.

Full description at Econpapers || Download paper

2021Ties that bind: Estimating the natural rate of interest for small open economies. (2021). Martínez García, Enrique ; Grossman, Valerie ; Wynne, Mark A ; Martinez-Garcia, Enrique ; Zhang, Ren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560620302710.

Full description at Econpapers || Download paper

2022Potential growth and natural yield curve in Japan. (2022). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000316.

Full description at Econpapers || Download paper

2021Forecasting the dynamic relationship between crude oil and stock prices since the 19th century. (2021). Hailemariam, Abebe ; Ivanovski, Kris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000039.

Full description at Econpapers || Download paper

2021Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002324.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01.

Full description at Econpapers || Download paper

2022Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death. (2022). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:304-:d:860084.

Full description at Econpapers || Download paper

2021Employment Reconciliation and Nowcasting. (2021). van Norden, Simon ; Sinclair, Tara ; Jacobs, Jan ; Goto, Eiji. In: Working Papers. RePEc:gwc:wpaper:2021-007.

Full description at Econpapers || Download paper

2022What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020. (2022). Kaufmann, Daniel ; Tille, Cedric ; Stuart, Rebecca ; Hauzenberger, Niko. In: IRENE Working Papers. RePEc:irn:wpaper:22-03.

Full description at Econpapers || Download paper

2022Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market. (2022). Eduarda, Silva Maria ; de Salles, Andre Assis ; Paulo, Teles. In: MPRA Paper. RePEc:pra:mprapa:113589.

Full description at Econpapers || Download paper

2022Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death. (2022). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:113744.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022The All-Gap Phillips Curve. (2022). Smith, Gregor W ; McNeil, James. In: Working Paper. RePEc:qed:wpaper:1488.

Full description at Econpapers || Download paper

2021The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU. (2008). . In: Working Paper series. RePEc:rim:rimwps:21-08.

Full description at Econpapers || Download paper

2022Moment tests of independent components. (2022). Fiorentini, Gabriele ; Amengual, Dante ; Sentana, Enrique. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00247-3.

Full description at Econpapers || Download paper

2021Robust non-Gaussian inference for linear simultaneous equations models. (2021). Mesters, Geert ; Lee, Adam. In: Economics Working Papers. RePEc:upf:upfgen:1792.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Dynamics 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

Works by Gabriele Fiorentini:

YearTitleTypeCited
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		chapter
2016A spectral EM algorithm for dynamic factor models In: Working Papers.
[Full Text][Citation analysis]		paper11
2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2018The rise and fall of the natural interest rate In: Working Papers.
[Full Text][Citation analysis]		paper35
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2001Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article133
2000The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 133		paper
2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 133		paper
2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article36
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment In: Working Papers.
[Citation analysis]		paper11
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment..(1995) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
1995Analytic Derivatives and the Computation of GARCH Estimates In: Working Papers.
[Citation analysis]		paper78
1995Analytic Derivatives and the Computation of Garch Estimates..(1995) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 78		paper
1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78		article
1996Non-Admissible Decompositions in Unobserved Components Models In: Working Papers.
[Citation analysis]		paper0
1996Non-Admissible Decompositions in Unobserved Components Models.(1996) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
[Citation analysis]		paper19
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 19		paper
1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 19		article
1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		paper0
2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
[Full Text][Citation analysis]		paper55
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		article
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2003On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
[Full Text][Citation analysis]		paper25
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2004Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper11
2007On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
[Full Text][Citation analysis]		paper20
2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper2
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper1
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2021Specification tests for non?Gaussian maximum likelihood estimators.(2021) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2018New Testing Approaches for Mean-Variance Predictability In: Working Papers.
[Full Text][Citation analysis]		paper0
2019New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021New testing approaches for mean–variance predictability.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2019New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019New testing approaches for mean-variance predictability.(2019) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers.
[Full Text][Citation analysis]		paper5
2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2021Aggregate Output Measurements: A Common Trend Approach In: Working Papers.
[Full Text][Citation analysis]		paper2
2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Aggregate output measurements: a common trend approach.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Moment tests of independent components In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Multivariate Hermite polynomials and information matrix tests In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Tests for random coefficient variation in vector autoregressive models In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022GDP Solera. The Ideal Vintage Mix In: Working Papers.
[Full Text][Citation analysis]		paper0
1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
[Citation analysis]		article8
1998- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
1996Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2016Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2012The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
[Full Text][Citation analysis]		article3
2001Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article193
1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 193		paper
1997Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 193		paper
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2007Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2002Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article19
2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
Short-term options with stochastic volatility: Estimation and empirical performance In: Studies on the Spanish Economy.
[Full Text][Citation analysis]		paper2
2000SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1999Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper5
2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper3
2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1997A tobit model with garch errors In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper14
1998A 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]		paper0
2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
[Full Text][Citation analysis]		article1
2004Constrained Indirect Estimation In: Review of Economic Studies.
[Full Text][Citation analysis]		article42
2003Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers.
[Citation analysis]		paper4
1993Estimating variances and covariances in a censored regression model In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1994Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper.
[Full Text][Citation analysis]		paper2
1993Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2008The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU In: Working Paper series.
[Full Text][Citation analysis]		paper4
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2017Marginal distribution of Markov-switching VAR processes In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team