Paolo Zaffaroni : Citation Profile

Are you Paolo Zaffaroni?

"Sapienza" Università di Roma

12

H index

14

i10 index

663

Citations

RESEARCH PRODUCTION:

17

Articles

42

Papers

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 27
   Journals where Paolo Zaffaroni has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 20 (2.93 %)

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   Permalink: http://citec.repec.org/pza411
   Updated: 2023-04-01    RAS profile: 2021-11-15    
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Relations with other researchers

Works with:

Hallin, Marc (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Zaffaroni.

Is cited by:

Hallin, Marc (55)

Barigozzi, Matteo (47)

Gil-Alana, Luis (33)

Lippi, Marco (26)

Soccorsi, Stefano (20)

Horvath, Roman (19)

Forni, Mario (18)

coricelli, fabrizio (15)

Trucíos, Carlos (13)

Mayoral, Laura (13)

Hotta, Luiz (13)

Cites to:

Forni, Mario (68)

Lippi, Marco (60)

Reichlin, Lucrezia (58)

Hallin, Marc (50)

Bollerslev, Tim (23)

Giannone, Domenico (23)

Ng, Serena (20)

Pesaran, M (19)

Engle, Robert (18)

Bai, Jushan (18)

Diebold, Francis (15)

Main data

Where Paolo Zaffaroni has published?

Journals with more than one article published# docs
Journal of Econometrics9
Econometric Theory3
Journal of Time Series Analysis2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles4
CESifo Working Paper Series / CESifo4
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area3
DSS Empirical Economics and Econometrics Working Papers Series / Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2

Recent works citing Paolo Zaffaroni (2022 and 2021)

YearTitle of citing document
2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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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.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289.

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2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2021Monetary policy, relative prices and inflation control: flexibility born out of success. (2021). BORIO, Claudio ; Zakrajek, Egon ; Xia, Dora ; Disyatat, Piti. In: BIS Quarterly Review. RePEc:bis:bisqtr:2109b.

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2022Trends and cycles in macro series: The case of US real GDP. (2022). Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:1:p:123-134.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021Regional inflation persistence in Turkey. (2021). Duran, Hasan Engin ; Dindarolu, Burak. In: Growth and Change. RePEc:bla:growch:v:52:y:2021:i:1:p:460-491.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2021Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models. (2021). Nisol, Gilles ; Hormann, Siegfried. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:295-313.

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2021The persistence of inequality across Indian states: A time series approach. (2021). Bandyopadhyay, Sanghamitra. In: Review of Development Economics. RePEc:bla:rdevec:v:25:y:2021:i:3:p:1150-1171.

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2022Economic performance in Africa: The role of fragile financial system. (2022). Inekwe, John Nkwoma. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:6:p:1910-1936.

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2021The Relationship between Prices and Output in the UK and the US. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Claudio-Quiroga, Gloria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8970.

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2022Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series. (2022). Hallin, Marc. In: Working Papers ECARES. RePEc:eca:wpaper:2013/350249.

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2021Does economic convergence hold? A spatial quantile analysis on European regions. (2021). Hewings, Geoffrey ; Postiglione, Paolo ; Cartone, Alfredo. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:408-417.

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2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2021Convergence in road transport CO2 emissions in Europe. (2021). Rodriguez-Lopez, Jesus ; Gonzalez, Rosa Marina ; Marrero, Gustavo A. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002280.

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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.

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2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. (2021). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2021Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002545.

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2021Sectoral inflation persistence, market concentration, and imperfect common knowledge. (2021). Tsuruga, Takayuki ; Okuda, Tatsushi ; Kato, Ryo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:500-517.

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2022Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe. (2022). Yang, Lu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000192.

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2021GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory. (2021). Mudida, Robert ; Gil-Alana, Luis ; Zerbo, Eleazar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:175-190.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo ; Casoli, Chiara. In: Working Papers. RePEc:fem:femwpa:2021.1p.

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2021Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830.

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2022.

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2021.

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2021A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Liu, Linlin ; Chen, Jiazi ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202102.

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2022Portfolio Correlations in the Bank-Firm Credit Market of Japan. (2022). Luu, Duc Thi. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10157-y.

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2021Conditional asymmetry in Power ARCH($\infty$) models. (2021). Royer, Julien. In: MPRA Paper. RePEc:pra:mprapa:109118.

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2021Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process. (2021). Proietti, Tommaso ; Maddanu, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:518.

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2021Inflation Persistence in India. (2021). Dua, Pami ; Goel, Deepika. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:3:d:10.1007_s40953-021-00237-z.

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2022The relationship between prices and output in the UK and the US. (2022). Gil-Alana, Luis ; Claudio-Quiroga, Gloria ; Caporale, Guglielmo Maria. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:6:d:10.1007_s43546-022-00231-4.

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2022On the impact of serial dependence on penalized regression methods. (2022). Giovannelli, Alessandro ; Chiaromonte, Francesca ; Tonini, Simone. In: LEM Papers Series. RePEc:ssa:lemwps:2022/21.

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2021Sectoral inflation persistence, market concentration, and imperfect common knowledge. (2021). Tsuruga, Takayuki ; Okuda, Tatsushi ; Kato, Ryo. In: Working Papers. RePEc:tcr:wpaper:e165.

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2021Comparative analysis of economic growth in Nigeria and Kenya: A fractional integration approach. (2021). Mudida, Robert ; Awe, Olushina O ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1197-1205.

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2021Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954.

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2021What do productivity indices tell us? A case study of U.S. industries. (2021). Gilalana, Luis A ; Madigu, Godfrey. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:4946-4978.

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2021A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Niu, Linlin ; Chen, Jiazi ; Cai, Zongwu. In: Working Papers. RePEc:wyi:wpaper:002581.

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Works by Paolo Zaffaroni:

YearTitleTypeCited
2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures In: Papers.
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2000(Fractional) Beta Convergence In: Temi di discussione (Economic working papers).
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1998(Fractional) Beta Convergence.(1998) In: Working Papers.
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2000(Fractional) beta convergence.(2000) In: Journal of Monetary Economics.
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2000(Fractional) Beta Convergence..(2000) In: Banca Italia - Servizio di Studi.
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1998(Fractional) Beta Convergence..(1998) In: Centro de Estudios Monetarios Y Financieros-.
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2002Contemporaneous aggregation of GARCH processes In: Temi di discussione (Economic working papers).
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2007Contemporaneous aggregation of GARCH processes.(2007) In: Journal of Time Series Analysis.
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2000Contemporaneous Aggregation of GARCH Processes.(2000) In: STICERD - Econometrics Paper Series.
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2000Contemporaneous aggregation of GARCH processes.(2000) In: LSE Research Online Documents on Economics.
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2003Gaussian inference on certain long-range dependent volatility models In: Temi di discussione (Economic working papers).
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2003Gaussian inference on certain long-range dependent volatility models.(2003) In: Journal of Econometrics.
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2008Large?scale volatility models: theoretical properties of professionals’ practice In: Journal of Time Series Analysis.
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2008Model Averaging in Risk Management with an Application to Futures Markets In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper29
2008Model Averaging in Risk Management with an Application to Futures Markets.(2008) In: CESifo Working Paper Series.
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2009Model averaging in risk management with an application to futures markets.(2009) In: Journal of Empirical Finance.
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2008Optimal Asset Allocation with Factor Models for Large Portfolios In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper8
2008Optimal Asset Allocation with Factor Models for Large Portfolios.(2008) In: CESifo Working Paper Series.
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1997Modelling Nonlinearity and Long Memory in Time Series - (Now published in Nonlinear Dynamics and Time Series, C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper2
1997Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in Journal of Statistical Planning and Inference, 68 (1998), pp.359-371.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
1997Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper2
1997Beta Convergence In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper10
1998Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series.
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1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
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2000Stationarity and Memory of ARCH Models In: STICERD - Econometrics Paper Series.
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2000Stationarity and memory of ARCH models.(2000) In: LSE Research Online Documents on Economics.
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2005Pseudo-Maximum Likelihood Estimation of ARCH(8) Models In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper0
2004Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper17
2005Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management.(2005) In: CEPR Discussion Papers.
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2004Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2004Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management.(2004) In: IEPR Working Papers.
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2009Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper3
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
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2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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2016Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers.
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2004STATIONARITY AND MEMORY OF ARCH(?) MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article25
2013ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article18
2012On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models.(2012) In: DSS Empirical Economics and Econometrics Working Papers Series.
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2018ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES In: Econometric Theory.
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2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
[Full Text][Citation analysis]		paper77
2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series.
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2007Fast micro and slow macro: can aggregation explain the persistence of inflation? In: Working Paper Series.
[Full Text][Citation analysis]		paper57
2007Fast micro and slow macro: can aggregation explain the persistence of inflation?.(2007) In: Working Paper Series.
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2004PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS In: Econometric Society 2004 North American Summer Meetings.
[Citation analysis]		paper1
2004Contemporaneous aggregation of linear dynamic models in large economies In: Journal of Econometrics.
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2007Aggregation and memory of models of changing volatility In: Journal of Econometrics.
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2007A goodness-of-fit test for ARCH([infinity]) models In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2007A goodness-of-fit test for ARCH([infinity]) models.(2007) In: Journal of Econometrics.
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2009Whittle estimation of EGARCH and other exponential volatility models In: Journal of Econometrics.
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2016Long memory affine term structure models In: Journal of Econometrics.
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2009Can aggregation explain the persistence of inflation? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article91
2005Pseudo-maximum likelihood estimation of ARCH(?) models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
[Full Text][Citation analysis]		paper1

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