12
H index
14
i10 index
668
Citations
"Sapienza" Università di Roma | 12 H index 14 i10 index 668 Citations RESEARCH PRODUCTION: 17 Articles 42 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Zaffaroni. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 9 |
Econometric Theory | 3 |
Journal of Monetary Economics | 2 |
Journal of Time Series Analysis | 2 |
Year | Title of citing document |
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2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper |
2022 | Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10. Full description at Econpapers || Download paper |
2021 | Permanent-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. Full description at Econpapers || Download paper |
2022 | 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 |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper |
2022 | Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper |
2023 | On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921. Full description at Econpapers || Download paper |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper |
2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper |
2023 | The two-regime view of inflation. (2023). Zakrajsek, Egon ; Yetman, James ; Lombardi, Marco Jacopo ; Borio, Claudio. In: BIS Papers. RePEc:bis:bisbps:133. Full description at Econpapers || Download paper |
2021 | Monetary 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. Full description at Econpapers || Download paper |
2022 | Trends 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. Full description at Econpapers || Download paper |
2021 | Recovering 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. Full description at Econpapers || Download paper |
2021 | Regional 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. Full description at Econpapers || Download paper |
2021 | Nowcasting 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. Full description at Econpapers || Download paper |
2021 | Prediction 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Economic 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Manfred 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. Full description at Econpapers || Download paper |
2023 | Modeling an early warning system for household debt risk in Korea: A simple deep learning approach. (2023). Park, Sung Y. ; Kwon, Yujin. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001300. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2021 | Large-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. Full description at Econpapers || Download paper |
2021 | Time-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. Full description at Econpapers || Download paper |
2021 | Monetary 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | Convergence 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. Full description at Econpapers || Download paper |
2021 | Factor 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 |
2021 | Robustness 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. Full description at Econpapers || Download paper |
2023 | Estimation 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. Full description at Econpapers || Download paper |
2021 | Modeling 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. Full description at Econpapers || Download paper |
2021 | Sectoral 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. Full description at Econpapers || Download paper |
2023 | On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime. (2023). Vallet, Pascal ; Rosuel, Alexis ; Loubaton, Philippe. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22001154. Full description at Econpapers || Download paper |
2022 | Idiosyncratic 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. Full description at Econpapers || Download paper |
2021 | GDP 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. Full description at Econpapers || Download paper |
2021 | Permanent-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. Full description at Econpapers || Download paper |
2021 | Temperature 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Portfolio 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. Full description at Econpapers || Download paper |
2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper |
2021 | Conditional asymmetry in Power ARCH($\infty$) models. (2021). Royer, Julien. In: MPRA Paper. RePEc:pra:mprapa:109118. Full description at Econpapers || Download paper |
2021 | Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process. (2021). Proietti, Tommaso ; Maddanu, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:518. Full description at Econpapers || Download paper |
2021 | Inflation 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2021 | Sectoral inflation persistence, market concentration, and imperfect common knowledge. (2021). Tsuruga, Takayuki ; Okuda, Tatsushi ; Kato, Ryo. In: Working Papers. RePEc:tcr:wpaper:e165. Full description at Econpapers || Download paper |
2021 | Comparative 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. Full description at Econpapers || Download paper |
2021 | Mapping 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. Full description at Econpapers || Download paper |
2021 | What 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. Full description at Econpapers || Download paper |
2021 | A Semiparametric Model for Bond Pricing with Life Cycle Fundamental. (2021). Niu, Linlin ; Chen, Jiazi ; Cai, Zongwu. In: Working Papers. RePEc:wyi:wpaper:002581. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Robust Nearly-Efficient Estimation of Large Panels with Factor Structures In: Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | (Fractional) Beta Convergence In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 84 |
1998 | (Fractional) Beta Convergence.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
2000 | (Fractional) beta convergence.(2000) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
2000 | (Fractional) Beta Convergence..(2000) In: Banca Italia - Servizio di Studi. [Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
1998 | (Fractional) Beta Convergence..(1998) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
2002 | Contemporaneous aggregation of GARCH processes In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 14 |
2007 | Contemporaneous aggregation of GARCH processes.(2007) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2000 | Contemporaneous Aggregation of GARCH Processes.(2000) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2000 | Contemporaneous aggregation of GARCH processes.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2003 | Gaussian inference on certain long-range dependent volatility models In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 9 |
2003 | Gaussian inference on certain long-range dependent volatility models.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2008 | Large?scale volatility models: theoretical properties of professionals’ practice In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
2008 | Model Averaging in Risk Management with an Application to Futures Markets In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
2008 | Model Averaging in Risk Management with an Application to Futures Markets.(2008) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2009 | Model averaging in risk management with an application to futures markets.(2009) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2008 | Optimal Asset Allocation with Factor Models for Large Portfolios In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2008 | Optimal Asset Allocation with Factor Models for Large Portfolios.(2008) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
1997 | Modelling 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] | paper | 2 |
1997 | Nonlinear 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] | paper | 0 |
1997 | Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 2 |
1997 | Beta Convergence In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 10 |
1998 | Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 5 |
1998 | Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2000 | Stationarity and Memory of ARCH Models In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
2000 | Stationarity and memory of ARCH models.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2005 | Pseudo-Maximum Likelihood Estimation of ARCH(8) Models In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | Model 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] | paper | 17 |
2005 | Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2004 | Model 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2004 | Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management.(2004) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2009 | Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2015 | Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 76 |
2015 | Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
2017 | Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | article | |
2016 | Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | paper | |
2016 | Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | STATIONARITY AND MEMORY OF ARCH(?) MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 25 |
2013 | ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
2012 | On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models.(2012) In: DSS Empirical Economics and Econometrics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2018 | ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
2012 | Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 77 |
2015 | Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | article | |
2021 | Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2011 | One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 2 |
2011 | One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2011 | One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2007 | Fast micro and slow macro: can aggregation explain the persistence of inflation? In: Working Paper Series. [Full Text][Citation analysis] | paper | 57 |
2007 | Fast micro and slow macro: can aggregation explain the persistence of inflation?.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
2004 | PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS In: Econometric Society 2004 North American Summer Meetings. [Citation analysis] | paper | 1 |
2004 | Contemporaneous aggregation of linear dynamic models in large economies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 74 |
2007 | Aggregation and memory of models of changing volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
2007 | A goodness-of-fit test for ARCH([infinity]) models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
2007 | A goodness-of-fit test for ARCH([infinity]) models.(2007) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2009 | Whittle estimation of EGARCH and other exponential volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2016 | Long memory affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2009 | Can aggregation explain the persistence of inflation? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 92 |
2005 | Pseudo-maximum likelihood estimation of ARCH(?) models In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2016 | Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent). [Full Text][Citation analysis] | paper | 1 |
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