13
H index
14
i10 index
697
Citations
Paolo Zaffaroni : Citation Profile
"Sapienza" Università di Roma | RESEARCH PRODUCTION: 17 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1997 - 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 Paolo Zaffaroni. | Is cited by:
| Cites to:
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Main data
Where Paolo Zaffaroni has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 9 |
| Econometric Theory | 3 |
| Journal of Time Series Analysis | 2 |
| Journal of Monetary Economics | 2 |
Recent works citing Paolo Zaffaroni (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | 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 |
| 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 | Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. 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 |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Model Averaging with Ridge Regularization. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp758. Full description at Econpapers || Download paper |
| 2023 | Where is the Inflation? The Diverging Patterns of Prices of Goods and Services. (2023). Wlasiuk, Juan M ; Carlomagno, Guillermo ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:969. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. 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 |
| 2023 | Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204. Full description at Econpapers || Download paper |
| 2023 | Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers || Download paper |
| 2023 | High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16. Full description at Econpapers || Download paper |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper |
| 2023 | The future of private-label markets: A global convergence approach. (2023). Tuli, Kapil ; Mukherjee, Anirban ; Dekimpe, Marnik G ; Gielens, Katrijn. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:40:y:2023:i:1:p:248-267. 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 |
| 2023 | Term premium in a fractionally cointegrated yield curve. (2023). Abbritti, Mirko ; Moreno, Antonio ; Gil-Alana, Luis ; Carcel, Hector. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000171. 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 |
| 2023 | COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?. (2023). Hassan, M. Kabir ; Hanifa, Abu ; Pervin, Sajeda ; Khan, Muhammad Asif ; Karim, Muhammad Mahmudul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:14-30. Full description at Econpapers || Download paper |
| 2023 | Cryptocurrency Trading and Downside Risk. (2023). Koutmos, Dimitrios ; Zahid, Mamoona ; Iqbal, Farhat. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:122-:d:1188460. 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 |
| 2023 | Disaggregated Inflation Dynamics in Thailand: Which Shocks Matter?. (2023). Manopimoke, Pym ; Nookhwun, Nuwat. In: PIER Discussion Papers. RePEc:pui:dpaper:211. Full description at Econpapers || Download paper |
| 2023 | A test for the contributions of urban and rural inflation to inflation persistence in Nigeria. (2023). Salisu, Afees ; Usman, Nuruddeen ; Oboh, Victor ; Ebuh, Godday Uwawunkonye. In: Macroeconomics and Finance in Emerging Market Economies. RePEc:taf:macfem:v:16:y:2023:i:2:p:222-246. Full description at Econpapers || Download paper |
| 2023 | Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach. (2023). Hao, Jun ; Li, Jianping ; Yang, Xian ; Zhang, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:705-733. Full description at Econpapers || Download paper |
| 2023 | Quantifying noise in survey expectations. (2023). Kuinskas, Simas ; Juodis, Artras. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:2:p:609-650. Full description at Econpapers || Download paper |
Works by Paolo Zaffaroni:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 87 |
| 1998 | (Fractional) Beta Convergence.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
| 2000 | (Fractional) beta convergence.(2000) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | article | |
| 2000 | (Fractional) Beta Convergence..(2000) In: Banca Italia - Servizio di Studi. [Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
| 1998 | (Fractional) Beta Convergence..(1998) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 87 | 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 nother version. Agregated cites: 14 | article | |
| 2000 | Contemporaneous Aggregation of GARCH Processes.(2000) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] This paper has nother 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 nother 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 nother 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 | 32 |
| 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 nother version. Agregated cites: 32 | 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 nother version. Agregated cites: 32 | 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 nother 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 | 3 |
| 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 nother 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 nother 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 nother 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 nother 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 nother 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 | 84 |
| 2015 | Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
| 2017 | Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | 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 nother version. Agregated cites: 84 | 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 | 26 |
| 2013 | ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
| 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 nother version. Agregated cites: 19 | 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 | 82 |
| 2015 | Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | 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 nother 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 nother 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 nother 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 nother version. Agregated cites: 6 | article | |
| 2009 | Whittle estimation of EGARCH and other exponential volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
| 2016 | Long memory affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
| 2009 | Can aggregation explain the persistence of inflation? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 96 |
| 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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