Gabriele Fiorentini : Citation Profile

Are you Gabriele Fiorentini?

Università degli Studi di Firenze

13

H index

16

i10 index

835

Citations

RESEARCH PRODUCTION:

28

Articles

89

Papers

3

Chapters

RESEARCH ACTIVITY:

   30 years (1993 - 2023). See details.
   Cites by year: 27
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 67 (7.43 %)

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   Permalink: http://citec.repec.org/pfi82
   Updated: 2023-11-04    RAS profile: 2023-10-30    
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Relations with other researchers

Works with:

Sentana, Enrique (43)

Amengual, Dante (8)

Almuzara, Martin (7)

Galesi, Alessandro (6)

Perez Quiros, Gabriel (5)

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 (52)

Calzolari, Giorgio (30)

Ruiz, Esther (28)

Rigobon, Roberto (25)

Weber, Enzo (20)

Amengual, Dante (19)

Normandin, Michel (17)

Lütkepohl, Helmut (16)

Demos, Antonis (15)

Broto, Carmen (15)

Delle Monache, Davide (14)

Cites to:

Sentana, Enrique (201)

Calzolari, Giorgio (55)

Engle, Robert (33)

Monfort, Alain (23)

Pesaran, Mohammad (21)

Bollerslev, Tim (19)

gourieroux, christian (19)

Mencia, Javier (19)

Tauchen, George (17)

pagan, adrian (16)

Drost, Feike C. (15)

Main data

Where Gabriele Fiorentini has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Business & Economic Statistics3
Computational Statistics & Data Analysis2
Economics Letters2
SERIEs: Journal of the Spanish Economic Association2

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
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Gabriele Fiorentini (2023 and 2022)

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

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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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2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988.

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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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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.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2023Closer to Finding Yeti. (2023). Sramkova, Lucia ; Mucka, Zuzana ; Karsay, Alexander ; Micko, Tomas. In: Working Papers. RePEc:cbe:wpaper:202301.

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2023Estimation of the TFP Gap for the Largest Five EMU Countries. (2023). Rossian, Thies ; Kiessner, Felix ; Carstensen, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10245.

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2023Inequality and the Zero Lower Bound. (2023). Rachedi, Omar ; Nuo, Galo ; Marbet, Joel ; Fernandez-Villaverde, Jesus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10471.

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2023Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02.

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2022Score-type tests for normal mixtures. (2022). Sentana, Enrique ; Carrasco, Marine ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2213.

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2023Highly Irregular Serial Correlation Tests. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2023_2302.

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

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2023The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789.

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2023The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat
2023Monetary policy and the drifting natural rate of interest. (2023). Daudignon, Sandra ; Tristani, Oreste. In: Working Paper Series. RePEc:ecb:ecbwps:20232788.

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2022Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2022). Pallante, Gianluca ; Moneta, Alessio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002342.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2022Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. (2022). Nmec, Daniel ; Chalmoviansk, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s026499932200236x.

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2022Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model. (2022). Wang, Mingjin ; Gao, Yang ; Zhao, Wandi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001164.

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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.

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2022Approximate maximum likelihood for complex structural models. (2022). Renault, Eric ; Frazier, David T ; Czellar, Veronika. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:432-456.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2022Trade and structural change: An empirical investigation. (2022). Felice, Giulia ; Comunale, Mariarosaria. In: International Economics. RePEc:eee:inteco:v:171:y:2022:i:c:p:58-79.

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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.

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2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

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2023Loose Monetary Policy and Financial Instability. (2023). Taylor, Alan M ; Schularick, Moritz ; Jorda, Oscar ; Grimm, Maximilian. In: Working Paper Series. RePEc:fip:fedfwp:95733.

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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.

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2023.

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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.

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2022Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1.

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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.

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

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

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2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

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2022Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability.. (2022). Chini, Emilio Zanetti ; Paraskevopoulos, Athanasios ; Karanasos, Menelaos ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202212.

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2023Monetary policy, external instruments, and heteroskedasticity. (2023). Podstawski, Maximilian ; Rieth, Malte ; Schlaak, Thore. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:161-200.

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Works by Gabriele Fiorentini:

YearTitleTypeCited
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
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2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
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2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
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2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
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2016A spectral EM algorithm for dynamic factor models In: Working Papers.
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2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
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2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
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2018The rise and fall of the natural interest rate In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
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2001Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics.
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2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
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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-.
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2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
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2008Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics.
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1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment In: Working Papers.
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1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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1995Analytic Derivatives and the Computation of GARCH Estimates In: Working Papers.
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1995Analytic Derivatives and the Computation of Garch Estimates..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
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1996Non-Admissible Decompositions in Unobserved Components Models In: Working Papers.
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1996Non-Admissible Decompositions in Unobserved Components Models.(1996) In: Centro de Estudios Monetarios Y Financieros-.
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1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
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1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
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1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
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1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers.
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2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
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2000The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada In: Working Papers.
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2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
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2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
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2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
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2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
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2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
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2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
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2003On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
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2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters.
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2004Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers.
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2007On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
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2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
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2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
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2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
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2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
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2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
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2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
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2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
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2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
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2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
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2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
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2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2019Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series.
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2021Specification tests for non?Gaussian maximum likelihood estimators.(2021) In: Quantitative Economics.
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2018New Testing Approaches for Mean-Variance Predictability In: Working Papers.
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2019New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers.
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2021New testing approaches for mean–variance predictability.(2021) In: Journal of Econometrics.
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2019New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive.
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2019New testing approaches for mean-variance predictability.(2019) In: Working Paper series.
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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers.
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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers.
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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions.(2023) In: Journal of Econometrics.
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2021Aggregate Output Measurements: A Common Trend Approach In: Working Papers.
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2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers.
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2023Aggregate Output Measurements: A Common Trend Approach.(2023) In: Advances in Econometrics.
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2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports.
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2021Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive.
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2021Aggregate output measurements: a common trend approach.(2021) In: Working Paper series.
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2021Moment tests of independent components In: Working Papers.
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2022Moment tests of independent components.(2022) In: SERIEs: Journal of the Spanish Economic Association.
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2021Multivariate Hermite polynomials and information matrix tests In: Working Papers.
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2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive.
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2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series.
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2021Tests for random coefficient variation in vector autoregressive models In: Working Papers.
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2022Tests for Random Coefficient Variation in Vector Autoregressive Models.(2022) In: Advances in Econometrics.
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2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive.
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