14
H index
17
i10 index
881
Citations
Gabriele Fiorentini : Citation Profile
Università degli Studi di Firenze | RESEARCH PRODUCTION: 32 Articles 94 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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32 years (1993 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Gabriele Fiorentini. | Is cited by:
| Cites to:
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Main data
Where Gabriele Fiorentini has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 8 |
| Economics Letters | 3 |
| Journal of Business & Economic Statistics | 3 |
| SERIEs: Journal of the Spanish Economic Association | 3 |
| Journal of Business & Economic Statistics | 2 |
| Computational Statistics & Data Analysis | 2 |
Recent works citing Gabriele Fiorentini (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: FEEM Working Papers. RePEc:ags:feemwp:343513. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2403.06879. Full description at Econpapers || Download paper |
| 2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057. Full description at Econpapers || Download paper |
| 2024 | Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885. Full description at Econpapers || Download paper |
| 2024 | SVARs with breaks: Identification and inference. (2024). Bacchiocchi, Emanuele ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2405.04973. Full description at Econpapers || Download paper |
| 2024 | Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053. Full description at Econpapers || Download paper |
| 2024 | Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182. Full description at Econpapers || Download paper |
| 2024 | Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24. Full description at Econpapers || Download paper |
| 2025 | Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03. Full description at Econpapers || Download paper |
| 2024 | Inequality and the zero lower bound. (2024). Rachedi, Omar ; Nuño Barrau, Galo ; Fernandez-Villaverde, Jesus ; Marbet, Joel. In: BIS Working Papers. RePEc:bis:biswps:1160. Full description at Econpapers || Download paper |
| 2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081. Full description at Econpapers || Download paper |
| 2024 | Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447. Full description at Econpapers || Download paper |
| 2024 | Econometric issues in the estimation of the natural rate of interest. (2024). Buncic, Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004534. Full description at Econpapers || Download paper |
| 2024 | Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639. Full description at Econpapers || Download paper |
| 2024 | Finite underidentification. (2024). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000381. Full description at Econpapers || Download paper |
| 2024 | Financial markets and legal challenges to unconventional monetary policy. (2024). Pfarrhofer, Michael ; Huber, Florian ; Griller, Stefan. In: European Economic Review. RePEc:eee:eecrev:v:163:y:2024:i:c:s0014292124000096. Full description at Econpapers || Download paper |
| 2024 | Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968. Full description at Econpapers || Download paper |
| 2024 | Should I open to forecast? Implications from a multi-country unobserved components model with sparse factor stochastic volatility. (2024). Wu, Ping. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:903-917. Full description at Econpapers || Download paper |
| 2024 | Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011. Full description at Econpapers || Download paper |
| 2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Working Papers. RePEc:fem:femwpa:2024.15. Full description at Econpapers || Download paper |
| 2024 | Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302. Full description at Econpapers || Download paper |
| 2024 | Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214. Full description at Econpapers || Download paper |
| 2024 | Specification testing for conditional moment restrictions under local identification failure. (2024). Gospodinov, Nikolay ; Dovonon, Prosper. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:849-891. Full description at Econpapers || Download paper |
Works by Gabriele Fiorentini:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2016 | A spectral EM algorithm for dynamic factor models In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2015 | A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2018 | A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 45 |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
| 2001 | Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
| 2003 | Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 137 |
| 2000 | The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 137 | paper | |
| 2000 | THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 137 | paper | |
| 2008 | Bayesian Analysis of the Output Gap In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 42 |
| 1995 | Unobserved Components in ARCH Models: An Application to Seasonal Adjustment In: Working Papers. [Citation analysis] | paper | 11 |
| 1995 | Unobserved Components in ARCH Models: An Application to Seasonal Adjustment..(1995) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 1995 | Analytic Derivatives and the Computation of GARCH Estimates In: Working Papers. [Citation analysis] | paper | 87 |
| 1995 | Analytic Derivatives and the Computation of Garch Estimates..(1995) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
| 1996 | Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | article | |
| 1996 | Non-Admissible Decompositions in Unobserved Components Models In: Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Non-Admissible Decompositions in Unobserved Components Models.(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers. [Citation analysis] | paper | 21 |
| 1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 1998 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review. [Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 1997 | Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers. [Full Text][Citation analysis] | paper | 55 |
| 2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | article | |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | ||
| 2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
| 2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
| 2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
| 2003 | On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2004 | On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2004 | Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2007 | On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 2007 | On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2009 | Dynamic Specification Tests for Static Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2012 | Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Dynamic Specification Tests for Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2014 | Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Specification tests for non‐Gaussian maximum likelihood estimators.(2021) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | New Testing Approaches for Mean-Variance Predictability In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | New testing approaches for mean–variance predictability.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2021 | Aggregate Output Measurements: A Common Trend Approach In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2023 | Aggregate Output Measurements: A Common Trend Approach.(2023) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Aggregate output measurements: a common trend approach.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Moment tests of independent components In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Moment tests of independent components.(2022) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2021 | Multivariate Hermite polynomials and information matrix tests In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Tests for random coefficient variation in vector autoregressive models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Tests for Random Coefficient Variation in Vector Autoregressive Models.(2022) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2021 | Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | GDP Solera. The Ideal Vintage Mix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | GDP Solera: The Ideal Vintage Mix.(2024) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | PML vs minimum ? 2 : the comeback In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Specification tests for non-Gaussian structural vector autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Specification tests for non-Gaussian structural vector autoregressions.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | The information matrix test for Gaussian mixtures In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal. [Citation analysis] | article | 8 |
| 1998 | - CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 1996 | Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2016 | Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2012 | The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2025 | Information matrix tests for multinomial logit models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1993 | Alternative covariance estimators of the standard Tobit model In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 216 |
| 1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 216 | paper | |
| 1997 | Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 216 | paper | |
| 2008 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
| 2007 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2002 | Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 20 |
| 2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 4 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | ||
| Short-term options with stochastic volatility: Estimation and empirical performance In: Studies on the Spanish Economy. [Full Text][Citation analysis] | paper | 2 | |
| 2000 | SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1999 | Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 5 |
| 2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 3 |
| 2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1997 | A tobit model with garch errors In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 16 |
| 1998 | A tobit model with garch errors.(1998) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 1998 | - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 2004 | Constrained Indirect Estimation In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 44 |
| 2003 | Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers. [Citation analysis] | paper | 4 |
| 1993 | Estimating variances and covariances in a censored regression model In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 1993 | Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2008 | The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU In: Working Paper series. [Full Text][Citation analysis] | paper | 4 |
| 2023 | PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 0 |
| 2024 | Identification of one independent shock in structural VARs In: LEM Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Marginal distribution of Markov-switching VAR processes In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
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