Paolo Zaffaroni : Citation Profile

"Sapienza" Università di Roma

13

H index

14

i10 index

754

Citations

RESEARCH PRODUCTION:

17

Articles

43

Papers

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 31
   Journals where Paolo Zaffaroni has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 20 (2.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pza411
   Updated: 2025-06-21    RAS profile: 2021-11-15    
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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:

Hallin, Marc (72)

Barigozzi, Matteo (61)

Gil-Alana, Luis (37)

Lippi, Marco (29)

Soccorsi, Stefano (20)

Horvath, Roman (19)

Forni, Mario (18)

Laurent, Sébastien (15)

coricelli, fabrizio (15)

Trucíos, Carlos (15)

Ruiz, Esther (14)

Cites to:

Forni, Mario (68)

Lippi, Marco (60)

Reichlin, Lucrezia (58)

Hallin, Marc (50)

Giannone, Domenico (23)

Bollerslev, Tim (23)

Pesaran, Mohammad (20)

Ng, Serena (20)

Engle, Robert (18)

Bai, Jushan (18)

Diebold, Francis (15)

Main data

Where Paolo Zaffaroni has published?

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

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

Recent works citing Paolo Zaffaroni (2025 and 2024)

YearTitle of citing document
2024A Learning Model with Memory in the Financial Markets. (2024). Mishra, Tapas ; DIEBOLT, Claude ; Sing, Shikta ; Enilov, Martin ; Alhussain, Abdullah ; Shi, Yue ; Chandrasena, Supun. In: Working Papers. RePEc:afc:wpaper:06-24.

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2024Quasi 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.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2025The Canonical Decomposition of Factor Models: Weak Factors are Everywhere. (2025). Barigozzi, Matteo ; Gersing, Philipp ; Deistler, Manfred ; Rust, Christoph. In: Papers. RePEc:arx:papers:2307.10067.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2025The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series. (2025). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2407.10653.

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2025On the Existence of One-Sided Representations for the Generalised Dynamic Factor Model. (2025). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.18159.

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2024A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM). (2024). Gersing, Philipp. In: Papers. RePEc:arx:papers:2410.20885.

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2024Sectoral price dynamics in the last mile of post-Covid-19 disinflation. (2024). Lombardi, Marco ; Igan, Deniz ; Amatyakul, Pongpitch. In: BIS Quarterly Review. RePEc:bis:bisqtr:2403d.

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2024A Conversation With Marc Hallin. (2024). Genest, Christian. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:2:p:137-159.

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2024The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/377116.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593.

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2024Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076.

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2024Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434.

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2024Factor-augmented forecasting in big data. (2024). Bae, Juhee. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1660-1688.

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2025Return predictability, dividend growth, and the persistence of the price–dividend ratio. (2025). Rambaccussing, Dooruj ; Madeira, Joao ; Golinski, Adam ; Goliski, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:92-110.

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2024Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices. (2024). Steland, Ansgar. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300091x.

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2024Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula. (2024). Phetpradap, Parkpoom ; Nakharutai, Nawapon ; Yamaka, Woraphon ; Chiawkhun, Phisanu ; Saekow, Sundusit. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3350-:d:1506758.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2024Investor attention and consumer price index inflation rate: Evidence from the United States. (2024). Zhang, Yinpeng ; Zhou, Qingjie ; Zhu, Panpan. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03036-y.

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2025Shades of inflation targeting: insights from fractional integration. (2025). Janus, Jakub ; Dbrowski, Marek A ; Mucha, Krystian. In: MPRA Paper. RePEc:pra:mprapa:123455.

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2024The stability of government bond markets’ equilibrium and the interdependence of lending rates. (2024). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:6:d:10.1007_s00181-024-02623-x.

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2024All Road User Casualties (Killed) in Great Britain from 1926. Linear and Nonlinear Trends with Persistent Data. (2024). Gil-Alana, Luis. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:22:y:2024:i:3:d:10.1007_s40953-024-00398-7.

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2024Measuring human mobility in times of trouble: an investigation of the mobility of European populations during COVID-19 using big data. (2024). Guardabascio, Barbara ; Brogi, Federico ; Benassi, Federico. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:6:d:10.1007_s11135-023-01678-9.

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2024On the statistical analysis of high-dimensional factor models. (2024). Guo, Jianhua ; Jing, Bing-Yi ; Gao, Zhigen ; Mao, Junfan. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:8:d:10.1007_s00362-024-01557-x.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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Works by Paolo Zaffaroni:

YearTitleTypeCited
2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures In: Papers.
[Full Text][Citation analysis]		paper0
2000(Fractional) Beta Convergence In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper89
1998(Fractional) Beta Convergence.(1998) In: Working Papers.
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This paper has nother version. Agregated cites: 89		paper
2000(Fractional) beta convergence.(2000) In: Journal of Monetary Economics.
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2000(Fractional) Beta Convergence..(2000) In: Banca Italia - Servizio di Studi.
[Citation analysis]
This paper has nother version. Agregated cites: 89		paper
1998(Fractional) Beta Convergence..(1998) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has nother version. Agregated cites: 89		paper
2002Contemporaneous aggregation of GARCH processes In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper14
2007Contemporaneous aggregation of GARCH processes.(2007) In: Journal of Time Series Analysis.
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2000Contemporaneous Aggregation of GARCH Processes.(2000) In: STICERD - Econometrics Paper Series.
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2000Contemporaneous aggregation of GARCH processes.(2000) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 14		paper
2003Gaussian inference on certain long-range dependent volatility models In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper9
2003Gaussian inference on certain long-range dependent volatility models.(2003) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 9		article
2008Large‐scale volatility models: theoretical properties of professionals’ practice In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article7
2008Model Averaging in Risk Management with an Application to Futures Markets In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper35
2008Model Averaging in Risk Management with an Application to Futures Markets.(2008) In: CESifo Working Paper Series.
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This paper has nother version. Agregated cites: 35		paper
2009Model averaging in risk management with an application to futures markets.(2009) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 35		article
2008Optimal Asset Allocation with Factor Models for Large Portfolios In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper8
2008Optimal Asset Allocation with Factor Models for Large Portfolios.(2008) In: CESifo Working Paper Series.
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1997Modelling Nonlinearity and Long Memory in Time Series - (Now published in Nonlinear Dynamics and Time Series, C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper3
1997Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in Journal of Statistical Planning and Inference, 68 (1998), pp.359-371.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
1997Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper2
1997Beta Convergence In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper10
1998Aggregation of Simple Linear Dynamics: Exact Asymptotic Results In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper5
1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 5		paper
2000Stationarity and Memory of ARCH Models In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper1
2000Stationarity and memory of ARCH models.(2000) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 1		paper
2005Pseudo-Maximum Likelihood Estimation of ARCH(8) Models In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper0
2004Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper17
2005Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management.(2005) In: CEPR Discussion Papers.
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2004Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2004Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management.(2004) In: IEPR Working Papers.
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2009Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper3
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper95
2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis.(2015) In: Working Papers ECARES.
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2017Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis.(2017) In: Journal of Econometrics.
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2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis.(2016) In: EIEF Working Papers Series.
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2016Eigenvalue Ratio Estimators for the Number of Common Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2004STATIONARITY AND MEMORY OF ARCH(∞) MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article26
2013ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article24
2012On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models.(2012) In: DSS Empirical Economics and Econometrics Working Papers Series.
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2018ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article9
2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
[Full Text][Citation analysis]		paper87
2015Dynamic factor models with infinite-dimensional factor spaces: One-sided representations.(2015) In: Journal of Econometrics.
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2021Inferential Theory for Generalized Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper5
2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
[Full Text][Citation analysis]		paper2
2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: EIEF Working Papers Series.
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2011One-Sided Representations of Generalized Dynamic Factor Models.(2011) In: DSS Empirical Economics and Econometrics Working Papers Series.
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2007Fast micro and slow macro: can aggregation explain the persistence of inflation? In: Working Paper Series.
[Full Text][Citation analysis]		paper57
2007Fast micro and slow macro: can aggregation explain the persistence of inflation?.(2007) In: Working Paper Series.
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2004PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS In: Econometric Society 2004 North American Summer Meetings.
[Citation analysis]		paper1
2004Contemporaneous aggregation of linear dynamic models in large economies In: Journal of Econometrics.
[Full Text][Citation analysis]		article77
2007Aggregation and memory of models of changing volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2007A goodness-of-fit test for ARCH([infinity]) models In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2007A goodness-of-fit test for ARCH([infinity]) models.(2007) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 6		article
2009Whittle estimation of EGARCH and other exponential volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2016Long memory affine term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2009Can aggregation explain the persistence of inflation? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article102
2005Pseudo-maximum likelihood estimation of ARCH(∞) models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
In: .
[Full Text][Citation analysis]		paper7
2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2025. Contact: CitEc Team