Gabriele Fiorentini : Citation Profile


Are you Gabriele Fiorentini?

Università degli Studi di Firenze

14

H index

16

i10 index

867

Citations

RESEARCH PRODUCTION:

28

Articles

90

Papers

3

Chapters

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 27
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 68 (7.27 %)

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   Permalink: http://citec.repec.org/pfi82
   Updated: 2024-11-04    RAS profile: 2024-08-08    
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Relations with other researchers


Works with:

Sentana, Enrique (29)

Amengual, Dante (8)

Almuzara, Martin (7)

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 (53)

Calzolari, Giorgio (30)

Ruiz, Esther (28)

Rigobon, Roberto (25)

Weber, Enzo (24)

Lütkepohl, Helmut (21)

Amengual, Dante (19)

Barigozzi, Matteo (18)

Hallin, Marc (18)

Normandin, Michel (17)

Demos, Antonis (15)

Cites to:

Sentana, Enrique (203)

Calzolari, Giorgio (55)

Engle, Robert (33)

Monfort, Alain (23)

Pesaran, Mohammad (21)

Mencia, Javier (20)

gourieroux, christian (19)

Bollerslev, Tim (19)

Tauchen, George (18)

pagan, adrian (16)

Amengual, Dante (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
SERIEs: Journal of the Spanish Economic Association2
Journal of Business & Economic Statistics2
Economics Letters2

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 (2024 and 2023)


YearTitle of citing document
2024Quasi 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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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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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Trapani, Lorenzo ; Horvath, Lajos. In: Papers. RePEc:arx:papers:2404.17885.

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

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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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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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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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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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2024Identification 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.

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2024Econometric 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.

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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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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2024Locally 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.

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2024Finite underidentification. (2024). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000381.

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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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2024Financial 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.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024Estimating 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.

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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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2023Statistical inference for mixed jump processes by Markov switching model with application to identify seismicity levels. (2023). Wang, Xiangjun ; Dai, Min ; Zhang, Zhikun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:632:y:2023:i:p1:s0378437123008464.

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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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2023.

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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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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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chapter
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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article1
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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article137
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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article41
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment In: Working Papers.
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paper11
1995Unobserved Components in ARCH Models: An Application to Seasonal Adjustment..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has nother version. Agregated cites: 11
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1995Analytic Derivatives and the Computation of GARCH Estimates In: Working Papers.
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paper87
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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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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2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series.
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2022GDP Solera. The Ideal Vintage Mix In: Working Papers.
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2022GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports.
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2024GDP Solera: The Ideal Vintage Mix.(2024) In: Journal of Business & Economic Statistics.
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2022PML vs minimum ? 2 : the comeback In: Working Papers.
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2022Specification tests for non-Gaussian structural vector autoregressions In: Working Papers.
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2024The information matrix test for Gaussian mixtures In: Working Papers.
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1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
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1998- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD.
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1996Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper.
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2016Skewness and kurtosis of multivariate Markov-switching processes In: Computational Statistics & Data Analysis.
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2012The marginal likelihood of dynamic mixture models In: Computational Statistics & Data Analysis.
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1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
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2001Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics.
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1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-.
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1997Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD.
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2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
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2007Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series.
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2002Estimation and empirical performance of Hestons stochastic volatility model: the case of a thinly traded market In: Journal of Empirical Finance.
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2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
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2000SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE.(2000) In: Working Papers. Serie AD.
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1999Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive.
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2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
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2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
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1998A tobit model with garch errors.(1998) In: Econometric Reviews.
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2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
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1994Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper.
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