Gabriele Fiorentini : Citation Profile

Università degli Studi di Firenze

14

H index

18

i10 index

906

Citations

RESEARCH PRODUCTION:

32

Articles

94

Papers

3

Chapters

RESEARCH ACTIVITY:

   32 years (1993 - 2025). See details.
   Cites by year: 28
   Journals where Gabriele Fiorentini has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 71 (7.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfi82
   Updated: 2026-02-07    RAS profile: 2025-04-06    
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Relations with other researchers

Works with:

Sentana, Enrique (28)

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 (55)

Calzolari, Giorgio (30)

Ruiz, Esther (28)

Rigobon, Roberto (25)

Weber, Enzo (24)

Lütkepohl, Helmut (21)

Demos, Antonis (19)

Amengual, Dante (19)

Hallin, Marc (18)

Barigozzi, Matteo (18)

Normandin, Michel (17)

Cites to:

Sentana, Enrique (216)

Calzolari, Giorgio (56)

Engle, Robert (33)

Monfort, Alain (26)

gourieroux, christian (22)

Mencia, Javier (21)

Tauchen, George (21)

Pesaran, Mohammad (21)

Bollerslev, Tim (19)

Amengual, Dante (17)

pagan, adrian (16)

Main data

Where Gabriele Fiorentini has published?

Journals with more than one article published# docs
Journal of Econometrics8
Economics Letters3
Journal of Business & Economic Statistics3
SERIEs: Journal of the Spanish Economic Association3
Computational Statistics & Data Analysis2
Journal of Business & Economic Statistics2

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 Econmicas, S.A. (Ivie)9
CEPR Discussion Papers / C.E.P.R. Discussion Papers8
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"8
MPRA Paper / University Library of Munich, Germany4
Working Papers / Banco de Espaa3
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Gabriele Fiorentini (2025 and 2024)

YearTitle of citing document
2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: FEEM Working Papers. RePEc:ags:feemwp:343513.

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2024Szacunki i projekcje naturalnej stopy procentowej dla Polski i strefy euro. (2024). Bielecki, Marcin ; Brzoza-Brzezina, Micha ; Baejowska, Aneta ; Kuziemska-Pawlak, Kamila ; Szafraski, Grzegorz. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361237.

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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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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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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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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2403.06879.

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2025Partial 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.

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

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2024SVARs with breaks: Identification and inference. (2024). Bacchiocchi, Emanuele ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2405.04973.

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2024Identification 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.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2025Testing parametric additive time-varying GARCH models. (2025). Teräsvirta, Timo ; Ahlgren, Niklas ; Back, Alexander ; Terasvirta, Timo. In: Papers. RePEc:arx:papers:2506.23821.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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2024Inequality and the zero lower bound. (2024). Rachedi, Omar ; Nuño Barrau, Galo ; Fernandez-Villaverde, Jesus ; Marbet, Joel. In: BIS Working Papers. RePEc:bis:biswps:1160.

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2025Data-Driven Learning About Trend Productivity Growth. (2025). van Norden, Simon ; Jacobs, Jan ; Goto, Eiji. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-29.

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2024Partial 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.

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2025An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?. (2025). Heijmans, Ronald ; Gupta, Tarush ; Gugnani, Aayush ; Bewaji, Oluwasegun ; Alasadi, Lala. In: Working Papers. RePEc:dnb:dnbwpp:846.

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2025A strategic view on the economic and inflation environment in the euro area. (2025). Wauters, Joris ; Valderrama, Maria ; Röhe, Oke ; Pönkä, Harri ; Paredes, Joan ; Parker, Miles ; Meunier, Baptiste ; Meyler, Aidan ; Manu, Ana-Simona ; Mazelis, Falk ; Kataryniuk, Iván ; Gulan, Adam ; Grimaud, Alex ; De Backer, Bruno ; Checherita Westphal, Cristina ; Benatti, Nicola ; Banbura, Marta ; Venditti, Fabrizio ; Kase, Hanno ; Aguilar, Pablo ; Gareis, Johannes ; Pnk, Harri ; Roma, Moreno ; Luketina, Marko ; Cova, Pietro ; Battistini, Niccol ; Kobayashi, Alicja ; Gallegos, Jose Elias ; Reedik, Reet ; Brand, Claus ; Lawton, Neil ; Hoeberichts, Marco ; Albertazzi, Ugo ; Sigwalt, Antoine ; Lydon, Reamonn ; Dorrucci, Ettore ; Ciccarelli, Matteo ; Muggenthaler-Gerathewohl, Philip ; Goy, Gavin ; Tth, MT ; Bobeica, Elena ; Kornprobst, Antoine ; Angelini, Elena ; Hutchinson, John ; Esposito, Claudia ; Schupp, Fabian ; Martorana, Giulia ; Dedola, Luca ; Kilponen, Juha ; Manzoni, Claudio ; Georgarakos, Dimitris ; Szrfi, Bla ; Dossche, Maarten ; Lisack, Nomie ; Botelho, Vasco ; Hynck, Christian ; Attinasi, Maria Grazia ; Wieland, Elisabeth ; Zimic, Sreko ; Hernndez, Catalina Martnez ; Schmller, Michaela Elfsbacka ; Gross, Johannes ; Bates, Colm ; Burriel, Pablo ; McGregor, Thomas ; Bitter, Lea ; Karakitsios, Alexandros ; Bessonovs, Andrejs ; Speck, Christian ; Modery, Wolfgang ; Falath, Juraj ; Nickel, Christiane ; Martnez-Martin, Jaime ; Bakowska, Katarzyna ; Galati, Gabriele ; Ioannou, Demosthenes ; Beck, Jeanne ; Kazakova, Daria ; Babura, Marta ; Papetti, Andrea ; Durero, Filippo ; Montes-Galdn, Carlos ; Emter, Lorenz ; Moral-Benito, Enrique ; Hahn, Elke ; Zimmer, Hlne ; Lodge, David ; Kasimati, Evangelia ; Bonam, Dennis ; Ili, Ivan ; D'Agostino, Mario ; Christoffel, Kai ; Momferatou, Daphne ; Enders, Almira ; Ilieva, Boryana ; Westermann, Thomas ; Frhling, Annette ; Lenza, Michele ; Kenny, Geoff ; Checherita-Westphal, Cristina ; Ribeiro, Pedro ; Rigato, Rodolfo Dinis ; Osbat, Chiara ; Koester, Gerrit ; Juvonen, Petteri ; Zorko, Robert ; Fritzer, Friedrich ; Pierluigi, Beatrice ; Nuo, Galo ; Lebastard, Laura ; Borgy, Vladimir ; Reichenbachas, Tomas ; Ploj, Gasper ; Landau, Bettina ; Jorra, Markus ; Zizza, Roberta ; Sanchez, Pablo Garcia ; Ortega, Eva ; Priftis, Romanos ; Kuik, Friderike ; Corbisiero, Giuseppe ; Consolo, Agostino ; Ilkova, Ivelina ; Franceschi, Emanuele ; Page, Adrian ; Holton, Sarah ; Kocharkov, Georgi ; Akkaya, Yildiz ; Gumiel, Jos Emilio ; Warmedinger, Thomas ; Prat, Blanca ; Chahad, Mohammed ; Lopez-Garcia, Paloma ; Debono, Nathaniel ; Carvalho, Alexandre ; Krief, Elias ; Foroni, Claudia ; Sagot, Juliette. In: Occasional Paper Series. RePEc:ecb:ecbops:2025371.

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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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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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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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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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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Score-type tests for normal mixtures. (2025). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000630.

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2025Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124.

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2025Reprint of: Finite underidentification. (2025). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407625000016.

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2025Inequality and the zero lower bound. (2025). Rachedi, Omar ; Fernandez-Villaverde, Jesus ; Fernndez-Villaverde, Jess ; Marbet, Jol ; Nuo, Galo. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624001647.

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2025Taking advantage of biased proxies for forecast evaluation. (2025). Ren, Roberto ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001228.

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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 ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2025Reprint of: Demographics and real interest rates across countries and over time. (2025). Ferrero, Andrea ; Carvalho, Carlos ; Nechio, Fernanda ; Mazin, Felipe. In: Journal of International Economics. RePEc:eee:inecon:v:156:y:2025:i:c:s0022199625000935.

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2025Demographics and real interest rates across countries and over time. (2025). Ferrero, Andrea ; Carvalho, Carlos ; Mazin, Felipe ; Nechio, Fernanda. In: Journal of International Economics. RePEc:eee:inecon:v:157:y:2025:i:c:s0022199625000832.

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2024Should 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.

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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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2025Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256.

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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Working Papers. RePEc:fem:femwpa:2024.15.

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2025How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach. (2025). Bargigli, Leonardo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2025_13.rdf.

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2024Adaptive 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.

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2025An Adaptive Evolutionary Causal Dynamic Factor Model. (2025). Wei, Qian ; Zhang, Heng-Guo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1891-:d:1672599.

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2025Monetary policy during Negative Output Gap periods in India in the First Quarter of the 21st Century.. (2025). Mehta, Madhur ; Mundle, Sudipto. In: Working Papers. RePEc:npf:wpaper:25/437.

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2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214.

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2025Improving estimation of portfolio risk using new statistical factors. (2025). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06307-8.

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2025Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models. (2025). Nair, Gopalan ; Khan, Ramzan Nazim ; Mohd, Muhammad Jaffri ; Nur, Darfiana. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:7:d:10.1007_s00180-025-01642-1.

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2024Estimation of the TFP Gap for the Largest Five EMU Countries. (2024). Carstensen, Kai ; Kiessner, Felix ; Rossian, Thies. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:2:d:10.1007_s41549-024-00092-w.

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2024Specification 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.

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2025Monetary policy at the turn of financial markets: A forerunner or follower?. (2025). Talam, Camilla ; Osoro, Jared. In: KBA Centre for Research on Financial Markets and Policy Working Paper Series. RePEc:zbw:kbawps:316415.

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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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