Paolo Zaffaroni : Citation Profile

Are you Paolo Zaffaroni?

"Sapienza" Università di Roma

12

H index

13

i10 index

695

Citations

RESEARCH PRODUCTION:

15

Articles

41

Papers

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 28
   Journals where Paolo Zaffaroni has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 19 (2.66 %)

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   Permalink: http://citec.repec.org/pza411
   Updated: 2024-12-03    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 (67)

Barigozzi, Matteo (57)

Gil-Alana, Luis (36)

Lippi, Marco (29)

Soccorsi, Stefano (20)

Horvath, Roman (19)

Forni, Mario (18)

Trucíos, Carlos (15)

coricelli, fabrizio (15)

Giovannelli, Alessandro (14)

Laurent, Sébastien (13)

Cites to:

Forni, Mario (68)

Lippi, Marco (60)

Reichlin, Lucrezia (58)

Hallin, Marc (50)

Giannone, Domenico (23)

Pesaran, Mohammad (20)

Bollerslev, Tim (20)

Ng, Serena (20)

Bai, Jushan (18)

Engle, Robert (16)

Diebold, Francis (15)

Main data

Where Paolo Zaffaroni has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Monetary Economics2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles4
CESifo Working Paper Series / CESifo4
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 (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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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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2024Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067.

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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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2023The two-regime view of inflation. (2023). Zakrajsek, Egon ; Yetman, James ; Lombardi, Marco Jacopo ; Borio, Claudio. In: BIS Papers. RePEc:bis:bisbps:133.

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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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2023Model Averaging with Ridge Regularization. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp758.

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2023Where is the Inflation? The Diverging Patterns of Prices of Goods and Services. (2023). Wlasiuk, Juan M ; Carlomagno, Guillermo ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:969.

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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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2023Modeling an early warning system for household debt risk in Korea: A simple deep learning approach. (2023). Park, Sung Y. ; Kwon, Yujin. In: Journal of Asian Economics. RePEc:eee:asieco:v:84:y:2023:i:c:s1049007822001300.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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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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2023High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023A central bankers’ sentiment index of global financial cycle. (2023). Liu, Wei ; Yu, Zhen ; Yang, Fuyu. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330.

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2023The future of private-label markets: A global convergence approach. (2023). Tuli, Kapil ; Mukherjee, Anirban ; Dekimpe, Marnik G ; Gielens, Katrijn. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:40:y:2023:i:1:p:248-267.

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2023Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach. (2023). Chan, Wai-Sum ; Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:96-121.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Term premium in a fractionally cointegrated yield curve. (2023). Abbritti, Mirko ; Moreno, Antonio ; Gil-Alana, Luis ; Carcel, Hector. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000171.

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2023On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime. (2023). Vallet, Pascal ; Rosuel, Alexis ; Loubaton, Philippe. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22001154.

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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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2023COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?. (2023). Hassan, M. Kabir ; Hanifa, Abu ; Pervin, Sajeda ; Khan, Muhammad Asif ; Karim, Muhammad Mahmudul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:14-30.

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2023Cryptocurrency Trading and Downside Risk. (2023). Koutmos, Dimitrios ; Zahid, Mamoona ; Iqbal, Farhat. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:122-:d:1188460.

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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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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Disaggregated Inflation Dynamics in Thailand: Which Shocks Matter?. (2023). Manopimoke, Pym ; Nookhwun, Nuwat. In: PIER Discussion Papers. RePEc:pui:dpaper:211.

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2023A test for the contributions of urban and rural inflation to inflation persistence in Nigeria. (2023). Salisu, Afees ; Usman, Nuruddeen ; Oboh, Victor ; Ebuh, Godday Uwawunkonye. In: Macroeconomics and Finance in Emerging Market Economies. RePEc:taf:macfem:v:16:y:2023:i:2:p:222-246.

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2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach. (2023). Hao, Jun ; Li, Jianping ; Yang, Xian ; Zhang, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:705-733.

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2023Quantifying noise in survey expectations. (2023). Kuinskas, Simas ; Juodis, Artras. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:2:p:609-650.

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Works by Paolo Zaffaroni:

YearTitleTypeCited
2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures In: Papers.
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2000(Fractional) Beta Convergence In: Temi di discussione (Economic working papers).
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1998(Fractional) Beta Convergence.(1998) In: Working Papers.
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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.
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1998(Fractional) Beta Convergence..(1998) In: Centro de Estudios Monetarios Y Financieros-.
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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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2003Gaussian inference on certain long-range dependent volatility models In: Temi di discussione (Economic working papers).
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2003Gaussian inference on certain long-range dependent volatility models.(2003) In: Journal of Econometrics.
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2008Model Averaging in Risk Management with an Application to Futures Markets In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper34
2008Model Averaging in Risk Management with an Application to Futures Markets.(2008) In: CESifo Working Paper Series.
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2009Model averaging in risk management with an application to futures markets.(2009) In: Journal of Empirical Finance.
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2008Optimal Asset Allocation with Factor Models for Large Portfolios In: Cambridge Working Papers in Economics.
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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.
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1998Aggregation of simple linear dynamics: exact asymptotic results.(1998) In: LSE Research Online Documents on Economics.
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2000Stationarity and Memory of ARCH Models In: STICERD - Econometrics Paper Series.
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2000Stationarity and memory of ARCH models.(2000) In: LSE Research Online Documents on Economics.
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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.
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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.
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2013ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS In: Econometric Theory.
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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]		article8
2012Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations In: Working Papers ECARES.
[Full Text][Citation analysis]		paper83
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.
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2011One-Sided Representations of Generalized Dynamic Factor Models In: Working Papers ECARES.
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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.
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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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2009Whittle estimation of EGARCH and other exponential volatility models In: Journal of Econometrics.
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2016Long memory affine term structure models In: Journal of Econometrics.
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2009Can aggregation explain the persistence of inflation? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article100
2016Eigenvalue Ratio Estimators for the Number of Dynamic Factors In: Center for Economic Research (RECent).
[Full Text][Citation analysis]		paper1

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