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Details about Marco Avarucci

E-mail:
Homepage:http://www.gla.ac.uk/schools/business/staff/marcoavarucci/
Workplace:Department of Economics, Adam Smith Business School, University of Glasgow, (more information at EDIRC)

Access statistics for papers by Marco Avarucci.

Last updated 2013-07-15. Update your information in the RePEc Author Service.

Short-id: pav24


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Working Papers

2012

  1. On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads View citations (3)
    See also Journal Article in Econometric Theory (2013)

2007

  1. Polynomial Cointegration between Stationary Processes with Long Memory
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2007)

2005

  1. Polynomial cointegration among stationary processes with long memory
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

Journal Articles

2013

  1. ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
    Econometric Theory, 2013, 29, (03), 545-566 Downloads View citations (2)
    See also Working Paper (2012)

2009

  1. A Wald test for the cointegration rank in nonstationary fractional systems
    Journal of Econometrics, 2009, 151, (2), 178-189 Downloads View citations (7)

2007

  1. Polynomial Cointegration Between Stationary Processes With Long Memory
    Journal of Time Series Analysis, 2007, 28, (6), 923-942 Downloads View citations (1)
    See also Working Paper (2007)
 
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