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Details about Gabriele Fiorentini

E-mail:
Homepage:http://www.ds.unifi.it/fiorentini
Workplace:Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (Department of Statistics), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Gabriele Fiorentini.

Last updated 2017-03-03. Update your information in the RePEc Author Service.

Short-id: pfi82


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Working Papers

2016

  1. A spectral EM algorithm for dynamic factor models
    Working Papers, Banco de España Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (5)
    Working Papers, CEMFI (2014) Downloads View citations (1)

2015

  1. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
    Working Papers, CEMFI Downloads
    Also in Working Papers, Banco de España (2015) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads

2014

  1. Neglected Serial Correlation Tests in UCARIMA Models
    Working Papers, CEMFI Downloads View citations (2)
    See also Journal Article in SERIEs: Journal of the Spanish Economic Association (2016)

2013

  1. Dynamic Specification Tests for Dynamic Factor Models
    Working Papers, CEMFI Downloads View citations (2)

2012

  1. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2013)
  2. Tests for Serial Dependence in Static, Non-Gaussian Factor Models
    Working Papers, CEMFI Downloads

2010

  1. Dynamic Specification Tests for Static Factor Models
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, CEMFI (2009) Downloads View citations (3)

2009

  1. Incentives In Primary Care and Their Impact on Potentially Avoidable Hospital Admissions
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (3)

2008

  1. The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads

2007

  1. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Econometrics (2008)
  2. On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)

2004

  1. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (31)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) Downloads
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) Downloads View citations (2)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    FMG Discussion Papers, Financial Markets Group (2003) Downloads View citations (3)

    See also Journal Article in Econometrica (2004)

2001

  1. Constrained Indirect Inference Estimation
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads

2000

  1. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (2)
  2. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    Also in Studies on the Spanish Economy, FEDEA Downloads View citations (2)
  3. THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
  4. The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1999

  1. Indirect Estimation of Just-Identified Models with Control Variates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (5)

1998

  1. - CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (1996) Downloads View citations (3)

    See also Journal Article in Econometrics Journal (1998)
  2. - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads

1997

  1. A tobit model with garch errors
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    See also Journal Article in Econometric Reviews (1998)
  2. Conditional means of time series processes and time series processes for conditional means
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996)

    See also Journal Article in International Economic Review (1998)
  3. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (29)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2001)

1996

  1. Non-Admissible Decompositions in Unobserved Components Models
    Working Papers, Centro de Estudios Monetarios Y Financieros-

1995

  1. Analytic Derivatives and the Computation of Garch Estimates
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1996)
  2. Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1994

  1. Conditional heteroskedasticity in nonlinear simultaneous equations
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

1993

  1. Alternative estimators of the covariance matrix in GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Estimating variances and covariances in a censored regression model
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2016

  1. Introduction to the special issue in honor of Agustín Maravall
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 1-9 Downloads
  2. Neglected serial correlation tests in UCARIMA models
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178 Downloads
    See also Working Paper (2014)
  3. Skewness and kurtosis of multivariate Markov-switching processes
    Computational Statistics & Data Analysis, 2016, 100, (C), 153-159 Downloads

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 193-198 Downloads

2013

  1. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. The marginal likelihood of dynamic mixture models
    Computational Statistics & Data Analysis, 2012, 56, (9), 2650-2662 Downloads View citations (3)

2008

  1. Bayesian Analysis of the Output Gap
    Journal of Business & Economic Statistics, 2008, 26, 18-32 Downloads View citations (16)
  2. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Journal of Econometrics, 2008, 146, (1), 10-25 Downloads View citations (13)
    See also Working Paper (2007)

2004

  1. Constrained Indirect Estimation
    Review of Economic Studies, 2004, 71, (4), 945-973 Downloads View citations (25)
  2. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 Downloads View citations (27)
    See also Working Paper (2004)
  3. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 Downloads View citations (20)

2003

  1. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
    Journal of Business & Economic Statistics, 2003, 21, (4), 532-46 View citations (91)

2002

  1. Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market
    Journal of Empirical Finance, 2002, 9, (2), 225-255 Downloads View citations (12)

2001

  1. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 Downloads View citations (113)
    See also Working Paper (1997)
  2. Indirect inference and variance reduction using control variates
    Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 Downloads View citations (1)
  3. Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
    Journal of Business & Economic Statistics, 2001, 19, (4), 455-64 View citations (3)

1998

  1. A tobit model with garch errors
    Econometric Reviews, 1998, 17, (1), 85-104 Downloads View citations (11)
    See also Working Paper (1997)
  2. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (12)
    See also Working Paper (1997)
  3. Control variates for variance reduction in indirect inference: Interest rate models in continuous time
    Econometrics Journal, 1998, 1, (ConferenceIssue), C100-C112 View citations (8)
    See also Working Paper (1998)

1996

  1. Analytic Derivatives and the Computation of GARCH Estimates
    Journal of Applied Econometrics, 1996, 11, (4), 399-417 Downloads View citations (50)
    See also Working Paper (1995)

1993

  1. Alternative covariance estimators of the standard Tobit model
    Economics Letters, 1993, 42, (1), 5-13 Downloads View citations (7)
 
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