Details about Paolo Zaffaroni

Access statistics for papers by Paolo Zaffaroni.

Last updated 2021-11-15. Update your information in the RePEc Author Service.

Short-id: pza411

Working Papers

2021

1. Inferential Theory for Generalized Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2019

2. Robust Nearly-Efficient Estimation of Large Panels with Factor Structures
   Papers, arXiv.org

2016

3. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
   EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (16)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (65)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (65)
   See also Journal Article Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis, Journal of Econometrics, Elsevier (2017) View citations (75) (2017)
4. Eigenvalue Ratio Estimators for the Number of Common Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. Eigenvalue Ratio Estimators for the Number of Dynamic Factors
   Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)

2012

6. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
   See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) View citations (89) (2015)
7. 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 View citations (3)
   See also Journal Article ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS, Econometric Theory, Cambridge University Press (2013) View citations (20) (2013)

2011

8. One-Sided Representations of Generalized Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
   Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) View citations (3)
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2011) View citations (3)

2009

9. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
   CESifo Working Paper Series, CESifo View citations (3)

2008

10. Model Averaging in Risk Management with an Application to Futures Markets
    CESifo Working Paper Series, CESifo View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (6)
    See also Journal Article Model averaging in risk management with an application to futures markets, Journal of Empirical Finance, Elsevier (2009) View citations (25) (2009)
11. Optimal Asset Allocation with Factor Models for Large Portfolios
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    Also in CESifo Working Paper Series, CESifo (2008) View citations (8)

2007

12. Fast micro and slow macro: can aggregation explain the persistence of inflation?
    Working Paper Series, European Central Bank View citations (55)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2007) View citations (30)

2005

13. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (12)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (9)
    CESifo Working Paper Series, CESifo (2004) View citations (9)
14. Pseudo-Maximum Likelihood Estimation of ARCH(8) Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
15. Pseudo-maximum likelihood estimation of ARCH(∞) models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)

2004

16. PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)

2003

17. Gaussian inference on certain long-range dependent volatility models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (12)
    See also Journal Article Gaussian inference on certain long-range dependent volatility models, Journal of Econometrics, Elsevier (2003) View citations (12) (2003)

2002

18. Contemporaneous aggregation of GARCH processes
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) View citations (5)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (5)
    See also Journal Article Contemporaneous aggregation of GARCH processes, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (11) (2007)

2000

19. (Fractional) Beta Convergence
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (87)
    Also in Working Papers, CEMFI (1998)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1998)
    Working Papers, Banca Italia - Servizio di Studi (2000) View citations (75)
    See also Journal Article (Fractional) beta convergence, Journal of Monetary Economics, Elsevier (2000) View citations (87) (2000)
20. Stationarity and Memory of ARCH Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (3)

1998

21. Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1998) View citations (6)

1997

22. Beta Convergence
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (10)
23. Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)
24. Modelling 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (3)
25. Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
    FMG Discussion Papers, Financial Markets Group View citations (7)
26. Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Journal Articles

2018

1. ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
   Econometric Theory, 2018, 34, (1), 1-22 View citations (10)

2017

2. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
   Journal of Econometrics, 2017, 199, (1), 74-92 View citations (75)
   See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) View citations (16) (2016)

2016

3. Long memory affine term structure models
   Journal of Econometrics, 2016, 191, (1), 33-56 View citations (17)

2015

4. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
   Journal of Econometrics, 2015, 185, (2), 359-371 View citations (89)
   See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) View citations (2) (2012)

2013

5. ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
   Econometric Theory, 2013, 29, (3), 545-566 View citations (20)
   See also Working Paper On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models, DSS Empirical Economics and Econometrics Working Papers Series (2012) View citations (3) (2012)

2009

6. Can aggregation explain the persistence of inflation?
   Journal of Monetary Economics, 2009, 56, (2), 231-241 View citations (106)
7. Model averaging in risk management with an application to futures markets
   Journal of Empirical Finance, 2009, 16, (2), 280-305 View citations (25)
   See also Working Paper Model Averaging in Risk Management with an Application to Futures Markets, CESifo Working Paper Series (2008) View citations (12) (2008)
8. Whittle estimation of EGARCH and other exponential volatility models
   Journal of Econometrics, 2009, 151, (2), 190-200 View citations (26)

2008

9. Large‐scale volatility models: theoretical properties of professionals’ practice
   Journal of Time Series Analysis, 2008, 29, (3), 581-599 View citations (8)

2007

10. A goodness-of-fit test for ARCH([infinity]) models
    Journal of Econometrics, 2007, 141, (2), 835-875 View citations (5)
    Also in Journal of Econometrics, 2007, 141, (2), 973-1013 (2007) View citations (3)
11. Aggregation and memory of models of changing volatility
    Journal of Econometrics, 2007, 136, (1), 237-249 View citations (7)
12. Contemporaneous aggregation of GARCH processes
    Journal of Time Series Analysis, 2007, 28, (4), 521-544 View citations (11)
    See also Working Paper Contemporaneous aggregation of GARCH processes, Temi di discussione (Economic working papers) (2002) (2002)

2004

13. Contemporaneous aggregation of linear dynamic models in large economies
    Journal of Econometrics, 2004, 120, (1), 75-102 View citations (78)
14. STATIONARITY AND MEMORY OF ARCH(∞) MODELS
    Econometric Theory, 2004, 20, (1), 147-160 View citations (28)

2003

15. Gaussian inference on certain long-range dependent volatility models
    Journal of Econometrics, 2003, 115, (2), 199-258 View citations (12)
    See also Working Paper Gaussian inference on certain long-range dependent volatility models, Temi di discussione (Economic working papers) (2003) View citations (12) (2003)

2000

16. (Fractional) beta convergence
    Journal of Monetary Economics, 2000, 45, (1), 129-153 View citations (87)
    See also Working Paper (Fractional) Beta Convergence, Temi di discussione (Economic working papers) (2000) View citations (87) (2000)