Details about Marco Avarucci
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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Journal Articles
Working Papers
2012
- 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 in Econometric Theory (2013)
2007
- Polynomial Cointegration between Stationary Processes with Long Memory
CEIS Research Paper, Tor Vergata University, CEIS
View citations (2)
See also Journal Article in Journal of Time Series Analysis (2007)
2005
- Polynomial cointegration among stationary processes with long memory
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
Journal Articles
2013
- ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
Econometric Theory, 2013, 29, (3), 545-566
View citations (15)
See also Working Paper (2012)
2009
- A Wald test for the cointegration rank in nonstationary fractional systems
Journal of Econometrics, 2009, 151, (2), 178-189
View citations (14)
2007
- Polynomial Cointegration Between Stationary Processes With Long Memory
Journal of Time Series Analysis, 2007, 28, (6), 923-942
View citations (2)
See also Working Paper (2007)