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

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 View citations (3)
   See also Journal Article in Econometric Theory (2013)

2007

2. 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

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

Journal Articles

2013

1. 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

2. A Wald test for the cointegration rank in nonstationary fractional systems
   Journal of Econometrics, 2009, 151, (2), 178-189 View citations (14)

2007

3. 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)