Details about Marco Avarucci

Access statistics for papers by Marco Avarucci.

Last updated 2022-12-25. Update your information in the RePEc Author Service.

Short-id: pav24

Working Papers

2022

1. Frequency-band estimation of the number of factors detecting the main business cycle shocks
   Working Papers, Business School - Economics, University of Glasgow
2. The Main Business Cycle Shock(s): Frequency-Band Estimation of the Number of Dynamic Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2019

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

2012

4. 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 (21) (2013)

2008

5. A wald test for the cointegration rank in nonstationary fractional systems
   Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
   See also Journal Article A Wald test for the cointegration rank in nonstationary fractional systems, Journal of Econometrics, Elsevier (2009) View citations (15) (2009)

2007

6. Polynomial Cointegration between Stationary Processes with Long Memory
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
   See also Journal Article Polynomial Cointegration Between Stationary Processes With Long Memory, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (2) (2007)

2005

7. 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 (21)
   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

2. A Wald test for the cointegration rank in nonstationary fractional systems
   Journal of Econometrics, 2009, 151, (2), 178-189 View citations (15)
   See also Working Paper A wald test for the cointegration rank in nonstationary fractional systems, Research Memorandum (2008) (2008)

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 Polynomial Cointegration between Stationary Processes with Long Memory, CEIS Research Paper (2007) View citations (2) (2007)