Details about Gabriele Fiorentini

Access statistics for papers by Gabriele Fiorentini.

Last updated 2019-05-09. Update your information in the RePEc Author Service.

Short-id: pfi82

Working Papers

2019

1. Dynamic specification tests for dynamic factor models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
   Also in Working Papers, CEMFI (2013) View citations (4)
   See also Journal Article in Journal of Applied Econometrics (2019)
2. New testing approaches for mean-variance predictability
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   Working Papers, CEMFI (2018)

2018

3. Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators
   Working Papers, CEMFI View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (4)
4. Specification Tests for Non-Gaussian Maximum Likelihood Estimators
   Working Papers, CEMFI
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)
   Working Paper series, Rimini Centre for Economic Analysis (2018)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018)
5. The Rise and Fall of the Natural Interest Rate
   Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (4)
   Also in Working Papers, Banco de España (2018) View citations (8)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
   Working Papers, CEMFI (2018) View citations (4)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4)

2016

6. A spectral EM algorithm for dynamic factor models
   Working Papers, Banco de España View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
   Working Papers, CEMFI (2014) View citations (1)
   See also Journal Article in Journal of Econometrics (2018)

2015

7. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
   Working Papers, CEMFI
   Also in Working Papers, Banco de España (2015)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
   See also Chapter (2016)

2014

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

2012

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

2010

11. Dynamic Specification Tests for Static Factor Models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, CEMFI (2009) View citations (4)

2008

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

2007

13. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article in Journal of Econometrics (2008)
14. On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI View citations (16)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (21)

2004

15. Indirect Estimation of Conditionally Heteroskedastic Factor Models
    Working Papers, CEMFI View citations (11)
16. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (39)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (1)
    Working Papers, CEMFI (2002)
    FMG Discussion Papers, Financial Markets Group (2003) View citations (4)
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (3)
    See also Journal Article in Econometrica (2004)

2003

17. On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI
    See also Journal Article in Economics Letters (2004)

2001

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

2000

19. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (2)
20. Constrained EMM and Indirect Inference Estimation. Versión Revisada
    Working Papers, CEMFI
21. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    Also in Studies on the Spanish Economy, FEDEA View citations (2)
22. 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) View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2003)
23. The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada
    Working Papers, CEMFI

1999

24. 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" View citations (5)

1998

25. - 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) View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (1996) View citations (3)
    See also Journal Article in Econometrics Journal (1998)
26. - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

1997

27. A tobit model with garch errors
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    See also Journal Article in Econometric Reviews (1998)
28. 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)
    Also in Working Papers, CEMFI (1996)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1996)
    See also Journal Article in International Economic Review (1998)
29. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (35)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) View citations (3)
    See also Journal Article in Journal of Econometrics (2001)
30. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
    Working Papers, CEMFI

1996

31. Non-Admissible Decompositions in Unobserved Components Models
    Working Papers, Centro de Estudios Monetarios Y Financieros-
    Also in Working Papers, CEMFI (1996)

1995

32. Analytic Derivatives and the Computation of GARCH Estimates
    Working Papers, CEMFI
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1996)
33. Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)
    Also in Working Papers, CEMFI (1995)

1994

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

1993

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

Journal Articles

2019

1. Dynamic specification tests for dynamic factor models
   Journal of Applied Econometrics, 2019, 34, (3), 325-346
   See also Working Paper (2019)

2018

2. A spectral EM algorithm for dynamic factor models
   Journal of Econometrics, 2018, 205, (1), 249-279 View citations (3)
   See also Working Paper (2016)

2016

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

2014

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

2013

6. Sequential estimation of shape parameters in multivariate dynamic models
   Journal of Econometrics, 2013, 177, (2), 233-249 View citations (10)
   See also Working Paper (2012)

2012

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

2008

8. Bayesian Analysis of the Output Gap
   Journal of Business & Economic Statistics, 2008, 26, 18-32 View citations (24)
9. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
   Journal of Econometrics, 2008, 146, (1), 10-25 View citations (27)
   See also Working Paper (2007)

2004

10. Constrained Indirect Estimation
    Review of Economic Studies, 2004, 71, (4), 945-973 View citations (41)
11. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (36)
    See also Working Paper (2004)
12. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 View citations (24)
    See also Working Paper (2003)

2003

13. 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 (126)
    See also Working Paper (2000)

2002

14. 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 View citations (14)

2001

15. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 View citations (145)
    See also Working Paper (1997)
16. Indirect inference and variance reduction using control variates
    Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 View citations (1)
17. Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
    Journal of Business & Economic Statistics, 2001, 19, (4), 455-64 View citations (3)

1998

18. A tobit model with garch errors
    Econometric Reviews, 1998, 17, (1), 85-104 View citations (12)
    See also Working Paper (1997)
19. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (19)
    See also Working Paper (1997)
20. 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

21. Analytic Derivatives and the Computation of GARCH Estimates
    Journal of Applied Econometrics, 1996, 11, (4), 399-417 View citations (57)
    See also Working Paper (1995)

1993

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

Chapters

2016

1. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 215-282 View citations (2)
   See also Working Paper (2015)