Details about Gabriele Fiorentini

Access statistics for papers by Gabriele Fiorentini.

Last updated 2017-03-03. Update your information in the RePEc Author Service.

Short-id: pfi82

Working Papers

2016

1. A spectral EM algorithm for dynamic factor models
   Working Papers, Banco de España View citations (1)
   Also in Working Papers, CEMFI (2014) View citations (1)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)

2015

2. 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)

2014

3. 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)

2013

4. Dynamic Specification Tests for Dynamic Factor Models
   Working Papers, CEMFI View citations (2)

2012

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

2010

7. Dynamic Specification Tests for Static Factor Models
   Working Paper Series, The Rimini Centre for Economic Analysis
   Also in Working Papers, CEMFI (2009) View citations (3)

2009

8. Incentives In Primary Care and Their Impact on Potentially Avoidable Hospital Admissions
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (3)

2008

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

2007

10. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper Series, The Rimini Centre for Economic Analysis
    See also Journal Article in Journal of Econometrics (2008)
11. On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models
    Working Paper Series, The Rimini Centre for Economic Analysis View citations (1)

2004

12. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (33)
    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)
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (2)
    FMG Discussion Papers, Financial Markets Group (2003) View citations (3)
    See also Journal Article in Econometrica (2004)

2001

13. 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

14. 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)
15. 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)
16. 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)
17. The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1999

18. 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

19. - 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)
20. - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

1997

21. 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)
22. 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, Centro de Estudios Monetarios Y Financieros- (1996)
    See also Journal Article in International Economic Review (1998)
23. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (29)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) View citations (1)
    See also Journal Article in Journal of Econometrics (2001)

1996

24. Non-Admissible Decompositions in Unobserved Components Models
    Working Papers, Centro de Estudios Monetarios Y Financieros-

1995

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

1994

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

1993

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

Journal Articles

2016

1. Introduction to the special issue in honor of Agustín Maravall
   SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 1-9
2. Neglected serial correlation tests in UCARIMA models
   SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178
   See also Working Paper (2014)
3. Skewness and kurtosis of multivariate Markov-switching processes
   Computational Statistics & Data Analysis, 2016, 100, (C), 153-159

2014

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

2013

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

2012

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

2008

7. Bayesian Analysis of the Output Gap
   Journal of Business & Economic Statistics, 2008, 26, 18-32 View citations (17)
8. 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 (13)
   See also Working Paper (2007)

2004

9. Constrained Indirect Estimation
   Review of Economic Studies, 2004, 71, (4), 945-973 View citations (26)
10. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (29)
    See also Working Paper (2004)
11. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 View citations (20)

2003

12. 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 (94)

2002

13. 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 (13)

2001

14. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 View citations (118)
    See also Working Paper (1997)
15. Indirect inference and variance reduction using control variates
    Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 View citations (1)
16. Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
    Journal of Business & Economic Statistics, 2001, 19, (4), 455-64 View citations (3)

1998

17. A tobit model with garch errors
    Econometric Reviews, 1998, 17, (1), 85-104 View citations (11)
    See also Working Paper (1997)
18. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (12)
    See also Working Paper (1997)
19. 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

20. Analytic Derivatives and the Computation of GARCH Estimates
    Journal of Applied Econometrics, 1996, 11, (4), 399-417 View citations (50)
    See also Working Paper (1995)

1993

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

Chapters