Details about Gabriele Fiorentini
Access statistics for papers by Gabriele Fiorentini.
Last updated 2022-08-04. Update your information in the RePEc Author Service.
Short-id: pfi82
Jump to Journal Articles Chapters
Working Papers
2022
- GDP Solera. The Ideal Vintage Mix
Working Papers, CEMFI 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
2021
- Aggregate Output Measurements: A Common Trend Approach
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
Also in Working Papers, CEMFI (2021) View citations (1) Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021) View citations (1) Working Paper series, Rimini Centre for Economic Analysis (2021) View citations (2) Staff Reports, Federal Reserve Bank of New York (2021) View citations (1)
- Moment tests of independent components
Working Papers, CEMFI View citations (1)
See also Journal Article in SERIEs: Journal of the Spanish Economic Association (2022)
- Multivariate Hermite polynomials and information matrix tests
Working Papers, CEMFI 
Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)  Working Paper series, Rimini Centre for Economic Analysis (2021)
- Tests for random coefficient variation in vector autoregressive models
Working Paper series, Rimini Centre for Economic Analysis 
Also in Working Papers, CEMFI (2021)  Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
2020
- Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions
Working Papers, CEMFI View citations (5)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (7)
2019
- Dynamic specification tests for dynamic factor models
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
Also in Working Papers, CEMFI (2013) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2019)
- New testing approaches for mean-variance predictability
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Working Paper series, Rimini Centre for Economic Analysis (2019)  Working Papers, CEMFI (2018)  Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019) View citations (1)
See also Journal Article in Journal of Econometrics (2021)
2018
- Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators
Working Papers, CEMFI View citations (6)
Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (4) Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
See also Journal Article in Journal of Econometrics (2019)
- Specification Tests for Non-Gaussian Maximum Likelihood Estimators
Working Papers, CEMFI View citations (1)
Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3) Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (1) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (1)
See also Journal Article in Quantitative Economics (2021)
- The Rise and Fall of the Natural Interest Rate
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
Also in Working Papers, CEMFI (2018) View citations (25) Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (23) Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2018) View citations (20) Working Papers, Banco de España (2018) View citations (28)
2016
- A spectral EM algorithm for dynamic factor models
Working Papers, Banco de España View citations (2)
Also in Working Papers, CEMFI (2014) View citations (2) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
See also Journal Article in Journal of Econometrics (2018)
2015
- Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
Working Papers, CEMFI 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)  Working Papers, Banco de España (2015) 
See also Chapter (2016)
2014
- 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
- Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
Working Papers, CEMFI View citations (3)
See also Journal Article in Journal of Econometrics (2013)
- Tests for Serial Dependence in Static, Non-Gaussian Factor Models
Working Papers, CEMFI View citations (2)
2010
- Dynamic Specification Tests for Static Factor Models
Working Paper series, Rimini Centre for Economic Analysis 
Also in Working Papers, CEMFI (2009) View citations (5)
2008
- 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 View citations (3)
2007
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
See also Journal Article in Journal of Econometrics (2008)
- On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models
Working Papers, CEMFI View citations (22)
Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (31)
2004
- Indirect Estimation of Conditionally Heteroskedastic Factor Models
Working Papers, CEMFI View citations (17)
- Likelihood-based estimation of latent generalised ARCH structures
OFRC Working Papers Series, Oxford Financial Research Centre View citations (43)
Also in FMG Discussion Papers, Financial Markets Group (2003) View citations (5) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4) Working Papers, CEMFI (2002)  Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (4) Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) 
See also Journal Article in Econometrica (2004)
2003
- Likelihood-based estimation of latent generalised ARCH
Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
- 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
- Constrained Indirect Inference Estimation
FMG Discussion Papers, Financial Markets Group View citations (3)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (1)
2000
- CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
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 (3)
- Constrained EMM and Indirect Inference Estimation. Versión Revisada
Working Papers, CEMFI View citations (1)
- 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)
- 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 (7)
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)
- 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
- 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
- - 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 (10)
Also in MPRA Paper, University Library of Munich, Germany (1996) View citations (3)
See also Journal Article in Econometrics Journal (1998)
- - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
1997
- A tobit model with garch errors
Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (1)
See also Journal Article in Econometric Reviews (1998)
- 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) Working Papers, CEMFI (1996)
See also Journal Article in International Economic Review (1998)
- Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (36)
Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) View citations (4)
See also Journal Article in Journal of Econometrics (2001)
- Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
Working Papers, CEMFI
1996
- Non-Admissible Decompositions in Unobserved Components Models
Working Papers, CEMFI
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996)
1995
- Analytic Derivatives and the Computation of GARCH Estimates
Working Papers, CEMFI
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (11)
See also Journal Article in Journal of Applied Econometrics (1996)
- Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
Working Papers, CEMFI
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (8)
1994
- Conditional heteroskedasticity in nonlinear simultaneous equations
MPRA Paper, University Library of Munich, Germany View citations (4)
1993
- Alternative estimators of the covariance matrix in GARCH models
MPRA Paper, University Library of Munich, Germany View citations (2)
- Estimating variances and covariances in a censored regression model
MPRA Paper, University Library of Munich, Germany
Journal Articles
2022
- Moment tests of independent components
SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 429-474 
See also Working Paper (2021)
2021
- New testing approaches for mean–variance predictability
Journal of Econometrics, 2021, 222, (1), 516-538 
See also Working Paper (2019)
- Specification tests for non‐Gaussian maximum likelihood estimators
Quantitative Economics, 2021, 12, (3), 683-742 View citations (1)
See also Working Paper (2018)
2019
- Consistent non-Gaussian pseudo maximum likelihood estimators
Journal of Econometrics, 2019, 213, (2), 321-358 View citations (2)
See also Working Paper (2018)
- Dynamic specification tests for dynamic factor models
Journal of Applied Econometrics, 2019, 34, (3), 325-346 View citations (1)
See also Working Paper (2019)
2018
- A spectral EM algorithm for dynamic factor models
Journal of Econometrics, 2018, 205, (1), 249-279 View citations (13)
See also Working Paper (2016)
2017
- Marginal distribution of Markov-switching VAR processes
Communications in Statistics - Theory and Methods, 2017, 46, (13), 6605-6623
2016
- 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)
- Skewness and kurtosis of multivariate Markov-switching processes
Computational Statistics & Data Analysis, 2016, 100, (C), 153-159
2014
- Comment
Journal of Business & Economic Statistics, 2014, 32, (2), 193-198
2013
- Sequential estimation of shape parameters in multivariate dynamic models
Journal of Econometrics, 2013, 177, (2), 233-249 View citations (13)
See also Working Paper (2012)
2012
- The marginal likelihood of dynamic mixture models
Computational Statistics & Data Analysis, 2012, 56, (9), 2650-2662 View citations (4)
2008
- Bayesian Analysis of the Output Gap
Journal of Business & Economic Statistics, 2008, 26, 18-32 View citations (36)
- 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 (33)
See also Working Paper (2007)
2004
- Constrained Indirect Estimation
Review of Economic Studies, 2004, 71, (4), 945-973 View citations (59)
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
See also Working Paper (2004)
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
Economics Letters, 2004, 83, (3), 307-312 View citations (28)
See also Working Paper (2003)
2003
- 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 (149)
See also Working Paper (2000)
2002
- 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 (19)
2001
- Identification, estimation and testing of conditionally heteroskedastic factor models
Journal of Econometrics, 2001, 102, (2), 143-164 View citations (189)
See also Working Paper (1997)
- Indirect inference and variance reduction using control variates
Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 View citations (1)
- Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
Journal of Business & Economic Statistics, 2001, 19, (4), 455-64 View citations (3)
1998
- A tobit model with garch errors
Econometric Reviews, 1998, 17, (1), 85-104 View citations (13)
See also Working Paper (1997)
- Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
International Economic Review, 1998, 39, (4), 1101-18 View citations (23)
See also Working Paper (1997)
- Control variates for variance reduction in indirect inference: Interest rate models in continuous time
Econometrics Journal, 1998, 1, (ConferenceIssue), C100-C112 View citations (11)
See also Working Paper (1998)
1996
- Analytic Derivatives and the Computation of GARCH Estimates
Journal of Applied Econometrics, 1996, 11, (4), 399-417 View citations (78)
See also Working Paper (1995)
1993
- Alternative covariance estimators of the standard Tobit model
Economics Letters, 1993, 42, (1), 5-13 View citations (8)
Chapters
2016
- 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)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|