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Details about Paolo Zaffaroni

Workplace:Dipartimento di Economia e Diritto (Department of Economics and Law), Facoltà di Economia (Faculty of Economics), "Sapienza" Università di Roma (Sapienza University of Rome), (more information at EDIRC)

Access statistics for papers by Paolo Zaffaroni.

Last updated 2021-11-15. Update your information in the RePEc Author Service.

Short-id: pza411


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Working Papers

2021

  1. Inferential Theory for Generalized Dynamic Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2019

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

2016

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) Downloads View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (58)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (58)

    See also Journal Article Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis, Journal of Econometrics, Elsevier (2017) Downloads View citations (65) (2017)
  2. Eigenvalue Ratio Estimators for the Number of Common Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. Eigenvalue Ratio Estimators for the Number of Dynamic Factors
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads View citations (1)

2012

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) Downloads View citations (84) (2015)
  2. 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 Downloads 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) Downloads View citations (17) (2013)

2011

  1. One-Sided Representations of Generalized Dynamic Factor Models
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads View citations (3)
    Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2011) Downloads View citations (3)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) Downloads View citations (3)

2009

  1. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
    CESifo Working Paper Series, CESifo Downloads View citations (3)

2008

  1. Model Averaging in Risk Management with an Application to Futures Markets
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (6)
    Also in CESifo Working Paper Series, CESifo (2008) Downloads View citations (12)

    See also Journal Article Model averaging in risk management with an application to futures markets, Journal of Empirical Finance, Elsevier (2009) Downloads View citations (23) (2009)
  2. Optimal Asset Allocation with Factor Models for Large Portfolios
    CESifo Working Paper Series, CESifo Downloads View citations (8)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) Downloads View citations (8)

2007

  1. Fast micro and slow macro: can aggregation explain the persistence of inflation?
    Working Paper Series, European Central Bank Downloads View citations (55)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2007) Downloads View citations (30)

2005

  1. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (12)
    CESifo Working Paper Series, CESifo (2004) Downloads View citations (9)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (9)
  2. Pseudo-Maximum Likelihood Estimation of ARCH(8) Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  3. Pseudo-maximum likelihood estimation of ARCH(∞) models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)

2004

  1. PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)

2003

  1. Gaussian inference on certain long-range dependent volatility models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)
    See also Journal Article Gaussian inference on certain long-range dependent volatility models, Journal of Econometrics, Elsevier (2003) Downloads View citations (12) (2003)

2002

  1. Contemporaneous aggregation of GARCH processes
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads View citations (5)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads View citations (5)

    See also Journal Article Contemporaneous aggregation of GARCH processes, Journal of Time Series Analysis, Wiley Blackwell (2007) Downloads View citations (11) (2007)

2000

  1. (Fractional) Beta Convergence
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (84)
    Also in Working Papers, Banca Italia - Servizio di Studi (2000) View citations (75)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1998)
    Working Papers, CEMFI (1998) Downloads

    See also Journal Article (Fractional) beta convergence, Journal of Monetary Economics, Elsevier (2000) Downloads View citations (87) (2000)
  2. Stationarity and Memory of ARCH Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads View citations (3)

1998

  1. Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1998) Downloads View citations (6)

1997

  1. Beta Convergence
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (10)
  2. Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)
  3. Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (3)
  4. Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
    FMG Discussion Papers, Financial Markets Group Downloads View citations (7)
  5. Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Journal Articles

2018

  1. ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
    Econometric Theory, 2018, 34, (1), 1-22 Downloads View citations (7)

2017

  1. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 Downloads View citations (65)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) Downloads View citations (16) (2016)

2016

  1. Long memory affine term structure models
    Journal of Econometrics, 2016, 191, (1), 33-56 Downloads View citations (13)

2015

  1. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 Downloads View citations (84)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) Downloads View citations (2) (2012)

2013

  1. ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
    Econometric Theory, 2013, 29, (3), 545-566 Downloads View citations (17)
    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) Downloads View citations (3) (2012)

2009

  1. Can aggregation explain the persistence of inflation?
    Journal of Monetary Economics, 2009, 56, (2), 231-241 Downloads View citations (102)
  2. Model averaging in risk management with an application to futures markets
    Journal of Empirical Finance, 2009, 16, (2), 280-305 Downloads View citations (23)
    See also Working Paper Model Averaging in Risk Management with an Application to Futures Markets, Cambridge Working Papers in Economics (2008) Downloads View citations (6) (2008)
  3. Whittle estimation of EGARCH and other exponential volatility models
    Journal of Econometrics, 2009, 151, (2), 190-200 Downloads View citations (26)

2008

  1. Large‐scale volatility models: theoretical properties of professionals’ practice
    Journal of Time Series Analysis, 2008, 29, (3), 581-599 Downloads View citations (8)

2007

  1. A goodness-of-fit test for ARCH([infinity]) models
    Journal of Econometrics, 2007, 141, (2), 973-1013 Downloads View citations (3)
    Also in Journal of Econometrics, 2007, 141, (2), 835-875 (2007) Downloads View citations (5)
  2. Aggregation and memory of models of changing volatility
    Journal of Econometrics, 2007, 136, (1), 237-249 Downloads View citations (7)
  3. Contemporaneous aggregation of GARCH processes
    Journal of Time Series Analysis, 2007, 28, (4), 521-544 Downloads View citations (11)
    See also Working Paper Contemporaneous aggregation of GARCH processes, Temi di discussione (Economic working papers) (2002) Downloads (2002)

2004

  1. Contemporaneous aggregation of linear dynamic models in large economies
    Journal of Econometrics, 2004, 120, (1), 75-102 Downloads View citations (77)
  2. STATIONARITY AND MEMORY OF ARCH(∞) MODELS
    Econometric Theory, 2004, 20, (1), 147-160 Downloads View citations (28)

2003

  1. Gaussian inference on certain long-range dependent volatility models
    Journal of Econometrics, 2003, 115, (2), 199-258 Downloads View citations (12)
    See also Working Paper Gaussian inference on certain long-range dependent volatility models, Temi di discussione (Economic working papers) (2003) Downloads View citations (12) (2003)

2000

  1. (Fractional) beta convergence
    Journal of Monetary Economics, 2000, 45, (1), 129-153 Downloads View citations (87)
    See also Working Paper (Fractional) Beta Convergence, Temi di discussione (Economic working papers) (2000) Downloads View citations (84) (2000)
 
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