Econometrics Working Papers Archive

From Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy.
Contact information at EDIRC.
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2018: Specification tests for non-Gaussian maximum likelihood estimators

Gabriele Fiorentini and Enrique Sentana

2018: Is the Impact of Employment Uncertainty on Fertility Intentions Channeled by Subjective Well-Being?

Daniele Vignoli, Letizia Mencarini and Giammarco Alderotti

2018: Algorithms for exact and approximate linear abstractions of polynomial continuous systems

Michele Boreale

2018: First-Birth Gains and Losses from the First Job in Italy: The Role of Employment Uncertainty

Daniele Vignoli, Valentina Tocchioni and Alessandra Mattei

2018: Consistent non-Gaussian pseudo maximum likelihood estimators

Gabriele Fiorentini and Enrique Sentana

2017: Opinioni degli studenti universitari sulla didattica ed i servizi erogati dagli Atenei italiani: un nuovo modello di valutazione

Bruno Bertaccini, Antonio Giusti and Alessandra Petrucci

2017: Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach

Giampiero Gallo and Edoardo Otranto

2017: The ambiguous effects of public assistance to youth and female start-ups between job creation and entrepreneurship enhancement

Marco Mariani, Alessandra Mattei, Lorenzo Storchi and Daniele Vignoli

2017: A subregional space-time exploration of family change: Italian municipalities, 1991-2011

Marcantonio Caltabiano, Emanuela Dreassi, Emilia Rocco and Daniele Vignoli

2017: Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2016: Exploring the childless universe: profiles and fertility intentions of men and women without children in Italy

Valentina Tocchioni

2016: Women’s satisfaction during pregnancy and at delivery in Tuscany (Italy)

Gustavo De Santis, Valentina Tocchioni, Chiara Seghieri and Sabina Nuti

2016: Intergenerational contact across marriage and cohabitation in Italy. Something new?

Elena Pirani

2016: A Rigorous Framework for Specification, Analysis and Enforcement of Access Control Policies

Andrea Margheri, Massimiliano Masi, Rosario Pugliese and Francesco Tiezzi

2016: Copula--based Specification of vector MEMs

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2016: Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears

Francesco Calvori, Matteo Dentella and Giampiero Gallo

2016: Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM

Giampiero Gallo and Edoardo Otranto

2016: Median Response to Shocks: A Model for VaR Spillovers in East Asia

Fabrizio Cipollini, Giampiero Gallo and Andrea Ugolini

2015: Bayesian inference for causal mechanisms with application to a randomized study for postoperative pain control

Michela Baccini, Alessandra Mattei and Fabrizia Mealli

2015: Searching secrets rationally

Michele Boreale and Fabio Corradi

2015: A parametric test to discriminate between a linear regression model and a linear latent growth model

Marco Barnabani

2015: Demographic Trends in Developing Countries: Convergence or Divergence Processes?

Maria Silvana Salvini, Giuseppe Gabrielli, Anna Paterno and Isabella Corazziari

2015: Uncertain Lives. Insights into the Role of Job Precariousness in Union Formation

Daniele Vignoli, Valentina Tocchioni and Silvana Salvini

2015: Indirect estimation and econometrics exams: how to live a round life

Giorgio Calzolari

2014: Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy

Arnaud Régnier-Loilier and Daniele Vignoli

2014: Disegno split-plot e superfici di risposta con effetti casuali

Rossella Berni

2014: Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy

Elena Pirani and Daniele Vignoli

2014: Is temporary employment damaging to health? A longitudinal study on Italian workers

Elena Pirani and Silvana Salvini

2014: Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning

Anna Gottard and Giorgio Calzolari

2014: Women’s employment makes unions more stable, if the male partners contribute to the unpaid household work

Letizia Mencarini and Daniele Vignoli

2014: Home Bitter Home? Gender, Living Arrangements, and the Exclusion from Home-Ownership among Older Europeans

Daniele Vignoli, Maria Letizia Tanturri and Francesco Acciai

2014: Self-Selection and Direct Estimation of Across-Regime Correlation Parameter

Giorgio Calzolari and Antonino Di Pino

2014: Forecasting Realized Volatility with Changes of Regimes

Giampiero Gallo and Edoardo Otranto

2014: Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas

2014: Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares

Francesco Calvori, Fabrizio Cipollini and Giampiero Gallo

2012: Volatility Swings in the US Financial Markets

Giampiero Gallo and Edoardo Otranto

2012: Realized Volatility and Change of Regimes

Giampiero Gallo and Edoardo Otranto

2011: Multiplicative Error Models

Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo

2010: Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas

2010: A Time-varying Mixing Multiplicative Error Model for Realized Volatility

Giovanni De Luca and Giampiero Gallo

2010: The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values

Giorgio Calzolari and Laura Neri

2009: Semiparametric vector MEM

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2009: Automated Variable Selection in Vector Multiplicative Error Models

Fabrizio Cipollini and Giampiero Gallo

2009: Intra-daily Volume Modeling and Prediction for Algorithmic Trading

Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo

2008: A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets

Robert Engle, Giampiero Gallo and Margherita Velucchi

2008: Comparison of Volatility Measures: a Risk Management Perspective

Christian Brownlees and Giampiero Gallo

2007: A Model for Multivariate Non-negative Valued Processes in Financial Econometrics

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

2007: Comparison of Volatility Measures: a Risk Management Perspective

Christian Brownlees and Giampiero Gallo

2007: Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Giampiero Gallo and Edoardo Otranto

2007: Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria

Christian Brownlees and Giampiero Gallo

2007: Regime Switching: Italian Financial Markets over a Century

Margherita Velucchi

2007: Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria

Christian Brownlees and Giampiero Gallo

2007: On the Interaction between Ultra–high Frequency Measures of Volatility

Giampiero Gallo and Margherita Velucchi