Access Statistics for Gabriele Fiorentini

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME 0 0 0 19 0 0 1 87
- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 1 10 0 0 3 55
A Spectral EM Algorithm for Dynamic Factor Models 0 0 0 42 0 0 0 49
A spectral EM algorithm for dynamic factor models 0 0 0 33 0 0 2 66
A spectral EM algorithm for dynamic factor models 0 0 0 25 0 1 2 56
A tobit model with garch errors 0 0 0 108 0 2 5 320
Aggregate Output Measurements: A Common Trend Approach 0 0 1 4 0 0 6 14
Aggregate Output Measurements: A Common Trend Approach 0 0 0 2 0 0 3 18
Aggregate Output Measurements: A Common Trend Approach 0 0 1 4 0 1 2 14
Aggregate Output Measurements: a Common Trend Approach 0 0 1 26 0 1 4 25
Aggregate output measurements: a common trend approach 1 1 1 7 1 1 4 28
Alternative estimators of the covariance matrix in GARCH models 0 0 0 32 0 1 2 178
Analytic Derivatives and the Computation of GARCH Estimates 0 0 0 0 1 1 3 23
Analytic Derivatives and the Computation of Garch Estimates 0 0 0 5 0 0 2 1,240
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 22 0 0 0 83
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 0 931
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 7 29
Conditional heteroskedasticity in nonlinear simultaneous equations 0 0 0 13 0 0 0 82
Conditional means of time series processes and time series processes for conditional means 0 0 3 24 0 3 11 159
Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators 0 0 0 17 0 0 0 36
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 5 0 0 3 32
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 23 0 0 1 24
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 17 0 2 3 59
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 3 409
Constrained EMM and Indirect Inference Estimation. Versión Revisada 0 0 0 0 0 0 0 6
Constrained Indirect Inference Estimation 0 0 0 99 0 0 0 269
Constrained indirect inference estimation 0 0 0 1 0 0 0 10
Control variates for variance reduction in indirect inference: interest rate models in continuous time 0 0 0 17 0 0 4 126
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions 0 1 1 2 0 1 3 16
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions 0 3 11 43 0 7 24 52
Dynamic Specification Tests for Dynamic Factor Models 0 0 0 59 0 0 7 122
Dynamic Specification Tests for Static Factor Models 0 0 0 66 0 0 3 241
Dynamic Specification Tests for Static Factor Models 0 0 1 42 0 0 4 106
Dynamic specification tests for dynamic factor models 0 0 1 11 0 2 6 41
Estimating variances and covariances in a censored regression model 0 0 0 31 0 0 5 117
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 0 37 0 0 2 94
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 53 0 0 1 36
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 9 0 0 1 48
GDP Solera. The Ideal Vintage Mix 1 6 15 15 1 9 16 16
GDP Solera: The Ideal Vintage Mix 0 0 0 0 0 0 1 1
GDP Solera: The Ideal Vintage Mix 1 1 1 1 5 5 5 5
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 1 5 884
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada 0 0 0 0 0 0 1 5
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 0 34 0 0 0 110
Indirect Estimation of Conditionally Heteroskedastic Factor Models 0 0 0 195 0 0 1 567
Indirect Estimation of Just-Identified Models with Control Variates 0 0 0 21 0 0 3 145
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 2 2 3 9 37
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 0 0 0 140
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 0 2 20
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 0 16
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 0 0 307
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 0 0 0 39
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 0 1 245
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 159 0 0 1 481
Moment tests of independent components 0 0 6 27 0 3 21 38
Multivariate Hermite polynomials and information matrix tests 0 0 1 1 0 0 3 5
Multivariate Hermite polynomials and information matrix tests 0 1 3 15 1 7 15 24
Multivariate Hermite polynomials and information matrix tests 0 1 4 7 0 2 8 9
Neglected Serial Correlation Tests in UCARIMA Models 0 0 0 36 0 0 3 53
New Testing Approaches for Mean-Variance Predictability 0 0 0 5 0 0 3 24
New testing approaches for mean-variance predictability 0 0 1 11 0 0 2 31
New testing approaches for mean-variance predictability 0 0 0 54 0 1 3 93
New testing approaches for mean-variance predictability 0 0 0 18 0 1 9 39
Non-Admissible Decompositions in Unobserved Components Models 0 0 0 0 0 1 3 8
Non-Admissible Decompositions in Unobserved Components Models 0 0 0 0 0 1 1 502
On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 46 0 0 3 195
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models 0 0 1 1 0 1 2 8
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 0 4 0 0 1 35
SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE 0 0 0 54 0 0 1 152
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 0 1 144
Short-term options with stochastic volatility: Estimation and empirical performance 0 0 0 307 0 0 3 857
Specification Tests for Non-Gaussian Maximum Likelihood Estimators 0 0 0 4 0 0 0 14
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 10 0 0 3 37
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 44 0 0 2 41
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 34 0 0 1 21
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 17 0 0 3 103
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 0 1 100
Tests for random coefficient variation in vector autoregressive models 0 0 3 3 0 0 6 6
Tests for random coefficient variation in vector autoregressive models 0 2 54 54 0 3 28 28
Tests for random coefficient variation in vector autoregressive models 0 0 7 7 0 3 13 13
The Rise and Fall of the Natural Interest Rate 0 0 0 32 0 1 3 59
The Rise and Fall of the Natural Interest Rate 0 2 10 103 1 7 39 244
The Rise and Fall of the Natural Interest Rate 0 1 3 105 0 2 6 176
The Rise and Fall of the Natural Interest Rate 0 0 7 84 1 7 31 151
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 0 5 565
The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada 0 0 1 1 0 0 1 6
The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU 0 0 0 1 0 1 3 24
The rise and fall of the natural interest rate 2 3 9 67 3 6 25 134
Unobserved Components in ARCH Models: An Application to Seasonal Adjustment 0 0 0 0 0 0 1 11
Unobserved Components in ARCH Models: An Application to Seasonal Adjustment 0 0 0 0 0 0 0 378
Total Working Papers 5 22 148 2,790 16 88 425 12,647


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A spectral EM algorithm for dynamic factor models 1 2 3 7 1 3 8 42
A tobit model with garch errors 0 0 4 110 0 0 9 368
Alternative covariance estimators of the standard Tobit model 0 0 0 27 0 0 1 97
Analytic Derivatives and the Computation of GARCH Estimates 0 0 1 733 0 1 6 1,370
Bayesian Analysis of the Output Gap 1 1 2 162 2 2 6 339
Comment 0 0 0 6 0 1 5 29
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 1 340
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 0 0 0 1 15
Constrained Indirect Estimation 0 0 1 75 0 0 1 278
Control variates for variance reduction in indirect inference: Interest rate models in continuous time 0 0 0 0 0 0 0 911
Dynamic specification tests for dynamic factor models 0 0 2 8 0 0 8 44
Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market 1 2 6 530 1 2 12 1,195
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 13 207 2 3 27 423
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 42 1 1 8 130
Indirect inference and variance reduction using control variates 0 0 0 56 0 0 2 181
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 0 1 626
Marginal distribution of Markov-switching VAR processes 0 0 0 0 0 0 0 4
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 2 9 766
Moment tests of independent components 0 0 0 0 1 1 1 1
Neglected serial correlation tests in UCARIMA models 0 0 0 3 0 0 1 41
New testing approaches for mean–variance predictability 0 0 2 2 0 0 6 10
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 1 5 1,199
Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction 0 0 0 0 0 2 3 327
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 37 0 0 1 170
Skewness and kurtosis of multivariate Markov-switching processes 0 0 1 4 1 1 6 33
Specification tests for non‐Gaussian maximum likelihood estimators 0 0 0 1 0 1 6 10
The marginal likelihood of dynamic mixture models 0 0 0 25 0 1 3 86
Total Journal Articles 3 5 35 2,411 10 22 137 9,035


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 0 1 0 0 1 24
Total Chapters 0 0 0 1 0 0 1 24


Statistics updated 2022-09-05