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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series"
~isPartOf:"CREATES research paper"
~language:"eng"
~person:"Amaya, Diego"
~person:"Cavaliere, Giuseppe"
~person:"Fernández-Villaverde, Jesús"
~person:"Grassi, Stefano"
~person:"Haldrup, Niels"
~person:"Violante, Francesco"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Faktorenanalyse"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
~type_genre:"Amtsdruckschrift"
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Amaya, Diego
Cavaliere, Giuseppe
Fernández-Villaverde, Jesús
Grassi, Stefano
Haldrup, Niels
Violante, Francesco
Nielsen, Morten Ørregaard
8
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6
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ECONIS (ZBW)
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Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012487978
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
The transmission mechanism of quantitative easing : a Markov-switching FAVAR approach
Corrado, Luisa
;
Grassi, Stefano
;
Minnella, Enrico
-
2021
Persistent link: https://www.econbiz.de/10013256350
Saved in:
4
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
5
A parametric factor model of the term structure of mortality
Haldrup, Niels
;
Rosenskjold, Carsten P. T.
-
2018
Persistent link: https://www.econbiz.de/10011797536
Saved in:
6
Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2017
Persistent link: https://www.econbiz.de/10011624137
Saved in:
7
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
8
Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels
;
Valdés, J. Eduardo Vera
-
2015
Persistent link: https://www.econbiz.de/10011409110
Saved in:
9
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
10
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
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