Similar Search Results

Dynamic factor models with infinite-dimensional factor space : asymptotic analysis

Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - 2015

Persistent link: https://www.econbiz.de/10011289241

Eigenvalue ratio estimators for the number of common factors

Cavicchioli, Maddalena; Forni, Mario; Lippi, Marco; … - 2016

Persistent link: https://www.econbiz.de/10011544556

Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management

Pesaran, M. Hashem; Zaffaroni, Paolo - 2005

Persistent link: https://www.econbiz.de/10003224850

Testing beta-pricing models using large cross-sections

Raponi, Valentina; Robotti, Cesare; Zaffaroni, Paolo - In: The review of financial studies 33 (2020) 6, pp. 2796-2842

Persistent link: https://www.econbiz.de/10012244829

Long memory affine term structure models

Goliński, Adam; Zaffaroni, Paolo - In: Journal of econometrics 191 (2016) 1, pp. 33-56

Persistent link: https://www.econbiz.de/10011594312

Asymptotic theory for spectral density estimates of general multivariate time series

Wu, Wei Biao; Zaffaroni, Paolo - In: Econometric theory 34 (2018) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011950919

Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis

Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 199 (2017) 1, pp. 74-92

Persistent link: https://www.econbiz.de/10011818962

The main business cycle shock(s) : frequency-band estimation of the number of dynamic factors

Avarucci, Marco; Cavicchioli, Maddalena; Forni, Mario; … - 2022

Persistent link: https://www.econbiz.de/10013188777

Whittle estimation of EGARCH and other exponential volatility models

Zaffaroni, Paolo - In: Journal of Econometrics 151 (2009) 2, pp. 190-200

The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Our main focus here are the EGARCH model of [Nelson, D. 1991. Conditional heteroscedasticity in asset pricing: A new approach. Econometrica...

Persistent link: https://www.econbiz.de/10005022931

Aggregation and memory of models of changing volatility

Zaffaroni, Paolo - In: Journal of Econometrics 136 (2007) 1, pp. 237-249

Persistent link: https://www.econbiz.de/10005285609