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Stationarity and memory of ARCH(∞) models
Zaffaroni, Paolo - In: Econometric theory 20 (2004) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10001904870
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Whittle estimation of EGARCH and other exponential volatility models
Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-200
Persistent link: https://www.econbiz.de/10003877967
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Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo - In: Journal of financial econometrics 21 (2023) 2, pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
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Nonlinear time series with long memory : a model for stochastic volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000954585
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Eigenvalue ratio estimators for the number of common factors
Cavicchioli, Maddalena; Forni, Mario; Lippi, Marco; … - 2016
Persistent link: https://www.econbiz.de/10011544556
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Pseudo-maximum likelihood estimation of ARCH(∞) models
Robinson, Peter M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003164285
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(Fractional) beta convergence
Michelacci, Claudio; Zaffaroni, Paolo - 1998
Persistent link: https://www.econbiz.de/10000996557
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Gaussian estimation of long-range dependent volatility in asset prices
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000964422
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Beta convergence
Michelacci, Claudio; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000965945