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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - London School of Economics (LSE) - 2001
Persistent link: https://www.econbiz.de/10010884724
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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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Le parità internazionali : verifica empirica ed implicazioni nel caso dello SME
Zaffaroni, Paolo - In: Annali della Fondazione Luigi Einaudi onlus 27 (1994), pp. 103-152
Persistent link: https://www.econbiz.de/10001178208
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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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Contemporaneous aggregation of linear dynamic models in large economies
Zaffaroni, Paolo - In: Journal of econometrics 120 (2004) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10001998874
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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/10003401656
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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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Gaussian inference on certain long-range dependent volatility models
Zaffaroni, Paolo - 2003
Persistent link: https://www.econbiz.de/10013439331
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Robust covariance matrix estimation : "HAC" estimates with long memory/antipersistence correction
Robinson, Peter M. - 2004
Persistent link: https://www.econbiz.de/10002034300