Paolo Zaffaroni

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Inferential theory for generalized dynamic factor models Journal of Econometrics	2024-03-06	Paper
Robust Estimation of Large Panels with Factor Structures Journal of the American Statistical Association	2024-01-08	Paper
Dynamic factor models with infinite-dimensional factor spaces: one-sided representations	2021-02-06	Paper
Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis	2021-02-06	Paper
Dynamic factor models with infinite-dimensional factor space: asymptotic analysis Journal of Econometrics	2017-05-23	Paper
Whittle estimation of EGARCH and other exponential volatility models Journal of Econometrics	2016-07-18	Paper
A goodness-of-fit test for ARCH() models Journal of Econometrics	2016-05-27	Paper
A goodness-of-fit test for ARCH(\(\infty\)) models Journal of Econometrics	2016-05-27	Paper
Aggregation and memory of models of changing volatility Journal of Econometrics	2016-05-02	Paper
Long memory affine term structure models Journal of Econometrics	2015-12-18	Paper
Dynamic factor models with infinite-dimensional factor spaces: one-sided representations Journal of Econometrics	2015-05-06	Paper
Contemporaneous aggregation of linear dynamic models in large economies Journal of Econometrics	2014-03-07	Paper
On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models Econometric Theory	2013-08-22	Paper
Large-scale volatility models: theoretical properties of professionals’ practice Journal of Time Series Analysis	2010-04-22	Paper
Contemporaneous aggregation of GARCH processes Journal of Time Series Analysis	2007-12-16	Paper
Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models The Annals of Statistics	2006-08-24	Paper
STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS Econometric Theory	2004-09-07	Paper
scientific article; zbMATH DE number 1944322 (Why is no real title available?)	2003-12-15	Paper
Gaussian inference on certain long-range dependent volatility models Journal of Econometrics	2003-08-07	Paper
Nonlinear time series with long memory: A model for stochastic volatility Journal of Statistical Planning and Inference	2000-06-13	Paper
scientific article; zbMATH DE number 970191 (Why is no real title available?)	1997-03-11	Paper

Research outcomes over time

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