Gabriele Fiorentini

Universita di Firenze - Dipartimento di Statistica

Viale Morgagni, 59

50134 Firenze

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

578

CITATIONS
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39

Scholarly Papers (9)

1.

On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

CEMFI Working Paper No. 0306
Number of pages: 14 Posted: 19 Apr 2003
Gabriele Fiorentini, Enrique Sentana and Giorgio Calzolari
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica
Downloads 294 (88,122)
Citation 4

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Skewness, Kurtosis, ARCH, Moment Tests

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

CEMFI Working Paper 9709
Number of pages: 42 Posted: 02 Feb 1998
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 253 (103,871)
Citation 34

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Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

Journal of Econometrics, Vol. 102, No. 2, pp. 143-164, June 2001
Posted: 15 Oct 2001
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)

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Volatility, Likelihood estimation, APT, Simultaneous equations, Vector autoregressions

A Spectral EM Algorithm for Dynamic Factor Models

Banco de Espana Working Paper No. 1619
Number of pages: 62 Posted: 01 Oct 2016
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 16 (500,260)

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indirect inference, Kalman filter, sectoral employment, spectral maximum likelihood, Wiener-Kolmogorov filter

A Spectral EM Algorithm for Dynamic Factor Models

CEPR Discussion Paper No. DP10417
Number of pages: 45 Posted: 17 Feb 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
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Indirect inference, Kalman filter, Sectoral employment, Spectral maximum likelihood, Wiener-Kolmogorov filter

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation

Banco de Espana Working Paper No. 1525
Number of pages: 64 Posted: 22 Sep 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 13 (517,914)

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Euro area, inflation convergence, spectral maximum likelihood, Wiener-Kolmogorov filter

Fast Ml Estimation of Dynamic Bifactor Models: An Application to European Inflation

CEPR Discussion Paper No. DP10461
Number of pages: 54 Posted: 02 Mar 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
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euro area, inflation convergence, spectral maximum likelihood, Wiener-Kolmogorov filter

5.

Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time

The Econometrics Journal, Vol. 1, Issue 1, pp. 100-112, 1998
Number of pages: 13 Posted: 24 Sep 2014
Giorgio Calzolari, Francesca Di Iorio and Gabriele Fiorentini
Universita di Firenze - Dipartimento di Statistica, Istituto Nazionale di Statistica and Universita di Firenze - Dipartimento di Statistica
Downloads 0 (580,787)
Citation 1
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Efficient Monte Carlo, Variance reduction techniques, Control variates, Indirect inference, Euler discretization, Short‐term interest rate, Stochastic differential equation

6.

Likelihood-Based Estimation of Latent Generalised Arch Structures

CEMFI Working Paper No. 0204
Posted: 22 Nov 2002
Gabriele Fiorentini, Enrique Sentana and Neil Shephard
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Harvard University

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Bayesian inference, Dynamic heteroskedasticity, Factor models, Makov chain Monte Carlo, Simulated EM algorithm, Volatility

7.

The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an Lm Test for Multivariate Normality

CEMFI Working Paper No. 0007
Posted: 17 Jan 2001
Enrique Sentana, Gabriele Fiorentini and Giorgio Calzolari
Centro de Estudios Monetarios y Financieros (CEMFI), Universita di Firenze - Dipartimento di Statistica and Universita di Firenze - Dipartimento di Statistica

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Kurtosis, Inequality Constraints, ARCH, Financial Returns.

8.

Constrained Emm and Indirect Inference Estimation

CEMFI Working Paper No. 0005
Posted: 03 May 2000
Giorgio Calzolari, Enrique Sentana and Gabriele Fiorentini
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica

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9.

Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time

The Econometrics Journal, Vol. 1, 1998
Posted: 08 Apr 1999
Giacomo Calzolari, Francesca Di Iorio and Gabriele Fiorentini
University of Bologna, Istituto Nazionale di Statistica and Universita di Firenze - Dipartimento di Statistica

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