Gabriele Fiorentini

Universita di Firenze - Dipartimento di Statistica

Viale Morgagni, 59

50134 Firenze

Italy

SCHOLARLY PAPERS

13

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802

SSRN CITATIONS
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in Total Papers Citations

54

CROSSREF CITATIONS

213

Scholarly Papers (13)

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 301 (102,881)
Citation 3

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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 266 (116,848)
Citation 12

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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

3.
Downloads 192 (161,506)
Citation 54

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 30 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 123 (235,206)
Citation 29

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natural rate of interest, Kalman filter, observability, demographics

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 19 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 68 (346,416)
Citation 25

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natural rate of interest, Kalman fi lter, observability, demographics.

The Rise and Fall of the Natural Interest Rate

CEPR Discussion Paper No. DP13042
Number of pages: 73 Posted: 16 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
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demographics, Kalman filter, Natural rate of interest, observability

4.
Downloads 26 (499,376)
Citation 2

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 26 (514,212)
Citation 3

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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 16 (579,201)
Citation 43

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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

6.

New Testing Approaches for Mean-Variance Predictability

CEPR Discussion Paper No. DP13426
Number of pages: 94 Posted: 11 Jan 2019
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (665,297)
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Financial forecasting, Misspecification, Moment tests, robustness, volatility

7.

Specification Tests for Non-Gaussian Maximum Likelihood Estimators

CEPR Discussion Paper No. DP12934
Number of pages: 74 Posted: 21 May 2018
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
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Durbin-Wu-Hausman Tests, Partial Adaptivity, Semiparametric Estimators, Singular Covariance Matrices

8.

Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators

CEPR Discussion Paper No. DP12682
Number of pages: 74 Posted: 05 Feb 2018
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
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consistency, efficiency, Misspecification

9.

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
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Efficient Monte Carlo, Variance reduction techniques, Control variates, Indirect inference, Euler discretization, Short‐term interest rate, Stochastic differential equation

10.

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

11.

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

Abstract:

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Kurtosis, Inequality Constraints, ARCH, Financial Returns.

12.

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

Abstract:

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13.

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
European University Institute - Economics Department (ECO), Istituto Nazionale di Statistica and Universita di Firenze - Dipartimento di Statistica

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