Gabriele Fiorentini

Universita di Firenze - Dipartimento di Statistica

Viale Morgagni, 59

50134 Firenze

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

574

CITATIONS
Rank 10,938

SSRN RANKINGS

Top 10,938

in Total Papers Citations

38

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 (83,101)
Citation 4

Abstract:

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 (98,168)
Citation 33

Abstract:

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)

Abstract:

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

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 12 (502,599)

Abstract:

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)
Downloads 0

Abstract:

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

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 13 (502,599)

Abstract:

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)
Downloads 0

Abstract:

Indirect inference, Kalman filter, Sectoral employment, 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 (553,475)
Citation 1

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract: