Paolo Zaffaroni
Paolo Zaffaroni
Professor of Financial Econometrics
Adresse e-mail validée de imperial.ac.uk
Titre
Citée par
Citée par
Année
New Keynesian models, durable goods, and collateral constraints
T Monacelli
Journal of Monetary Economics 56 (2), 242-254, 2009
3532009
Contemporaneous aggregation of linear dynamic models in large economies
P Zaffaroni
Journal of Econometrics 120 (1), 75-102, 2004
2242004
The long-range dependence paradigm for macroeconomics and finance
M Henry, P Zaffaroni
Theory and applications of long-range dependence, 417-438, 2003
1362003
(Fractional) beta convergence
C Michelacci, P Zaffaroni
Journal of Monetary Economics 45 (1), 129-153, 2000
1252000
Can aggregation explain the persistence of inflation?
F Altissimo, B Mojon, P Zaffaroni
Journal of Monetary Economics 56 (2), 231-241, 2009
1192009
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
M Forni, M Hallin, M Lippi, P Zaffaroni
Journal of econometrics 185 (2), 359-371, 2015
1042015
Pseudo-maximum likelihood estimation of ARCH (∞) models
PM Robinson, P Zaffaroni
Annals of Statistics 34 (3), 1049-1074, 2006
1012006
Fast micro and slow macro: can aggregation explain the persistence of inflation?
F Altissimo, B Mojon, P Zaffaroni
FRB of Chicago Working Paper, 2007
942007
Nonlinear time series with long memory: a model for stochastic volatility
PM Robinson, P Zaffaroni
Journal of Statistical Planning and Inference 68 (2), 359-371, 1998
911998
Nonlinear time series with long memory: a model for stochastic volatility
PM Robinson, P Zaffaroni
Journal of Statistical Planning and Inference 68 (2), 359-371, 1998
911998
Model averaging in risk management with an application to futures markets
MH Pesaran, C Schleicher, P Zaffaroni
Journal of Empirical Finance 16 (2), 280-305, 2009
862009
Modelling nonlinearity and long memory in time series
PM Robinson, P Zaffaroni
Suntory and Toyota International Centres for Economics and Related Disciplines, 1997
751997
Stationarity and memory of ARCH (∞) models
P Zaffaroni
Econometric theory, 147-160, 2004
742004
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
M Forni, M Hallin, M Lippi, P Zaffaroni
Journal of Econometrics 199 (1), 74-92, 2017
562017
Whittle estimation of EGARCH and other exponential volatility models
P Zaffaroni
Journal of econometrics 151 (2), 190-200, 2009
502009
Contemporaneous aggregation of GARCH processes
P Zaffaroni
Journal of Time Series Analysis 28 (4), 521-544, 2007
412007
Gaussian inference on certain long-range dependent volatility models
P Zaffaroni, B d'Italia
Journal of econometrics 115 (2), 199-258, 2003
402003
Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
MH Pesaran, P Zaffaroni
CESifo Working Paper Series, 2004
382004
Aggregation and memory of models of changing volatility
P Zaffaroni
Journal of Econometrics 136 (1), 237-249, 2007
362007
A goodness-of-fit test for ARCH (∞) models
J Hidalgo, P Zaffaroni
Journal of econometrics 141 (2), 973-1013, 2007
342007
Le système ne peut pas réaliser cette opération maintenant. Veuillez réessayer plus tard.
Articles 1–20