Gabriele Fiorentini
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Gabriele |
| last: |
Fiorentini |
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Affiliations
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Università degli Studi di Firenze
/ Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Research profile
author of:
- Fast ML estimation of dynamic bifactor models: an application to European inflation (RePEc:bde:wpaper:1525)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - A spectral EM algorithm for dynamic factor models (RePEc:bde:wpaper:1619)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - The rise and fall of the natural interest rate (RePEc:bde:wpaper:1822)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction (RePEc:bes:jnlbes:v:19:y:2001:i:4:p:455-64)
by Fiorentini, Gabriele & Planas, Christophe - Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations (RePEc:bes:jnlbes:v:21:y:2003:i:4:p:532-46)
by Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio - Bayesian Analysis of the Output Gap (RePEc:bes:jnlbes:v:26:y:2008:p:18-32)
by Planas, Christophe & Rossi, Alessandro & Fiorentini, Gabriele - Unobserved Components in ARCH Models: An Application to Seasonal Adjustment (RePEc:cmf:wpaper:wp1995_9509)
by Gabriele Fiorentini & Agustín Maravall - Analytic Derivatives and the Computation of GARCH Estimates (RePEc:cmf:wpaper:wp1995_9519)
by Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni - Non-Admissible Decompositions in Unobserved Components Models (RePEc:cmf:wpaper:wp1996_9613)
by Gabriele Fiorentini & Christophe Planas - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:cmf:wpaper:wp1996_9617)
by Gabriele Fiorentini & Enrique Sentana - Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada (RePEc:cmf:wpaper:wp1997_9709)
by Enrique Sentana & Gabriele Fiorentini - Constrained EMM and Indirect Inference Estimation. Versión Revisada (RePEc:cmf:wpaper:wp2000_0005)
by Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana - The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada (RePEc:cmf:wpaper:wp2000_0007)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Likelihood-Based Estimation of Latent Generalised ARCH Structures (RePEc:cmf:wpaper:wp2002_0204)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models (RePEc:cmf:wpaper:wp2003_0306)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Indirect Estimation of Conditionally Heteroskedastic Factor Models (RePEc:cmf:wpaper:wp2004_0409)
by Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini - On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models (RePEc:cmf:wpaper:wp2007_0713)
by Gabriele Fiorentini & Enrique Sentana - Dynamic Specification Tests for Static Factor Models (RePEc:cmf:wpaper:wp2009_0912)
by Gabriele Fiorentini & Enrique Sentana - Sequential Estimation of Shape Parameters in Multivariate Dynamic Models (RePEc:cmf:wpaper:wp2012_1201)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for Serial Dependence in Static, Non-Gaussian Factor Models (RePEc:cmf:wpaper:wp2012_1211)
by Gabriele Fiorentini & Enrique Sentana - Dynamic Specification Tests for Dynamic Factor Models (RePEc:cmf:wpaper:wp2013_1306)
by Gabriele Fiorentini & Enrique Sentana - Neglected Serial Correlation Tests in UCARIMA Models (RePEc:cmf:wpaper:wp2014_1406)
by Gabriele Fiorentini & Enrique Sentana - A Spectral EM Algorithm for Dynamic Factor Models (RePEc:cmf:wpaper:wp2014_1411)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation (RePEc:cmf:wpaper:wp2015_1502)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators (RePEc:cmf:wpaper:wp2018_1802)
by Gabriele Fiorentini & Enrique Sentana - Specification Tests for Non-Gaussian Maximum Likelihood Estimators (RePEc:cmf:wpaper:wp2018_1804)
by Gabriele Fiorentini & Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:cmf:wpaper:wp2018_1805)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - New Testing Approaches for Mean-Variance Predictability (RePEc:cmf:wpaper:wp2018_1814)
by Gabriele Fiorentini & Enrique Sentana - Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions (RePEc:cmf:wpaper:wp2020_2023)
by Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: A Common Trend Approach (RePEc:cmf:wpaper:wp2021_2101)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Moment tests of independent components (RePEc:cmf:wpaper:wp2021_2102)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:cmf:wpaper:wp2021_2103)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:cmf:wpaper:wp2021_2108)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - GDP Solera. The Ideal Vintage Mix (RePEc:cmf:wpaper:wp2022_2204)
by Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana - PML vs minimum χ 2 : the comeback (RePEc:cmf:wpaper:wp2022_2210)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian structural vector autoregressions (RePEc:cmf:wpaper:wp2022_2212)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - The information matrix test for Gaussian mixtures (RePEc:cmf:wpaper:wp2024_2401)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - A spectral EM algorithm for dynamic factor models (RePEc:cpr:ceprdp:10417)
by Sentana, Enrique & Galesi, Alessandro - Fast ML estimation of dynamic bifactor models: an application to European inflation (RePEc:cpr:ceprdp:10461)
by Sentana, Enrique & Galesi, Alessandro - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:cpr:ceprdp:12682)
by Sentana, Enrique & Fiorentini, Gabriele - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:cpr:ceprdp:12934)
by Sentana, Enrique & Fiorentini, Gabriele - The Rise and Fall of the Natural Interest Rate (RePEc:cpr:ceprdp:13042)
by Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique - New testing approaches for mean-variance predictability (RePEc:cpr:ceprdp:13426)
by Sentana, Enrique & Fiorentini, Gabriele - Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions (RePEc:cpr:ceprdp:15411)
by Sentana, Enrique & Fiorentini, Gabriele - Aggregate Output Measurements: A Common Trend Approach (RePEc:cpr:ceprdp:15758)
by Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele - GDP Solera: The Ideal Vintage Mix (RePEc:cpr:ceprdp:17196)
by Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique - Likelihood-Based Estimation of Latent Generalized ARCH Structures (RePEc:ecm:emetrp:v:72:y:2004:i:5:p:1481-1517)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Control variates for variance reduction in indirect inference: Interest rate models in continuous time (RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c100-c112)
by Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini - Skewness and kurtosis of multivariate Markov-switching processes (RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159)
by Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro - The marginal likelihood of dynamic mixture models (RePEc:eee:csdana:v:56:y:2012:i:9:p:2650-2662)
by Fiorentini, G. & Planas, C. & Rossi, A. - Alternative covariance estimators of the standard Tobit model (RePEc:eee:ecolet:v:42:y:1993:i:1:p:5-13)
by Calzolari, Giorgio & Fiorentini, Gabriele - On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models (RePEc:eee:ecolet:v:83:y:2004:i:3:p:307-312)
by Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio - Identification, estimation and testing of conditionally heteroskedastic factor models (RePEc:eee:econom:v:102:y:2001:i:2:p:143-164)
by Sentana, Enrique & Fiorentini, Gabriele - Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (RePEc:eee:econom:v:146:y:2008:i:1:p:10-25)
by Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele - Sequential estimation of shape parameters in multivariate dynamic models (RePEc:eee:econom:v:177:y:2013:i:2:p:233-249)
by Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique - A spectral EM algorithm for dynamic factor models (RePEc:eee:econom:v:205:y:2018:i:1:p:249-279)
by Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:eee:econom:v:213:y:2019:i:2:p:321-358)
by Fiorentini, Gabriele & Sentana, Enrique - New testing approaches for mean–variance predictability (RePEc:eee:econom:v:222:y:2021:i:1:p:516-538)
by Fiorentini, Gabriele & Sentana, Enrique - Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions (RePEc:eee:econom:v:235:y:2023:i:2:p:643-665)
by Fiorentini, Gabriele & Sentana, Enrique - Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market (RePEc:eee:empfin:v:9:y:2002:i:2:p:225-255)
by Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo - Likelihood-based estimation of latent generalised ARCH structures (RePEc:ehl:lserod:24852)
by Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil - Constrained indirect inference estimation (RePEc:ehl:lserod:25061)
by Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique - Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation (RePEc:eme:aecozz:s0731-905320150000035006)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Tests for Random Coefficient Variation in Vector Autoregressive Models (RePEc:eme:aecozz:s0731-90532022000044b001)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: A Common Trend Approach (RePEc:eme:aecozz:s0731-90532023000045b001)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Short-term options with stochastic volatility: Estimation and empirical performance (RePEc:fda:fdaeee:02)
by Gabriele Fiorentini & Angel León & Gonzalo Rubio - Aggregate Output Measurements: A Common Trend Approach (RePEc:fip:fednsr:90419)
by Gabriele Fiorentini & Martín Almuzara & Enrique Sentana - GDP Solera: The Ideal Vintage Mix (RePEc:fip:fednsr:94635)
by Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana - Indirect Estimation of Just-Identified Models with Control Variates (RePEc:fir:econom:quaderno46)
by Giorgio Calzolari & F. Di Iorio & G. Fiorentini - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:fir:econom:wp2018_01)
by Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:fir:econom:wp2018_05)
by Gabriele Fiorentini & Enrique Sentana - Dynamic specification tests for dynamic factor models (RePEc:fir:econom:wp2018_07)
by Gabriele Fiorentini & Enrique Sentana - New testing approaches for mean-variance predictability (RePEc:fir:econom:wp2019_01)
by Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: a Common Trend Approach (RePEc:fir:econom:wp2021_03)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:fir:econom:wp2021_07)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:fir:econom:wp2021_18)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Constrained Indirect Inference Estimation (RePEc:fmg:fmgdps:dp384)
by Gabriele Fiorentini & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH structures (RePEc:fmg:fmgdps:dp453)
by Neil Shephard & Gabriele Fiorentini & Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:frz:wpaper:wp2018_14.rdf)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - Constrained EMM and Indirect Inference Estimation (RePEc:fth:cemfdt:0005)
by Calzolari, G. & Fiorentini, G. & Sentana, E. - The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality (RePEc:fth:cemfdt:0007)
by Fiorentini, G. & Sentana, E. & Calzolari, G. - Unobserved Components in ARCH Models: An Application to Seasonal Adjustment (RePEc:fth:cemfdt:9509)
by Fiorentini, G. & Maravall, A. - Analytic Derivatives and the Computation of Garch Estimates (RePEc:fth:cemfdt:9519)
by Fiorentini,G. & Calzolari,G. & Panattoni,L. - Non-Admissible Decompositions in Unobserved Components Models (RePEc:fth:cemfdt:9613)
by Fiorentini, G & Planas, C - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:fth:cemfdt:9617)
by Fiorentini, G & Sentana, E - Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model (RePEc:fth:cemfdt:9709)
by Sentana, E. & Fiorentini, G. - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:ier:iecrev:v:39:y:1998:i:4:p:1101-18)
by Fiorentini, Gabriele & Sentana, Enrique - A tobit model with garch errors (RePEc:ivi:wpasad:1997-13)
by Gabriele Fiorentini & Giorgio Calzolari - Conditional means of time series processes and time series processes for conditional means (RePEc:ivi:wpasad:1997-17)
by Gabriele Fiorentini & Enrique Sentana Iváñez - Identification, estimation and testing of conditionally heteroskedastic factor models (RePEc:ivi:wpasad:1997-22)
by Gabriele Fiorentini & Enrique Sentana Iváñez - - Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time (RePEc:ivi:wpasad:1998-09)
by Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari - - Non-Admissibility And The Specification Of Unobserved Components Models (RePEc:ivi:wpasad:1998-10)
by Gabriele Fiorentini & Christophe Planas - Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance (RePEc:ivi:wpasad:2000-25)
by Ángel León & Gabriele Fiorentini & Gonzalo Rubio - Constrained Emm And Indirect Inference Estimation (RePEc:ivi:wpasad:2000-26)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality (RePEc:ivi:wpasad:2000-33)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Likelihood-Based Estimation Of Latent Generalised Arch Structures (RePEc:ivi:wpasad:2003-06)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Analytic Derivatives and the Computation of GARCH Estimates (RePEc:jae:japmet:v:11:y:1996:i:4:p:399-417)
by Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo - Indirect inference and variance reduction using control variates (RePEc:mtn:ancoec:2001:104)
by Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini - Likelihood-based estimation of latent generalised ARCH structures (RePEc:nuf:econwp:0219)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Constrained Indirect Estimation (RePEc:oup:restud:v:71:y:2004:i:4:p:945-973)
by Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH (RePEc:oxf:wpaper:2004-fe-02)
by Neil Shephard & Enrique Sentana & Gabriele Fiorentini - Estimating variances and covariances in a censored regression model (RePEc:pra:mprapa:22598)
by Calzolari, Giorgio & Fiorentini, Gabriele - Control variates for variance reduction in indirect inference: interest rate models in continuous time (RePEc:pra:mprapa:23160)
by Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele - Conditional heteroskedasticity in nonlinear simultaneous equations (RePEc:pra:mprapa:24428)
by Calzolari, Giorgio & Fiorentini, Gabriele - Alternative estimators of the covariance matrix in GARCH models (RePEc:pra:mprapa:24433)
by Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo - Dynamic Specification Tests for Static Factor Models (RePEc:rim:rimwps:04_10)
by Gabriele Fiorentini & Enrique Sentana - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:rim:rimwps:18-06)
by Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:rim:rimwps:18-22)
by Gabriele Fiorentini & Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:rim:rimwps:18-29)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - New testing approaches for mean-variance predictability (RePEc:rim:rimwps:19-01)
by Gabriele Fiorentini & Enrique Sentana - The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU (RePEc:rim:rimwps:21_08)
by Christophe Planas & Alessandro Rossi & Gabriele Fiorentini - Aggregate output measurements: a common trend approach (RePEc:rim:rimwps:21-02)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:rim:rimwps:21-12)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:rim:rimwps:21-21)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models (RePEc:rim:rimwps:38_07)
by Gabriele Fiorentini & Enrique Sentana - Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (RePEc:rim:rimwps:40_07)
by Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH structures (RePEc:sbs:wpsefe:2004fe02)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Moment tests of independent components (RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00247-3)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback (RePEc:spr:series:v:14:y:2023:i:3:d:10.1007_s13209-023-00280-4)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Neglected serial correlation tests in UCARIMA models (RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0132-3)
by Gabriele Fiorentini & Enrique Sentana - Identification of one independent shock in structural VARs (RePEc:ssa:lemwps:2024/28)
by Gabriele Fiorentini & Alessio Moneta & Francesca Papagni - A tobit model with garch errors (RePEc:taf:emetrv:v:17:y:1998:i:1:p:85-104)
by Giorgio Calzolari & Gabriele Fiorentini - Comment (RePEc:taf:jnlbes:v:32:y:2014:i:2:p:193-198)
by Gabriele Fiorentini & Enrique Sentana - GDP Solera: The Ideal Vintage Mix (RePEc:taf:jnlbes:v:42:y:2024:i:3:p:984-997)
by Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Marginal distribution of Markov-switching VAR processes (RePEc:taf:lstaxx:v:46:y:2017:i:13:p:6605-6623)
by Gabriele Fiorentini & Christophe Planas & Alessandro Rossi - Dynamic specification tests for dynamic factor models (RePEc:wly:japmet:v:34:y:2019:i:3:p:325-346)
by Gabriele Fiorentini & Enrique Sentana - Specification tests for non‐Gaussian maximum likelihood estimators (RePEc:wly:quante:v:12:y:2021:i:3:p:683-742)
by Gabriele Fiorentini & Enrique Sentana