Zobrazeno 1 - 10
of 52
pro vyhledávání: '"Gabriele Fiorentini"'
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications ISBN: 9781837532131
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dcdb573179ad4b6fe944b851d99445a1
https://doi.org/10.1108/s0731-90532023000045b001
https://doi.org/10.1108/s0731-90532023000045b001
Autor:
Gabriele Fiorentini, Enrique Sentana
Publikováno v:
Journal of Econometrics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::394e07543d5c11b5d8a2c84e93e33975
https://doi.org/10.1016/j.jeconom.2022.02.010
https://doi.org/10.1016/j.jeconom.2022.02.010
Autor:
Enrique Sentana, Gabriele Fiorentini
Publikováno v:
Journal of Econometrics. 222:516-538
We propose tests for smooth but persistent serial correlation in risk premia and volatilities that exploit the non-normality of financial returns. Our parametric tests are robust to distributional misspecification, while our semiparametric tests are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e056b5572411702983954e4c7a7601b6
https://doi.org/10.1016/j.jeconom.2020.07.014
https://doi.org/10.1016/j.jeconom.2020.07.014
Autor:
Gabriele Fiorentini, Enrique Sentana
Publikováno v:
Quantitative Economics. 12:683-742
We propose generalized DWH specification tests which simultaneously compare three or more likelihood‐based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empiric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::404652b4dfef5be2832bcc3bd42489eb
https://doi.org/10.3982/qe1406
https://doi.org/10.3982/qe1406
Autor:
Enrique Sentana, Gabriele Fiorentini
Publikováno v:
Journal of Econometrics. 213:321-358
We characterise the mean and variance parameters that distributionally misspecified maximum likelihood estimators can consistently estimate in multivariate conditionally heteroskedastic dynamic regression models. We also provide simple closed-form co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94c5ca6b4f6770286486c663e649ac60
https://doi.org/10.1016/j.jeconom.2019.05.017
https://doi.org/10.1016/j.jeconom.2019.05.017
We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f165480510fa06c520910d5425835f5e
http://hdl.handle.net/2158/1247453
http://hdl.handle.net/2158/1247453
Publikováno v:
SSRN Electronic Journal.
We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b898a190eba999d74c5b91005ba0b1cd
https://doi.org/10.2139/ssrn.3812546
https://doi.org/10.2139/ssrn.3812546
Publikováno v:
Computational Statistics & Data Analysis. 100:153-159
Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4770b8bb41619ca74f328e5e4ba5d43d
https://doi.org/10.1016/j.csda.2015.06.009
https://doi.org/10.1016/j.csda.2015.06.009
Publikováno v:
SSRN Electronic Journal.
We document a rise and fall of the natural interest rate (r*) for several advanced economies, which starts increasing in the 1960’s and peaks around the end of the 1980’s. We reach this conclusion after showing that the Laubach and Williams (2003
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e9fe9477b01537204f7ea969e2da3423
https://doi.org/10.2139/ssrn.3214487
https://doi.org/10.2139/ssrn.3214487