Zobrazeno 1 - 10
of 224
pro vyhledávání: '"PARUOLO PAOLO"'
This paper proposes a novel canonical correlation analysis for semiparametric inference in $I(1)/I(0)$ systems via functional approximation. The approach can be applied coherently to panels of $p$ variables with a generic number $s$ of stochastic tre
Externí odkaz:
http://arxiv.org/abs/2411.19572
Publikováno v:
In Economic Modelling September 2023 126
Publikováno v:
In Journal of Econometrics August 2023 235(2):470-483
Publikováno v:
In Econometrics and Statistics October 2023
This paper derives the analytic form of the $h$-step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The contributions of the paper consists both in the derivation of the anal
Externí odkaz:
http://arxiv.org/abs/1812.08409
Autor:
Franchi, Massimo, Paruolo, Paolo
Publikováno v:
Econom. Theory 36 (2020) 803-839
This paper defines the class of $\mathcal{H}$-valued autoregressive (AR) processes with a unit root of finite type, where $\mathcal{H}$ is an infinite dimensional separable Hilbert space, and derives a generalization of the Granger-Johansen Represent
Externí odkaz:
http://arxiv.org/abs/1712.07522
Publikováno v:
The Sustainability of Health Care Systems in Europe
This paper investigates variable-selection procedures in regression that make use of global sensitivity analysis. The approach is combined with existing algorithms and it is applied to the time series regression designs proposed by Hoover and Perez.
Externí odkaz:
http://arxiv.org/abs/1401.5617
Composite indicators aggregate a set of variables using weights which are understood to reflect the variables' importance in the index. In this paper we propose to measure the importance of a given variable within existing composite indicators via Ka
Externí odkaz:
http://arxiv.org/abs/1104.3009
Autor:
Martelli, Simone, Janssens-Maenhout, Greet, Paruolo, Paolo, Bréchet, Thierry, Strobl, Eric, Guizzardi, Diego, Cerutti, Alessandro K., Iancu, Andreea
Publikováno v:
In Ecological Economics February 2018 144:27-35