Zobrazeno 1 - 10
of 107
pro vyhledávání: '"Zaffaroni, Paolo"'
Publikováno v:
In Journal of Econometrics February 2024 239(2)
Autor:
Avarucci, Marco, Zaffaroni, Paolo
This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor structure. Our theory is (nearly) efficient, because based on the GLS
Externí odkaz:
http://arxiv.org/abs/1902.11181
Publikováno v:
The Review of Financial Studies, 2020 Jun 01. 33(6), 2796-2842.
Externí odkaz:
https://www.jstor.org/stable/48574405
Autor:
Wu, Wei Biao, Zaffaroni, Paolo
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained under mild and easily verifiable conditions. Our theory complements earlie
Externí odkaz:
http://arxiv.org/abs/1505.03659
Autor:
Zaffaroni, Paolo
The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267306
Autor:
Wu, Wei Biao, Zaffaroni, Paolo
Publikováno v:
Econometric Theory, 2018 Feb 01. 34(1), 1-22.
Externí odkaz:
https://www.jstor.org/stable/26613551
Autor:
Robinson, Peter M., Zaffaroni, Paolo
Publikováno v:
Annals of Statistics 2006, Vol. 34, No. 3, 1049-1074
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH$(\infty)$ processes are established. The conditions are shown to hold in case of exponential and hyperbolic decay
Externí odkaz:
http://arxiv.org/abs/math/0607798
Autor:
Zaffaroni, Paolo
Publikováno v:
Econometric Theory, 2004 Feb 01. 20(1), 147-160.
Externí odkaz:
https://www.jstor.org/stable/3533507
Publikováno v:
In Journal of Econometrics July 2017 199(1):74-92
Autor:
Avarucci, Marco1 (AUTHOR), Zaffaroni, Paolo2,3 (AUTHOR) p.zaffaroni@imperial.ac.uk
Publikováno v:
Journal of the American Statistical Association. Dec2023, Vol. 118 Issue 544, p2394-2405. 12p.