Follow
Paolo Zaffaroni
Paolo Zaffaroni
Professor of Financial Econometrics
Verified email at imperial.ac.uk
Title
Cited by
Cited by
Year
Contemporaneous aggregation of linear dynamic models in large economies
P Zaffaroni
Journal of Econometrics 120 (1), 75-102, 2004
2372004
(Fractional) beta convergence
C Michelacci, P Zaffaroni
Journal of Monetary Economics 45 (1), 129-153, 2000
1612000
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
1462015
Can aggregation explain the persistence of inflation?
F Altissimo, B Mojon, P Zaffaroni
Journal of Monetary Economics 56 (2), 231-241, 2009
1392009
The long-range dependence paradigm for macroeconomics and finance
M Henry, P Zaffaroni
Theory and applications of long-range dependence, 417-438, 2003
1372003
Pseudo-maximum likelihood estimation of ARCH (∞) models
PM Robinson, P Zaffaroni
1182006
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
1052017
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
1001998
Fast micro and slow macro: can aggregation explain the persistence of inflation?
F Altissimo, B Mojon, P Zaffaroni
FRB of Chicago Working Paper, 2007
952007
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
922009
Modelling nonlinearity and long memory in time series
PM Robinson, P Zaffaroni
Suntory and Toyota International Centres for Economics and Related Disciplines, 1997
831997
Stationarity and memory of ARCH (∞) models
P Zaffaroni
Econometric theory 20 (1), 147-160, 2004
822004
Whittle estimation of EGARCH and other exponential volatility models
P Zaffaroni
Journal of econometrics 151 (2), 190-200, 2009
572009
Testing beta-pricing models using large cross-sections
V Raponi, C Robotti, P Zaffaroni
The Review of Financial Studies 33 (6), 2796-2842, 2020
502020
A goodness-of-fit test for ARCH (∞) models
J Hidalgo, P Zaffaroni
Journal of econometrics 141 (2), 973-1013, 2007
442007
Gaussian inference on certain long-range dependent volatility models
P Zaffaroni, B d'Italia
Journal of econometrics 115 (2), 199-258, 2003
422003
Contemporaneous aggregation of GARCH processes
P Zaffaroni
Journal of Time Series Analysis 28 (4), 521-544, 2007
402007
Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
MH Pesaran, P Zaffaroni
Available at SSRN 642681, 2004
402004
Aggregation and memory of models of changing volatility
P Zaffaroni
Journal of Econometrics 136 (1), 237-249, 2007
392007
Long memory affine term structure models
A Goliński, P Zaffaroni
Journal of Econometrics 191 (1), 33-56, 2016
362016
The system can't perform the operation now. Try again later.
Articles 1–20