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Publications

by members of

Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Università degli Studi di Firenze
Firenze, Italy

(Department of Statistics, University of Florence))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2014

  1. Giorgio Calzolari & Antonino Di Pino, 2014. "Self-Selection and Direct Estimation of Across-Regime Correlation Parameter," Econometrics Working Papers Archive 2014_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo, 2014. "Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares," Econometrics Working Papers Archive 2014_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  3. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  4. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.

2013

  1. Giorgio Calzolari & Laura Magazzini, 2013. "A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence," Working Papers 14/2013, University of Verona, Department of Economics.
  2. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  3. Giusti, Antonio & Grassini, Laura & Viviani, Alessandro, 2013. "Information sources on tourism demand: a comparison," MPRA Paper 48572, University Library of Munich, Germany.
  4. Giusti, Antonio & Viviani, Alessandro, 2013. "Social diversity: a look at tourism," MPRA Paper 49671, University Library of Munich, Germany.

2012

  1. Laura Magazzini & Giorgio Calzolari, 2012. "Identification of linear panel data models when instruments are not available," Working Papers 06/2012, University of Verona, Department of Economics.
  2. Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 36765, University Library of Munich, Germany.
  3. Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
  4. E. Otranto, 2012. "The Markov Switching Asymmetric Multiplicative Error Model," Working Paper CRENoS 201205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  5. Giampiero M. Gallo & Edoardo Otranto, 2012. "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive 2012_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  6. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  8. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  9. Bartolucci, Francesco & Grilli, Leonardo & Pieroni, Luca, 2012. "Estimating dynamic causal effects with unobserved confounders: a latent class version of the inverse probability weighted estimator," MPRA Paper 43430, University Library of Munich, Germany.
  10. Doretti, Marco, 2012. "Modelli di scoring per il rischio paese
    [Scoring models for country risk]
    ," MPRA Paper 38898, University Library of Munich, Germany.
  11. Giorgia Giovannetti, Marco Sanfilippo and Margherita Velucchi, 2012. "The impact of China on manufacturing exports of Italy and Germany," RSCAS Working Papers 2012/26, European University Institute.
  12. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  13. Silvia Podetti, 2012. "La “migrazione produttiva” delle imprese italiane in Romania: analisi empirica e implicazioni per le politiche di sistema," Working Papers 1209, c.MET-05 - Centro interuniversitario di Economia Applicata alle Politiche per L'industria, lo Sviluppo locale e l'Internazionalizzazione.

2011

  1. Giorgio Calzolari & Laura Magazzini, 2011. "Moment Conditions and Neglected Endogeneity in Panel Data Models," Working Papers 02/2011, University of Verona, Department of Economics.
  2. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
  3. Giorgia Giovannetti & Marco Sanfilippo & Margherita Velucchi, 2011. "The “China effect” on EU Exports to OECD markets – A focus on Italy," Working Papers - Economics wp2011_17.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  4. Anna Matysiak & Marta Styrc & Daniele Vignoli, 2011. "The changing educational gradient in marital disruption: A meta-analysis of European longitudinal research," Working Papers 45, Institute of Statistics and Demography, Warsaw School of Economics.
  5. Anna Matysiak & Daniele Vignoli, 2011. "Different women’s employment and fertility behaviours in similar institutional settings: Evidence from Italy and Poland," Working Papers 41, Institute of Statistics and Demography, Warsaw School of Economics.

2010

  1. Giorgio Calzolari & Laura Neri, 2010. "The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values," Econometrics Working Papers Archive wp2010_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Laura Magazzini & Giorgio Calzolari, 2010. "Negative variance estimates in panel data models," Working Papers 15/2010, University of Verona, Department of Economics.
  3. Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distribu," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. F. Francavilla & Gianna Claudia Giannelli & Leonardo Grilli, 2010. "Mothers’ Employment and their Children’s Schooling: a Joint Multilevel Analysis for India," Working Papers - Economics wp2010_07.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  6. Parrini, Alessandro & Doretti, Marco & Lapini, Gabriele, 2010. "Modelli a Equazioni Strutturali per la Valutazione dell'Esperienza Universitaria nell'Ateneo Fiorentino
    [Structural Equation Models for the assessment of the University experience at the University
    ," MPRA Paper 43412, University Library of Munich, Germany.
  7. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2010. "Heterogeneity in Managerial Strategies and Internationalization of Firms: the case of Italy," Working Papers - Economics wp2010_04.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.

2009

  1. Giorgio Calzolari & Laura Magazzini, 2009. "Poor identification and estimation problems in panel data models with random effects and autocorrelated errors," Working Papers 53, University of Verona, Department of Economics.
  2. Calzolari, Giorgio & Di Pino, Antonino, 2009. "Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables," MPRA Paper 22984, University Library of Munich, Germany.
  3. Giorgio Calzolari & Laura Magazzini, 2009. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Working Papers 53/2009, University of Verona, Department of Economics.
  4. Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive wp2009_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive wp2009_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  7. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  8. G. Fiorentini & E. Iezzi & M. Lippi Bruni & C. Ugolini, 2009. "Incentives In Primary Care and Their Impact on Potentially Avoidable Hospital Admissions," Working Papers 660, Dipartimento Scienze Economiche, Universita' di Bologna.
  9. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2009. "Location, Internationalization and Performance of Firms in Italy: a Multilevel Approach," Working Papers - Economics wp2009_09.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  10. Anna Matysiak & Daniele Vignoli, 2009. "Finding the "right moment" for the first baby to come: a comparison between Italy and Poland," MPIDR Working Papers WP-2009-011, Max Planck Institute for Demographic Research, Rostock, Germany.
  11. Parrini, Alessandro, 2009. "Algoritmi di flusso massimo al minimo costo
    [Maximum flow - minimum cost algorithms]
    ," MPRA Paper 39759, University Library of Munich, Germany.

2008

  1. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Christophe Planas & Alessandro Rossi & Gabriele Fiorentini, 2008. "The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU," Working Paper Series 21-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  4. Arpino, Bruno & Mealli, Fabrizia, 2008. "The specification of the propensity score in multilevel observational studies," MPRA Paper 17407, University Library of Munich, Germany.
  5. Francavilla, Francesca & Giannelli, Gianna Claudia & Grilli, Leonardo, 2008. "School Attendance of Children and the Work of Mothers: A Joint Multilevel Model for India," IZA Discussion Papers 3531, Institute for the Study of Labor (IZA).

2007

  1. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  2. Christian T. Brownlees & Giampiero Gallo, 2007. "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Giampiero Gallo & Margherita Velucchi, 2007. "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive wp2007_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  7. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  8. Margherita Velucchi, 2007. "Regime Switching: Italian Financial Markets over a Century," Econometrics Working Papers Archive wp2007_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  9. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2007. "Size, Innovation and Internationalization: A Survival Analysis of Italian Firms," Working Papers - Economics wp2007_07, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  10. Agata V. D´Addato & Daniele Vignoli & Sutay Yavuz, 2007. "Towards smaller family size in Egypt, Morocco and Turkey: overall change over time or socio-economic compositional effect?," MPIDR Working Papers WP-2007-012, Max Planck Institute for Demographic Research, Rostock, Germany.

2006

  1. Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc.
  3. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2006. "Exchange Market Pressure: Some Caveats In Empirical Applications," Econometrics Working Papers Archive wp2006_17, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Ichino, Andrea & Mealli, Fabrizia & Nannicini, Tommaso, 2006. "From Temporary Help Jobs to Permanent Employment: What Can We Learn from Matching Estimators and their Sensitivity?," CEPR Discussion Papers 5736, C.E.P.R. Discussion Papers.
  7. Daniele Vignoli, 2006. "Fertility change in Egypt: from second to third birth," MPIDR Working Papers WP-2006-011, Max Planck Institute for Demographic Research, Rostock, Germany.
  8. Anna Matysiak & Daniele Vignoli, 2006. "Fertility and women’s employment: a meta-analysis," MPIDR Working Papers WP-2006-048, Max Planck Institute for Demographic Research, Rostock, Germany.
  9. Buzzigoli, Lucia & Giusti, Antonio, 2006. "From Marginals to Array Structure with the Shuttle Algorithm," MPRA Paper 49245, University Library of Munich, Germany.

2005

  1. Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca, 2005. "Indirect estimation of Markov switching models with endogenous switching," MPRA Paper 22983, University Library of Munich, Germany, revised 2005.
  2. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Arnstein Aassve & Henriette Engelhardt & Francesca Francavilla & Abbi Kedir & Jungho Kim & Fabrizia Mealli & Letizia Mencarini & Stephen Pudney & Alexia Prskawetz, 2005. "Poverty and Fertility in Less Developed Countries: A Comparative Analysis," Discussion Papers in Economics 05/28, Department of Economics, University of Leicester.

2004

  1. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  2. Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. F. Mealli & S. Pudney & F.Rosati, 2004. "Measuring the Vulnerability of Children in Developing Countries: An Application to Guatemala," UCW Working Paper 14, Understanding Children's Work (UCW Programme).

2003

  1. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
  2. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

2002

  1. Calzolari, Giorgio & Neri, Laura, 2002. "Imputation of continuous variables missing at random using the method of simulated scores," MPRA Paper 22986, University Library of Munich, Germany, revised 2002.
  2. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002. "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive wp2002_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
  6. L.Guarcello & F.Mealli & F.Rosati, 2002. "Household Vulnerability and Child Labour: the Effect of Shocks, Credit Rationing and Insurance," UCW Working Paper 3, Understanding Children's Work (UCW Programme).

2001

  1. Giorgio Calzolari & F. Mealli & C. Rampichini, 2001. "Alternative Simulation-Based Estimators of Logit Models with Random Effects," Econometrics Working Papers Archive quaderno48, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Calzolari, Giorgio & Magazzini, Laura & Mealli, Fabrizia, 2001. "Simulation-based estimation of Tobit model with random effects," MPRA Paper 22985, University Library of Munich, Germany, revised 2001.
  3. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2001. "Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets," Econometrics Working Papers Archive wp2001_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  4. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  7. Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group.

2000

  1. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  2. Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
  3. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

1999

  1. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  2. Gallo, Giampiero M. & Granger, Clive William John & Jeon, Yongil, 1999. "The impact of the use of forecasts in information sets," Research Notes 99-7, Deutsche Bank Research.
  3. Gallo, Giampiero M., 1999. "Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone," University of California at San Diego, Economics Working Paper Series qt4nb356d3, Department of Economics, UC San Diego.

1998

  1. Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Weihs, Claus & Calzolari, Giorgio & Roehl, Michael C., 1998. "Variance reduction with Monte Carlo estimates of error rates in multivariate classification," MPRA Paper 24425, University Library of Munich, Germany.
  3. Gallo, G.M. & Pacini, B., 1998. "Early News Is Good News. The Effects of Market Opening on Market Volatility," Economics Working Papers eco98/3, European University Institute.
  4. Gabriele Fiorentini & Christophe Planas, 1998. "- Non-Admissibility And The Specification Of Unobserved Components Models," Working Papers. Serie AD 1998-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

1997

  1. Gabriele Fiorentini & Giorgio Calzolari, 1997. "A tobit model with garch errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.

1996

  1. Fiorentini, G & Planas, C, 1996. "Non-Admissible Decompositions in Unobserved Components Models," Papers 9613, Centro de Estudios Monetarios Y Financieros-.
  2. Fiorentini, G & Sentana, E, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers 9617, Centro de Estudios Monetarios Y Financieros-.

1995

  1. Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
  2. Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark, 1995. "On the Evolution of Credibility and Flexible Exchange Rate Target Zones," CEPR Discussion Papers 1123, C.E.P.R. Discussion Papers.
  3. Fiorentini, G. & Maravall, A., 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Papers 9509, Centro de Estudios Monetarios Y Financieros-.

1994

  1. Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.

1993

  1. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
  2. Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.

1992

  1. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna
    [Estimation of nonlinear simultaneous equations: a survey]
    ," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.

1991

  1. Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
  2. Renzo G. Avesani & Giampiero M. Gallo, 1991. "Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone," Department of Economics Working Papers 9104, Department of Economics, University of Trento, Italia.

1989

  1. Calzolari, Giorgio & Sampoli, Letizia, 1989. "Instrumental variables interpretations of FIML and nonlinear FIML," MPRA Paper 29024, University Library of Munich, Germany.
  2. Renzo G.Avesani & Giampiero M. Gallo & Peter Pauly, 1989. "Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries," Department of Economics Working Papers 8902, Department of Economics, University of Trento, Italia.

1988

  1. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1988. "A trade-off criterion for evaluating effectiveness and reliability of alternative policy actions," MPRA Paper 23869, University Library of Munich, Germany.
  2. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Il problema della coerenza delle previsioni nei modelli econometrici non lineari
    [The coherency problem when forecasting with nonlinear econometric models]
    ," MPRA Paper 23904, University Library of Munich, Germany.
  3. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
  4. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
  5. Giampiero M. Gallo & Manfred Gilli, 1988. "How To Strip A Model To Its Essential Elements," Research Papers by the Department of Economics, University of Geneva 88.06, Département des Sciences Économiques, Université de Genève.

1987

  1. Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Finite sample performance of the robust Wald test in simultaneous equation systems," MPRA Paper 22557, University Library of Munich, Germany.
  2. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  3. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Forecast variance in simultaneous equation models: analytic and Monte Carlo methods," MPRA Paper 24541, University Library of Munich, Germany.

1986

  1. Weihs, Claus & Calzolari, Giorgio & Panattoni, Lorenzo, 1986. "The behavior of trust-region methods in FIML estimation," MPRA Paper 24122, University Library of Munich, Germany, revised 1987.
  2. Bianchi, Carlo & Calzolari, Giorgio & Weihs, Claus, 1986. "Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models," MPRA Paper 29120, University Library of Munich, Germany.
  3. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1986. "Forecasts and constraints on policy actions: the reliability of alternative instruments," MPRA Paper 29119, University Library of Munich, Germany.
  4. Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1986. "Coherent optimal prediction with large nonlinear systems: an example based on a French model," MPRA Paper 29057, University Library of Munich, Germany.

1985

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo, 1985. "Asymptotic properties of dynamic multipliers in nonlinear econometric models," MPRA Paper 24401, University Library of Munich, Germany.
  2. Calzolari, Giorgio & Panattoni, Lorenzo, 1985. "Gradient methods in FIML estimation of econometric models," MPRA Paper 24843, University Library of Munich, Germany.
  3. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1985. "Effectiveness versus reliability of policy actions under government budget constraint: the case of France," MPRA Paper 29055, University Library of Munich, Germany.

1984

  1. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1984. "Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS
    [Analysis and measurement of forecast uncertainty in an econometric model. Application to m
    ," MPRA Paper 22565, University Library of Munich, Germany, revised 1984.
  2. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
  3. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.

1983

  1. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
  2. Calzolari, Giorgio & Panattoni, Lorenzo, 1983. "Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study," MPRA Paper 28847, University Library of Munich, Germany.
  3. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
  4. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1983. "Analysis and measurement of the uncertainty in Mini-Dms model for the French economy," MPRA Paper 29056, University Library of Munich, Germany.

1982

  1. Bianchi, Carlo & Calzolari, Giorgio & Sartori, Franco, 1982. "Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana
    [2SLS with principal components: estimation of a nonlinear model of the Italian economy]
    ," MPRA Paper 22665, University Library of Munich, Germany, revised 1982.
  2. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
  3. Calzolari, Giorgio & Bianchi, Carlo & Corsi, Paolo & Panattoni, Lorenzo, 1982. "Uncertainty of policy recommendations for nonlinear econometric models: some empirical results," MPRA Paper 28846, University Library of Munich, Germany.

1981

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix," MPRA Paper 22678, University Library of Munich, Germany, revised 1981.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Alternative estimates of the Klein-I model," MPRA Paper 23337, University Library of Munich, Germany, revised Sep 1981.

1980

  1. Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo, 1980. "Significance of the characteristic roots of linearized econometric models," MPRA Paper 24882, University Library of Munich, Germany.

1979

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "Some results on the stochastic simulation of a nonlinear model of the Italian economy," MPRA Paper 22684, University Library of Munich, Germany.
  2. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Condensed version of the OECD foreign trade by commodities tapes," MPRA Paper 23074, University Library of Munich, Germany, revised Oct 1979.
  3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
  4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "On the restricted reduced form of the Klein-I model: revised computations to complete "A note on the numerical results by Goldberger, Nagar and Odeh", Econometrica, 47 (1979)," MPRA Paper 24137, University Library of Munich, Germany.
  5. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
  6. Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
  7. Calzolari, Giorgio, 1979. "The asymptotic distribution of power spectra in dynamic econometric models," MPRA Paper 24460, University Library of Munich, Germany.
  8. Calzolari, Giorgio, 1979. "The deterministic simulation bias in the Klein-Goldberger model," MPRA Paper 24461, University Library of Munich, Germany.

1978

  1. Bianchi, Carlo & Calzolari, Giorgio & Cleur, Eugene M., 1978. "Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy," MPRA Paper 22966, University Library of Munich, Germany, revised 1978.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "Stochastic simulation: a package for Monte Carlo experiments on econometric models," MPRA Paper 23073, University Library of Munich, Germany, revised Mar 1978.
  3. Bianchi, Carlo & Calzolari, Giorgio & Cleur, Eugene M. & Gambetta, Guido & Stagni, Anna & Sterbenz, Frederic, 1978. "Stochastic simulation and dynamic properties of the new version of the Italian model," MPRA Paper 23355, University Library of Munich, Germany, revised Oct 1978.
  4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "Stochastic simulation of econometric models: installation procedures and user's instructions," MPRA Paper 24173, University Library of Munich, Germany.
  5. Bianchi, Carlo & Calzolari, Giorgio & Doret, Remi, 1978. "Ven der Giessen's reordering algorithm in the program for stochastic simulation of econometric models," MPRA Paper 24880, University Library of Munich, Germany.
  6. Bianchi, Carlo & Calzolari, Giorgio & Lischi, Pierluigi, 1978. "A manageable support for the O.E.C.D. data on foreign trade by commodities," MPRA Paper 25923, University Library of Munich, Germany.
  7. Bianchi, Carlo & Calzolari, Giorgio, 1978. "La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana
    [The variance of forecast errors in econometric models: application to a
    ," MPRA Paper 29121, University Library of Munich, Germany.

1977

  1. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1977. "The asymptotic distribution of impact multipliers for a non-linear structural econometric model," MPRA Paper 24537, University Library of Munich, Germany, revised 1979.

1976

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Simulation properties of alternative methods of estimation: an application to a model of the Italian economy," MPRA Paper 22965, University Library of Munich, Germany, revised 1976.
  3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Utilizing a program loaded into the user program area to load another module in the same user program area," MPRA Paper 23062, University Library of Munich, Germany, revised Sep 1976.
  4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "User defined functions and operators," MPRA Paper 23063, University Library of Munich, Germany, revised Sep 1976.
  5. Calzolari, Giorgio & Ciriani, Tito A. & Corsi, Paolo, 1976. "Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models," MPRA Paper 24172, University Library of Munich, Germany.
  6. Bianchi, Carlo & Calzolari, Giorgio & Ciriani, Tito A. & Corsi, Paolo & Cleur, Eugene M. & Sitzia, Bruno & Romagnoli, Gian C., 1976. "Analisi e simulazione stocastica di un modello aggregato dell'economia italiana 1952-1971
    [Analysis and stochastic simulation of a macro model of the Italian economy 1952-1971]
    ," MPRA Paper 24423, University Library of Munich, Germany.
  7. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Monte Carlo methods in econometrics: a package for the stochastic simulation," MPRA Paper 24538, University Library of Munich, Germany.
  8. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Sitzia, Bruno, 1976. "Stochastic simulation of an aggregated model of the Italian economy: methodological and empirical aspects," MPRA Paper 28944, University Library of Munich, Germany.

1975

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1975. "DMS/2: un sistema per la soluzione e simulazione interattiva di modelli econometrici
    [DMS/2: a system for interactive solution and simulation of econometric models]
    ," MPRA Paper 24881, University Library of Munich, Germany.

1974

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Sartori, Franco & Specioso, Isidoro, 1974. "Aggiornamento del modello al 1974 e nuove simulazioni
    [Updating the model and new simulations for 1974]
    ," MPRA Paper 22677, University Library of Munich, Germany, revised 1975.
  2. Calzolari, Giorgio, 1974. "Interactive management for time series," MPRA Paper 22693, University Library of Munich, Germany, revised 1974.

1973

  1. Calzolari, Giorgio, 1973. "IMTS: un linguaggio per la gestione dell'archivio delle serie storiche
    [IMTS: a programming language to manage the time series data base]
    ," MPRA Paper 24439, University Library of Munich, Germany.

Undated

  1. Giampiero M. Gallo & Massimiliano Marcellino, . "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Gabriele Fiorentini & Angel León & Gonzalo Rubio, . "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
  3. D.F. Deadman & F. Mealli & D.J. Pyle, . "Cash Limits and the Control of Public Expenditure in the United Kingdom," Discussion Papers in Economics 95/1, Department of Economics, University of Leicester.
  4. Fabrizia Mealli & Stephen Pudney, . "Specification Tests for Random-Effects Transition Models An Application to a Model of the Role of YTS in the Youth Labour Market," Discussion Papers in Economics 95/5, Department of Economics, University of Leicester.
  5. Francesco Galassi & Fabrizia Mealli & Stephen Pudney, . "Econometrics and the Renaissance: A Discrete Random-Effects Panel Data Model of Farm Tenures in Fifteenth Century Florence," Discussion Papers in Economics 96/6, Department of Economics, University of Leicester.
  6. Fabrizia Mealli & Stephen Pudney, . "Applying Heterogeneous Transition Models in Labour Economics: The Role of Youth Training in labour Market transitions," Discussion Papers in Public Sector Economics 99/5, Department of Economics, University of Leicester.

Journal articles

2013

  1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
  2. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  3. Francavilla, Francesca & Giannelli, Gianna Claudia & Grilli, Leonardo, 2013. "Mothers’ Employment and their Children’s Schooling: A Joint Multilevel Analysis for India," World Development, Elsevier, vol. 41(C), pages 183-195.
  4. Visca, Modesta & Donatini, Andrea & Gini, Rosa & Federico, Bruno & Damiani, Gianfranco & Francesconi, Paolo & Grilli, Leonardo & Rampichini, Carla & Lapini, Gabriele & Zocchetti, Carlo & Di Stanislao,, 2013. "Group versus single handed primary care: A performance evaluation of the care delivered to chronic patients by Italian GPs," Health Policy, Elsevier, vol. 113(1), pages 188-198.
  5. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2013. "Heterogeneity in managerial strategies and internationalization of firms: the case of Italy," ECONOMIA E POLITICA INDUSTRIALE, FrancoAngeli Editore, vol. 2013(2), pages 51-66.
  6. Petti Claudio & Podetti Silvia & Rubini Lauretta, 2013. "Innovation in China: Who is the Real Entrepreneur?," L'industria, Società editrice il Mulino, issue 3, pages 433-448.

2012

  1. Giorgio Calzolari & Laura Magazzini, 2012. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Empirical Economics, Springer, vol. 43(1), pages 145-152, August.
  2. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
  3. Fiorentini, G. & Planas, C. & Rossi, A., 2012. "The marginal likelihood of dynamic mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2650-2662.
  4. Fabrizia Mealli & Carla Rampichini, 2012. "Evaluating the effects of university grants by using regression discontinuity designs," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 175(3), pages 775-798, 07.
  5. Mealli Fabrizia & Mattei Alessandra, 2012. "A Refreshing Account of Principal Stratification," The International Journal of Biostatistics, De Gruyter, vol. 8(1), pages 1-19, April.
  6. Daniele Vignoli & Sven Drefahl & Gustavo De Santis, 2012. "Whose job instability affects the likelihood of becoming a parent in Italy? A tale of two partners," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 26(2), pages 41-62, January.

2011

  1. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378, April.
  2. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 489-518, Summer.
  3. Arpino, Bruno & Mealli, Fabrizia, 2011. "The specification of the propensity score in multilevel observational studies," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1770-1780, April.
  4. Bartolucci, Francesco & Grilli, Leonardo, 2011. "Modeling Partial Compliance Through Copulas in a Principal Stratification Framework," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 469-479.
  5. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2011. "Size, innovation and internationalization: a survival analysis of Italian firms," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1511-1520.
  6. Margherita Velucchi & Alessandro Viviani, 2011. "Determinants of the Italian labor productivity: a quantile regression approach," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 213-238.
  7. Silvana Salvini & Daniele Vignoli, 2011. "Things change: Women’s and men’s marital disruption dynamics in Italy during a time of social transformations, 1970-2003," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 24(5), pages 145-174, February.
  8. Arnaud Régnier-Loilier & Daniele Vignoli, 2011. "Intentions de fécondité et obstacles à leur réalisation en France et en Italie. Intentions de fécondité et obstacles à leur réalisation en France et en Italie," Population (french edition), Institut National d'Études Démographiques (INED), vol. 66(2), pages 401-431.
  9. Arnaud Régnier-Loilier & Daniele Vignoli & Catriona Dutreuilh, 2011. "Fertility Intentions and Obstacles to their Realization in France and Italy," Population (english edition), Institut National d'Études Démographiques (INED), vol. 66(2), pages 361-389.

2010

  1. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
  2. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
  3. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2010. "Exchange market pressure: some caveats in empirical applications," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2435-2448.
  4. Giampiero Gallo, 2010. "Castle, J. L. and Shephard, N.: The methodology and practice of econometrics," Journal of Economics, Springer, vol. 101(1), pages 99-101, September.
  5. Lorenzo Guarcello & Fabrizia Mealli & Furio Rosati, 2010. "Household vulnerability and child labor: the effect of shocks, credit rationing, and insurance," Journal of Population Economics, Springer, vol. 23(1), pages 169-198, January.
  6. Leonardo Grilli & Carla Rampichini, 2010. "Selection bias in linear mixed models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 309-329.
  7. Daniele Vignoli & Gustavo Santis, 2010. "Individual and Contextual Correlates of Economic Difficulties in Old Age in Europe," Population Research and Policy Review, Springer, vol. 29(4), pages 481-501, August.
  8. Laura Grisotto & Dolores Catelan & Gabriele Accetta & Annibale Biggeri, 2010. "Material deprivation as marker of health needs," Statistica, Department of Statistics, University of Bologna, vol. 70(3), pages 343-352.
  9. Lucia Buzzigoli & Antonio Giusti & Alessandro Viviani, 2010. "The Evaluation of University Departments. A Case Study for Firenze," International Advances in Economic Research, Springer, vol. 16(1), pages 24-38, February.

2009

  1. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  2. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  3. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  4. Zhang, Junni L. & Rubin, Donald B. & Mealli, Fabrizia, 2009. "Likelihood-Based Analysis of Causal Effects of Job-Training Programs Using Principal Stratification," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 166-176.
  5. Alessandra Mattei & Fabrizia Mealli & Stephen Pudney, 2009. "Living Standards and Fertility in Indonesia: A Bayesian Analysis," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 68(2), pages 175-210, July.
  6. Margherita Velucchi, 2009. "Regime switching: Italian financial markets over a century," Statistical Methods and Applications, Springer, vol. 18(1), pages 67-86, March.
  7. Daniele Vignoli & Irene Ferro, 2009. "Rising marital disruption in Italy and its correlates," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 20(4), pages 11-36, January.

2008

  1. Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, 03.
  2. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  3. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
  4. Christian T. Brownlees & Giampiero M. Gallo, 2008. "On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 513-539, Fall.
  5. Planas, Christophe & Rossi, Alessandro & Fiorentini, Gabriele, 2008. "Bayesian Analysis of the Output Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 18-32, January.
  6. Andrea Ichino & Fabrizia Mealli & Tommaso Nannicini, 2008. "From temporary help jobs to permanent employment: what can we learn from matching estimators and their sensitivity?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(3), pages 305-327.
  7. Mealli, Fabrizia & Pacini, Barbara, 2008. "Comparing principal stratification and selection models in parametric causal inference with nonignorable missingness," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 507-516, December.
  8. Silvana Salvini & Nicola Salvati & Daniele Vignoli & Alessandra Petrucci, 2008. "Invecchiamento e mobilità nell'area metropolitana fiorentina," RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, FrancoAngeli Editore, vol. 2008(2), pages 81-103.

2007

  1. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  2. Leonardo Grilli & Carla Rampichini, 2007. "A multilevel multinomial logit model for the analysis of graduates’ skills," Statistical Methods and Applications, Springer, vol. 16(3), pages 381-393, November.
  3. Gottard, Anna & Rampichini, Carla, 2007. "Chain graphs for multilevel models," Statistics & Probability Letters, Elsevier, vol. 77(3), pages 312-318, February.
  4. Antonio Giusti & Laura Grassini, 2007. "Local Labor Systems and Agricultural Activities: The Case of Tuscany," International Advances in Economic Research, Springer, vol. 13(4), pages 475-487, November.

2006

  1. Di Iorio, Francesca & Calzolari, Giorgio, 2006. "Discontinuities in indirect estimation: An application to EAR models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2124-2136, April.
  2. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
  3. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  4. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006. "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 1-2.
  5. Anindya Banerjee & Giampiero Gallo & Edoardo Otranto, 2006. "Frontiers in Time Series Analysis: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 679-682, December.
  6. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
  7. Maria Rita Testa & Leonardo Grilli, 2006. "The Influence of Childbearing Regional Contexts on Ideal Family Size in Europe," Population (english edition), Institut National d'Études Démographiques (INED), vol. 61(1), pages 99-127.
  8. Maria Rita Testa & Leonardo Grilli, 2006. "L'influence des différences de fécondité dans les régions européennes sur la taille idéale de la famille," Population (french edition), Institut National d'Études Démographiques (INED), vol. 61(1), pages 107-137.
  9. Daniele Vignoli, 2006. "Fertility change in Egypt," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 15(18), pages 499-516, December.
  10. Caterina Giusti & Daniele Vignoli, 2006. "Determinants of Contraceptive Use in Egypt: A Multilevel Approach," Statistical Methods and Applications, Springer, vol. 15(1), pages 89-106, May.

2005

  1. Perez-Amaral, Teodosio & Gallo, Giampiero M. & White, Halbert, 2005. "A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets," Econometric Theory, Cambridge University Press, vol. 21(01), pages 262-277, February.
  2. Andrea Ichino & Fabrizia Mealli & Tommaso Nannicini, 2005. "Temporary Work Agencies in Italy: A Springboard Toward Permanent Employment?," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 64(1), pages 1-27, September.
  3. Leonardo Grilli, 2005. "The random-effects proportional hazards model with grouped survival data: a comparison between the grouped continuous and continuation ratio versions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(1), pages 83-94.

2004

  1. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
  2. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," Review of Economic Studies, Wiley Blackwell, vol. 71(4), pages 945-973, October.
  3. De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
  4. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.

2003

  1. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-46, October.
  2. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
  3. Mealli, Fabrizia & Rubin, Donald B., 2003. "Assumptions allowing the estimation of direct causal effects," Journal of Econometrics, Elsevier, vol. 112(1), pages 79-87, January.

2002

  1. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
  2. Giampiero M. Gallo & Clive W.J. Granger & Yongil Jeon, 2002. "Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 2.
  3. Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
  4. Velucchi Margherita, 2002. "Appendice," Rivista di storia economica, Società editrice il Mulino, issue 2, pages 211-216.

2001

  1. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 2001. "Indirect inference and variance reduction using control variates," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 39-53.
  2. Gallo, Giampiero M, 2001. "Modelling the Impact of Overnight Surprises on Intra-Daily Volatility," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 567-80, December.
  3. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
  4. Fiorentini, Gabriele & Planas, Christophe, 2001. "Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 455-64, October.
  5. L. Biggeri & M. Bini & L. Grilli, 2001. "The transition from university to work: a multilevel approach to the analysis of the time to obtain the first job," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 164(2), pages 293-305.
  6. Nicola Sciclone & Gianni Aristelli & Carla Rampichini, 2001. "La valutazione di efficacia delle borse di studio in Toscana," ECONOMIA PUBBLICA, FrancoAngeli Editore, vol. 2001(3).

2000

  1. Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.

1999

  1. Mealli, Fabrizia & Rampichini, Carla, 1999. "Estimating binary multilevel models through indirect inference," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 313-324, January.

1998

  1. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C100-C112.
  2. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
  3. Giampiero M. Gallo & Grayham E. Mizon, 1998. "Simulation methods in econometrics: editors' introduction," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages Ci-Cvii.
  4. Gallo, Giampiero M & Pacini, Barbara, 1998. "Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 241-59, July.
  5. Gallo Giampiero M. & Pacini Barbara, 1998. "Early News is Good News: The Effects of Market Opening on Market Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
  6. Fiorentini, Gabriele & Sentana, Enrique, 1998. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1101-18, November.
  7. Pudney, Stephen & Galassi, Francesco L & Mealli, Fabrizia, 1998. "An Econometric Model of Farm Tenures in Fifteenth-Century Florence," Economica, London School of Economics and Political Science, vol. 65(260), pages 535-56, November.
  8. D. F. Deadman & F. Mealli & D. J. Pyle, 1998. "Cash Limits and the Control of Public Expenditure in the United Kingdom," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 65-90, January -.
  9. Carla Rampichini & Silvana Schifini d'Andrea, 1998. "A Hierarchical Ordinal Probit Model for the Analysis of Life Satisfaction in Italy," Social Indicators Research, Springer, vol. 44(1), pages 41-69, May.

1996

  1. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
  2. Barbara Pacini & Giampiero M. Gallo, 1996. "Volatilité conditionnelle, signaux d'échange et perception du risque," Économie et Prévision, Programme National Persée, vol. 123(2), pages 207-220.
  3. Mealli, Fabrizia & Pudney, Stephen & Thomas, Jonathan M, 1996. "Training Duration and Post-training Outcomes: A Duration-Limited Competing Risks Model," Economic Journal, Royal Economic Society, vol. 106(435), pages 422-33, March.
  4. Mealli, Fabrizia & Pudney, Stephen, 1996. "Occupational Pensions and Job Mobility in Britain: Estimation of a Random-Effects Competing Risks Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 293-320, May-June.

1993

  1. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Alternative covariance estimators of the standard Tobit model," Economics Letters, Elsevier, vol. 42(1), pages 5-13.
  2. Calzolari, Giorgio & Sampoli, Letizia, 1993. "A Curious Result on Exact FIML and Instrumental Variables," Econometric Theory, Cambridge University Press, vol. 9(02), pages 296-309, April.

1991

  1. Giampiero GALLO, 1991. "Forecast Error Decomposition in a Nonlinear Model with Provisional Data," Annales d'Economie et de Statistique, ENSAE, issue 22, pages 103-128.

1990

  1. Calzolari, Giorgio & Panattoni, Lorenzo, 1990. "Mode predictors in nonlinear systems with identities," International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
  2. Sterbenz, Frederic P & Calzolari, Giorgio, 1990. "Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 137-50, April-Jun.
  3. Gallo, Giampiero M & Gilli, Manfred H, 1990. "How to Strip a Model to Its Essential Elements," Computer Science in Economics & Management, Society for Computational Economics, vol. 3(2), pages 199-214.

1988

  1. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y," Econometrica, Econometric Society, vol. 56(3), pages 701-14, May.

1987

  1. Calzolari, Giorgio & Panattoni, Lorenzo & Weihs, Claus, 1987. "Computational efficiency of FIML estimation," Journal of Econometrics, Elsevier, vol. 36(3), pages 299-310, November.
  2. Bianchi, Carlo & Calzolari, Giorgio & Brillet, Jean-Louis, 1987. "Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy," International Journal of Forecasting, Elsevier, vol. 3(2), pages 211-227.
  3. Calzolari, Giorgio, 1987. "Forecast Variance in Dynamic Simulation of Simultaneous Equation Models," Econometrica, Econometric Society, vol. 55(6), pages 1473-76, November.

1986

  1. Calzolari, Giorgio & Sterbenz, Frederic P, 1986. "Control Variates to Estimate the Reduced Form Variances in Econometric Models," Econometrica, Econometric Society, vol. 54(6), pages 1483-90, November.

1983

  1. Calzolari, Giorgio, 1983. "Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models," Journal of Economic Dynamics and Control, Elsevier, vol. 5(1), pages 235-247, February.
  2. Calzolari, Giorgio, 1983. "Asymptotic standard errors of point elasticities calculated from simultaneous equation systems," Economics Letters, Elsevier, vol. 11(3), pages 237-244.

1981

  1. Calzolari, Giorgio, 1981. "A Note on the Variance of Ex-Post Forecasts in Econometric Models," Econometrica, Econometric Society, vol. 49(6), pages 1593-95, November.
  2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models," Journal of Econometrics, Elsevier, vol. 16(3), pages 277-294, August.

1980

  1. Bianchi, Carlo & Calzolari, Giorgio, 1980. "The One-Period Forecast Errors in Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 201-08, February.

1979

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "On the stability of the Klein-I model," Economics Letters, Elsevier, vol. 4(1), pages 33-35.
  2. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
  3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-06, March.
  4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Monte Carlo approach to compute the asymptotic standard errors of dynamic multipliers," Economics Letters, Elsevier, vol. 2(2), pages 161-164.

1978

  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-36, January.