Giorgio Calzolari
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- 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 137-150, April-Jun.
Mentioned in:
Working papers
- 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".
- Giorgio Calzolari & Antonino Di Pino, 2017. "Self-selection and direct estimation of across-regime correlation parameter," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2142-2160, September.
- 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.
Cited by:
- Giorgio Calzolari & Maria Gabriella Campolo & Antonino Pino & Laura Magazzini, 2023. "Assessing individual skill influence on housework time of Italian women: an endogenous-switching approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(2), pages 659-679, June.
- Giorgio Calzolari & Laura Magazzini, 2014.
"Improving GMM efficiency in dynamic models for panel data with mean stationarity,"
Working Papers
12/2014, University of Verona, Department of Economics.
Cited by:
- Efe Can KILINÇ & Cafer Necat BERBEROĞLU, 2019. "The Relationship Between Saving, Profit Rates and Business CyclesAbstract:There are different approaches of economics schools on the sources, causes and determinants of business cycles. These approach," Sosyoekonomi Journal, Sosyoekonomi Society.
- 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.
Cited by:
- Tue Gørgens & Chirok Han & Sen Xue, 2019.
"Moment Restrictions and Identification in Linear Dynamic Panel Data Models,"
Annals of Economics and Statistics, GENES, issue 134, pages 149-176.
- Tue Gorgens & Chirok Han & Sen Xue, 2016. "Moment restrictions and identification in linear dynamic panel data models," ANU Working Papers in Economics and Econometrics 2016-633, Australian National University, College of Business and Economics, School of Economics.
- Giorgio Calzolari & Laura Magazzini, 2014. "Improving GMM efficiency in dynamic models for panel data with mean stationarity," Working Papers 12/2014, University of Verona, Department of Economics.
- Tue Gorgens & Chirok Han & Sen Xue, 2016. "Asymptotic distributions of the quadratic GMM estimator in linear dynamic panel data models," ANU Working Papers in Economics and Econometrics 2016-635, Australian National University, College of Business and Economics, School of Economics.
- Tue Gørgens & Chirok Han & Sen Xue, 2019.
"Moment Restrictions and Identification in Linear Dynamic Panel Data Models,"
Annals of Economics and Statistics, GENES, issue 134, pages 149-176.
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
Cited by:
- 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).
- Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
- 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.
- 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.
- 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".
- Guido Tatone, 2016. "L?influenza dell?enforcement contrattuale sulla qualit? della prestazione negli appalti pubblici: una rassegna teorica," ECONOMIA PUBBLICA, FrancoAngeli Editore, vol. 2016(2), pages 107-129.
- Patrick Artus, 1991. "Indicateurs de conjoncture et marchés financiers," Économie et Prévision, Programme National Persée, vol. 99(3), pages 31-41.
- 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.
- Patrick Artus & Sani Avouyi-Dovi, 1990. "Inflation anticipée, politique monétaire et taux d'intérêt aux Etats-Unis," Revue Économique, Programme National Persée, vol. 41(3), pages 581-598.
- 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.
- Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
- Mariano, Roberto S., 1985.
"Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results,"
Economic Research Papers
269232, University of Warwick - Department of Economics.
- Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
- Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
Cited by:
- Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
- Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
- Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Lingbing Feng & Yanlin Shi, 2017. "A simulation study on the distributions of disturbances in the GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355503-135, January.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
- Feng Lingbing & Shi Yanlin, 2020. "Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-27, February.
- Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
- Giorgio Calzolari & Laura Magazzini, 2011.
"Moment Conditions and Neglected Endogeneity in Panel Data Models,"
Working Papers
02/2011, University of Verona, Department of Economics.
Cited by:
- 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.
- 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.
- Laura Magazzini & Giorgio Calzolari, 2010.
"Negative variance estimates in panel data models,"
Working Papers
15/2010, University of Verona, Department of Economics.
Cited by:
- Dimitrios Psychoyios & Olympia Missiou & Theologos Dergiades, 2019.
"Energy based estimation of the Shadow Economy: The role of Governance Quality,"
Discussion Paper Series
2019_07, Department of Economics, University of Macedonia, revised Nov 2019.
- Psychoyios, Dimitrios & Missiou, Olympia & Dergiades, Theologos, 2021. "Energy based estimation of the shadow economy: The role of governance quality," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 797-808.
- Xiaobing Le & Xinxin Shao & Kuo Gao, 2023. "The Relationship between Urbanization and Consumption Upgrading of Rural Residents under the Sustainable Development: An Empirical Study Based on Mediation Effect and Threshold Effect," Sustainability, MDPI, vol. 15(10), pages 1-19, May.
- Dimitrios Psychoyios & Olympia Missiou & Theologos Dergiades, 2019.
"Energy based estimation of the Shadow Economy: The role of Governance Quality,"
Discussion Paper Series
2019_07, Department of Economics, University of Macedonia, revised Nov 2019.
- 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".
- 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.
Cited by:
- Doretti, Marco, 2012. "Modelli di scoring per il rischio paese [Scoring models for country risk]," MPRA Paper 38898, University Library of Munich, Germany.
- 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.
- 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.
Cited by:
- Millo, Giovanni, 2014. "Maximum likelihood estimation of spatially and serially correlated panels with random effects," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 914-933.
- Artūras Juodis, 2018. "Rank based cointegration testing for dynamic panels with fixed T," Empirical Economics, Springer, vol. 55(2), pages 349-389, September.
- Pardo Martínez, Clara Inés & Silveira, Semida, 2012. "Analysis of energy use and CO2 emission in service industries: Evidence from Sweden," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(7), pages 5285-5294.
- Pardo Martínez, Clara Inés, 2013. "An analysis of eco-efficiency in energy use and CO2 emissions in the Swedish service industries," Socio-Economic Planning Sciences, Elsevier, vol. 47(2), pages 120-130.
- 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, Rimini Centre for Economic Analysis.
- 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.
Cited by:
- Arvanitis Stelios & Demos Antonis, 2018.
"On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators,"
Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
- Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- 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.
- 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, Rimini Centre for Economic Analysis.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010.
"Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators,"
University of St. Gallen Department of Economics working paper series 2010
2010-09, Department of Economics, University of St. Gallen.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016. "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 232-256, February.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Calvet, Laurent E. & Czellar, Veronika, 2015.
"Through the looking glass: Indirect inference via simple equilibria,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
- Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
- Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
- Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Araújo, Fabio & Issler, João Victor, 2011. "A stochastic discount factor approach to asset pricing using panel data asymptotics," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 717, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Barigozzi, Matteo & Hallin, Mark, 2015.
"Generalized dynamic factor models and volatilities: recovering the market volatility shocks,"
LSE Research Online Documents on Economics
60980, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Fabrizio Cipollini & Giampiero M. Gallo, 2018.
"Modeling Euro STOXX 50 Volatility with Common and Market–specific Components,"
Working Paper series
18-26, Rimini Centre for Economic Analysis.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013.
"Dynamic factor Value-at-Risk for large heteroskedastic portfolios,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
- Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- 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".
- 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.
Cited by:
- Johan Dahlin & Mattias Villani & Thomas B. Schon, 2015. "Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods," Papers 1506.06975, arXiv.org, revised Jun 2017.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
- Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019.
"Approximate Bayesian forecasting,"
International Journal of Forecasting, Elsevier, vol. 35(2), pages 521-539.
- David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018. "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers 2/18, Monash University, Department of Econometrics and Business Statistics.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004.
"Indirect Estimation of Conditionally Heteroskedastic Factor Models,"
Working Papers
wp2004_0409, CEMFI.
Cited by:
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005.
"R&D in the pharmaceutical industry: A world of small innovations,"
Economics Working Papers
936, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009. "R& D in the Pharmaceutical Industry: A World of Small Innovations," Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- 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.
- 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, Rimini Centre for Economic Analysis.
- 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".
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"Conditionally heteroskedastic factor models with skewness and leverage effects,"
MPRA Paper
40206, University Library of Munich, Germany, revised Feb 2012.
- Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
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"Flat Tax Reforms in the U.S.: a Boon for the Income Poor,"
Computing in Economics and Finance 2006
400, Society for Computational Economics.
- DÃaz-Giménez, Javier & Pijoan-Mas, Josep, 2006. "Flat Tax Reforms in the US: A Boon for the Income Poor," CEPR Discussion Papers 5812, C.E.P.R. Discussion Papers.
- Javier Díaz-Giménez & Josep Pijoan-Mas, 2006. "Flat Tax Reforms in the U.S.: A Boon for the Income Poor," Working Papers wp2006_0611, CEMFI.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"Likelihood-based estimation of latent generalised ARCH structures,"
FMG Discussion Papers
dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- 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.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
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"Hot and Cold Housing Markets: International Evidence,"
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wp2006_0603, CEMFI.
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"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz Ortega, Esther, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- 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".
- 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, March.
Cited by:
- 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.
- 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".
- Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
- Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
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"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- LOMBARDI, Marco & VEREDAS, David, 2007.
"Indirect estimation of elliptical stable distributions,"
LIDAM Discussion Papers CORE
2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
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"Testing conditional asymmetry: A residual-based approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
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- Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003.
"On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2003_0306, CEMFI.
- 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.
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- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
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"Testing distributional assumptions: A GMM aproach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
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"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
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"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
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"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
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- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003.
"On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2003_0306, CEMFI.
- 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.
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"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
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"Estimation and testing of dynamic models with generalised hyperbolic innovations,"
LSE Research Online Documents on Economics
24742, London School of Economics and Political Science, LSE Library.
- Sentana, Enrique & MencÃa, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
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"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- 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, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Christian Bontemps, 2019.
"Moment-Based Tests under Parameter Uncertainty,"
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hal-02004687, HAL.
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- Bontemps, Christian, 2018. "Moment-based tests under parameter uncertainty," IDEI Working Papers 18-883, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
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"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
DES - Working Papers. Statistics and Econometrics. WS
ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
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"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".
Cited by:
- Daniela Campus & Gianna Giannelli, 2016.
"Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda,"
Working Papers - Economics
wp2016_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Daniela Campus & Gianna Claudia Giannelli, 2017. "Is the allocation of time gender sensitive to food price changes? an investigation of hours of work in Uganda," CHILD Working Papers Series 53 JEL Classification: J1, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA.
- Campus, Daniela & Giannelli, Gianna Claudia, 2016. "Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda," IZA Discussion Papers 10376, Institute of Labor Economics (IZA).
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Daniela Campus & Gianna Giannelli, 2016.
"Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda,"
Working Papers - Economics
wp2016_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- 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.
Cited by:
- Luca Romagnoli & Vincenzo Giaccio & Luigi Mastronardi & Maria Bonaventura Forleo, 2021. "Highlighting the Drivers of Italian Diversified Farms Efficiency: A Two-Stage DEA-Panel Tobit Analysis," Sustainability, MDPI, vol. 13(23), pages 1-16, November.
- Daniela Campus & Gianna Giannelli, 2016.
"Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda,"
Working Papers - Economics
wp2016_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Daniela Campus & Gianna Claudia Giannelli, 2017. "Is the allocation of time gender sensitive to food price changes? an investigation of hours of work in Uganda," CHILD Working Papers Series 53 JEL Classification: J1, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA.
- Campus, Daniela & Giannelli, Gianna Claudia, 2016. "Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda," IZA Discussion Papers 10376, Institute of Labor Economics (IZA).
- Campus, Daniela, 2017. "Gender differentials in agricultural productivity: an empirical evidence from Uganda," 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy 261259, Italian Association of Agricultural and Applied Economics (AIEAA).
- Geoffrey Norman Tumwine & Razack B Lokina & John Mary Matovu, 2019. "The Effect of Climate Change on Agricultural Crop Returns in Uganda," Journal of Economics and Behavioral Studies, AMH International, vol. 11(4), pages 71-87.
- 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,"
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0007, Centro de Estudios Monetarios Y Financieros-.
- 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 532-546, October.
- 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).
Cited by:
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003.
"Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models,"
Cahiers de recherche
07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers 2003s-33, CIRANO.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques.
- Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003. "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive Models and Heavy Tails with an Application to Inflation Forecasting," EMF Research Papers 13, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach,"
Discussion Paper Series 1: Economic Studies
2003,01, Deutsche Bundesbank.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 2002-17, Universite de Montreal, Departement de sciences economiques.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO.
- Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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"Forecasting the density of asset returns,"
LSE Research Online Documents on Economics
6845, London School of Economics and Political Science, LSE Library.
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"A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
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- 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.
- 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".
- Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
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"Bayesian semiparametric multivariate GARCH modeling,"
Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
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"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
Working Papers
0905, University of Nevada, Las Vegas , Department of Economics.
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"Dynamic Specification Tests for Static Factor Models,"
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"A Robust Score-Driven Filter for Multivariate Time Series,"
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"Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution,"
Cambridge Working Papers in Economics
0734, Faculty of Economics, University of Cambridge.
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- Ivanovski, Kris & Hailemariam, Abebe, 2021. "Forecasting the dynamic relationship between crude oil and stock prices since the 19th century," Journal of Commodity Markets, Elsevier, vol. 24(C).
- Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000.
"Constrained EMM and Indirect Inference Estimation. Versión Revisada,"
Working Papers
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Cited by:
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Calzolari, G. & Fiorentini, G. & Sentana, E., 2000.
"Constrained EMM and Indirect Inference Estimation,"
Papers
0005, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "Constrained Emm And Indirect Inference Estimation," Working Papers. Serie AD 2000-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- 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".
Cited by:
- 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.
- 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.
- 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.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- 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).
- 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 100-112.
- Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
Cited by:
- Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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".
- Liesenfeld, Roman & Breitung, Jörg, 1998.
"Simulation based methods of moments in empirical finance,"
Tübinger Diskussionsbeiträge
136, University of Tübingen, School of Business and Economics.
- Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
- Raknerud, Arvid & Skare, Øivind, 2012. "Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3260-3275.
- 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.
- Mealli, Fabrizia & Rampichini, Carla, 1999. "Estimating binary multilevel models through indirect inference," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 313-324, January.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- 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".
- 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).
- Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
Cited by:
- Imane El Ouadghiri & Remzi Uctum, 2016.
"Jumps in equilibrium prices and asymmetric news in foreign exchange markets,"
Post-Print
hal-01386027, HAL.
- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01411808, HAL.
- El Ouadghiri, Imane & Uctum, Remzi, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, vol. 54(C), pages 218-234.
- Remzi Uctum & Imane El Ouadghiri, 2015. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01638221, HAL.
- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," EconomiX Working Papers 2015-14, University of Paris Nanterre, EconomiX.
- Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013.
"The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate,"
Borradores de Economia
10767, Banco de la Republica.
- Juan José Echavarría & Luis Fernando Melo velandia & Santiago Téllez & Mauricio Villamizar Villegas, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 767, Banco de la Republica de Colombia.
- Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
- Juan José Echavarría & Luis Fernando Melo & Santiago Téllez & Mauricio Villamizar, 2013. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," BIS Working Papers 428, Bank for International Settlements.
- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," Working Papers hal-04141414, HAL.
- Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010.
"Trading activity, realized volatility and jumps,"
Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
- GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010. "Trading activity, realized volatility and jumps," LIDAM Reprints CORE 2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitrakopoulos, Stefanos & Tsionas, Mike, 2019. "Ordinal-response GARCH models for transaction data: A forecasting exercise," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1273-1287.
- Zhao, Wandi & Gao, Yang & Wang, Mingjin, 2022. "Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
- Slim, Skander & Dahmene, Meriam, 2016. "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, vol. 29(C), pages 70-84.
- Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
- Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.
- Chen, Ho-Chyuan & Chang, Kuang-Liang & Yu, Shih-Ti, 2012. "Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions," Japan and the World Economy, Elsevier, vol. 24(4), pages 274-282.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995.
"Analytic Derivatives and the Computation of GARCH Estimates,"
Working Papers
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- 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..
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
Cited by:
- Fantazzini, Dean, 2022.
"Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death,"
MPRA Paper
113744, University Library of Munich, Germany.
- Dean Fantazzini, 2022. "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, vol. 15(7), pages 1-34, July.
- H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
- 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).
- Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
- Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
- 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".
- Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian matrices and the computation of FIGARCH estimates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(2), pages 247-264, June.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017.
"A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Timo Teräsvirta, 2012.
"Modelling Changes in the Unconditional Variance of Long Stock Return Series,"
CREATES Research Papers
2012-07, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
- Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022.
"Gaussian Rank Correlation and Regression,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306,
Emerald Group Publishing Limited.
- Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020. "Gaussian Rank Correlation and Regression," Working Papers wp2020_2004, CEMFI.
- Jurgen A. Doornik & Marius Ooms, 2003.
"Multimodality in the GARCH Regression Model,"
Economics Papers
2003-W20, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Davide Delle Monache & Ivan Petrella, 2014.
"Adaptive Models and Heavy Tails,"
Working Papers
720, Queen Mary University of London, School of Economics and Finance.
- Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
- Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails," Temi di discussione (Economic working papers) 1052, Bank of Italy, Economic Research and International Relations Area.
- McCullough, B. D., 2000. "Is it safe to assume that software is accurate?," International Journal of Forecasting, Elsevier, vol. 16(3), pages 349-357.
- Riccardo LUCCHETTI, 1999.
"Analytic Score for Multivariate GARCH Models,"
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119, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Lucchetti, Riccardo, 2002. "Analytical Score for Multivariate GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 133-143, April.
- Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014.
"A Socio-Finance Model: Inference and empirical application,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-01215605, HAL.
- Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Documents de travail du Centre d'Economie de la Sorbonne 15076, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01242248, HAL.
- Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Post-Print halshs-01242248, HAL.
- Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "A Socio-Finance Model: Inference and empirical application," Working Papers hal-01215605, HAL.
- Massimiliano Caporin & Michael McAleer, 2010.
"Model Selection and Testing of Conditional and Stochastic Volatility Models,"
KIER Working Papers
724, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Charles, Amélie & Darné, Olivier, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, Elsevier, vol. 157(C), pages 179-202.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jurgen A. Doornik and Marius Ooms, 2001.
"Multimodality and the GARCH Likelihood,"
Computing in Economics and Finance 2001
76, Society for Computational Economics.
- Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
- H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
- Tsui, Albert K, 2004. "Diagnostics for conditional heteroscedasticity models: some simulation results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 113-119.
- Visser, Marcel P., 2008.
"Garch Parameter Estimation Using High-Frequency Data,"
MPRA Paper
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- Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 162-197, Winter.
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438.
- C. R. McKenzie & Sumiko Takaoka, 2007. "EViews 5.1," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1145-1152.
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
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- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654.
- Lundbergh, Stefan & Teräsvirta, Timo, 2003.
"A time series model for an exchange rate in a target zone with applications,"
SSE/EFI Working Paper Series in Economics and Finance
533, Stockholm School of Economics.
- Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
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"Multivariate GARCH Models: Software Choice and Estimation Issues,"
ICMA Centre Discussion Papers in Finance
icma-dp2003-07, Henley Business School, University of Reading.
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- Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
- Andrew P. Blake, 2004. "Analytic Derivatives for Linear Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 77-96, August.
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"Modelling Volatility by Variance Decomposition,"
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01/2011, NIPE - Universidade do Minho.
- Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," CREATES Research Papers 2011-01, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
- Vladimír Holý & Jan Zouhar, 2022. "Modelling time‐varying rankings with autoregressive and score‐driven dynamics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1427-1450, November.
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- DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018.
"Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model,"
LIDAM Discussion Papers CORE
2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
- Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 45-61.
- Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
- Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012.
"Testing conditional asymmetry: A residual-based approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
- Lambert, Philippe & Laurent, Sebastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," LIDAM Reprints ISBA 2012006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Philippe Lambert & Sébastien Laurent & David Veredas, 2012. "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository 2013/136195, ULB -- Universite Libre de Bruxelles.
- Drew Creal & Siem Jan Koopman & André Lucas, 2008.
"A General Framework for Observation Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
08-108/4, Tinbergen Institute.
- Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
- Alicia Pérez Alonso, 2006.
"A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models,"
Working Papers. Serie AD
2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
- Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107630024.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723.
- Tomoaki Nakatani & Timo Terasvirta, 2009.
"Testing for volatility interactions in the Constant Conditional Correlation GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 04 May 2008.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Research Papers EI 9926-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014.
"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521817707.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
- K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
- Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
- McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr.
- Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
- Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, June.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
- Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
- Geweke, John & Durham, Garland, 2019. "Sequentially adaptive Bayesian learning algorithms for inference and optimization," Journal of Econometrics, Elsevier, vol. 210(1), pages 4-25.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1994.
"Conditional heteroskedasticity in nonlinear simultaneous equations,"
MPRA Paper
24428, University Library of Munich, Germany.
Cited by:
- 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".
- Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
- Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
- 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.
- Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993.
"Alternative estimators of the covariance matrix in GARCH models,"
MPRA Paper
24433, University Library of Munich, Germany.
Cited by:
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Charles, Amélie & Darné, Olivier, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, Elsevier, vol. 157(C), pages 179-202.
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
- Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991.
"Simulation of interest rate options using ARCH,"
MPRA Paper
24844, University Library of Munich, Germany.
Cited by:
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
- Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990. "Mode predictors in nonlinear systems with identities," International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
Cited by:
- Maximiano Pinheiro & Paulo Esteves, 2012.
"On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information,"
Empirical Economics, Springer, vol. 42(3), pages 639-665, June.
- Paulo Esteves & Maximiano Pinheiro, 2008. "On the uncertainty and risks of macroeconomic forecasts: Combining judgements with sample and model information," Working Papers w200821, Banco de Portugal, Economics and Research Department.
- 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.
- 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.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- 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.
- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- 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.
- 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.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
Cited by:
- 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.
- 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.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1985.
"Gradient methods in FIML estimation of econometric models,"
MPRA Paper
24843, University Library of Munich, Germany.
Cited by:
- 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.
- 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.
Cited by:
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1984.
"A Simulation Study on FIML Covariance Matrix,"
MPRA Paper
28804, University Library of Munich, Germany.
Cited by:
- 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.
- 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.
- 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.
Cited by:
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
Cited by:
- 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.
- 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.
- 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.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
- 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.
Cited by:
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1985. "Gradient methods in FIML estimation of econometric models," MPRA Paper 24843, University Library of Munich, Germany.
- Jansson, Leif & Mellander, Erik, 1984. "CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters," Working Paper Series 131, Research Institute of Industrial Economics.
- 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.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Simes, Richard M, 1988. "Macroeconometric Model Evaluation, with Special Reference to the NIF88 Model," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 29-56, Supplemen.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
- McCarthy, Michael D., 1998. "Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 239-262.
- 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.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- 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.
- 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.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- 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.
- 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.
- Bianchi, Carlo & Calzolari, Giorgio, 1980.
"A simulation approach to some dynamic properties of econometric models,"
MPRA Paper
24421, University Library of Munich, Germany.
Cited by:
- 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.
- Bianchi, Carlo & Calzolari, Giorgio, 1979.
"Simulation of a nonlinear econometric model,"
MPRA Paper
24440, University Library of Munich, Germany, revised 1980.
Cited by:
- 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.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
Cited by:
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
- 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.
Cited by:
- 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.
- Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
- 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.
Cited by:
- Lahti, Ari & Virén, Matti, 1989. "The Finnish rational expectations QMED model: estimation, dynamic properties and policy results," Bank of Finland Research Discussion Papers 23/1989, Bank of Finland.
- Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
- 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.
Cited by:
- 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.
- Calzolari, Giorgio & Corsi, Paolo, 1977.
"Stochastic simulation as a validation tool for econometric models,"
MPRA Paper
21226, University Library of Munich, Germany.
Cited by:
- Ray C. Fair, 1978.
"Estimating the Expected Predictive Accuracy of Econometric Models,"
Cowles Foundation Discussion Papers
480, Cowles Foundation for Research in Economics, Yale University.
- Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
- 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.
- 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.
- Ray C. Fair, 2001.
"Bootstrapping Macroeconometric Models,"
Cowles Foundation Discussion Papers
1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
- Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
- Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Mariano, Roberto S., 1985.
"Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results,"
Economic Research Papers
269232, University of Warwick - Department of Economics.
- Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
- Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995, Elsevier.
- Ray C. Fair, 1978.
"Estimating the Expected Predictive Accuracy of Econometric Models,"
Cowles Foundation Discussion Papers
480, Cowles Foundation for Research in Economics, Yale University.
- 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.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- Ray C. Fair, 1978.
"Estimating the Expected Predictive Accuracy of Econometric Models,"
Cowles Foundation Discussion Papers
480, Cowles Foundation for Research in Economics, Yale University.
- Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
- 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.
- 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.
- 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.
- Ray C. Fair, 2001.
"Bootstrapping Macroeconometric Models,"
Cowles Foundation Discussion Papers
1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
- Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
- Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
- Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995, Elsevier.
- Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
Cited by:
- 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.
- 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.
- Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
- Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
- Calzolari, Giorgio, 1974.
"Interactive management for time series,"
MPRA Paper
22693, University Library of Munich, Germany, revised 1974.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paoli, 1974. "Interactive management of time series," MPRA Paper 23061, University Library of Munich, Germany, revised Nov 1974.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1974. "Interactive management of time series," MPRA Paper 24539, University Library of Munich, Germany.
Cited by:
- 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.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "User defined functions and operators," MPRA Paper 23063, University Library of Munich, Germany, revised Sep 1976.
- 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.
- 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.
- 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.
Cited by:
- 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.
Articles
- Giorgio Calzolari & Maria Gabriella Campolo & Antonino Di Pino & Laura Magazzini, 2021.
"Maximum likelihood estimation of an across-regime correlation parameter,"
Stata Journal, StataCorp LP, vol. 21(2), pages 430-461, June.
Cited by:
- Giorgio Calzolari & Maria Gabriella Campolo & Antonino Pino & Laura Magazzini, 2023. "Assessing individual skill influence on housework time of Italian women: an endogenous-switching approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(2), pages 659-679, June.
- Giorgio Calzolari & Roxana Halbleib & Aygul Zagidullina, 2021.
"A Latent Factor Model for Forecasting Realized Variances [Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk],"
Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 860-909.
Cited by:
- Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
- Laura Magazzini & Giorgio Calzolari, 2019.
"Testing initial conditions in dynamic panel data models,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(2), pages 115-134, December.
- Laura Magazzini & Giorgio Calzolari, 2020. "Testing initial conditions in dynamic panel data models," Econometric Reviews, Taylor & Francis Journals, vol. 39(2), pages 115-134, February.
Cited by:
- Hossain, Mohammed Sawkat, 2021. "A revisit of capital structure puzzle: Global evidence and analysis," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 657-678.
- Calzolari, Giorgio & Halbleib, Roxana, 2018.
"Estimating stable latent factor models by indirect inference,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
Cited by:
- Shuquan Yang & Nengxiang Ling & Yulin Gong, 2022. "Robust estimation of the number of factors for the pair-elliptical factor models," Computational Statistics, Springer, vol. 37(3), pages 1495-1522, July.
- Cosimo Magazzino & Marco Mele, 2022. "A Dynamic Factor and Neural Networks Analysis of the Co-movement of Public Revenues in the EMU," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 289-338, July.
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
- Yu, Long & He, Yong & Zhang, Xinsheng, 2019. "Robust factor number specification for large-dimensional elliptical factor model," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Giorgio Calzolari & Antonino Di Pino, 2017.
"Self-selection and direct estimation of across-regime correlation parameter,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2142-2160, September.
See citations under working paper version above.
- 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.
- 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".
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
See citations under working paper version above.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- 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.
See citations under working paper version above.
- 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.
- 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.
See citations under working paper version above.
- 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".
- 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, March.
See citations under working paper version above.
- 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".
- 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.
See citations under working paper version above.
- 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, Rimini Centre for Economic Analysis.
- 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.
Cited by:
- Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019.
"Indirect inference with a non-smooth criterion function,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
- David T. Frazier & Tatsushi Oka & Dan Zhu, 2017. "Indirect Inference with a Non-Smooth Criterion Function," Papers 1708.02365, arXiv.org, revised Jul 2019.
- 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.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019.
"Indirect inference with a non-smooth criterion function,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
- Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004.
"Constrained Indirect Estimation,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
Cited by:
- 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.
- 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".
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- 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.
- 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, Rimini Centre for Economic Analysis.
- Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011.
"State-Observation Sampling and the Econometrics of Learning Models,"
Working Papers
hal-00625500, HAL.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
- Sentana, Enrique & Amengual, Dante, 2015.
"Is a normal copula the right copula?,"
CEPR Discussion Papers
10809, C.E.P.R. Discussion Papers.
- Dante Amengual & Enrique Sentana, 2020. "Is a Normal Copula the Right Copula?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 350-366, April.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
- Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
- Calvet, Laurent E. & Czellar, Veronika, 2015.
"Through the looking glass: Indirect inference via simple equilibria,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
- Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
- Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
- Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- 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.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- LOMBARDI, Marco & VEREDAS, David, 2007.
"Indirect estimation of elliptical stable distributions,"
LIDAM Discussion Papers CORE
2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
- 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".
- 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, March.
- Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019.
"Indirect inference with a non-smooth criterion function,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
- David T. Frazier & Tatsushi Oka & Dan Zhu, 2017. "Indirect Inference with a Non-Smooth Criterion Function," Papers 1708.02365, arXiv.org, revised Jul 2019.
- Broto, Carmen & Ruiz Ortega, Esther, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Marco Bee & Julien Hambuckers & Luca Trapin, 2019. "An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution," DEM Working Papers 2019/11, Department of Economics and Management.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
- Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
- Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
- Stelios Arvanitis & Antonis Demos, 2014.
"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- 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, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- 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.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
- Blasques, Francisco & Duplinskiy, Artem, 2018.
"Penalized indirect inference,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 34-54.
- Francisco Blasques & Artem Duplinskiy, 2015. "Penalized Indirect Inference," Tinbergen Institute Discussion Papers 15-009/III, Tinbergen Institute.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
- Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
- David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
- Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
- Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
- 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".
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- 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.
- 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.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
- 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 532-546, October.
See citations under working paper version above.
- 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-.
- 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).
- 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.
Cited by:
- 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.
- 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 100-112.
See citations under working paper version above.
- Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
- 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).
- Giorgio Calzolari & Gabriele Fiorentini, 1998.
"A tobit model with garch errors,"
Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
See citations under working paper version above.
- 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).
- 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..
See citations under working paper version above.
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
- Calzolari, Giorgio & Sampoli, Letizia, 1993.
"A Curious Result on Exact FIML and Instrumental Variables,"
Econometric Theory, Cambridge University Press, vol. 9(2), pages 296-309, April.
Cited by:
- Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
- 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.
- Giorgio Calzolari & Laura Magazzini, 2011. "Moment Conditions and Neglected Endogeneity in Panel Data Models," Working Papers 02/2011, University of Verona, Department of Economics.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1993.
"Alternative covariance estimators of the standard Tobit model,"
Economics Letters, Elsevier, vol. 42(1), pages 5-13.
Cited by:
- 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).
- Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Toomet, Ott & Henningsen, Arne, 2008. "Sample Selection Models in R: Package sampleSelection," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i07).
- Arne Henningsen & Ott Toomet, 2011. "maxLik: A package for maximum likelihood estimation in R," Computational Statistics, Springer, vol. 26(3), pages 443-458, September.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
- Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
- 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).
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
See citations under working paper version above.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- 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 137-150, April-Jun.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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".
- Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Fiscal Policy Simulations using an Aggregate Disequilibrium Model of the West German Economy," ZEW Discussion Papers 98-03, ZEW - Leibniz Centre for European Economic Research.
- Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988.
"Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y,"
Econometrica, Econometric Society, vol. 56(3), pages 701-714, May.
Cited by:
- 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.
- Giorgio Calzolari & Antonino Di Pino, 2017. "Self-selection and direct estimation of across-regime correlation parameter," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2142-2160, September.
- 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".
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
- C. R. McKenzie & Sumiko Takaoka, 2007. "EViews 5.1," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1145-1152.
- 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.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
- Torój, Andrzej, 2010. "Adjustment capacity in a monetary union: a DSGE evaluation of Poland and Slovakia," MF Working Papers 4, Ministry of Finance in Poland, revised 11 May 2010.
- Andrzej Toroj, 2011. "Competitiveness channel in Poland and Slovakia: a pre-EMU DSGE analysis," NBP Working Papers 86, Narodowy Bank Polski.
- Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo & Weihs, Claus, 1987.
"Computational efficiency of FIML estimation,"
Journal of Econometrics, Elsevier, vol. 36(3), pages 299-310, November.
Cited by:
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
- Oya, Kosuke & Morimune, Kimio, 1992. "The distribution of the full information maximum likelihood estimator," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 569-574.
- 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.
- 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.
- 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.
- Calzolari, Giorgio & Sampoli, Letizia, 1989. "Instrumental variables interpretations of FIML and nonlinear FIML," MPRA Paper 29024, University Library of Munich, Germany.
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995.
"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- 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.
See citations under working paper version above.
- 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.
- Calzolari, Giorgio, 1987.
"Forecast Variance in Dynamic Simulation of Simultaneous Equation Models,"
Econometrica, Econometric Society, vol. 55(6), pages 1473-1476, November.
Cited by:
- 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.
- 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.
- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio & Sterbenz, Frederic P, 1986.
"Control Variates to Estimate the Reduced Form Variances in Econometric Models,"
Econometrica, Econometric Society, vol. 54(6), pages 1483-1490, November.
Cited by:
- 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".
- 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.
- 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 100-112.
- Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
- 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).
- 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.
- 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.
- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
- Calzolari, Giorgio, 1981.
"A Note on the Variance of Ex-Post Forecasts in Econometric Models,"
Econometrica, Econometric Society, vol. 49(6), pages 1593-1595, November.
Cited by:
- Hendry, David F. & Clements, Michael P., 2003.
"Economic forecasting: some lessons from recent research,"
Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
- Clements, Michael P. & Hendry, David F., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 82, European Central Bank.
- David Hendry & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
- David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
- David F. Hendry, 2002.
"Forecast Failure, Expectations Formation and the Lucas Critique,"
Annals of Economics and Statistics, GENES, issue 67-68, pages 21-40.
- David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
- 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.
- 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.
- 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.
- 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.
- David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
- David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
- 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.
- 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.
- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
- Hendry, David F. & Clements, Michael P., 2003.
"Economic forecasting: some lessons from recent research,"
Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
- 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.
Cited by:
- Grant, Warren R. & Beach, John & Lin, William, 1984. "Factors Affecting Supply, Demand, And Prices Of U.S. Rice," Staff Reports 277629, United States Department of Agriculture, Economic Research Service.
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- 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.
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mohring, Herbert & Schroeter, John, 1991. "The Costs of Inefficient Fishery Regulation: A Partial Study of Pacific Halibut," ISU General Staff Papers 199106010700001228, Iowa State University, Department of Economics.
- 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 201-208, February.
Cited by:
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
- van Garderen, Kees Jan, 2001. "Optimal prediction in loglinear models," Journal of Econometrics, Elsevier, vol. 104(1), pages 119-140, August.
- 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.
- 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.
- Calzolari, Giorgio, 2012.
"Econometric notes,"
MPRA Paper
36765, University Library of Munich, Germany.
- Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
- 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.
- Halbleib, Roxana & Dimitriadis, Timo, 2019. "How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203669, Verein für Socialpolitik / German Economic Association.
- 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.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
- Mariano, Roberto S., 1985.
"Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results,"
Economic Research Papers
269232, University of Warwick - Department of Economics.
- Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
- Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389, Elsevier.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio, 1979. "The deterministic simulation bias in the Klein-Goldberger model," MPRA Paper 24461, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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 505-506, March.
Cited by:
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
- 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.
- 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.
- Calzolari, Giorgio, 1979. "The asymptotic distribution of power spectra in dynamic econometric models," MPRA Paper 24460, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
- Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
- 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.
- 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.
- 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.
Cited by:
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979.
"On the stability of the Klein-I model,"
Economics Letters, Elsevier, vol. 4(1), pages 33-35.
Cited by:
- 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.
- Calzolari, Giorgio, 1979.
"Antithetic variates to estimate the simulation bias in non-linear models,"
Economics Letters, Elsevier, vol. 4(4), pages 323-328.
Cited by:
- Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
- Dennis Ridley & Pierre Ngnepieba, 2014. "Antithetic time series analysis and the CompanyX data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 177(1), pages 83-94, January.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting, Elsevier, vol. 6(3), pages 317-326, October.
- 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.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Coherent Forecast with Nonlinear Econometric Models," MPRA Paper 28802, University Library of Munich, Germany.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
- 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.
- 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".
- 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.
- 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 100-112.
- Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996. "Control variates for variance reduction in indirect inference: interest rate models in continuous time," MPRA Paper 23160, University Library of Munich, Germany, revised Nov 1996.
- 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).
- 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.
- 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.
- 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.
- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
- Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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.
- Mariano, Roberto S., 1985.
"Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results,"
Economic Research Papers
269232, University of Warwick - Department of Economics.
- Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
- Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 21-43, February.
- Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
- 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.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978.
"A Program for Stochastic Simulation of Econometric Models,"
Econometrica, Econometric Society, vol. 46(1), pages 235-236, January.
Cited by:
- Lauenstein, H & Karg, G., 1980. "Zur Prüfung der Prognosegüte ökonometrischer Modelle," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 17.
- 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.
- Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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".
- 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.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
- Luisa Corrado & Sean Holly, 2003.
"Nonlinear Phillips Curves, Mixing Feedback Rules and the Distribution of Inflation and Output,"
CEIS Research Paper
37, Tor Vergata University, CEIS.
- Corrado, Luisa & Holly, Sean, 2003. "Nonlinear Phillips curves, mixing feedback rules and the distribution of inflation and output," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 467-492, December.
- Corrado, L. & Holly, S., 2000. "Piecewise Linear Feedback Rules in a Non Linear Model of the Phillips Curve: Evidence from the US and the UK," Cambridge Working Papers in Economics 0019, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
- 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.
- 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.
- 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.
- Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
- 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.
- 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.
- Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
- 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.
- 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".