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Marco Avarucci

Personal Details

First Name:Marco
Middle Name:
Last Name:Avarucci
Suffix:
RePEc Short-ID:pav24
http://www.gla.ac.uk/schools/business/staff/marcoavarucci/

Affiliation

Department of Economics
Adam Smith Business School
University of Glasgow

Glasgow, United Kingdom
http://www.gla.ac.uk/subjects/economics/

: 0141 330 4618
0141 330 4940
Adam Smith Building, Glasgow G12 8RT
RePEc:edi:dpglauk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  2. Marco Avarucci & Domenico Marinucci, 2007. "Polynomial Cointegration between Stationary Processes with Long Memory," CEIS Research Paper 99, Tor Vergata University, CEIS.
  3. Avarucci, Marco & Marinucci, Domenico, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de Economía.

Articles

  1. Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(03), pages 545-566, June.
  2. Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
  3. Marco Avarucci & Domenico Marinucci, 2007. "Polynomial Cointegration Between Stationary Processes With Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 923-942, November.

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.

Working papers

  1. Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

    Cited by:

    1. Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
    2. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    3. Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
    4. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    5. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print hal-01436267, HAL.
    6. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
    7. Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
    8. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Papers 1701.05091, arXiv.org, revised Dec 2017.

  2. Marco Avarucci & Domenico Marinucci, 2007. "Polynomial Cointegration between Stationary Processes with Long Memory," CEIS Research Paper 99, Tor Vergata University, CEIS.

    Cited by:

    1. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(03), pages 545-566, June.
    See citations under working paper version above.
  2. Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.

    Cited by:

    1. Federico Carlini & Katarzyna Lasak, 2014. "On an Estimation Method for an Alternative Fractionally Cointegrated Model," Tinbergen Institute Discussion Papers 14-052/III, Tinbergen Institute.
    2. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    3. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
    4. Paolo Santucci de Magistris & Federico Carlini, 2014. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2014-43, Department of Economics and Business Economics, Aarhus University.
    5. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.

  3. Marco Avarucci & Domenico Marinucci, 2007. "Polynomial Cointegration Between Stationary Processes With Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 923-942, November.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2005-09-11 2007-07-13 2012-01-25
  2. NEP-ETS: Econometric Time Series (3) 2005-09-11 2007-07-13 2012-01-25
  3. NEP-ORE: Operations Research (1) 2012-01-25

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