← All authors Paolo Zaffaroni Imperial College London (from arXiv:1902.11181, 2019) · ORCID · OpenAlex
28 papers in scope · 27 published · 1 on the econ.EM arXiv · 2,149 citations · h-index 19 (over the papers listed here)
Papers (1 of 28)
Frequency-Band Estimation of the Number of Factors
published 2025 · Journal of the American Statistical Association · 9 citations · first circulated 2021
Factor Models for Conditional Asset Pricing
published 2025 · Journal of Political Economy · 11 citations · first circulated 2019
Inferential theory for generalized dynamic factor models
published 2023 · Journal of Econometrics · 12 citations
Comment on: Identification Robust Testing of Risk Premia in Finite Samples
published 2022 · Journal of Financial Econometrics
Robust Estimation of Large Panels with Factor Structures
published 2022 · Journal of the American Statistical Association · 1 citations
Testing Beta-Pricing Models Using Large Cross-Sections
published 2019 · Review of Financial Studies · 67 citations · first circulated 2017
with Valentina Raponi, Cesare Robotti
working paper 2019 · arXiv · 1 citations
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
published 2017 · Journal of Econometrics · 106 citations · first circulated 2015
ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
published 2017 · Econometric Theory · 35 citations
Long memory affine term structure models
published 2015 · Journal of Econometrics · 32 citations
with Adam Goliński
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
published 2014 · Journal of Econometrics · 128 citations · first circulated 2012
ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
published 2012 · Econometric Theory · 19 citations
Whittle estimation of EGARCH and other exponential volatility models
published 2009 · Journal of Econometrics · 34 citations
Can aggregation explain the persistence of inflation?
published 2009 · Journal of Monetary Economics · 97 citations · first circulated 2007
with Filippo Altissimo, Benoît Mojon
Model averaging in risk management with an application to futures markets
published 2008 · Journal of Empirical Finance · 25 citations
Large‐scale volatility models: theoretical properties of professionals’ practice
published 2008 · Journal of Time Series Analysis · 19 citations
A goodness-of-fit test for models
published 2007 · Journal of Econometrics · 9 citations · first circulated 1999
Contemporaneous aggregation of GARCH processes
published 2007 · Journal of Time Series Analysis · 6 citations
A goodness-of-fit test for ARCH ( ∞ ) models
published 2007 · Journal of Econometrics · 30 citations
Pseudo-maximum likelihood estimation of ARCH(∞) models
published 2006 · The Annals of Statistics · 94 citations
with Peter M. Robinson
Aggregation and memory of models of changing volatility
published 2006 · Journal of Econometrics · 55 citations · first circulated 2002
Dynamic Portfolio Optimization Using Generalized Dynamic Conditional Heteroskedastic Factor Models
published 2005 · Journal of the American Statistical Association · 859 citations
STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
published 2004 · Econometric Theory · 51 citations
Contemporaneous aggregation of linear dynamic models in large economies
published 2003 · Journal of Econometrics · 197 citations
Gaussian inference on certain long-range dependent volatility models
published 2003 · Journal of Econometrics · 52 citations
with Banca d’Italia
Micro Heterogeneity and Macro Dynamics: an Empirical Analysis
published 2001 · Computing in Economics and Finance
with Filippo Altissimo
no link
(Fractional) beta convergence
published 2000 · Journal of Monetary Economics · 141 citations
with Claudio Michelacci
Nonlinear time series with long memory: a model for stochastic volatility
published 1998 · Journal of Statistical Planning and Inference · 59 citations · first circulated 1997
with Peter M. Robinson
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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