← All authors Giorgio Calzolari University of Florence (per OpenAlex) · ORCID · OpenAlex
43 papers in scope · 43 published · 1 on the econ.EM arXiv · 891 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Aygul Zagidullina Winfried Pohlmeier Manabu Asai Benjamin Poignard Hedibert F. Lopes Gregor Kastner Sylvia Frühwirth-Schnatter Christian Mücher Maurizio Daniele Roxana Halbleib Darjus Hosszejni Bruno P. C. Levy Florian Huber Paulina Jonéus Sebastian Ankargren Peter Knaus Tomasz Woźniak Gary Koop Fei Shang Annalisa Cadonna Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 43)
published 2025 · AStA Advances in Statistical Analysis · first circulated 2023
A Lagrange multiplier test for the mean stationarity assumption in dynamic panel-data models
published 2023 · The Stata Journal Promoting communications on statistics and Stata · 1 citations
with Laura Magazzini
Assessing individual skill influence on housework time of Italian women: an endogenous-switching approach
published 2022 · Statistical Methods & Applications
with Maria Gabriella Campolo, Antonino Di Pino, Laura Magazzini
Maximum likelihood estimation of an across-regime correlation parameter
published 2021 · The Stata Journal Promoting communications on statistics and Stata · 2 citations
with Maria Gabriella Campolo, Antonino Di Pino, Laura Magazzini
Testing initial conditions in dynamic panel data models
published 2019 · Econometric Reviews · 16 citations
with Laura Magazzini
A Latent Factor Model for Forecasting Realized Variances
published 2019 · Journal of Financial Econometrics · 5 citations · first circulated 2017
Estimating stable latent factor models by indirect inference
published 2018 · Journal of Econometrics · 12 citations · first circulated 2014
Econometrics exams and round numbers: Use or misuse of indirect estimation methods?
published 2017 · Communications in Statistics - Simulation and Computation · 8 citations
Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning
published 2017 · Journal of Statistical Computation and Simulation · 3 citations · first circulated 2014
with Anna Gottard
Self-selection and direct estimation of across-regime correlation parameter
published 2016 · Journal of Applied Statistics · 2 citations
with Antonino Di Pino
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
published 2013 · Computational Statistics & Data Analysis · 29 citations
Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood
published 2011 · Empirical Economics · 11 citations · first circulated 2009
with Laura Magazzini
Indirect estimation of -stable stochastic volatility models
published 2008 · Computational Statistics & Data Analysis · 40 citations · first circulated 2006
with M. Lombardi
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
published 2008 · Journal of Econometrics · 62 citations · first circulated 2004
with Enrique Sentana, Gabriele Fiorentini, Enrique Sentana Iváñez
Indirect Estimation of α-Stable Distributions and Processes
published 2008 · Econometrics Journal · 32 citations · first circulated 2004
with M. Lombardi
Discontinuities in indirect estimation: An application to EAR models
published 2005 · Computational Statistics & Data Analysis · 6 citations
with Francesca Di Iorio
Constrained Indirect Estimation
published 2004 · The Review of Economic Studies · 68 citations
with Gabriele Fiorentini, Enrique Sentana
On the validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models
published 2004 · Economics Letters · 33 citations · first circulated 2003
with Gabriele Fiorentini, Enrique Sentana
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations
published 2003 · Journal of Business and Economic Statistics · 150 citations
with Gabriele Fiorentini, Enrique Sentana
Indirect Inference and Variance Reduction using Control Variates
published 1999 · METRON · 2 citations
with Francesca Di Iorio, Gabriele Fiorentini
no link
Control variates for variance reduction in indirect inference: Interest rate models in continuous time
published 1998 · Econometrics Journal · 15 citations
with Francesca Di Iorio, Gabriele Fiorentini
A tobit model with garch errors
published 1998 · Econometric Reviews · 20 citations · first circulated 1997
with Gabriele Fiorentini
Analytic derivatives and the computation of GARCH estimates
published 1996 · Journal of Applied Econometrics · 130 citations · first circulated 1995
with Gabriele Fiorentini, Lorenzo Panattoni
A Curious Result on Exact FIML and Instrumental Variables
published 1993 · Econometric Theory · 3 citations
with Letizia Sampoli
Alternative covariance estimators of the standard Tobit model
published 1993 · Economics Letters · 6 citations
with Gabriele Fiorentini
Mode predictors in nonlinear systems with identities
published 1990 · International Journal of Forecasting · 4 citations · first circulated 1988
with Lorenzo Panattoni
Alternative specifications of the error process in the stochastic simulation of econometric models
published 1990 · Journal of Applied Econometrics · 10 citations
with Frederic P. Sterbenz
Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study
published 1988 · Econometrica · 27 citations
with Lorenzo Panattoni
Computational efficiency of FIML estimation
published 1987 · Journal of Econometrics · 10 citations
with Lorenzo Panattoni, Claus Weihs
Forecast Variance in Dynamic Simulation of Simultaneous Equation Models
published 1987 · Econometrica · 8 citations
The behavior of trust-region methods in FIML-estimation
published 1987 · Computing · 2 citations · first circulated 1986
with Claus Weihs, Lorenzo Panattoni
Measuring forecast uncertainty
published 1987 · International Journal of Forecasting · 13 citations
with Carlo Bianchi, Jean-Louis Brillet
Control Variates to Estimate the Reduced Form Variance in Econometric Models
published 1986 · Econometrica · 12 citations
with Frederic P. Sterbenz
Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models
published 1983 · Journal of Economic Dynamics and Control
Asymptotic standard errors of point elasticities calculated from simultaneous equation systems
published 1983 · Economics Letters
A Note on the Variance of Ex-Post Forecasts in Econometric Models
published 1981 · Econometrica · 49 citations
Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models
published 1981 · Journal of Econometrics · 12 citations
with Carlo Bianchi, Paolo Corsi
The One-Period Forecast Errors in Nonlinear Econometric Models
published 1980 · International Economic Review · 38 citations
with Carlo Bianchi
A Note on the Numerical Results by Goldberger, Nagar, and Odeh
published 1979 · Econometrica · 8 citations
with Carlo Bianchi, Paolo Corsi
Antithetic variates to estimate the simulation bias in non-linear models
published 1979 · Economics Letters · 34 citations
A Monte Carlo approach to compute the asymptotic standard errors of dynamic multipliers
published 1979 · Economics Letters · 1 citations
with Carlo Bianchi, Paolo Corsi
On the stability of the Klein-I model
published 1979 · Economics Letters
with Carlo Bianchi, Paolo Corsi
A Program for Stochastic Simulation of Econometric Models
published 1978 · Econometrica · 7 citations
with Carlo Bianchi, Paolo Corsi, Remi Doret
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.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).