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Paolo Zaffaroni

19 works· latest 2017· 3 institutionscluster: provisionalORCID 0000-0001-9441-5255

h-index19

i1019

Citations1,413

Works here19

Most cited in this library

Contemporaneous aggregation of linear dynamic models in large economies2003 · 189 citations
(Fractional) beta convergence2000 · 141 citations
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations2014 · 119 citations
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis2017 · 98 citations
Can aggregation explain the persistence of inflation?2009 · 91 citations

Works

19 shown

Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis

Journal of Econometrics·2017·4 authors·Open access

98citations

Testing Beta-Pricing Models Using Large Cross-Sections

Review of Financial Studies·2017·3 authors·Open access

73citations

Long memory affine term structure models

Journal of Econometrics·2015·2 authors·Open access

31citations

Dynamic factor models with infinite-dimensional factor spaces: One-sided representations

Journal of Econometrics·2014·4 authors·Open access

119citations

The Long Range Dependence Paradigm for Macroeconomics and Finance

SSRN Electronic Journal·2011·1 author·preprint·Open access

90citations

Whittle estimation of EGARCH and other exponential volatility models

Journal of Econometrics

Can aggregation explain the persistence of inflation?

Journal of Monetary Economics·2009·3 authors

91citations

Model averaging in risk management with an application to futures marketsstar

IRIS Research product catalog (Sapienza University of Rome)·2009·3 authors

74citations

Contemporaneous aggregation of GARCH processes

Journal of Time Series Analysis·2007·1 author·Open access

46citations

Fast Micro and Slow Macro: Can Aggregation Explain the Persistence of Inflation?

SSRN Electronic Journal·2007·3 authors·preprint·Open access

50citations

Fast Micro and Slow Macro: Can Aggregation Explain the Persistence of Inflation?

SSRN Electronic Journal·2007·3 authors·preprint·Open access

47citations

Aggregation and memory of models of changing volatility

Journal of Econometrics·2006·1 author·Open access

54citations

Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models

arXiv (Cornell University)·2006·2 authors·preprint·Open access

88citations

Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management

SSRN Electronic Journal·2005·2 authors·preprint·Open access

34citations

STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS

Econometric Theory·2004·1 author

49citations

Contemporaneous aggregation of linear dynamic models in large economies

Journal of Econometrics·2003·1 author

189citations

Gaussian inference on certain long-range dependent volatility models

Journal of Econometrics·2003·2 authors

50citations

(Fractional) beta convergence

Journal of Monetary Economics·2000·2 authors·Open access

141citations

Nonlinear time series with long memory: a model for stochastic volatility

Journal of Statistical Planning and Inference·1998·2 authors

57citations