P. Zaffaroni

发表

Optimal Asset Allocation with Factor Models for Large Portfolios

M. Pesaran, P. Zaffaroni, 2008, SSRN Electronic Journal.

Whittle estimation of EGARCH and other exponential volatility models

P. Zaffaroni, 2009 .

WHITTLE ESTIMATION OF EXPONENTIAL VOLATILITY MODELS

P. Zaffaroni, 2007 .

Contemporaneous aggregation of GARCH processes

P. Zaffaroni, 2007 .

The Long Range Dependence Paradigm for Macroeconomics and Finance

P. Zaffaroni, Marc Henry, 2002 .

Fractional) Beta Convergence

P. Zaffaroni, Claudio Michelacci, 2000 .

A multi-year geographic database of fire affected areas derived from satellite images in the National Parks of Italy

P. Zaffaroni, M. Boschetti, P. Brivio, 2009 .

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

M. Hallin, P. Zaffaroni, Mario Forni, 2013 .

Nonlinear long memory models with applications in finance

P. Zaffaroni, 1997 .

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

M. Pesaran, P. Zaffaroni, 2009, SSRN Electronic Journal.

Gaussian inference on certain long-range dependent volatility models

Paolo Zaffaroni, P. Zaffaroni, Banca d’Italia, 2003 .

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

R. Uppal, P. Zaffaroni, Raman Uppal, 2016 .

ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES

W. Wu, P. Zaffaroni, 2018, Econometric Theory.

A goodness-of-fit test for ARCH(∞) models

Paolo Zaffaroni, Javier Hidalgo, P. Zaffaroni, 2007 .

STATIONARITY AND MEMORY OF ARCH(∞) MODELS

P. Zaffaroni, 2004, Econometric Theory.

Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis

M. Hallin, P. Zaffaroni, Mario Forni, 2015 .

One-Sided Representations of Generalized Dynamic Factor Models

M. Hallin, P. Zaffaroni, Mario Forni, 2011 .

What is Missing in Asset-Pricing Factor Models?

R. Uppal, P. Zaffaroni, Massimo Dello Preite, 2022, SSRN Electronic Journal.

Factor Models for Asset Pricing

P. Zaffaroni, 2019, SSRN Electronic Journal.

Large‐scale volatility models: theoretical properties of professionals’ practice

P. Zaffaroni, 2008 .

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

Paolo Zaffaroni, Filippo Altissimo, Benoit Mojon, 2007 .

A GOODNESS OF FIT TEST FOR ARCH ( 1 ) MODELS

P. Zaffaroni, J. Hidalgo, 2006 .

Contemporaneous aggregation of linear dynamic models in large economies

P. Zaffaroni, 2004 .

A goodness-of-fit test for ARCH(∞)ARCH(∞) models

P. Zaffaroni, J. Hidalgo, 2007 .

Aggregation and memory of models of changing volatility

Paolo Zaffaroni, P. Zaffaroni, 2007 .

Pseudo-maximum likelihood estimation of ARCH(∞) models

Paolo Zaffaroni, P. Robinson, P. Zaffaroni, 2005, math/0607798.

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

M. Pesaran, P. Zaffaroni, Spheroidal Wave Mathieu, 2004, SSRN Electronic Journal.

Correcting Misspecified Stochastic Discount Factors∗

R. Uppal, P. Zaffaroni, Irina Zviadadze, 2019 .

Robust Portfolio Choice

R. Uppal, P. Zaffaroni, Valentina Raponi, 2021, SSRN Electronic Journal.

GENERALIZED LEAST SQUARES ESTIMATION OF PANEL WITH COMMON SHOCKS

P. Zaffaroni, 2009 .

Long Memory Affine Term Structure Models

P. Zaffaroni, A. Golinski, 2015 .

Model Averaging in Risk Management with an Application to Futures Markets

Paolo Zaffaroni, Christoph Schleicher, M. Pesaran, 2008, SSRN Electronic Journal.

Robust Nearly-Efficient Estimation of Large Panels With Factor Structures

P. Zaffaroni, Marco Avarucci, 2019, SSRN Electronic Journal.

Testing Beta-Pricing Models Using Large Cross-Sections

Cesare Robotti, Paolo Zaffaroni, Valentina Raponi, 2017, The Review of Financial Studies.

Leaf Area Index estimates from medium resolution satelliteimagery and ground data

P. Zaffaroni, M. Boschetti, P. Brivio, 2007 .

Can aggregation explain the persistence of inflation

P. Zaffaroni, Filippo Altissimo, Benoît Mojon, 2009 .

Robust Estimation of Large Panels with Factor Structures

P. Zaffaroni, Marco Avarucci, 2022, Journal of the American Statistical Association.

ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS

P. Zaffaroni, E. Beutner, Marco Avarucci, 2013, Econometric Theory.

Inferential theory for generalized dynamic factor models

M. Hallin, P. Zaffaroni, M. Barigozzi, 2023, Journal of Econometrics.

Analysis and Interpretation of Spectral Indices for Soft Multicriteria Burned-Area Mapping in Mediterranean Regions

Daniela Stroppiana, Mirco Boschetti, Pietro Alessandro Brivio, 2009, IEEE Geoscience and Remote Sensing Letters.

Estimating and forecasting volatility with large scale models : theoretical appraisal of professionals ’ practice

P. Zaffaroni, 2006 .

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

Paolo Zaffaroni, P. Robinson, P. Zaffaroni, 1998 .

STATIONARITY AND MEMORY OF ARCH(∞) MODELS

Paolo Zaffaroni, P. Zaffaroni, 2004, Econometric Theory.