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Gabriele Fiorentini

Personal Details

First Name:Gabriele
Middle Name:
Last Name:Fiorentini
Suffix:
RePEc Short-ID:pfi82
[This author has chosen not to make the email address public]
https://sites.google.com/unifi.it/gabrielefiorentini/
Terminal Degree:1995 Department of Economics; European University Institute (from RePEc Genealogy)

Affiliation

Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Università degli Studi di Firenze

Firenze, Italy
http://www.disia.unifi.it/
RePEc:edi:dsfirit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
  2. Gabriele Fiorentini & Alessio Moneta & Francesca Papagni, 2024. "Identification of one independent shock in structural VARs," LEM Papers Series 2024/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  3. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
  4. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
  5. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
  6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
  7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
  8. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Papers wp2021_2103, CEMFI.
  9. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
  10. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
  11. Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  12. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
  13. Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
  14. Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The rise and fall of the natural interest rate," Working Papers 1822, Banco de España.
  15. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
  16. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
  17. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
  18. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  19. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  20. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  21. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  22. Christophe Planas & Alessandro Rossi & Gabriele Fiorentini, 2008. "The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU," Working Paper series 21_08, Rimini Centre for Economic Analysis.
  23. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
  24. Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
  25. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  26. Neil Shephard & Enrique Sentana & Gabriele Fiorentini, 2003. "Likelihood-based estimation of latent generalised ARCH," Economics Series Working Papers 2004-FE-02, University of Oxford, Department of Economics.
  27. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
  28. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
  29. Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001. "Constrained indirect inference estimation," LSE Research Online Documents on Economics 25061, London School of Economics and Political Science, LSE Library.
  30. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000. "Constrained EMM and Indirect Inference Estimation. Versión Revisada," Working Papers wp2000_0005, CEMFI.
  31. Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
  32. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  33. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada," Working Papers wp2000_0007, CEMFI.
  34. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  35. Gabriele Fiorentini & Christophe Planas, 1998. "- Non-Admissibility And The Specification Of Unobserved Components Models," Working Papers. Serie AD 1998-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  36. Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  37. Gabriele Fiorentini & Giorgio Calzolari, 1997. "A tobit model with garch errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  38. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
  39. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
  40. Gabriele Fiorentini & Enrique Sentana, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers wp1996_9617, CEMFI.
  41. Gabriele Fiorentini & Christophe Planas, 1996. "Non-Admissible Decompositions in Unobserved Components Models," Working Papers wp1996_9613, CEMFI.
  42. Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
  43. Gabriele Fiorentini & Agustín Maravall, 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Working Papers wp1995_9509, CEMFI.
  44. Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
  45. Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
  46. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
  47. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.

Articles

  1. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
  2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2023. "PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 14(3), pages 253-300, December.
  3. Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
  4. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
  5. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  6. Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
  7. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
  8. Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
  9. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
  10. Gabriele Fiorentini & Christophe Planas & Alessandro Rossi, 2017. "Marginal distribution of Markov-switching VAR processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(13), pages 6605-6623, July.
  11. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
  12. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
  13. Gabriele Fiorentini & Enrique Sentana, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 193-198, April.
  14. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  15. Fiorentini, G. & Planas, C. & Rossi, A., 2012. "The marginal likelihood of dynamic mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2650-2662.
  16. Planas, Christophe & Rossi, Alessandro & Fiorentini, Gabriele, 2008. "Bayesian Analysis of the Output Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 18-32, January.
  17. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  18. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
  19. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
  20. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
  21. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
  22. Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
  23. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 2001. "Indirect inference and variance reduction using control variates," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 39-53.
  24. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
  25. Fiorentini, Gabriele & Planas, Christophe, 2001. "Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 455-464, October.
  26. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 100-112.
  27. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
  28. Fiorentini, Gabriele & Sentana, Enrique, 1998. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1101-1118, November.
  29. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
  30. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Alternative covariance estimators of the standard Tobit model," Economics Letters, Elsevier, vol. 42(1), pages 5-13.

Chapters

  1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
  2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
  3. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.

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Statistics

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This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Economic Growth and Change of African Countries

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 54 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-ORE: Operations Research (30) 2008-08-21 2012-07-01 2014-12-19 2015-10-25 2016-02-23 2016-10-09 2018-02-19 2018-02-26 2018-03-05 2018-05-21 2018-05-28 2018-06-18 2018-11-12 2018-11-12 2019-01-14 2019-01-21 2019-01-21 2019-02-25 2020-04-13 2021-02-22 2021-02-22 2021-03-08 2021-03-22 2021-05-24 2021-05-31 2021-06-14 2021-08-23 2021-10-11 2021-10-18 2021-10-18. Author is listed
  2. NEP-ETS: Econometric Time Series (25) 1999-09-01 2004-01-25 2004-10-18 2008-08-21 2010-01-30 2010-04-11 2012-07-01 2013-02-08 2013-07-15 2014-12-19 2015-10-25 2016-02-23 2016-10-09 2018-05-21 2018-05-28 2018-06-18 2018-07-30 2018-11-12 2019-01-14 2021-02-22 2021-03-08 2021-03-22 2021-10-11 2023-01-16 2024-11-11. Author is listed
  3. NEP-ECM: Econometrics (22) 2001-07-23 2004-01-25 2010-01-30 2010-04-11 2012-07-01 2013-02-08 2013-07-15 2014-12-19 2015-03-05 2015-10-25 2018-02-19 2018-05-21 2019-01-14 2021-02-22 2021-03-08 2021-03-22 2021-05-31 2021-10-11 2023-01-16 2023-01-16 2024-03-11 2024-11-11. Author is listed
  4. NEP-MAC: Macroeconomics (17) 2015-03-05 2015-03-13 2015-10-04 2018-07-30 2018-08-13 2018-08-13 2018-11-12 2018-11-19 2021-02-22 2021-02-22 2021-03-08 2021-03-29 2021-05-10 2021-10-11 2021-10-18 2021-10-18 2022-04-18. Author is listed
  5. NEP-MON: Monetary Economics (5) 2018-07-30 2018-08-13 2018-08-13 2018-11-12 2018-11-19. Author is listed
  6. NEP-EEC: European Economics (4) 2015-03-05 2015-03-13 2018-08-13 2018-11-12
  7. NEP-FOR: Forecasting (3) 2019-01-14 2019-01-21 2019-02-25
  8. NEP-HIS: Business, Economic and Financial History (3) 2018-08-13 2018-11-12 2018-11-19
  9. NEP-RMG: Risk Management (3) 2012-07-01 2019-01-14 2019-02-25
  10. NEP-CBA: Central Banking (2) 2015-03-05 2015-03-13
  11. NEP-FIN: Finance (2) 1999-09-01 2004-10-18
  12. NEP-CWA: Central and Western Asia (1) 2021-10-18
  13. NEP-ISF: Islamic Finance (1) 2021-08-23
  14. NEP-MFD: Microfinance (1) 2015-03-05

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