SELECTED PUBLICATIONS
Amengual D., G. Fiorentini and E. Sentana (2024): "Specification tests for non Gaussian structural vector autoregressions ", Journal of Econometrics, forthcoming.
Amengual D., G. Fiorentini and E. Sentana (2024): "Multivariate Hermite polynomials and information matrix tetst ", Econometrics and Statistics , forthcoming.
Almuzara M., Amengual D., G. Fiorentini and E. Sentana (2024): "GDP solera: the ideal vintage mix", Journal of Business and Economic Statistics, forthcoming.
Amengual D., G. Fiorentini and E. Sentana (2023): "PML vs minimum Chi(2): the comeback ", SERIEs, 14, 253-300.
Fiorentini G., and E. Sentana (2023): "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions", Journal of Econometrics, 235 (2), 643-665.
Almuzara M., G.Fiorentini, and E. Sentana (2023): "Aggregate output measurements: a common trend approach" in Y. Chang, S. Lee and J.I. Miller (eds.) Essays in honor of Joon Park: Econometric Methodology in Empirical Applications, Advances in Econometrics, 45B, 3-33.
Amengual D., G. Fiorentini, and E. Sentana (2022): "Tests for random coefficient variation in vector autoregressive models" in J.J. Dolado, L. Gambetti and C. Matthes (eds.) Essays in honor of Fabio Canova: Advances in Business Cycle Analysis, Structural Modeling and VAR Estimation,Advances in Econometrics, 44B, 1-35.
Amengual D., G. Fiorentini and E. Sentana (2022): "Moment tests of independent components", SERIEs, 13 (1-2), 429-474.
Fiorentini G., and E. Sentana (2021): "Specification tests for non-Gaussian maximum likelihood estimators", Quantitative Economics, 12 (3), 683-742.
Fiorentini G., and E. Sentana (2021): "New testing approaches for mean-variance predictability", Journal of Econometrics, 222 (1B), 516-538.
Fiorentini G., and E. Sentana (2019): "Consistent non-Gaussian pseudo maximum likelihood estimators", Journal of Econometrics, 213 (2), 321-358.
Fiorentini G., and E. Sentana (2019): "Dynamic specification tests for dynamic factor models", Journal of Applied Econometrics, 34 (3), 325-346.
Fiorentini G., A. Galesi and E. Sentana (2018): "A spectral EM algorithm for dynamic factor models", Journal of Econometrics, 205, 249-279.
Fiorentini G., Planas C., and A. Rossi (2017): "Marginal distribution of Markov-switching VAR processes", Communications in Statistics - Theory and Method, 46, 6605-6623.
Fiorentini G., and G. Perez Quiros (2016): "Introduction to the special issue in honor of Agustin Maravall", SERIEs, 7, 1-9.
Fiorentini G., and E. Sentana (2016): "Neglected serial correlation tests in UCARIMA models", SERIEs, 7, 121-178.
Fiorentini G., C. Planas, and A. Rossi (2016): "Skewness and kurtosis of multivariate Markov-switching processes", Computational Statistics and Data Analysis, 100, 153-159.
Fiorentini G., A. Galesi and E. Sentana (2015): "Fast ML estimation of dynamic bifactor models: an application to European inflation", in S.J. Koopman and E.T. Hillebrand (eds.) Dynamic Factor Models, Advances in Econometrics 35, 215-282, Emerald.
Fiorentini G., and E. Sentana (2015): "Tests for serial depedence in static, non-Gaussian factor models" in S.J. Koopman and N. Shephard (eds.) Unobserved Components and Time Series Econometrics, 118-189, Oxford University Press.
Fiorentini G., and E. Sentana (2014): Comment on "Quasi Maximum Likelihood Estimation of GARCH models with Heavy-Tailed Likelihoods", by Jianqing Fan, Lei Qi and Dacheng Xiu, Journal of Business and Economic Statistics, 32, 2, 193-198.
Fiorentini G., Planas C., and A. Rossi (2014): "Efficient MCMC sampling in dynamic mixture models", Statistics and Computing, 24, 87-89.
Amengual D,. Fiorentini G., and Sentana E. (2013): "Sequential estimation of shape parameters in multivariate dynamic models", Journal of Econometrics, 177, 233-249.
Fiorentini G., Planas C., and A. Rossi (2012): "The marginal likelihood of dynamic mixture models", Computational Statistics and Data Analysis, 56, 2650-2662.
Sentana E., G. Calzolari, and G. Fiorentini (2008):"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks", Journal of Econometrics, 146, 2, 10-25.
Planas C., A. Rossi, and G. Fiorentini (2008): "Bayesian Analysis of Output Gap", Journal of Business and Economics Statistics , 26, 1, 18-32.
Fiorentini G., E. Sentana and N. Shephard (2004): "Likelihood-Based Estimation of Latent Generalised ARCH Structures", Econometrica , 72, 1481-1517.
Fiorentini G., E. Sentana and G. Calzolari (2004): "Constrained Indirect Estimation", Review of Economic Studies , 71, 945-973.
Fiorentini G., E. Sentana and G. Calzolari (2004): "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models", Economics Letters, 83, 307-312.
Fiorentini G., E. Sentana and G. Calzolari (2003): "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations", Journal of Business and Economic Statistics, 21, 4, 532-46.
Fiorentini G., A. Leon and G. Rubio (2002): "Estimation and Empirical Performance of Heston's Stochastic Volatility Model: The Case of a Thinly Traded Market", Journal of Empirical Finance , 9, 225-255.
Fiorentini G. and C. Planas (2001): "Overcoming Non-Admissibility in ARIMA Model Based Signal Extraction." Journal of Business and Economics Statistics, 19, 455-464.
Sentana E. and G. Fiorentini (2001): "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.", Journal of Econometrics, 102, 2, 149-170.
Calzolari G., F. Di Iorio and G. Fiorentini (2001): "Indirect Inference and Variance Reduction Using Control Variates", Metron, LIX, 1/2, 39-53. Re-printed in Complex Models and Computational Methods for Estimation and Prediction Pietro Mantovan Editor, pp. 131-145.
Fiorentini G., A. Leon and G. Rubio (1999): "La Estimacion Diaria de la Prima de Riesgo de la Volatilidad", Revista Española de Financiacion y Contabilidad, 100, p.89-110.
Fiorentini G. and C. Planas (1998): "From Autocovariances to Moving Average: an Algorithm Comparison", Computational Statistics, 13, 4, p.477-484.
Fiorentini G. and E. Sentana (1998): "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means", International Economic Review, 39, 4, p.1101-1118.
Calzolari G., F. Di Iorio and G. Fiorentini (1998): "Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time", Econometrics Journal, 1, p.C100-C112.
Calzolari G., and G. Fiorentini (1998): "A Tobit Model with GARCH Errors.", Econometric Reviews, 17, 1, p.85-104.
Fiorentini G. and C. Planas (1998): "Non-Admissibility and the Specification of Unobserved Components", ASA Proceedings of the Business and Economic Statistics Section, p.193-198.
Fiorentini G. and R. Kaiser (1996): "El Programa Matlab y su Uso en el Analisis Econometrico", Revista de Economia Aplicada, IV, 10, 213-219.
Fiorentini G., G. Calzolari and L. Panattoni (1996): "Analytic Derivatives and the Computation of GARCH Estimates", Journal of Applied Econometrics, 11, 4, p.399-417.
Fiorentini G. and A. Maravall (1996): "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment", Journal of Forecasting, 15, 3, p.175-201.
Calzolari G., and G. Fiorentini (1993): "Alternative Covariance Estimators of the Standard Tobit Model", Economics Letters, 42, p.5-13.
Calzolari G., and G. Fiorentini (1993): "Estimating Variances and Covariances in a Censored Regression Model", Statistica, LIII, 3, p.323-339.