Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2025). Information matrix tests for multinomial logit models. ECONOMICS LETTERS, vol. 247, pp. 1-5, ISSN:0165-1765 DOI  

  Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2024). Specification tests for non-Gaussian structural vector autoregressions. JOURNAL OF ECONOMETRICS, pp. 1-21, ISSN:0304-4076 DOI  

  Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2024). Multivariate Hermite polynomials and information matrix tests. ECONOMETRICS AND STATISTICS, pp. 1-27, ISSN:2452-3062 DOI  

  Martin Almuzara, Dante Amengual, Gabriele Fiorentini, Enrique Sentana (2024). GDP solera: the ideal vintage mix. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 42, pp. 984-997, ISSN:0735-0015 DOI   Accesso ONLINE all'editore

  Amengual, D; Fiorentini, G; Sentana, E (2023). PML versus minimum ?(2): the comeback. SERIES, vol. 14, pp. 253-300, ISSN:1869-4187 DOI  

  Gabriele Fiorentini, Enrique Sentana (2023). Discrete mixtures of normals pseuda maximum likelihood estimators of structural vector autoregressions. JOURNAL OF ECONOMETRICS, vol. 235, pp. 643-665, ISSN:0304-4076 DOI   Accesso ONLINE all'editore

  Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique (2023). Aggregate Output Measurements: A Common Trend Approach. In: Chang, Y., Lee, S. and Miller, J.I.. ESSAYS IN HONOR OF JOON Y. PARK, pp. 3-33 EMERALD, ISBN:978-1-83753-213-1. DOI  

  Dante Amengual; Gabriele Fiorentini; Enrique Sentana (2022). Moment tests of independent components. SERIES, vol. 13, pp. 429-474, ISSN:1869-4187 DOI   Accesso ONLINE all'editore

  Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2022). Tests for Random Coefficient Variation in Vector Autoregressive Models. In: J.J. Dolado, L. Gambetti, C. Matthes. Essays in honor of Fabio Canova: Advances in Business Cycle Analysis, Structural Modeling and VAR Estimation, pp. 1-35 EMERALD, ISBN:978-1-80382-832-9. DOI  

  Fiorentini, Gabriele; Sentana, Enrique (2021). New testing approaches for mean–variance predictability. JOURNAL OF ECONOMETRICS, vol. 222, pp. 516-538, ISSN:0304-4076 DOI   Accesso ONLINE all'editore

  GABRIELE FIORENTINI; ENRIQUE SENTANA (2021). Specification tests for non-Gaussian maximum likelihood estimators,. QUANTITATIVE ECONOMICS, vol. 12, pp. 683-742, ISSN:1759-7323 DOI   Accesso ONLINE all'editore

  Fiorentini, Gabriele; Sentana, Enrique (2019). Dynamic specification tests for dynamic factor models. JOURNAL OF APPLIED ECONOMETRICS, vol. 34, pp. 325-346, ISSN:0883-7252 DOI   Accesso ONLINE all'editore

  Gabriele Fiorentini; Enrique Sentana (2019). New testing approaches for mean-variance predictability, Centre for Economic Policy Research DP 13426, ISSN: 0265-8003. pp. 1-90 Accesso ONLINE all'editore

  Fiorentini G.; Sentana E. (2019). Consistent non-Gaussian pseudo maximum likelihood estimators. JOURNAL OF ECONOMETRICS, vol. 213, pp. 321-358, ISSN:0304-4076 DOI   Accesso ONLINE all'editore

  Gabriele Fiorentini; Enrique Sentana (2018). Specification tests for non-Gaussian maximum likelihood estimators, Centre for Economic Policy Research DP12934, ISSN: 0265-8003. pp. 1-70 Accesso ONLINE all'editore

  Gabriele, Fiorentini; Alessandro, Galesi; Enrique, Sentana (2018). A spectral EM algorithm for dynamic factor models. JOURNAL OF ECONOMETRICS, vol. 205, pp. 249-279, ISSN:0304-4076 DOI  

  Gabriele Fiorentini; Enrique Sentana (2018). Consistent non-Gaussian pseudo maximum likelihood estimators, Centre for Economic Policy Research DP 12682, ISSN: 0265-8003. pp. 1-70 Accesso ONLINE all'editore

  Gabriele Fiorentini; Alessandro Galesi; Gabriel Perez-Quiros; Enrique Sentana (2018). The Rise and Fall of the Natural Interest Rate. pp. 1-69 DOI   Accesso ONLINE all'editore

  Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro (2017). Marginal distribution of Markov-switching VAR processes*. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, vol. 46, pp. 6605-6623, ISSN:0361-0926 DOI  

  Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro (2016). Skewness and kurtosis of multivariate Markov-switching processes. COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 100, pp. 153-159, ISSN:0167-9473 DOI   Accesso ONLINE all'editore

  Fiorentini, Gabriele; Perez Quiros, Gabriel (2016). Introduction to the special issue in honor of Agustín Maravall. SERIES, vol. 7, pp. 1-9, ISSN:1869-4187 DOI  

  Fiorentini, Gabriele; Sentana, Enrique (2016). Neglected serial correlation tests in UCARIMA models. SERIES, vol. 7, pp. 121-178, ISSN:1869-4187 DOI  

  Fiorentini, Gabriele (2015). Tests for serial depedence in static, non-Gaussian factor models. In: Siem Jan Koopman and Neil Shephard. Unobserved Components and Time Series Econometrics, pp. 118-189, NEW YORK, USA: OXFORD UNIVERSITY PRESS, ISBN:9780199683666. DOI   Accesso ONLINE all'editore

  Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique (2015). Fast ML estimation of dynamic bifactor models: An application to European inflation. In: S.J. Koopman and E.T. Hillebrand. Advances in Econometrics, pp. 215-282, ;Howard House: Emerald Group Publishing Ltd., ISBN:978-1-78560-353-2. DOI   Accesso ONLINE all'editore

  Gabriele Fiorentini; Alessandro Galei; Enrique Sentana (2015). A spectral EM algorithm for dynamic factor models, Centre for Economic Policy Research DP10417, ISSN: 0265-8003. pp. 1-42 Accesso ONLINE all'editore

  Fiorentini, Gabriele; Sentana, Enrique (2014). Comment on "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods". JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 32, pp. 193-198, ISSN:0735-0015 DOI  

  Gabriele Fiorentini, Christophe Planas, Alessandro Rossi (2014). Efficient MCMC sampling in dynamic mixture models. STATISTICS AND COMPUTING, vol. 24, pp. 77-89, ISSN:0960-3174

  Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2013). Sequential estimation of shape parameters in multivariate dynamic models. JOURNAL OF ECONOMETRICS, vol. 177, pp. 233-249, ISSN:0304-4076 DOI  

  Giorgio Calzolari; Gabriele Fiorentini; Gian Piero Aielli (2013). Latent factor models with conditional heteroskedasticity: estimation and forecast. In: 7th International Conference on Computational and Financial Econometrics (CFE 2013), Senate House, University of London, UK, 14-16 December 2013, Computational and Financial Econometrics, pp. 112-112.

  Gian Piero Aielli; Giorgio Calzolari; Gabriele Fiorentini (2013). Fast indirect estimation of latent factor models with conditional heteroskedasticity. In: Advances in Latent Variables - Methods, Models and Applications, Brescia - Department of Economics and Management, June 19-21, 2013, Vita e Pensiero, Milan, pp. 1-5, ISBN:978 88 343 2556 8 Accesso ONLINE all'editore

  G. Fiorentini; C. Planas; A. Rossi (2012). The marginal likelihood of dynamic mixture models. COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 9, 56, pp. 2650-2662, ISSN:0167-9473

  Gabriele Fiorentini; Enrique Sentana (2012). Dynamic specification tests for static factor models. In: Cities, Open Economy, and Public Policy, Toronto, August 2012, University of Toronto, pp. 1-87. Accesso ONLINE all'editore

  Gabriele Fiorentini; Enrique Sentana (2012). Tests for serial dependence in static, nongaussian factor models. In: Time Series Econometrics - Conference in Honour of Andrew Harvey, Oxford U.K., June 2012, Oford Univeristy. Oxford-Man insititute, pp. 1-101. Accesso ONLINE all'editore

  Dante Amengual; Gabriele Fiorentini; Enrique Sentana (2012). Sequential estimation of shape parameters in multivariate dynamic models. In: European Meeting of the Econometric Society, Malaga, August 2012, Econometric Society, pp. 1-66. Accesso ONLINE all'editore

  Gabriele Fiorentini; Christophe Planas; Alessandro Rossi (2012). Efficient MCMC sampling in dynamic mixture models. In: Econometric Society European Meeting, Malaga, August 2012, Econometric Society, pp. 1-30. Accesso ONLINE all'editore

  Gabriele Fiorentini; Enrique Sentana (2010). New testing approaches for mean variance predictability. In: Association of Southern European Economic Theorists (ASSET), Alicante, October 2010, Asset, pp. 1-58. Accesso ONLINE all'editore

  C. PLANAS; A. ROSSI A; G. FIORENTINI (2008). Bayesian Analysis of Output Gap. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 26, N.1, pp. 18-32, ISSN:0735-0015

  Gabriele Fiorentini; Christophe Planas; Alessandro Rossi (2008). The marginal likelihood of Structural Time Series Models, with application to the US and the euro area NAIRU. In: European Meeting of the Econometric Society, Milan, August 2008, Econometric Society, pp. 1-26. Accesso ONLINE all'editore

  E. SENTANA; G. CALZOLARI; G. FIORENTINI (2008). Indirect estimation of large conditionally heteroskedastic factormodels, with an application to the Dow 30 stocks. JOURNAL OF ECONOMETRICS, vol. 146, pp. 10-25, ISSN:0304-4076

  E.Sentana; G.Calzolari; G.Fiorentini (2007). Indirect Estimation of Large Conditionally Heteroskedastic FactorModels, with an Application to the Dow 30 Stocks. Accesso ONLINE all'editore

  G. FIORENTINI; E. SENTANA; G. CALZOLARI (2004). On the Validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models. ECONOMICS LETTERS, vol. 83, pp. 307-312, ISSN:0165-1765

  G. CALZOLARI; G. FIORENTINI; E. SENTANA (2004). Constrained Indirect Estimation. REVIEW OF ECONOMIC STUDIES, vol. 71, pp. 945-973, ISSN:0034-6527

  G. FIORENTINI; E. SENTANA E.; N. SHEPHARD (2004). Likelihood-based Estimation of Latent Generalized ARCH Structure. ECONOMETRICA, vol. 72, pp. 1481-1517, ISSN:0012-9682

  FIORENTINI G; SENTANA E; G. CALZOLARI (2003). Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 21, pp. 532-546, ISSN:0735-0015

  G. FIORENTINI; A. LEON; G. RUBIO (2002). “Estimation and Empirical Performance of Heston's Stochastic Volatility Model: The Case of a Thinly Traded Market”. JOURNAL OF EMPIRICAL FINANCE, vol. 9, pp. 225-255, ISSN:0927-5398

  G. CALZOLARI; F. DI IORIO; G. FIORENTINI (2001). Indirect Inference and Variance Reduction using Control Variates. METRON, vol. LIX, pp. 39-53, ISSN:0026-1424

  G. CALZOLARI; FIORENTINI G; SENTANA E (2001). Indirect Inference Estimation of Conditionally Heteroskedastic Factor Models. In: C. PROVASI; a cura di. Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, pp. 63-68, PADOVA: CLEUP Editrice.

  G. CALZOLARI; G. FIORENTINI; E. SENTANA (2001). Constrained indirect inference estimation.. pp. 1-76

  E. SENTANA; G. FIORENTINI (2001). “Identification, estimation and testing of conditionally heteroskedastic factor models”. JOURNAL OF ECONOMETRICS, vol. 102, pp. 143-164, ISSN:0304-4076, Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598:

  G. FIORENTINI; C. PLANAS (2001). "Overcoming Non-Admissibility in ARIMA model based Signal Extraction". JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 19, pp. 455-464, ISSN:0735-0015

  G. FIORENTINI; E. SENTANA; G. CALZOLARI (2000). The score of conditionally heteroskedastic dynamic regression models with Student-t innovations, and an LM test for multivariate normality..

  G. CALZOLARI; F. DI IORIO; G. FIORENTINI (1999). Indirect Estimation of Just-Identified Models with Control Variates.. Firenze: Quaderni Dipart. Statistica "G.Parenti", 46/1999

  G. CALZOLARI; F. DI IORIO; G. FIORENTINI (1999). Indirect Inference and Variance Reduction using Control Variates. In: S.Co., Venezia, 1999, pp. 229-234.

  G. FIORENTINI; A. LEON A.; G. RUBIO (1999). La Estimacion Diaria de la Prima de Riesgo de la Volatilidad. REVISTA ESPAÑOLA DE FINANCIACIÓN Y CONTABILIDAD, vol. 100, pp. 89-110, ISSN:0210-2412

  G. CALZOLARI; DI IORIO F.; FIORENTINI G. (1998). Indirect Estimation of Continuous Time Interest Rate Models.

  G. FIORENTINI; C. PLANAS (1998). From Autocovariances to Moving Average: An Algorithm Comparison. COMPUTATIONAL STATISTICS, vol. 13, pp. 477-484, ISSN:0943-4062, Physica-Verlag GmBh & Company:Tiergartenstrasse 17, D 69121 Heidelberg Germany:011 49 6221 487492, INTERNET: http://www.springer.de, Fax: 011 49 6221 487177:

  G. FIORENTINI; SENTANA E. (1998). “Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. ”. INTERNATIONAL ECONOMIC REVIEW, vol. 39, pp. 1101-1118, ISSN:0020-6598

  G. CALZOLARI; FIORENTINI G.; SENTANA E. (1998). Indirect Inference Estimation of Conditionally Heteroskedastic Factor Models.

  G. CALZOLARI; F. DI IORIO ; G. FIORENTINI (1998). Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time. ECONOMETRICS JOURNAL, vol. 1, pp. C100-C112, ISSN:1368-4221

  G. CALZOLARI; FIORENTINI G (1998). A Tobit Model with GARCH Errors. ECONOMETRIC REVIEWS, vol. 17, pp. 85-104, ISSN:0747-4938

  G. FIORENTINI; G. CALZOLARI; L. PANATTONI (1996). Analytic Derivatives and the Computation of GARCH Estimates. JOURNAL OF APPLIED ECONOMETRICS, vol. 11, pp. 399-417, ISSN:0883-7252

  G. FIORENTINI; MARAVALL A. (1996). Unobserved Components in ARCH Models: An Application to Seasonal Adjustment. JOURNAL OF FORECASTING, vol. 15, pp. 175-201, ISSN:0277-6693

  G. CALZOLARI; G. FIORENTINI (1993). Alternative Covariance Estimators of the Standard Tobit Model. ECONOMICS LETTERS, vol. 42, pp. 5-13, ISSN:0165-1765

  G. CALZOLARI; G. FIORENTINI (1993). Estimating Variances and Covariances in a Censored Regression Model. STATISTICA, vol. 53, pp. 323-339, ISSN:0390-590X