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Nonlinear time series with long memory : a model for stochastic volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000954585
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Modelling nonlinearity and long memory in time series
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000955132
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Nonlinear time series with long memory : a model for stochastics volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1996
Persistent link: https://www.econbiz.de/10000985327
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Pseudo-maximum likelihood estimation of ARCH(∞) models
Robinson, Peter M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003164285
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Le parità internazionali : verifica empirica ed implicazioni nel caso dello SME
Zaffaroni, Paolo - In: Annali della Fondazione Luigi Einaudi onlus 27 (1994), pp. 103-152
Persistent link: https://www.econbiz.de/10001178208
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Stationarity and memory of ARCH(∞) models
Zaffaroni, Paolo - In: Econometric theory 20 (2004) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10001904870
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Contemporaneous aggregation of linear dynamic models in large economies
Zaffaroni, Paolo - In: Journal of econometrics 120 (2004) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10001998874
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Aggregation and memory of models of changing volatility
Zaffaroni, Paolo - In: Journal of econometrics 136 (2007) 1, pp. 237-249
Persistent link: https://www.econbiz.de/10003401656
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Whittle estimation of EGARCH and other exponential volatility models
Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-200
Persistent link: https://www.econbiz.de/10003877967