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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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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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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
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Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo - In: Journal of financial econometrics 21 (2023) 2, pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
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Gaussian estimation of long-range dependent volatility in asset prices
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000964422
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Beta convergence
Michelacci, Claudio; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000965945
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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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Stationarity and memory of ARCH models
Zaffaroni, Paolo - 2000
Persistent link: https://www.econbiz.de/10001551010
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(Fractional) beta convergence
Michelacci, Claudio; Zaffaroni, Paolo - In: Journal of monetary economics 45 (2000) 1, pp. 129-153
Persistent link: https://www.econbiz.de/10001445796
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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