Giorgio Calzolari

Universita di Firenze - Dipartimento di Statistica

Professor

Viale Morgagni, 59

50134 Firenze

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

573

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

CEMFI Working Paper No. 0306
Number of pages: 14 Posted: 19 Apr 2003
Gabriele Fiorentini, Enrique Sentana and Giorgio Calzolari
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica
Downloads 307 (123,724)
Citation 5

Abstract:

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Skewness, Kurtosis, ARCH, Moment Tests

2.

A Latent Factor Model for Forecasting Realized Volatilities

GSDS Working Paper No. 2017-14
Number of pages: 55 Posted: 17 Aug 2017
Giorgio Calzolari, Roxana Halbleib and Aygul Zagidullina
Universita di Firenze - Dipartimento di Statistica, University of Konstanz and University of Konstanz - Department of Economics
Downloads 158 (232,054)

Abstract:

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Long Memory, Component Model, Dynamic Factor Model, Factor-GARCH Model, Indirect Inference

3.

Estimating Stable Latent Factor Models by Indirect Inference

Number of pages: 37 Posted: 08 Jan 2015 Last Revised: 13 Apr 2016
Giorgio Calzolari and Roxana Halbleib
Universita di Firenze - Dipartimento di Statistica and University of Konstanz
Downloads 108 (309,678)

Abstract:

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Symmetric Multivariate alpha-stable Distribution, Latent Factor Models, Indirect Inference, Multivariate Student’s t Distribution, Discrete Spectral Measures, GARCH Models

4.

The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an Lm Test for Multivariate Normality

CEMFI Working Paper No. 0007
Posted: 17 Jan 2001
Enrique Sentana, Gabriele Fiorentini and Giorgio Calzolari
Centro de Estudios Monetarios y Financieros (CEMFI), Universita di Firenze - Dipartimento di Statistica and Universita di Firenze - Dipartimento di Statistica

Abstract:

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Kurtosis, Inequality Constraints, ARCH, Financial Returns.

5.

Constrained Emm and Indirect Inference Estimation

CEMFI Working Paper No. 0005
Posted: 03 May 2000
Giorgio Calzolari, Enrique Sentana and Gabriele Fiorentini
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica

Abstract:

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