Items where Author is "Zaffaroni, Paolo"

Number of items: 7.
  • Aggregation of simple linear dynamics: exact asymptotic results. Lippi, Marco; Zaffaroni, Paolo
  • Contemporaneous aggregation of GARCH processes. Zaffaroni, Paolo
  • Modelling nonlinearity and long memory in time series. Robinson, Peter M.; Zaffaroni, Paolo
  • Nonlinear time series with long memory : a model for stochastic volatility. Robinson, Peter; Zaffaroni, Paolo
  • Pseudo-maximum likelihood estimation of ARCH(∞) models. Robinson, Peter M.; Zaffaroni, Paolo
  • Stationarity and memory of ARCH models. Zaffaroni, Paolo
  • A goodness-of-fit test for ARCH(∞)(∞) models. Hidalgo, Javier; Zaffaroni, Paolo