SELECTED PUBLICATIONS                            

Fiorentini G.,  and E. Sentana (2021): "Specification tests for non-Gaussian maximum likelihood estimators", Quantitative Economics, forthcoming.

Fiorentini G.,  and E. Sentana (2020): "New testing approaches for mean-variance predictability", Journal of Econometrics, forthcoming, https://doi.org/10.1016/j.jeconom.2020.07.014

Fiorentini G.,  and E. Sentana (2019): "Consistent non-Gaussian pseudo maximum likelihood estimators",  Journal of Econometrics, 213 (2),  321-358.

Fiorentini G.,  and E. Sentana (2019): "Dynamic specification tests for dynamic factor models", Journal of Applied Econometrics, 34 (3), 325-346.

Fiorentini G., A. Galesi and E. Sentana (2018): "A spectral EM algorithm for dynamic factor models", Journal of Econometrics, 205, 249-279.

Fiorentini G.,  Planas C., and  A. Rossi (2017):  "Marginal distribution of Markov-switching VAR processes", Communications in Statistics - Theory and Method, 46, 6605-6623.

Fiorentini G.,  and G. Perez Quiros (2016): "Introduction to the special issue in honor of Agustin Maravall", SERIEs, 7, 1-9.

Fiorentini G.,  and E. Sentana (2016): "Neglected serial correlation tests in UCARIMA models", SERIEs, 7, 121-178.

Fiorentini G.,  C. Planas, and  A. Rossi (2016): "Skewness and kurtosis of multivariate Markov-switching processes", Computational Statistics and Data Analysis, 100, 153-159.

Fiorentini G., A. Galesi and E. Sentana (2015): "Fast ML estimation of dynamic bifactor models: an application to European inflation", in S.J. Koopman and E.T. Hillebrand (eds.) Dynamic Factor Models, Advances in Econometrics 35, 215-282, Emerald.

Fiorentini G.,  and E. Sentana (2015): "Tests for serial depedence in static, non-Gaussian factor models" in S.J. Koopman and N. Shephard (eds.) Unobserved Components and Time Series Econometrics, 118-189, Oxford University Press.

Fiorentini G.,  and E. Sentana (2014): Comment on  "Quasi Maximum Likelihood Estimation of GARCH models with Heavy-Tailed Likelihoods", by Jianqing Fan, Lei Qi and Dacheng Xiu,  Journal of Business and Economic Statistics, 32, 2,  193-198.

Fiorentini G.,  Planas C., and  A. Rossi (2014):  "Efficient MCMC sampling in dynamic mixture models", Statistics and Computing, 24, 87-89.

Amengual D,. Fiorentini G., and Sentana E. (2013):  "Sequential estimation of shape parameters in multivariate dynamic models", Journal of Econometrics,   177, 233-249.

Fiorentini G.,  Planas C., and  A. Rossi (2012):  "The marginal likelihood of dynamic mixture models", Computational Statistics and Data Analysis,  56, 2650-2662. 

Sentana E., G. Calzolari,  and G. Fiorentini (2008):"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks", Journal of Econometrics,  146, 2, 10-25.

Planas C., A. Rossi, and G. Fiorentini (2008):  "Bayesian Analysis of Output Gap", Journal of Business and Economics Statistics 26, 1, 18-32. 

Fiorentini G., E. Sentana and N. Shephard (2004):  "Likelihood-Based Estimation of Latent Generalised ARCH Structures", Econometrica 72, 1481-1517. 

Fiorentini G., E. Sentana and G. Calzolari (2004):  "Constrained Indirect Estimation", Review of Economic Studies , 71, 945-973. 

Fiorentini G., E. Sentana and G. Calzolari (2004):  "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models", Economics Letters, 83, 307-312. 

Fiorentini G., E. Sentana and G. Calzolari (2003): "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations", Journal of Business and Economic Statistics, 21, 4, 532-46.

Fiorentini G., A. Leon and G. Rubio (2002): "Estimation and Empirical Performance of Heston's Stochastic Volatility Model: The Case of a Thinly Traded Market",   Journal of Empirical Finance ,  9,  225-255.

Fiorentini G. and C. Planas (2001): "Overcoming Non-Admissibility in ARIMA Model Based Signal Extraction."   Journal of Business and Economics Statistics, 19, 455-464. 

Sentana E. and G. Fiorentini (2001): "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.", Journal of Econometrics, 102, 2,  149-170. 

Calzolari G., F. Di Iorio and G. Fiorentini (2001): "Indirect Inference and Variance Reduction Using Control Variates", Metron, LIX, 1/2, 39-53. Re-printed in Complex Models and Computational Methods for Estimation and Prediction Pietro Mantovan Editor,  pp. 131-145.   

Fiorentini G., A. Leon and G. Rubio (1999): "La Estimacion Diaria de la Prima de Riesgo de la Volatilidad", Revista Espaņola de Financiacion y Contabilidad,  100,  p.89-110.

Fiorentini G. and C. Planas (1998): "From Autocovariances to Moving Average: an Algorithm Comparison",   Computational Statistics,   13, 4, p.477-484.

Fiorentini G. and E. Sentana (1998): "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means",  International Economic Review,  39, 4, p.1101-1118.

Calzolari G., F. Di Iorio and G. Fiorentini (1998): "Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models  in Continuous Time", Econometrics Journal, 1, p.C100-C112.

Calzolari G., and G. Fiorentini (1998): "A Tobit Model with GARCH Errors.", Econometric Reviews, 17, 1, p.85-104. 

Fiorentini G. and C. Planas (1998): "Non-Admissibility and the Specification of Unobserved Components",  ASA Proceedings of the Business and Economic Statistics Section,  p.193-198. 

Fiorentini G. and R. Kaiser (1996): "El Programa Matlab y su Uso en el Analisis Econometrico",  Revista de Economia Aplicada, IV, 10, 213-219.

Fiorentini G., G. Calzolari  and L. Panattoni (1996): "Analytic Derivatives and the Computation of GARCH Estimates",  Journal of  Applied Econometrics, 11, 4, p.399-417.

Fiorentini G. and A. Maravall (1996): "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment", Journal of Forecasting, 15, 3, p.175-201. 

Calzolari G., and G. Fiorentini (1993): "Alternative Covariance Estimators of the Standard Tobit Model", Economics Letters, 42, p.5-13. 

Calzolari G., and G. Fiorentini (1993): "Estimating Variances and Covariances in a Censored Regression Model", Statistica, LIII, 3, p.323-339.