LSE creators

Number of items: 8.
2007
  • Hidalgo, Javier, Zaffaroni, Paolo (2007). A goodness-of-fit test for ARCH(∞)(∞) models. Journal of Econometrics, 141(2), 835-875. https://doi.org/10.1016/j.jeconom.2006.11.005
    • 2005
  • Robinson, Peter M., Zaffaroni, Paolo (2005). Pseudo-maximum likelihood estimation of ARCH(∞) models. (Econometrics EM/2005/495). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2000
  • Zaffaroni, Paolo (2000). Stationarity and memory of ARCH models. (EM 383). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Zaffaroni, Paolo (2000). Contemporaneous aggregation of GARCH processes. (EM 378). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 1998
  • Lippi, Marco, Zaffaroni, Paolo (1998). Aggregation of simple linear dynamics: exact asymptotic results. (EM 350). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 1997
  • Robinson, Peter M., Zaffaroni, Paolo (1997). Modelling nonlinearity and long memory in time series. (Econometrics; EM/1997/319 EM/1997/319). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter, Zaffaroni, Paolo (1997). Nonlinear time series with long memory : a model for stochastic volatility. (Econometrics; EM/1997/320 EM/1997/320). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Zaffaroni, Paolo (1997). Nonlinear long memory models with applications in finance. [Doctoral thesis]. London School of Economics and Political Science. picture_as_pdf