Gabriele FIORENTINI

Ruolo attuale:: Professore Ordinario
SSD:: SECS-P/05 - Econometria
Afferenza organizzativa:: Dipartimento di Statistica, Informatica, Applicazioni 'G. Parenti' (DiSIA)

Recapiti

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Ulteriori Recapiti

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Gabriele FIORENTINI

Orario di ricevimento (aggiornato al 26/05/2013) Mandare mail per fissare appuntamento

Gabriele FIORENTINI

Curriculum

STUDI UNIVERSITARI Università di Firenze. Laurea in Economia e Commercio con Indirizzo in Statistica. 110/110 cum laude Anno 1989. Tesi di Laurea realizzata con una Borsa di Studio del Centro Scientifico IBM di Pisa Istituto Universitario Europeo di Firenze. Master in Economia. Anno 1991. Istituto Universitario Europeo di Firenze. Dottorato in Economia. Anno 1995. University of Wisconsin. Visting Student. Anno 93. POSIZIONE ATTUALE: Professore Ordinario Econometria, Universita' di Firenze. POSIZIONI PRECEDENTI: Ottobre 1989-Agosto 1990: Research Fellow al European University Institute Anno accademico 1993/1994: Professore a Contratto di Statistica, Università di Sassa-ri Ottobre 1994-Settembre 1996: Research Fellow, Centros de Estudios Monetarios y Financieros (CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS (CEMFI), MADRD), Madrid. Ottobre 1996-Ottobre 2002: Profesor Titular de Universidad Departamento de Fundamentos del Analisis Economico, Università di Alicante. Marzo 2000-Febbraio 2001: Visiting Scientist al Centro Comune di Ricerca della Commissione Europea. Ispra(Va). Settore Statistiche Applicate dell’Unita’ Metodi per l’Analisi dell’Informazione. Dal Luglio 2001-Ottobre 2002: Visiting Scientist al Centro Comune di Ricerca della Commissione Europea. Ispra(Va). Settore Statistiche Applicate dell’Unita’ Gestione dil Rischi Economici e Tecnologici. ATTIVITÀ DIDATTICA Corsi di Laurea: Statistica I, (primo anno, corso annuale) Econometria I (terzo anno, corso semestrale) Econometria II (terzo anno, corso semestrale) Analisi di Serie Storiche Economiche (quarto anno, corso semestrale) Corsi al Dottorato di Ricerca: Analisi di Serie Storiche Economiche Centro de Estudios Monetarios y Financieros (CEMFI), Madid, 98-99, 45 ore) Econometria Finanziaria (Pompeu Fabra 99-00, 20 ore), Analisi di Serie Storiche Economiche (Alicante 00-01, 30 ore) Istituzioni: Series Storiche e Applicazioni,...

Gabriele FIORENTINI

Pubblicazioni

Legenda

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Tesi di Dottorato

Martin Almuzara, Dante Amengual, Gabriele Fiorentini, Enrique Sentana (In corso di stampa). GDP solera: the ideal vintage mix. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. ---, pp. 1-14, ISSN:0735-0015

Gabriele Fiorentini, Enrique Sentana (2023). Discrete mixtures of normals pseuda maximum likelihood estimators of structural vector autoregressions. JOURNAL OF ECONOMETRICS, vol. 235, pp. 643-665, ISSN:0304-4076 DOI Accesso ONLINE all'editore

Amengual, D; Fiorentini, G; Sentana, E (2023). PML versus minimum ?(2): the comeback. SERIES, vol. 14, pp. 253-300, ISSN:1869-4187 DOI

Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique (2023). Aggregate Output Measurements: A Common Trend Approach. In: Chang, Y., Lee, S. and Miller, J.I.. ESSAYS IN HONOR OF JOON Y. PARK, pp. 3-33 EMERALD, ISBN:978-1-83753-213-1. DOI

Dante Amengual; Gabriele Fiorentini; Enrique Sentana (2022). Moment tests of independent components. SERIES, vol. 13, pp. 429-474, ISSN:1869-4187 DOI Accesso ONLINE all'editore

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2022). Tests for Random Coefficient Variation in Vector Autoregressive Models. In: J.J. Dolado, L. Gambetti, C. Matthes. Essays in honor of Fabio Canova: Advances in Business Cycle Analysis, Structural Modeling and VAR Estimation, pp. 1-35 EMERALD, ISBN:978-1-80382-832-9. DOI

GABRIELE FIORENTINI; ENRIQUE SENTANA (2021). Specification tests for non-Gaussian maximum likelihood estimators,. QUANTITATIVE ECONOMICS, vol. 12, pp. 683-742, ISSN:1759-7323 DOI Accesso ONLINE all'editore

Fiorentini, Gabriele; Sentana, Enrique (2021). New testing approaches for mean–variance predictability. JOURNAL OF ECONOMETRICS, vol. 222, pp. 516-538, ISSN:0304-4076 DOI Accesso ONLINE all'editore

Gabriele Fiorentini; Enrique Sentana (2019). New testing approaches for mean-variance predictability, Centre for Economic Policy Research DP 13426, ISSN: 0265-8003. pp. 1-90 Accesso ONLINE all'editore

Fiorentini G.; Sentana E. (2019). Consistent non-Gaussian pseudo maximum likelihood estimators. JOURNAL OF ECONOMETRICS, vol. 213, pp. 321-358, ISSN:0304-4076 DOI Accesso ONLINE all'editore

Fiorentini, Gabriele; Sentana, Enrique (2019). Dynamic specification tests for dynamic factor models. JOURNAL OF APPLIED ECONOMETRICS, vol. 34, pp. 325-346, ISSN:0883-7252 DOI Accesso ONLINE all'editore

Gabriele, Fiorentini; Alessandro, Galesi; Enrique, Sentana (2018). A spectral EM algorithm for dynamic factor models. JOURNAL OF ECONOMETRICS, vol. 205, pp. 249-279, ISSN:0304-4076 DOI

Gabriele Fiorentini; Enrique Sentana (2018). Consistent non-Gaussian pseudo maximum likelihood estimators, Centre for Economic Policy Research DP 12682, ISSN: 0265-8003. pp. 1-70 Accesso ONLINE all'editore

Gabriele Fiorentini; Enrique Sentana (2018). Specification tests for non-Gaussian maximum likelihood estimators, Centre for Economic Policy Research DP12934, ISSN: 0265-8003. pp. 1-70 Accesso ONLINE all'editore

Gabriele Fiorentini; Alessandro Galesi; Gabriel Perez-Quiros; Enrique Sentana (2018). The Rise and Fall of the Natural Interest Rate. pp. 1-69 DOI Accesso ONLINE all'editore

Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro (2017). Marginal distribution of Markov-switching VAR processes*. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, vol. 46, pp. 6605-6623, ISSN:0361-0926 DOI

Fiorentini, Gabriele; Perez Quiros, Gabriel (2016). Introduction to the special issue in honor of Agustín Maravall. SERIES, vol. 7, pp. 1-9, ISSN:1869-4187 DOI

Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro (2016). Skewness and kurtosis of multivariate Markov-switching processes. COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 100, pp. 153-159, ISSN:0167-9473 DOI Accesso ONLINE all'editore

Fiorentini, Gabriele; Sentana, Enrique (2016). Neglected serial correlation tests in UCARIMA models. SERIES, vol. 7, pp. 121-178, ISSN:1869-4187 DOI

Fiorentini, Gabriele (2015). Tests for serial depedence in static, non-Gaussian factor models. In: Siem Jan Koopman and Neil Shephard. Unobserved Components and Time Series Econometrics, pp. 118-189, NEW YORK, USA: OXFORD UNIVERSITY PRESS, ISBN:9780199683666. DOI Accesso ONLINE all'editore

Gabriele Fiorentini; Alessandro Galei; Enrique Sentana (2015). A spectral EM algorithm for dynamic factor models, Centre for Economic Policy Research DP10417, ISSN: 0265-8003. pp. 1-42 Accesso ONLINE all'editore

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique (2015). Fast ML estimation of dynamic bifactor models: An application to European inflation. In: S.J. Koopman and E.T. Hillebrand. Advances in Econometrics, pp. 215-282, ;Howard House: Emerald Group Publishing Ltd., ISBN:978-1-78560-353-2. DOI Accesso ONLINE all'editore

Fiorentini, Gabriele; Sentana, Enrique (2014). Comment on "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods". JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 32, pp. 193-198, ISSN:0735-0015 DOI

Gabriele Fiorentini, Christophe Planas, Alessandro Rossi (2014). Efficient MCMC sampling in dynamic mixture models. STATISTICS AND COMPUTING, vol. 24, pp. 77-89, ISSN:0960-3174

Giorgio Calzolari; Gabriele Fiorentini; Gian Piero Aielli (2013). Latent factor models with conditional heteroskedasticity: estimation and forecast. In: 7th International Conference on Computational and Financial Econometrics (CFE 2013), Senate House, University of London, UK, 14-16 December 2013, Computational and Financial Econometrics, pp. 112-112.

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique (2013). Sequential estimation of shape parameters in multivariate dynamic models. JOURNAL OF ECONOMETRICS, vol. 177, pp. 233-249, ISSN:0304-4076 DOI

Gian Piero Aielli; Giorgio Calzolari; Gabriele Fiorentini (2013). Fast indirect estimation of latent factor models with conditional heteroskedasticity. In: Advances in Latent Variables - Methods, Models and Applications, Brescia - Department of Economics and Management, June 19-21, 2013, Vita e Pensiero, Milan, pp. 1-5, ISBN:978 88 343 2556 8 Accesso ONLINE all'editore

Gabriele Fiorentini; Enrique Sentana (2012). Dynamic specification tests for static factor models. In: Cities, Open Economy, and Public Policy, Toronto, August 2012, University of Toronto, pp. 1-87. Accesso ONLINE all'editore

G. Fiorentini; C. Planas; A. Rossi (2012). The marginal likelihood of dynamic mixture models. COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 9, 56, pp. 2650-2662, ISSN:0167-9473

Dante Amengual; Gabriele Fiorentini; Enrique Sentana (2012). Sequential estimation of shape parameters in multivariate dynamic models. In: European Meeting of the Econometric Society, Malaga, August 2012, Econometric Society, pp. 1-66. Accesso ONLINE all'editore

Gabriele Fiorentini; Christophe Planas; Alessandro Rossi (2012). Eﬃcient MCMC sampling in dynamic mixture models. In: Econometric Society European Meeting, Malaga, August 2012, Econometric Society, pp. 1-30. Accesso ONLINE all'editore

Gabriele Fiorentini; Enrique Sentana (2012). Tests for serial dependence in static, nongaussian factor models. In: Time Series Econometrics - Conference in Honour of Andrew Harvey, Oxford U.K., June 2012, Oford Univeristy. Oxford-Man insititute, pp. 1-101. Accesso ONLINE all'editore

Gabriele Fiorentini; Enrique Sentana (2010). New testing approaches for mean variance predictability. In: Association of Southern European Economic Theorists (ASSET), Alicante, October 2010, Asset, pp. 1-58. Accesso ONLINE all'editore

Gabriele Fiorentini; Christophe Planas; Alessandro Rossi (2008). The marginal likelihood of Structural Time Series Models, with application to the US and the euro area NAIRU. In: European Meeting of the Econometric Society, Milan, August 2008, Econometric Society, pp. 1-26. Accesso ONLINE all'editore

E. SENTANA; G. CALZOLARI; G. FIORENTINI (2008). Indirect estimation of large conditionally heteroskedastic factormodels, with an application to the Dow 30 stocks. JOURNAL OF ECONOMETRICS, vol. 146, pp. 10-25, ISSN:0304-4076

C. PLANAS; A. ROSSI A; G. FIORENTINI (2008). Bayesian Analysis of Output Gap. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 26, N.1, pp. 18-32, ISSN:0735-0015

E.Sentana; G.Calzolari; G.Fiorentini (2007). Indirect Estimation of Large Conditionally Heteroskedastic FactorModels, with an Application to the Dow 30 Stocks. Accesso ONLINE all'editore

G. FIORENTINI; E. SENTANA E.; N. SHEPHARD (2004). Likelihood-based Estimation of Latent Generalized ARCH Structure. ECONOMETRICA, vol. 72, pp. 1481-1517, ISSN:0012-9682

G. FIORENTINI; E. SENTANA; G. CALZOLARI (2004). On the Validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models. ECONOMICS LETTERS, vol. 83, pp. 307-312, ISSN:0165-1765

G. CALZOLARI; G. FIORENTINI; E. SENTANA (2004). Constrained Indirect Estimation. REVIEW OF ECONOMIC STUDIES, vol. 71, pp. 945-973, ISSN:0034-6527

FIORENTINI G; SENTANA E; G. CALZOLARI (2003). Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 21, pp. 532-546, ISSN:0735-0015

G. FIORENTINI; A. LEON; G. RUBIO (2002). “Estimation and Empirical Performance of Heston's Stochastic Volatility Model: The Case of a Thinly Traded Market”. JOURNAL OF EMPIRICAL FINANCE, vol. 9, pp. 225-255, ISSN:0927-5398

G. CALZOLARI; G. FIORENTINI; E. SENTANA (2001). Constrained indirect inference estimation.. pp. 1-76

G. CALZOLARI; F. DI IORIO; G. FIORENTINI (2001). Indirect Inference and Variance Reduction using Control Variates. METRON, vol. LIX, pp. 39-53, ISSN:0026-1424

G. FIORENTINI; C. PLANAS (2001). "Overcoming Non-Admissibility in ARIMA model based Signal Extraction". JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 19, pp. 455-464, ISSN:0735-0015

E. SENTANA; G. FIORENTINI (2001). “Identification, estimation and testing of conditionally heteroskedastic factor models”. JOURNAL OF ECONOMETRICS, vol. 102, pp. 143-164, ISSN:0304-4076, Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598:

G. CALZOLARI; FIORENTINI G; SENTANA E (2001). Indirect Inference Estimation of Conditionally Heteroskedastic Factor Models. In: C. PROVASI; a cura di. Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, pp. 63-68, PADOVA: CLEUP Editrice.

G. FIORENTINI; E. SENTANA; G. CALZOLARI (2000). The score of conditionally heteroskedastic dynamic regression models with Student-t innovations, and an LM test for multivariate normality..

G. CALZOLARI; F. DI IORIO; G. FIORENTINI (1999). Indirect Estimation of Just-Identified Models with Control Variates.. Firenze: Quaderni Dipart. Statistica "G.Parenti", 46/1999

G. FIORENTINI; A. LEON A.; G. RUBIO (1999). La Estimacion Diaria de la Prima de Riesgo de la Volatilidad. REVISTA ESPAÑOLA DE FINANCIACIÓN Y CONTABILIDAD, vol. 100, pp. 89-110, ISSN:0210-2412

G. CALZOLARI; F. DI IORIO; G. FIORENTINI (1999). Indirect Inference and Variance Reduction using Control Variates. In: S.Co., Venezia, 1999, pp. 229-234.

G. FIORENTINI; C. PLANAS (1998). From Autocovariances to Moving Average: An Algorithm Comparison. COMPUTATIONAL STATISTICS, vol. 13, pp. 477-484, ISSN:0943-4062, Physica-Verlag GmBh & Company:Tiergartenstrasse 17, D 69121 Heidelberg Germany:011 49 6221 487492, INTERNET: http://www.springer.de, Fax: 011 49 6221 487177:

G. CALZOLARI; FIORENTINI G.; SENTANA E. (1998). Indirect Inference Estimation of Conditionally Heteroskedastic Factor Models.

G. FIORENTINI; SENTANA E. (1998). “Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. ”. INTERNATIONAL ECONOMIC REVIEW, vol. 39, pp. 1101-1118, ISSN:0020-6598

G. CALZOLARI; F. DI IORIO ; G. FIORENTINI (1998). Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time. ECONOMETRICS JOURNAL, vol. 1, pp. C100-C112, ISSN:1368-4221

G. CALZOLARI; FIORENTINI G (1998). A Tobit Model with GARCH Errors. ECONOMETRIC REVIEWS, vol. 17, pp. 85-104, ISSN:0747-4938

G. CALZOLARI; DI IORIO F.; FIORENTINI G. (1998). Indirect Estimation of Continuous Time Interest Rate Models.

G. FIORENTINI; MARAVALL A. (1996). Unobserved Components in ARCH Models: An Application to Seasonal Adjustment. JOURNAL OF FORECASTING, vol. 15, pp. 175-201, ISSN:0277-6693

G. FIORENTINI; G. CALZOLARI; L. PANATTONI (1996). Analytic Derivatives and the Computation of GARCH Estimates. JOURNAL OF APPLIED ECONOMETRICS, vol. 11, pp. 399-417, ISSN:0883-7252

G. CALZOLARI; G. FIORENTINI (1993). Alternative Covariance Estimators of the Standard Tobit Model. ECONOMICS LETTERS, vol. 42, pp. 5-13, ISSN:0165-1765

G. CALZOLARI; G. FIORENTINI (1993). Estimating Variances and Covariances in a Censored Regression Model. STATISTICA, vol. 53, pp. 323-339, ISSN:0390-590X

Gabriele FIORENTINI

Insegnamenti relativi all'Anno Accademico

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Gabriele FIORENTINI

Curriculum

RESEARCH FIELDS: Financial Econometrics, Time Series Analysis, Bayesian Econometrics, Macroeconometrics. EDUCATION Degree in Economics 110/110 cum laude University of Florence 1984-1989 M. A. in Economics European University Institute 1990-1991 Ph.D. in Economics European University Institute 1991-1995 PRESENT POSITIONS November 2002- Professor of Econometrics, University of Florence January 2007- Senior Fellow of the Rimini Centre for Economic Analysis (RCEA) PREVIOUS POSITIONS Oct. 1996-Oct. 2002. Profesor Titular (tenured 1999) Department of Economics, University of Alicante. July 2002- Oct. 2002: Auxiliary Agent at the Applied Statistics Sector of the JRC. March 2000- Feb. 2001 and July 2001- June 2002: Visiting Scientist at the Applied Statistics Sector of JRC. Oct. 1994-Sept. 1996: Research Fellow, (CEMFI), Madrid. Oct. 1989-August 1990: Research Fellow at the European University Institute. EDITORIAL AND PROFESSIONAL ACTIVITIES Referee for Journal of the European Economic Association, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of Economic Dynamics and Control, Journal of Forecasting, Journal of Econometrics, Review of Economic Studies, Review of Economics and Statistics, Journal of Financial Econometrics, Investigaciones Económicas, Spanish Economic Review,. Revista de Economía Aplicada, Computa-tional Statistics and Data Analysis, Metrika. Member of the Program Committee of the Econometric Society European Meeting , Berlin (1998) and Stockolm (2003). Associate Editor of Investigaciones Economicas (2000-2009), Spanish Economic Review (2004-2009) and Review of Economic Analysis (2008- ). Chair of the Program Committee of the 1st Italian Congress of Econometric and Em-pirical Economics, Venice (2005) Member of the Program Committee of the 3rd, 4th and 5th Italian Congress of Econometric and Empirical Economics, Ancona (2009), Pisa (2011), Genova(2013).

Gabriele FIORENTINI

Gabriele FIORENTINI

Gabriele FIORENTINI

Gabriele FIORENTINI

Gabriele FIORENTINI

Insegnamenti relativi all'Anno Accademico 2023-2024 2022-2023 2021-2022 2020-2021 2019-2020 2018-2019 2017-2018 2016-2017 2015-2016 2014-2015 2013-2014 2012-2013 2011-2012 2010-2011 2009-2010 2008-2009 2007-2008 2006-2007

Gabriele FIORENTINI

Insegnamenti relativi all'Anno Accademico