| Identification, estimation and testing of conditionally heteroskedastic factor models E Sentana, G Fiorentini Journal of econometrics 102 (2), 143-164, 2001 | 337 | 2001 |
| Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations G Fiorentini, E Sentana, G Calzolari Journal of Business & Economic Statistics 21 (4), 532-546, 2003 | 218 | 2003 |
| Analytic derivatives and the computation of GARCH estimates G Fiorentini, G Calzolari, L Panattoni Journal of applied econometrics 11 (4), 399-417, 1996 | 197 | 1996 |
| Likelihood‐based estimation of latent generalized ARCH structures G Fiorentini, E Sentana, N Shephard Econometrica 72 (5), 1481-1517, 2004 | 150 | 2004 |
| E. Sentana (2004), Constrained Indirect Inference Estimation C Calzolari, G Fiorentini Review of Economic Studies 71, 945, 0 | 97* | |
| Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market G Fiorentini, A Leon, G Rubio Journal of empirical Finance 9 (2), 225-255, 2002 | 90* | 2002 |
| The rise and fall of the natural interest rate G Fiorentini, A Galesi, G Pérez-Quirós, E Sentana Banco de Espana Working Paper, 2018 | 86 | 2018 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks E Sentana, G Calzolari, G Fiorentini Journal of Econometrics 146 (1), 10-25, 2008 | 69* | 2008 |
| Bayesian analysis of the output gap C Planas, A Rossi, G Fiorentini Journal of Business & Economic Statistics 26 (1), 18-32, 2008 | 55 | 2008 |
| On the validity of the Jarque–Bera normality test in conditionally heteroskedastic dynamic regression models G Fiorentini, E Sentana, G Calzolari Economics Letters 83 (3), 307-312, 2004 | 54 | 2004 |
| On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models G Fiorentini, E Sentana The Rimini Centre for Economic Analysis Working Paper Series, 2007 | 45* | 2007 |
| Conditional means of time series processes and time series processes for conditional means G Fiorentini, E Sentana International Economic Review, 1101-1118, 1998 | 43 | 1998 |
| Unobserved components in ARCH models: An application to seasonal adjustment A MARAVALL Journal of Forecasting 15, 175-201, 1996 | 37* | 1996 |
| Control variates for variance reduction in indirect inference: interest rate models in continuous time G Calzolari, F Di Iorio, G Fiorentini The Econometrics Journal 1 (1), 100-112, 1998 | 35* | 1998 |
| A tobit model with garch errors G Calzolari, G Fiorentini Econometric Reviews 17 (1), 85-104, 1998 | 32 | 1998 |
| A spectral EM algorithm for dynamic factor models G Fiorentini, A Galesi, E Sentana Journal of Econometrics 205 (1), 249-279, 2018 | 28 | 2018 |
| Tests for serial dependence in static, non-Gaussian factor models G Fiorentini, E Sentana CEMFI Working Papers, 2012 | 28* | 2012 |
| Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions G Fiorentini, E Sentana Journal of Econometrics 235 (2), 643-665, 2023 | 21 | 2023 |
| Sequential estimation of shape parameters in multivariate dynamic models D Amengual, G Fiorentini, E Sentana Journal of Econometrics 177 (2), 233-249, 2013 | 21 | 2013 |
| Consistent non-Gaussian pseudo maximum likelihood estimators G Fiorentini, E Sentana Journal of econometrics 213 (2), 321-358, 2019 | 20 | 2019 |
