| Contemporaneous aggregation of linear dynamic models in large economies P Zaffaroni Journal of Econometrics 120 (1), 75-102, 2004 | 189 | 2004 |
| Dynamic factor models with infinite-dimensional factor spaces: One-sided representations M Forni, M Hallin, M Lippi, P Zaffaroni Journal of econometrics 185 (2), 359-371, 2015 | 165 | 2015 |
| (Fractional) beta convergence C Michelacci, P Zaffaroni Journal of Monetary Economics 45 (1), 129-153, 2000 | 160 | 2000 |
| Can aggregation explain the persistence of inflation? F Altissimo, B Mojon, P Zaffaroni Journal of Monetary Economics 56 (2), 231-241, 2009 | 143 | 2009 |
| The Long-Range Dependence Paradigm M Henry, P Zaffaroni Theory and applications of long-range dependence, 417, 2002 | 141 | 2002 |
| Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis M Forni, M Hallin, M Lippi, P Zaffaroni Journal of Econometrics 199 (1), 74-92, 2017 | 129 | 2017 |
| Pseudo-maximum likelihood estimation of ARCH (∞) models PM Robinson, P Zaffaroni | 123 | 2006 |
| Fast micro and slow macro: can aggregation explain the persistence of inflation? F Altissimo, B Mojon, P Zaffaroni FRB of Chicago Working Paper, 2007 | 99 | 2007 |
| Nonlinear time series with long memory: a model for stochastic volatility PM Robinson, P Zaffaroni Journal of Statistical Planning and Inference 68 (2), 359-371, 1998 | 98 | 1998 |
| Model averaging in risk management with an application to futures markets MH Pesaran, C Schleicher, P Zaffaroni Journal of Empirical Finance 16 (2), 280-305, 2009 | 93 | 2009 |
| Modelling nonlinearity and long memory in time series PM Robinson, P Zaffaroni Fields Institute Communications 11, 161-170, 1997 | 80 | 1997 |
| Stationarity and memory of ARCH (∞) models P Zaffaroni Econometric theory 20 (1), 147-160, 2004 | 79 | 2004 |
| Contemporaneous aggregation of linear dynamic models in large economies M Lippi, P Zaffaroni Manuscript, Research Department, Bank of Italy, 1999 | 59 | 1999 |
| Testing beta-pricing models using large cross-sections V Raponi, C Robotti, P Zaffaroni The Review of Financial Studies 33 (6), 2796-2842, 2020 | 56 | 2020 |
| Whittle estimation of EGARCH and other exponential volatility models P Zaffaroni Journal of econometrics 151 (2), 190-200, 2009 | 55 | 2009 |
| Contemporaneous aggregation of GARCH processes P Zaffaroni Journal of Time Series Analysis 28 (4), 521-544, 2007 | 42 | 2007 |
| Gaussian inference on certain long-range dependent volatility models P Zaffaroni, B d'Italia Journal of econometrics 115 (2), 199-258, 2003 | 42 | 2003 |
| A goodness-of-fit test for ARCH (∞) models J Hidalgo, P Zaffaroni Journal of econometrics 141 (2), 973-1013, 2007 | 41 | 2007 |
| Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management MH Pesaran, P Zaffaroni Available at SSRN 642681, 2004 | 40 | 2004 |
| Asymptotic theory for spectral density estimates of general multivariate time series WB Wu, P Zaffaroni Econometric Theory 34 (1), 1-22, 2018 | 39 | 2018 |
