343 citations · 360 across the 5 of their papers we have counts for
6 papers
Inference on the attractor spaces via functional approximation
Massimo Franchi, Paolo Paruolo
This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for linear processes with moderately large cross-sectional dimensio…
Canonical correlation analysis of stochastic trends via functional approximation
Massimo Franchi, Iliyan Georgiev, Paolo Paruolo
This paper proposes a novel approach for semiparametric inference on the number of common trends and their loading matrix in systems. It combines functional app…
GARCH density and functional forecasts
Karim M. Abadir, Alessandra Luati, Paolo Paruolo
This paper derives the analytic form of the -step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The…
Cointegration in functional autoregressive processes
Massimo Franchi, Paolo Paruolo
This paper defines the class of -valued autoregressive (AR) processes with a unit root of finite type, where is an infinite dimensional separable Hilbert…
Exploring Hoover and Perez's experimental designs using global sensitivity analysis
William Becker, Paolo Paruolo, Andrea Saltelli
This paper investigates variable-selection procedures in regression that make use of global sensitivity analysis. The approach is combined with existing algorithms and it is applie…
Ratings and rankings: Voodoo or Science?
Paolo Paruolo, Andrea Saltelli, Michaela Saisana
Composite indicators aggregate a set of variables using weights which are understood to reflect the variables' importance in the index. In this paper we propose to measure the impo…