3 papers
stat.ME2025
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…
econ.EM2024
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…
math.ST2018
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…