5 citations · 5 across the 3 of their papers we have counts for
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stat.ME2016
Efficient nonparametric estimation and inference for the volatility function
Francesco Giordano, Maria Lucia Parrella
During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARC…
stat.ME2016
Modelling high-dimensional time series efficiently by means of constrained spatio--temporal models
Maria Lucia Parrella
Many econometric analyses involve spatio--temporal data. A considerable amount of literature has addressed spatio--temporal models, with Spatial Dynamic Panel Data (SDPD) being wid…
stat.ME2015★ 5 cited
Generalized Yule-Walker Estimation for Spatio-Temporal Models with Unknown Diagonal Coefficients
Baojun Dou, Maria Lucia Parrella, Qiwei Yao
We consider a class of spatio-temporal models which extend popular econometric spatial autoregressive panel data models by allowing the scalar coefficients for each location (or pa…