Overview
Gabriele Fiorentini is an econometrician at the University of Alicante (Spain), affiliated with CEMFI. His research focuses on time series econometrics, GARCH modelling, and estimation theory for heteroscedastic processes. He is a long-standing collaborator of Enrique Sentana.
Key Contributions / Features
- Conditional mean dynamics (with Sentana, 1998): derived the vector linear process followed by Et−1(xt) for general ARMA systems; established the GARCH-M nonneg-ACF constraint; introduced the P∞ persistence measure for stationary processes.
- Work on score-based and information-matrix-equality tests for GARCH models.
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