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Gian Piero Aielli
Gian Piero Aielli
Research fellow
Verified email at univr.it
Title
Cited by
Cited by
Year
Dynamic conditional correlation: on properties and estimation
GP Aielli
Journal of Business & Economic Statistics 31 (3), 282-299, 2013
5412013
Consistent estimation of large scale dynamic conditional correlations
GP Aielli
Unpublished paper: Department of Statistics, University of Florence, 2006
812006
Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market
IC Pragidis, GP Aielli, D Chionis, P Schizas
Journal of Financial Stability 18, 127-138, 2015
712015
Variance clustering improved dynamic conditional correlation MGARCH estimators
GP Aielli, M Caporin
Computational Statistics & Data Analysis 76, 556-576, 2014
292014
Fast clustering of GARCH processes via Gaussian mixture models
GP Aielli, M Caporin
Mathematics and Computers in Simulation 94, 205-222, 2013
102013
Dynamic conditional correlation MGARCH models: on properties and estimation
GP Aielli
Available at SSRN 1507743, 2011
62011
Dynamic principal components: A new class of multivariate GARCH models
GP Aielli, M Caporin
Available at SSRN 2559758, 2015
52015
Fast indirect estimation of latent factor models with conditional heteroskedasticity
GP Aielli, G Calzolari, G Fiorentini
Advances in Latent Variables. Milano: Vita e Pensiero. Proceedings of the …, 2013
32013
Dynamic Principal Components
GP Aielli, GM Gallo
MAF-Salerno, 2004
12004
Fast indirect estimation of latent factor models with conditional heteroskedasticity
G Calzolari, GP Aielli, G Fiorentini
Advances in Latent Variables-Methods, Models and Applications, 2013
2013
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