Simone Giannerini
Biographic Data
| ID | 8920551 |
|---|---|
| NAME | Simone Giannerini |
| GIVEN NAMES | Simone |
| FAMILY NAME | Giannerini |
| SIGNATURE | GIANNERINI S |
| AFFILIATIONS | Dipartimento di Scienze Economiche e Statistiche, Università di Udine |
| ORCID | 0000-0002-0710-668X |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2025 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes
We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH model. We derive the asymptotic null distribution of the test statistic, and this requires novel results due to nuisance parameters, absent under the null hypothesis, combined with the nonlinear moving average …
Robust Estimation for Threshold Autoregressive Moving-Average Models
Threshold autoregressive moving-average (TARMA) models extend the popular TAR model and are among the few parametric time series specifications to include a moving average in a non-linear setting. The state dependent reactions to shocks is particularly appealing in Economics and Finance. However, no theory is currently available when the data present heavy tails or anomalous observations. Here we provide the first theoretical framework for robust…
No prominent works on this page.
Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes
We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH model. We derive the asymptotic null distribution of the test statistic, and this requires novel results due to nuisance parameters, absent under the null hypothesis, combined with the nonlinear moving average …
Robust Estimation for Threshold Autoregressive Moving-Average Models
Threshold autoregressive moving-average (TARMA) models extend the popular TAR model and are among the few parametric time series specifications to include a moving average in a non-linear setting. The state dependent reactions to shocks is particularly appealing in Economics and Finance. However, no theory is currently available when the data present heavy tails or anomalous observations. Here we provide the first theoretical framework for robust…
Advanced Statistical Methods and Models (2 works) · Econometrics (2 works) · Economics (2 works) · Mathematics (2 works) · Statistics (2 works) · Autoregressive integrated moving average (1 work) · Autoregressive model (1 work) · Computer Science (1 work) · Estimation (1 work) · Financial Risk and Volatility Modeling (1 work)