Francesco Giancaterini

Francesco Giancaterini
Maastricht University | UM · Department of Quantitative Economics

About

3
Publications
692
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
3
Citations
Citations since 2016
3 Research Items
3 Citations
20162017201820192020202120220.00.51.01.52.0
20162017201820192020202120220.00.51.01.52.0
20162017201820192020202120220.00.51.01.52.0
20162017201820192020202120220.00.51.01.52.0

Publications

Publications (3)
Preprint
Full-text available
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is computed with the Hodrick-Prescott filter rendering a time-reversible closed-form solution. This pap...
Article
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student’s t error process are reviewed. Several known existing methods are typically not applicable in the heavy-tailed framework. To this end, a new approach to make inference on causal and noncausal parameters in finite sample sizes is proposed....
Preprint
Full-text available
This paper analyzes the properties of the Maximum Likelihood Estimator for mixed causal and noncausal models when the error term follows a Student's t-distribution. In particular, we compare several existing methods to compute the expected Fisher information matrix and show that they cannot be applied in the heavy-tail framework. For this purpose,...

Network

Cited By