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Research
  1. Queen Mary University of London
  2. Research
  3. Publications

Publications: Dr Fabio Calonaci

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Baillie RT, Calonaci F, Kapetanios G ( 2022 ) . Hierarchical Time-Varying Estimation of Asset Pricing Models . Journal of Risk and Financial Management vol. 15 , ( 1 )
Baillie RT, Calonaci F, Cho D, Rho S ( 2019 ) . Long Memory, Realized Volatility and Heterogeneous Autoregressive Models . Journal of Time Series Analysis . vol. 40 , 609 - 628 .