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Details about Giuseppe Cavaliere

E-mail:
Homepage:http://www2.stat.unibo.it/cavaliere/
Workplace:Dipartimento di Scienze Statistiche "Paolo Fortunati" (Department of Statistical Sciences), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Giuseppe Cavaliere.

Last updated 2017-05-11. Update your information in the RePEc Author Service.

Short-id: pca195


Jump to Journal Articles

Working Papers

2017

  1. Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Queen's University, Department of Economics (2016) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2017)

2016

  1. Bootstrapping DSGE models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  2. Co-integration rank determination in partial systems using information criteria
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  3. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
  4. On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  5. Unit root inference for non-stationary linear processes driven by infinite variance innovations
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  6. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy Downloads

2015

  1. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Empirical Finance (2016)
  2. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

2014

  1. Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Queen's University, Department of Economics (2013) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2015)

2013

  1. A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
  3. Exploiting infinite variance through Dummy Variables in non-stationary autoregressions
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (1)
    See also Journal Article in Econometric Theory (2013)
  4. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)

2012

  1. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (5)

    See also Journal Article in Econometric Reviews (2014)
  2. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2015)

2011

  1. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  2. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

2010

  1. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (3)
  2. Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2013)

2009

  1. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (8)
    See also Journal Article in Econometric Theory (2010)
  2. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (10)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2011)

2008

  1. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (11)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2010)

2006

  1. Consumption risk sharing and adjustment costs
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Bulletin (2009)
  2. International dynamic risk sharing
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Journal of Applied Econometrics (2008)
  3. Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Rivista di Politica Economica (2005)
  4. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2008)
  5. Testing for unit roots in autoregressions with multiple level shifts
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Econometric Theory (2007)

2005

  1. Testing the Null of Co-integration in the Presence of Variance Breaks
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Journal of Time Series Analysis (2006)

2003

  1. Limited time series with a unit root
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Econometric Theory (2005)
  2. Unit root tests under time-varying variances
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Econometric Reviews (2005)

2001

  1. Determining the number of cointegrating relations under rank constraints
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)

2000

  1. A Rescaled Range Statistics Approach to Unit Root Tests
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)

Journal Articles

2017

  1. Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
    Journal of Econometrics, 2017, 198, (1), 165-188 Downloads
    See also Working Paper (2017)

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (2)
    See also Working Paper (2013)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    Journal of Empirical Finance, 2016, 38, (PB), 640-663 Downloads
    See also Working Paper (2015)

2015

  1. A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models
    Oxford Bulletin of Economics and Statistics, 2015, 77, (1), 106-128 Downloads
    See also Working Paper (2013)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 Downloads View citations (1)
    See also Working Paper (2013)
  3. Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models
    Econometrica, 2015, 83, 813-831 Downloads
  4. Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
    Journal of Econometrics, 2015, 187, (2), 557-579 Downloads View citations (7)
    See also Working Paper (2014)
  5. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 Downloads View citations (1)
    See also Working Paper (2012)
  6. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 272-289 Downloads
    Also in Journal of Time Series Analysis, 2015, 36, (3), 269-271 (2015) Downloads
  7. Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
    Journal of Time Series Analysis, 2015, 36, (5), 603-629 Downloads

2014

  1. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 Downloads View citations (6)
    See also Working Paper (2012)
  2. Testing for unit roots in bounded time series
    Journal of Econometrics, 2014, 178, (P2), 259-272 Downloads View citations (20)

2013

  1. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
    Econometric Reviews, 2013, 32, (7), 814-847 Downloads View citations (3)
    See also Working Paper (2010)
  2. EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
    Econometric Theory, 2013, 29, (06), 1162-1195 Downloads View citations (4)
    See also Working Paper (2013)
  3. Wild Bootstrap of the Sample Mean in the Infinite Variance Case
    Econometric Reviews, 2013, 32, (2), 204-219 Downloads

2012

  1. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 Downloads View citations (17)

2011

  1. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (05), 957-991 Downloads View citations (1)
    See also Working Paper (2009)

2010

  1. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (06), 1719-1760 Downloads View citations (26)
    See also Working Paper (2009)
  2. Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
    Estudios de Economía Aplicada, 2010, 28, 519-552 Downloads
  3. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 Downloads View citations (28)
    See also Working Paper (2008)

2009

  1. A Note on Testing Covariance Stationarity
    Econometric Reviews, 2009, 28, (4), 364-371 Downloads
  2. Bootstrap M Unit Root Tests
    Econometric Reviews, 2009, 28, (5), 393-421 Downloads View citations (7)
  3. Consumption risk sharing and adjustment costs
    Economics Bulletin, 2009, 29, (2), 1117-1126 Downloads View citations (1)
    See also Working Paper (2006)
  4. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2009, 25, (05), 1228-1276 Downloads View citations (25)
  5. ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
    Econometric Theory, 2009, 25, (06), 1625-1661 Downloads View citations (6)
  6. Tests for cointegration rank and choice of the alternative
    Statistical Methods & Applications, 2009, 18, (2), 169-191 Downloads

2008

  1. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (01), 43-71 Downloads View citations (45)
  2. International dynamic risk sharing
    Journal of Applied Econometrics, 2008, 23, (1), 1-16 Downloads View citations (4)
    See also Working Paper (2006)
  3. REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
    Econometric Theory, 2008, 24, (04), 1137-1148 Downloads
  4. Testing for a change in persistence in the presence of non-stationary volatility
    Journal of Econometrics, 2008, 147, (1), 84-98 Downloads View citations (11)
    See also Working Paper (2006)
  5. Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
    Journal of Time Series Analysis, 2008, 29, (2), 300-330 Downloads View citations (14)

2007

  1. TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
    Econometric Theory, 2007, 23, (06), 1162-1215 Downloads View citations (6)
    See also Working Paper (2006)
  2. Testing for unit roots in time series models with non-stationary volatility
    Journal of Econometrics, 2007, 140, (2), 919-947 Downloads View citations (61)

2006

  1. A note on unit root testing in the presence of level shifts
    Statistica, 2006, 66, (1), 4-18
  2. Regional consumption dynamics and risk sharing in Italy
    International Review of Economics & Finance, 2006, 15, (4), 525-542 Downloads View citations (7)
  3. Testing for a Change in Persistence in the Presence of a Volatility Shift
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 761-781 Downloads View citations (4)
  4. Testing the Null of Co-integration in the Presence of Variance Breaks
    Journal of Time Series Analysis, 2006, 27, (4), 613-636 Downloads View citations (5)
    See also Working Paper (2005)

2005

  1. LIMITED TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2005, 21, (05), 907-945 Downloads View citations (24)
    See also Working Paper (2003)
  2. Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Rivista di Politica Economica, 2005, 95, (3), 219-266 Downloads View citations (2)
    See also Working Paper (2006)
  3. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
    Econometric Theory, 2005, 21, (06), 1112-1129 Downloads View citations (22)
  4. Testing mean reversion in target-zone exchange rates
    Applied Economics, 2005, 37, (20), 2335-2347 Downloads View citations (2)
  5. Unit Root Tests under Time-Varying Variances
    Econometric Reviews, 2005, 23, (3), 259-292 Downloads View citations (43)
    See also Working Paper (2003)

2004

  1. 03.3.2. The Asymptotic Distribution of the Dickey Solution
    Econometric Theory, 2004, 20, (04), 808-810 Downloads
  2. Testing stationarity under a permanent variance shift
    Economics Letters, 2004, 82, (3), 403-408 Downloads View citations (11)

2003

  1. 03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint
    Econometric Theory, 2003, 19, (04), 691-692 Downloads
  2. Asymptotics for unit root tests under Markov regime-switching
    Econometrics Journal, 2003, 6, (1), 193-216 Downloads View citations (7)

2001

  1. Testing the unit root hypothesis using generalized range statistics
    Econometrics Journal, 2001, 4, (1), 39 View citations (10)

1999

  1. A new approach to stock price modelling and the efficiency of the Italian stock exchange
    Statistical Methods & Applications, 1999, 8, (1), 25-47 Downloads
  2. Firm size and the Italian Stock Exchange
    Applied Economics Letters, 1999, 6, (11), 729-734 Downloads View citations (1)
 
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