Details about Giuseppe Cavaliere

Access statistics for papers by Giuseppe Cavaliere.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pca195

Working Papers

2009

1. Co-integration Rank Testing under Conditional Heteroskedasticity
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

2. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations
   Discussion Papers, University of Copenhagen. Department of Economics (2008) View citations
3. Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2006

4. Consumption risk sharing and adjustment costs
   MPRA Paper, University Library of Munich, Germany
5. International dynamic risk sharing
   Quaderni di Dipartimento, Department of Statistics, University of Bologna
   See also Journal Article in Journal of Applied Econometrics (2008)
6. Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
   Quaderni di Dipartimento, Department of Statistics, University of Bologna
7. Testing for unit roots in autoregressions with multiple level shifts
   Quaderni di Dipartimento, Department of Statistics, University of Bologna
   See also Journal Article in Econometric Theory (2007)

2005

8. 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

9. Limited time series with a unit root
   Quaderni di Dipartimento, Department of Statistics, University of Bologna
   See also Journal Article in Econometric Theory (2005)
10. Unit root tests under time-varyng variances
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations

2001

11. Determining the number of cointegrating relations under rank constraints
    Economics and Quantitative Methods, Department of Economics, University of Insubria

2000

12. A Rescaled Range Statistics Approach to Unit Root Tests
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

Undated

13. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
14. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article in Journal of Econometrics (2008)

Journal Articles

2009

1. A Note on Testing Covariance Stationarity
   Econometric Reviews, 2009, 28, (4), 364-371
2. Bootstrap M Unit Root Tests
   Econometric Reviews, 2009, 28, (5), 393-421
3. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
   Econometric Theory, 2009, 25, (05), 1228-1276 View citations
4. ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
   Econometric Theory, 2009, 25, (06), 1625-1661
5. Tests for cointegration rank and choice of the alternative
   Statistical Methods and Applications, 2009, 18, (2), 169-191

2008

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

2007

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

2006

13. Regional consumption dynamics and risk sharing in Italy
    International Review of Economics & Finance, 2006, 15, (4), 525-542 View citations
14. Testing for a Change in Persistence in the Presence of a Volatility Shift
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 761-781 View citations
15. Testing the Null of Co-integration in the Presence of Variance Breaks
    Journal of Time Series Analysis, 2006, 27, (4), 613-636 View citations
    See also Working Paper (2005)

2005

16. LIMITED TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2005, 21, (05), 907-945 View citations
    See also Working Paper (2003)
17. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
    Econometric Theory, 2005, 21, (06), 1112-1129 View citations
18. Testing mean reversion in target-zone exchange rates
    Applied Economics, 2005, 37, (20), 2335-2347 View citations

2004

19. 03.3.2. The Asymptotic Distribution of the Dickey Solution
    Econometric Theory, 2004, 20, (04), 808-810
20. Testing stationarity under a permanent variance shift
    Economics Letters, 2004, 82, (3), 403-408 View citations

2003

21. 03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint
    Econometric Theory, 2003, 19, (04), 691-692
22. Asymptotics for unit root tests under Markov regime-switching
    Econometrics Journal, 2003, 6, (1), 193-216 View citations

2001

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

1999

24. Firm Size and the Italian Stock Exchange
    Applied Economics Letters, 1999, 6, (11), 729-34