Details about Giuseppe Cavaliere

Homepage:	https://giuseppecavaliere.wixsite.com/giuseppe
Workplace:	Department of Economics, Business School, University of Exeter, (more information at EDIRC) Dipartimento di Scienze Economiche (Department of Economics), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Giuseppe Cavaliere.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pca195

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Working Papers

2024

1. Factor Network Autoregressions
   Papers, arXiv.org View citations (5)
2. Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry
   Development Working Papers, Centro Studi Luca d'Agliano, University of Milano

2023

3. An identification and testing strategy for proxy-SVARs with weak proxies
   Papers, arXiv.org
   See also Journal Article An identification and testing strategy for proxy-SVARs with weak proxies, Journal of Econometrics, Elsevier (2024) View citations (3) (2024)
4. Asymptotics for the Generalized Autoregressive Conditional Duration Model
   Papers, arXiv.org
5. Bootstrap inference in the presence of bias
   Papers, arXiv.org View citations (2)

2022

6. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
   Papers, arXiv.org
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2022)
   See also Journal Article Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Econometric Reviews, Taylor & Francis Journals (2023) (2023)
7. The Econometrics of Financial Duration Modeling
   Papers, arXiv.org View citations (1)
8. Time-Varying Poisson Autoregression
   Papers, arXiv.org

2021

9. BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES
   Working Papers, University of Sydney, School of Economics
   Also in Papers, arXiv.org (2021)
   Discussion Papers, University of Copenhagen. Department of Economics (2021)
   See also Journal Article Bootstrap inference for Hawkes and general point processes, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
10. Bootstrapping Non-Stationary Stochastic Volatility
    Papers, arXiv.org View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2019)
    See also Journal Article Bootstrapping non-stationary stochastic volatility, Journal of Econometrics, Elsevier (2021) View citations (3) (2021)
11. Inference in heavy-tailed non-stationary multivariate time series
    Papers, arXiv.org
    See also Journal Article Inference in Heavy-Tailed Nonstationary Multivariate Time Series, Journal of the American Statistical Association, Taylor & Francis Journals (2024) (2024)
12. MinP Score Tests with an Inequality Constrained Parameter Space
    Papers, arXiv.org
13. Specification tests for GARCH processes
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in Papers, arXiv.org (2021)

2020

14. AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
15. Adaptive Inference in Heteroskedastic Fractional Time Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
    See also Journal Article Adaptive Inference in Heteroscedastic Fractional Time Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (4) (2022)
16. Determining the rank of cointegration with infinite variance
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics

2019

17. A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
    Discussion Papers, University of Copenhagen. Department of Economics
18. Inference under random limit bootstrap measures
    Papers, arXiv.org View citations (2)
    See also Journal Article Inference Under Random Limit Bootstrap Measures, Econometrica, Econometric Society (2020) View citations (19) (2020)

2018

19. BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    See also Journal Article Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models, Journal of Econometrics, Elsevier (2022) View citations (3) (2022)

2017

20. 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 View citations (14)
    Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
    See also Journal Article Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2017) View citations (12) (2017)

2016

21. Bootstrapping DSGE models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
22. Co-integration rank determination in partial systems using information criteria
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
23. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
    See also Journal Article DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Econometric Theory, Cambridge University Press (2018) View citations (9) (2018)
24. 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
    See also Journal Article On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (10) (2017)
25. Unit root inference for non-stationary linear processes driven by infinite variance innovations
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (3)
    See also Journal Article UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, Econometric Theory, Cambridge University Press (2018) View citations (6) (2018)
26. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy
    See also Journal Article Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility, Econometric Reviews, Taylor & Francis Journals (2019) View citations (3) (2019)

2015

27. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), Journal of Empirical Finance, Elsevier (2016) View citations (33) (2016)
28. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (4)

2014

29. 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
    Also in Working Paper, Economics Department, Queen's University (2013) View citations (4)
    See also Journal Article 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, Elsevier (2015) View citations (14) (2015)

2013

30. 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
    See also Journal Article A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (7) (2015)
31. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics
    See also Journal Article Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (2) (2015)
32. Exploiting infinite variance through Dummy Variables in non-stationary autoregressions
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)
    See also Journal Article EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Econometric Theory, Cambridge University Press (2013) View citations (8) (2013)
33. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (2)
    See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)

2012

34. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (16)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (20)
    See also Journal Article Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, Econometric Reviews, Taylor & Francis Journals (2014) View citations (18) (2014)
35. 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 View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (3)
    See also Journal Article Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Econometric Reviews, Taylor & Francis Journals (2015) View citations (9) (2015)

2011

36. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (8)
37. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

2010

38. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (4)
39. 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 View citations (2)
    See also Journal Article Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion, Econometric Reviews, Taylor & Francis Journals (2013) View citations (6) (2013)

2009

40. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)
    See also Journal Article COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY, Econometric Theory, Cambridge University Press (2010) View citations (46) (2010)
41. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
42. 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 View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (3)
    See also Journal Article TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY, Econometric Theory, Cambridge University Press (2011) View citations (14) (2011)

2008

43. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    Discussion Papers, University of Copenhagen. Department of Economics View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (13)
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) View citations (7)
    See also Journal Article Testing for co-integration in vector autoregressions with non-stationary volatility, Journal of Econometrics, Elsevier (2010) View citations (49) (2010)

2006

44. Consumption risk sharing and adjustment costs
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Consumption risk sharing and adjustment costs, Economics Bulletin, AccessEcon (2009) View citations (1) (2009)
45. International dynamic risk sharing
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
    See also Journal Article International dynamic risk sharing, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (9) (2008)
46. Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia, Rivista di Politica Economica, SIPI Spa (2005) View citations (3) (2005)
47. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (6)
    See also Journal Article Testing for a change in persistence in the presence of non-stationary volatility, Journal of Econometrics, Elsevier (2008) View citations (17) (2008)
48. Testing for unit roots in autoregressions with multiple level shifts
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS, Econometric Theory, Cambridge University Press (2007) View citations (10) (2007)

2005

49. Testing the Null of Co-integration in the Presence of Variance Breaks
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article Testing the Null of Co‐integration in the Presence of Variance Breaks, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (5) (2006)

2003

50. Limited time series with a unit root
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (3)
    See also Journal Article LIMITED TIME SERIES WITH A UNIT ROOT, Econometric Theory, Cambridge University Press (2005) View citations (50) (2005)
51. Unit root tests under time-varying variances
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (14)
    See also Journal Article Unit Root Tests under Time-Varying Variances, Econometric Reviews, Taylor & Francis Journals (2005) View citations (54) (2005)

2001

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

2000

53. A Rescaled Range Statistics Approach to Unit Root Tests
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)

Journal Articles

2024

1. An identification and testing strategy for proxy-SVARs with weak proxies
   Journal of Econometrics, 2024, 238, (2) View citations (3)
   See also Working Paper An identification and testing strategy for proxy-SVARs with weak proxies, Papers (2023) (2023)
2. Inference in Heavy-Tailed Nonstationary Multivariate Time Series
   Journal of the American Statistical Association, 2024, 119, (545), 565-581
   See also Working Paper Inference in heavy-tailed non-stationary multivariate time series, Papers (2021) (2021)
3. Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
   Journal of Business & Economic Statistics, 2024, 42, (1), 197-214
4. Tail behavior of ACD models and consequences for likelihood-based estimation
   Journal of Econometrics, 2024, 238, (2)

2023

5. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
   Econometric Reviews, 2023, 42, (9-10), 725-757
   See also Working Paper Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Papers (2022) (2022)
6. Bootstrap inference for Hawkes and general point processes
   Journal of Econometrics, 2023, 235, (1), 133-165 View citations (1)
   See also Working Paper BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES, Working Papers (2021) (2021)

2022

7. Adaptive Inference in Heteroscedastic Fractional Time Series Models
   Journal of Business & Economic Statistics, 2022, 40, (1), 50-65 View citations (4)
   See also Working Paper Adaptive Inference in Heteroskedastic Fractional Time Series Models, CREATES Research Papers (2020) View citations (3) (2020)
8. Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models
   Journal of Applied Econometrics, 2022, 37, (1), 3-22 View citations (1)
9. Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
   Journal of Econometrics, 2022, 227, (1), 241-263 View citations (3)
   See also Working Paper BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS, Discussion Papers (2018) View citations (4) (2018)

2021

10. Bootstrapping non-stationary stochastic volatility
    Journal of Econometrics, 2021, 224, (1), 161-180 View citations (3)
    See also Working Paper Bootstrapping Non-Stationary Stochastic Volatility, Papers (2021) View citations (3) (2021)

2020

11. Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
    Journal of Business & Economic Statistics, 2020, 38, (1), 55-67 View citations (13)
12. Inference Under Random Limit Bootstrap Measures
    Econometrica, 2020, 88, (6), 2547-2574 View citations (19)
    See also Working Paper Inference under random limit bootstrap measures, Papers (2019) View citations (2) (2019)

2019

13. Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
    Econometric Reviews, 2019, 38, (5), 509-532 View citations (3)
    See also Working Paper Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility, Working Papers (2016) (2016)

2018

14. Co†integration Rank Determination in Partial Systems Using Information Criteria
    Oxford Bulletin of Economics and Statistics, 2018, 80, (1), 65-89 View citations (3)
15. DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
    Econometric Theory, 2018, 34, (2), 349-382 View citations (9)
    See also Working Paper Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order, Essex Finance Centre Working Papers (2016) View citations (3) (2016)
16. EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-25 View citations (3)
17. The Fixed Volatility Bootstrap for a Class of Arch(q) Models
    Journal of Time Series Analysis, 2018, 39, (6), 920-941 View citations (12)
18. UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
    Econometric Theory, 2018, 34, (2), 302-348 View citations (6)
    See also Working Paper Unit root inference for non-stationary linear processes driven by infinite variance innovations, Quaderni di Dipartimento (2016) View citations (3) (2016)

2017

19. On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
    Journal of Time Series Analysis, 2017, 38, (4), 513-534 View citations (10)
    See also Working Paper On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, Quaderni di Dipartimento (2016) (2016)
20. 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 View citations (12)
    See also Working Paper Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form, CREATES Research Papers (2017) View citations (14) (2017)

2016

21. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 View citations (23)
    See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Tinbergen Institute Discussion Papers (2013) View citations (4) (2013)
22. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    Journal of Empirical Finance, 2016, 38, (PB), 640-663 View citations (33)
    See also Working Paper Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), CREATES Research Papers (2015) View citations (1) (2015)

2015

23. 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 View citations (7)
    See also Working Paper A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models, Quaderni di Dipartimento (2013) (2013)
24. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 View citations (2)
    See also Working Paper Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Working Papers (2013) (2013)
25. Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models
    Econometrica, 2015, 83, 813-831 View citations (21)
26. 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 View citations (14)
    See also Working Paper 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 (2014) (2014)
27. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 View citations (9)
    See also Working Paper Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
28. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 272-289 View citations (1)
    Also in Journal of Time Series Analysis, 2015, 36, (3), 269-271 (2015) View citations (1)
29. 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 View citations (3)

2014

30. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 View citations (18)
    See also Working Paper Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models, CREATES Research Papers (2012) View citations (16) (2012)
31. Testing for unit roots in bounded time series
    Journal of Econometrics, 2014, 178, (P2), 259-272 View citations (60)

2013

32. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
    Econometric Reviews, 2013, 32, (7), 814-847 View citations (6)
    See also Working Paper Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, Discussion Papers (2010) View citations (2) (2010)
33. EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
    Econometric Theory, 2013, 29, (6), 1162-1195 View citations (8)
    See also Working Paper Exploiting infinite variance through Dummy Variables in non-stationary autoregressions, Quaderni di Dipartimento (2013) View citations (2) (2013)
34. Wild Bootstrap of the Sample Mean in the Infinite Variance Case
    Econometric Reviews, 2013, 32, (2), 204-219 View citations (4)

2012

35. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 View citations (73)

2011

36. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (5), 957-991 View citations (14)
    See also Working Paper Testing for unit roots in the presence of a possible break in trend and non-stationary volatility, Discussion Papers (2009) View citations (18) (2009)

2010

37. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 View citations (46)
    See also Working Paper Co-integration Rank Testing under Conditional Heteroskedasticity, CREATES Research Papers (2009) View citations (11) (2009)
38. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 View citations (49)
    See also Working Paper Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility, Discussion Papers (2008) View citations (17) (2008)

2009

39. A Note on Testing Covariance Stationarity
    Econometric Reviews, 2009, 28, (4), 364-371 View citations (1)
40. Bootstrap M Unit Root Tests
    Econometric Reviews, 2009, 28, (5), 393-421 View citations (15)
41. Consumption risk sharing and adjustment costs
    Economics Bulletin, 2009, 29, (2), 1117-1126 View citations (1)
    See also Working Paper Consumption risk sharing and adjustment costs, MPRA Paper (2006) View citations (1) (2006)
42. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2009, 25, (5), 1228-1276 View citations (56)
43. ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
    Econometric Theory, 2009, 25, (6), 1625-1661 View citations (8)
44. Tests for cointegration rank and choice of the alternative
    Statistical Methods & Applications, 2009, 18, (2), 169-191

2008

45. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (1), 43-71 View citations (96)
46. International dynamic risk sharing
    Journal of Applied Econometrics, 2008, 23, (1), 1-16 View citations (9)
    See also Working Paper International dynamic risk sharing, Quaderni di Dipartimento (2006) View citations (1) (2006)
47. REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
    Econometric Theory, 2008, 24, (4), 1137-1148 View citations (1)
48. Testing for a change in persistence in the presence of non-stationary volatility
    Journal of Econometrics, 2008, 147, (1), 84-98 View citations (17)
    See also Working Paper Testing for a change in persistence in the presence of non-stationary volatility, Discussion Papers (2006) View citations (6) (2006)
49. Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
    Journal of Time Series Analysis, 2008, 29, (2), 300-330 View citations (33)

2007

50. TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
    Econometric Theory, 2007, 23, (6), 1162-1215 View citations (10)
    See also Working Paper Testing for unit roots in autoregressions with multiple level shifts, Quaderni di Dipartimento (2006) (2006)
51. Testing for unit roots in time series models with non-stationary volatility
    Journal of Econometrics, 2007, 140, (2), 919-947 View citations (121)

2006

52. A note on unit root testing in the presence of level shifts
    Statistica, 2006, 66, (1), 4-18
53. Regional consumption dynamics and risk sharing in Italy
    International Review of Economics & Finance, 2006, 15, (4), 525-542 View citations (9)
54. 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 (9)
55. Testing the Null of Co‐integration in the Presence of Variance Breaks
    Journal of Time Series Analysis, 2006, 27, (4), 613-636 View citations (5)
    See also Working Paper Testing the Null of Co-integration in the Presence of Variance Breaks, Discussion Papers (2005) (2005)

2005

56. LIMITED TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2005, 21, (5), 907-945 View citations (50)
    See also Working Paper Limited time series with a unit root, Quaderni di Dipartimento (2003) View citations (3) (2003)
57. Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Rivista di Politica Economica, 2005, 95, (3), 219-266 View citations (3)
    See also Working Paper Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia, Quaderni di Dipartimento (2006) (2006)
58. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
    Econometric Theory, 2005, 21, (6), 1112-1129 View citations (31)
59. Testing mean reversion in target-zone exchange rates
    Applied Economics, 2005, 37, (20), 2335-2347 View citations (3)
60. Unit Root Tests under Time-Varying Variances
    Econometric Reviews, 2005, 23, (3), 259-292 View citations (54)
    See also Working Paper Unit root tests under time-varying variances, Quaderni di Dipartimento (2003) View citations (14) (2003)

2004

61. Testing stationarity under a permanent variance shift
    Economics Letters, 2004, 82, (3), 403-408 View citations (15)

2003

62. 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint
    Econometric Theory, 2003, 19, (4), 691-692
63. Asymptotics for unit root tests under Markov regime-switching
    Econometrics Journal, 2003, 6, (1), 193-216 View citations (9)
64. Fundamentals and asset price dynamics
    Statistical Methods & Applications, 2003, 12, (2), 211-226

2002

65. Bounded integrated processes and unit root tests
    Statistical Methods & Applications, 2002, 11, (1), 41-69 View citations (2)

2001

66. Testing the unit root hypothesis using generalized range statistics
    Econometrics Journal, 2001, 4, (1), 39 View citations (12)

1999

67. A new approach to stock price modelling and the efficiency of the Italian stock exchange
    Statistical Methods & Applications, 1999, 8, (1), 25-47
68. Firm size and the Italian Stock Exchange
    Applied Economics Letters, 1999, 6, (11), 729-734 View citations (4)