Access Statistics for Giuseppe Cavaliere

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Rescaled Range Statistics Approach to Unit Root Tests 0 1 2 163 0 2 3 573
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 1 4 0 0 1 23
Adaptive inference in heteroskedastic fractional time series models 2 5 75 96 7 22 112 124
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 1 2 2 77 1 2 6 270
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 1 47 2 3 13 145
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 37 0 0 2 74
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 0 0 3 172 1 2 12 368
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 0 0 0 42 0 1 4 71
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 139 0 0 6 327
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 1 3 121
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 75 0 0 2 213
Bootstrap determination of the co-integration rank in VAR models 0 1 2 3 0 1 3 39
Bootstrapping DSGE models 2 8 18 143 0 12 41 138
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 234 0 2 9 457
Co-integration rank determination in partial systems using information criteria 0 0 1 29 0 0 2 27
Co-integration rank tests under conditional heteroskedasticity 0 0 0 62 0 0 0 157
Consumption risk sharing and adjustment costs 0 0 0 44 0 0 2 116
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 3 42 0 0 5 31
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 0 4 385
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 1 5 0 0 2 22
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 1 2 22 0 2 5 51
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 1 1 2 119 1 1 8 184
International dynamic risk sharing 0 0 0 2 0 0 0 16
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 1 140 0 2 13 754
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 75 1 2 8 178
Limited time series with a unit root 0 0 3 10 0 0 6 24
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 9 188 0 0 18 387
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 5 16 51 2 9 42 76
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 1 23 0 4 12 29
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 5 22 202 3 13 52 358
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 1 0 0 2 14
Sieve-based inference for infinite-variance linear processes 0 2 14 89 0 7 32 138
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 2 232 0 2 8 529
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 113 0 0 1 346
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 1 2 170 1 2 5 341
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 34 0 0 2 112
Testing for co-integration in vector autoregressions with non-stationary volatility 1 1 1 30 1 3 4 131
Testing for unit roots in autoregressions with multiple level shifts 0 0 1 4 0 0 2 11
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 53 2 3 5 178
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 1 1 4 266
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 2 8 67 1 4 25 104
Unit root tests under time-varying variances 0 0 0 2 0 0 0 10
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 2 40 2 4 9 31
Wild bootstrap of the mean in the infinite variance case 0 0 0 4 0 0 1 14
Total Working Papers 7 35 196 3,258 26 107 496 7,963
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
03.3.2. The Asymptotic Distribution of the Dickey Solution 0 0 2 20 0 0 3 65
03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint 0 0 0 23 0 2 2 55
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 5 0 0 8 43
A Note on Testing Covariance Stationarity 0 0 0 42 0 2 5 128
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 1 22 0 0 1 48
A note on unit root testing in the presence of level shifts 0 0 0 0 0 0 1 43
Asymptotics for unit root tests under Markov regime-switching 0 0 1 81 0 0 1 206
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 1 3 6 106 2 5 12 204
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 3 0 0 7 27
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 1 11 0 3 6 65
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 2 7 37
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 114 0 0 17 282
Bootstrap M Unit Root Tests 0 0 1 82 0 1 7 204
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 6 22 130 1 9 35 237
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets 0 1 7 55 1 6 23 150
Bounded integrated processes and unit root tests 0 0 0 0 0 0 1 1
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 1 1 1 54 2 4 7 124
Consumption risk sharing and adjustment costs 0 0 0 33 0 0 1 89
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 0 0 1 1
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 0 0 0 3 3
Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional 0 0 0 20 0 0 4 159
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 1 1 1 1 4 4 4
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 1 2 18 0 2 5 51
Firm size and the Italian Stock Exchange 0 0 0 67 0 0 0 290
Fundamentals and asset price dynamics 0 0 0 0 0 0 1 1
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 4 122 0 1 13 223
Inference on co-integration parameters in heteroskedastic vector autoregressions 1 5 7 28 1 7 21 85
International dynamic risk sharing 0 0 0 115 0 1 3 309
LIMITED TIME SERIES WITH A UNIT ROOT 1 1 4 97 2 2 13 218
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 11 0 2 5 44
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 12 40 6 12 57 126
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 0 0 0 2 2
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 10 21 0 5 40 70
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 1 46 0 0 2 122
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 1 25 0 0 2 86
Recent developments in bootstrap methods for dependent data 0 1 2 6 1 2 5 26
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 0 2 30
Regional consumption dynamics and risk sharing in Italy 0 0 0 35 0 0 0 135
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 2 0 1 3 50
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 2 48 0 0 6 147
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 1 31 0 1 3 120
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 37 0 0 2 107
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 3 12 0 1 11 46
Testing for a Change in Persistence in the Presence of a Volatility Shift 0 0 1 32 0 0 2 119
Testing for a change in persistence in the presence of non-stationary volatility 0 0 2 82 0 2 7 308
Testing for co-integration in vector autoregressions with non-stationary volatility 1 2 7 50 1 3 13 148
Testing for unit roots in bounded time series 1 3 11 149 5 8 31 456
Testing for unit roots in time series models with non-stationary volatility 0 2 10 191 1 5 14 410
Testing mean reversion in target-zone exchange rates 0 0 1 58 0 1 2 222
Testing stationarity under a permanent variance shift 0 0 3 37 0 0 5 137
Testing the Null of Co-integration in the Presence of Variance Breaks 0 1 2 70 0 1 5 156
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 0 1 3 339
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 0 0 88
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility 0 0 3 75 0 0 4 167
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 0 0 1 1 1
Unit Root Tests under Time-Varying Variances 0 0 0 20 0 1 3 79
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 0 20 0 1 3 72
Total Journal Articles 6 30 132 2,400 24 99 445 7,165

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Statistics updated 2018-11-07