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 1 1 1 162 1 1 1 571
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 3 0 0 2 22
Adaptive inference in heteroskedastic fractional time series models 2 16 79 79 4 23 78 78
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 2 75 0 1 8 267
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 37 0 0 3 74
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 2 47 0 3 10 141
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 0 1 3 172 0 3 14 365
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 0 0 1 42 1 1 5 69
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 3 139 1 3 9 326
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 1 3 120
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 75 1 2 4 213
Bootstrap determination of the co-integration rank in VAR models 0 0 0 1 0 0 7 37
Bootstrapping DSGE models 0 1 21 131 2 5 54 119
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 3 234 3 4 19 454
Co-integration rank determination in partial systems using information criteria 0 0 5 29 0 0 12 27
Co-integration rank tests under conditional heteroskedasticity 0 0 0 62 0 0 1 157
Consumption risk sharing and adjustment costs 0 0 2 44 0 1 5 116
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 3 42 1 1 9 31
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 1 6 385
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 1 1 1 5 1 1 3 22
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 3 21 1 1 3 48
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 1 4 118 0 3 8 181
International dynamic risk sharing 0 0 0 2 0 0 2 16
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 75 1 3 4 174
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 6 139 2 3 43 750
Limited time series with a unit root 0 0 1 8 1 1 6 22
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 14 186 0 2 23 382
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 5 14 45 1 9 42 64
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 1 5 20 194 1 12 56 341
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 2 22 1 1 13 23
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 1 1 1 1 4 14
Sieve-based inference for infinite-variance linear processes 1 4 17 85 2 8 37 127
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 113 0 0 1 346
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 1 4 232 0 3 13 526
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 1 3 169 1 2 8 339
Testing for a change in persistence in the presence of non-stationary volatility 0 0 1 34 1 1 4 112
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 29 0 1 1 128
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 3 0 0 1 10
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 1 53 1 1 4 175
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 1 3 3 265
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 1 10 64 0 7 32 97
Unit root tests under time-varying variances 0 0 1 2 0 0 1 10
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 5 38 0 0 8 23
Wild bootstrap of the mean in the infinite variance case 0 0 0 4 0 1 1 14
Total Working Papers 6 38 233 3,189 31 114 571 7,781

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 1 2 20 0 1 3 65
03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint 0 0 0 23 0 0 0 53
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 1 5 1 4 9 41
A Note on Testing Covariance Stationarity 0 0 2 42 0 0 5 126
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 2 22 0 0 2 48
A note on unit root testing in the presence of level shifts 0 0 0 0 0 1 1 43
Asymptotics for unit root tests under Markov regime-switching 0 1 1 81 0 1 1 206
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 1 1 6 102 1 3 15 197
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 1 3 2 5 7 25
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 1 1 1 11 1 1 3 62
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 1 7 34
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 4 114 2 5 20 278
Bootstrap M Unit Root Tests 0 0 6 82 1 2 14 202
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 5 21 122 1 9 37 225
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets 0 1 10 52 0 2 27 141
Bounded integrated processes and unit root tests 0 0 0 0 0 0 1 1
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 0 53 1 1 6 119
Consumption risk sharing and adjustment costs 0 0 1 33 0 0 3 89
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 1 11 158
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 1 1 3 17 1 2 7 49
Firm size and the Italian Stock Exchange 0 0 2 67 0 0 3 290
Fundamentals and asset price dynamics 0 0 0 0 0 0 1 1
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 1 2 9 122 1 3 18 222
Inference on co-integration parameters in heteroskedastic vector autoregressions 2 2 5 23 2 4 19 76
International dynamic risk sharing 0 0 2 115 0 0 7 308
LIMITED TIME SERIES WITH A UNIT ROOT 0 2 4 96 1 5 13 215
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 11 0 1 2 41
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 1 2 19 38 3 11 55 106
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 1 17 20 2 9 46 60
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 3 46 0 0 5 122
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 1 1 1 25 1 1 3 86
Recent developments in bootstrap methods for dependent data 0 1 1 5 0 3 4 24
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 1 1 29
Regional consumption dynamics and risk sharing in Italy 0 0 0 35 0 0 1 135
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 2 1 1 3 49
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 1 47 1 2 6 146
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 1 30 0 0 2 118
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 37 1 1 4 107
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 6 12 1 3 14 43
Testing for a Change in Persistence in the Presence of a Volatility Shift 0 0 0 31 0 0 0 117
Testing for a change in persistence in the presence of non-stationary volatility 0 0 2 81 1 3 6 305
Testing for co-integration in vector autoregressions with non-stationary volatility 1 1 3 44 1 1 7 139
Testing for unit roots in bounded time series 0 3 15 144 4 11 38 444
Testing for unit roots in time series models with non-stationary volatility 0 2 14 189 0 3 15 405
Testing mean reversion in target-zone exchange rates 0 0 1 58 0 0 1 221
Testing stationarity under a permanent variance shift 0 0 2 36 0 0 5 135
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 1 69 0 0 4 155
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 1 1 7 338
Tests for cointegration rank and choice of the alternative 0 0 1 38 0 0 1 88
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility 0 1 2 73 0 1 4 165
Unit Root Tests under Time-Varying Variances 0 0 0 20 0 0 3 78
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 1 20 0 0 7 71
Total Journal Articles 9 29 174 2,351 32 104 486 7,003

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2018-06-06