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 PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS 0 0 1 105 0 1 11 117
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 0 0 9 598
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 0 11 48
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 1 1 150 1 3 18 139
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 0 0 14 350
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 1 11 1 2 8 49
Adaptive inference in heteroskedastic fractional time series models 0 0 0 13 1 2 8 15
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 1 1 4 18
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 1 8 0 0 8 34
An identification and testing strategy for proxy-SVARs with weak proxies 0 0 1 42 3 6 32 80
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 0 0 43 1 1 8 70
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 1 2 21 0 1 23 114
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 0 2 16 246
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 1 4 48 52 3 9 109 112
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 0 1 27 319
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 2 14 106
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 0 15 200
Bootstrap Diagnostic Tests 2 3 42 42 4 8 59 59
Bootstrap Inference for Hawkes and General Point Processes 0 0 1 40 1 3 18 76
Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets 0 0 0 178 0 0 11 414
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 0 1 2 8 8
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 45 1 1 12 101
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 1 1 1 71 2 2 9 145
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 0 10 387
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 0 1 15 252
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 1 8 69
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 0 16 33
Bootstrap inference in autoregressive duration models 0 0 0 0 1 1 1 1
Bootstrap inference in the presence of bias 0 1 18 114 2 4 49 267
Bootstrapping DSGE models 0 0 0 195 0 0 6 309
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 1 2 19 126
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 5 5 15 36
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 1 2 10 491
Co-integration rank determination in partial systems using information criteria 0 0 0 33 0 0 9 49
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 2 2 16 193
Consumption risk sharing and adjustment costs 0 0 0 44 0 0 4 187
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 1 52 1 1 13 67
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 0 11 413
Determining the rank of cointegration with infinite variance 0 0 0 14 0 0 9 38
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 0 1 8 54
Factor Network Autoregressions 2 3 13 219 7 10 78 225
Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy 5 6 6 6 5 8 8 8
Improved inference for nonparametric regression and regression-discontinuity designs 3 8 38 38 8 17 89 89
Inference in heavy-tailed non-stationary multivariate time series 0 0 2 81 0 1 25 202
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 13 78
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 127 0 0 13 228
Inference under random limit bootstrap measures 0 0 0 20 0 0 13 30
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 0 1 23 0 3 21 41
International dynamic risk sharing 0 0 0 7 0 1 7 93
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 0 1 20 958
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 0 1 18 234
Limited time series with a unit root 0 0 0 13 1 1 16 60
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 0 22 2 2 15 87
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 2 16 473
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 0 14 163
Parameters on the boundary in predictive regression 0 0 0 19 1 2 10 25
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 3 1 1 9 10
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 1 2 13 64
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 1 1 26 469
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 0 0 17 61
Sieve-based inference for infinite-variance linear processes 0 0 2 98 1 2 11 177
Specification tests for GARCH processes 0 0 0 41 0 0 16 108
Specification tests for GARCH processes 0 0 0 6 0 0 6 21
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 2 2 19 578
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 15 392
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 0 1 27 395
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 0 0 21 166
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 1 15 175
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 0 6 30
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 0 0 17 230
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 0 0 6 280
The Econometrics of Financial Duration Modeling 1 1 2 69 1 1 17 78
The Size and Uncertainty of Government Spending Multipliers in Italian Regions 0 0 8 8 0 0 29 29
Time-Varying Poisson Autoregression 0 0 1 66 0 0 18 42
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 0 0 4 11 0 0 14 17
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 0 1 85 2 4 18 199
Unit root tests under time-varying variances 0 0 0 9 0 0 9 68
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 0 0 26 81
Wild bootstrap of the mean in the infinite variance case 0 0 1 7 0 0 7 39
Total Working Papers 15 29 199 5,115 70 131 1,409 13,093
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
03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint 0 0 1 24 0 1 9 71
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 0 0 4 7 2 4 31 44
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 1 3 11 70
A Note on Testing Covariance Stationarity 0 0 0 45 0 0 6 148
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 0 0 12 75
A note on unit root testing in the presence of level shifts 0 0 0 0 2 3 9 62
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 0 21 2 4 10 57
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 0 0 11 15
An identification and testing strategy for proxy-SVARs with weak proxies 1 2 7 30 3 11 49 103
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 0 2 8 223
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 0 1 125 1 2 17 267
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 2 12 54
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 2 2 14 90
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 0 8 65
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 1 29 512
Bootstrap Inference in the Presence of Bias 0 0 9 17 0 17 53 78
Bootstrap M Unit Root Tests 0 0 0 92 0 1 16 252
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 157 0 2 20 332
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 0 2 19 1 2 23 74
Bootstrap inference for Hawkes and general point processes 0 0 1 3 0 1 15 23
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 0 0 2 24 1 1 42 96
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 65 0 0 13 214
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 1 26 0 0 18 87
Bootstrapping non-stationary stochastic volatility 0 0 1 7 0 2 10 50
Bounded integrated processes and unit root tests 0 0 0 0 0 0 8 17
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 1 1 1 60 2 3 18 176
Consumption risk sharing and adjustment costs 0 0 0 39 0 0 9 120
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 0 0 7 15
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 1 4 0 0 10 36
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 0 29 0 1 14 103
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 0 0 8 75
Factor Network Autoregressions 0 1 1 1 1 2 10 10
Firm size and the Italian Stock Exchange 0 0 0 71 1 2 11 325
Fundamentals and asset price dynamics 0 1 1 3 1 2 5 17
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 1 1 145 0 1 7 292
Inference Under Random Limit Bootstrap Measures 0 2 5 59 1 4 24 171
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 2 1 2 17 18
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 42 1 1 23 157
International dynamic risk sharing 0 0 0 116 0 0 10 359
LIMITED TIME SERIES WITH A UNIT ROOT 0 1 1 108 0 2 9 264
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 0 0 7 80
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 3 138 1 4 28 374
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 5 3 3 12 37
PARAMETERS ON THE BOUNDARY IN PREDICTIVE REGRESSION 0 0 0 0 0 0 0 0
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 1 3 24 202
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 0 48 0 0 6 144
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 0 0 9 110
Recent developments in bootstrap methods for dependent data 0 0 0 11 1 1 10 54
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 0 7 41
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 1 2 8 254
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 4 1 1 24 97
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 1 54 0 0 11 174
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 0 2 7 9
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 0 1 10 148
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 0 0 9 140
Tail behavior of ACD models and consequences for likelihood-based estimation 1 1 1 3 1 1 13 19
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 1 1 22 0 2 16 107
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 0 1 15 145
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 88 0 1 8 348
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 1 70 1 4 21 247
Testing for unit roots in bounded time series 1 2 3 177 5 8 22 596
Testing for unit roots in time series models with non-stationary volatility 0 0 1 224 0 1 14 509
Testing mean reversion in target-zone exchange rates 0 0 1 61 2 4 18 262
Testing stationarity under a permanent variance shift 0 0 2 43 0 0 8 166
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 0 3 11 176
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 1 2 8 367
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 1 9 111
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 1 2 10 43
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 1 1 84 0 2 11 199
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 0 0 9 55
Unit Root Tests under Time-Varying Variances 0 0 0 27 0 2 14 122
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 1 1 23 0 2 15 106
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 1 1 11 40
Total Journal Articles 4 18 61 3,090 43 135 1,041 10,699
1 registered items for which data could not be found
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