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 1 3 103 0 2 5 101
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 1 2 2 588
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 0 1 36
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 2 6 11 145 3 7 15 115
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 1 188 1 1 2 334
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 1 8 0 1 3 38
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 0 0 0 14
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 3 7 0 1 8 24
An identification and testing strategy for proxy-SVARs with weak proxies 0 0 5 38 1 4 15 41
Asymptotics for the Generalized Autoregressive Conditional Duration Model 2 8 18 40 3 15 32 56
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 1 3 19 1 4 14 89
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 1 1 1 98 2 2 4 228
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 0 0 0 292
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 1 1 185
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 0 1 91
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 1 2 3 56
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 0 403
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 0 0 0 88
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 1 134
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 1 1 4 375
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 1 2 4 236
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 2 2 61
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 1 3 17
Bootstrap inference in the presence of bias 1 2 28 88 1 11 75 198
Bootstrapping DSGE models 0 0 1 194 0 2 7 301
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 1 18
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 0 0 105
Co-integration Rank Testing under Conditional Heteroskedasticity 1 1 1 238 1 1 1 481
Co-integration rank determination in partial systems using information criteria 0 0 0 33 0 0 1 40
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 0 0 177
Consumption risk sharing and adjustment costs 0 0 0 44 0 0 0 182
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 1 51 0 0 5 53
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 0 1 402
Determining the rank of cointegration with infinite variance 0 0 0 14 0 0 2 28
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 0 0 0 45
Factor Network Autoregressions 6 16 37 194 8 24 63 123
Inference in heavy-tailed non-stationary multivariate time series 0 0 7 78 1 2 24 170
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 0 0 1 214
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 1 65
Inference under random limit bootstrap measures 0 0 0 19 0 0 1 15
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 1 1 21 0 2 3 16
International dynamic risk sharing 0 0 0 7 0 1 1 84
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 2 4 5 937
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 1 1 3 215
Limited time series with a unit root 0 0 0 13 1 2 3 44
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 3 17 1 7 14 58
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 456
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 79 0 0 1 148
Parameters on the boundary in predictive regression 0 1 18 18 0 5 13 13
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 0 2 50
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 2 224 0 1 5 443
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 0 0 1 42
Sieve-based inference for infinite-variance linear processes 0 0 0 95 0 0 1 165
Specification tests for GARCH processes 0 0 1 6 0 1 2 15
Specification tests for GARCH processes 0 0 2 40 0 1 8 90
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 0 0 559
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 1 377
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 0 0 2 368
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 1 3 6 144
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 2 2 2 159
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 0 1 23
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 0 0 4 213
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 0 0 0 273
The Econometrics of Financial Duration Modeling 0 2 4 67 2 8 14 56
Time-Varying Poisson Autoregression 2 2 3 64 2 2 6 20
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 0 0 83 1 1 3 180
Unit root tests under time-varying variances 0 0 1 9 0 0 3 57
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 0 0 0 55
Wild bootstrap of the mean in the infinite variance case 0 0 0 6 1 1 2 32
Total Working Papers 15 42 157 4,842 41 130 411 11,511
6 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 0 23 0 0 0 62
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 0 0 57
A Note on Testing Covariance Stationarity 0 0 1 45 0 0 1 140
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 0 0 0 63
A note on unit root testing in the presence of level shifts 0 0 0 0 1 1 1 53
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 2 8 19 0 3 11 44
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 0 0 0 1
An identification and testing strategy for proxy-SVARs with weak proxies 0 5 17 17 1 9 39 40
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 2 2 3 214
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 1 3 122 0 1 4 247
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 0 0 41
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 0 0 1 74
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 0 0 54
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 2 131 1 2 8 482
Bootstrap Inference in the Presence of Bias 0 1 1 1 3 5 5 5
Bootstrap M Unit Root Tests 0 0 0 92 0 0 1 232
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 154 1 2 5 308
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 1 1 4 16 2 3 14 49
Bootstrap inference for Hawkes and general point processes 0 0 0 2 1 2 3 7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 0 0 3 20 0 0 10 47
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 64 1 1 5 197
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 2 21 1 2 12 60
Bootstrapping non-stationary stochastic volatility 0 0 1 6 0 0 6 37
Bounded integrated processes and unit root tests 0 0 0 0 0 1 2 9
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 1 1 2 58 2 3 5 155
Consumption risk sharing and adjustment costs 0 1 1 39 0 1 1 111
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 0 0 0 8
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 2 3 0 0 3 25
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 1 3 28 0 1 5 88
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 0 0 1 65
Firm size and the Italian Stock Exchange 0 0 0 71 1 1 1 314
Fundamentals and asset price dynamics 0 0 0 2 0 0 0 11
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 1 2 144 2 3 5 278
Inference Under Random Limit Bootstrap Measures 0 0 4 50 1 3 14 134
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 1 1 1 1 1 1 1 1
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 40 0 0 2 127
International dynamic risk sharing 0 0 0 116 0 1 4 349
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 0 0 0 251
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 1 1 2 71
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 5 134 2 7 14 342
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 1 1 2 4 2 3 6 25
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 3 49 0 1 7 175
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 0 47 0 0 0 137
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 1 1 1 100
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 0 1 34
Recent developments in bootstrap methods for dependent data 0 0 0 10 1 2 2 43
Regional consumption dynamics and risk sharing in Italy 0 0 2 39 1 1 3 246
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 1 1 1 72
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 0 52 1 1 1 161
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 1 1 1 2
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 1 1 2 137
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 0 0 1 130
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 1 1 0 0 5 5
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 0 1 4 89
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 0 1 1 128
Testing for a change in persistence in the presence of non-stationary volatility 0 0 2 88 0 0 2 336
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 67 0 2 4 220
Testing for unit roots in bounded time series 2 2 4 174 2 2 12 571
Testing for unit roots in time series models with non-stationary volatility 0 0 2 222 1 3 7 493
Testing mean reversion in target-zone exchange rates 0 0 0 60 1 2 2 243
Testing stationarity under a permanent variance shift 0 0 0 41 0 0 3 156
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 0 0 0 163
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 1 1 1 358
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 0 0 102
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 1 1 2 9 2 2 4 32
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 1 1 82 1 2 2 187
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 0 0 3 46
Unit Root Tests under Time-Varying Variances 0 0 0 27 0 0 0 107
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 1 1 1 22 2 3 3 87
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 0 0 2 28
Total Journal Articles 8 24 88 2,983 43 87 270 9,466
1 registered items for which data could not be found
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Statistics updated 2025-03-03