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


Statistics updated 2018-06-06