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 2 105 3 3 10 112
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 0 3 7 595
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 5 10 46
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 3 149 3 8 16 132
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 1 7 10 344
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 1 3 11 0 4 7 45
Adaptive inference in heteroskedastic fractional time series models 0 0 0 13 0 4 4 11
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 0 0 2 16
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 1 8 1 4 8 32
An identification and testing strategy for proxy-SVARs with weak proxies 0 0 4 42 1 5 28 69
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 0 2 43 2 2 11 68
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 20 0 11 19 108
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 2 8 13 242
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 3 37 48 48 6 75 93 93
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 2 18 22 314
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 1 7 10 195
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 5 11 102
Bootstrap Diagnostic Tests 0 7 35 35 0 12 38 38
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 2 8 11 67
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 1 5 7 410
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 8 9 97
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 0 5 5 5
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 4 138
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 5 9 384
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 0 4 9 245
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 2 6 67
Bootstrap inference for Hawkes and general point processes 0 0 0 0 2 10 14 31
Bootstrap inference in the presence of bias 2 10 22 112 2 18 51 256
Bootstrapping DSGE models 0 0 1 195 0 2 6 307
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 1 3 7 25
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 11 15 120
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 1 3 5 486
Co-integration rank determination in partial systems using information criteria 0 0 0 33 1 4 7 47
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 3 6 10 187
Consumption risk sharing and adjustment costs 0 0 0 44 0 3 3 186
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 1 5 9 62
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 4 8 410
Determining the rank of cointegration with infinite variance 0 0 0 14 2 3 8 36
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 0 3 6 51
Factor Network Autoregressions 0 1 18 215 5 21 76 207
Improved inference for nonparametric regression and regression-discontinuity designs 4 17 21 21 8 39 52 52
Inference in heavy-tailed non-stationary multivariate time series 0 0 2 80 1 4 27 197
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 1 11 12 77
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 1 1 127 0 6 12 226
Inference under random limit bootstrap measures 0 0 1 20 1 5 12 28
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 1 2 23 1 8 17 34
International dynamic risk sharing 0 0 0 7 0 2 5 89
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 1 10 15 952
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 2 11 14 229
Limited time series with a unit root 0 0 0 13 1 8 11 55
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 4 22 1 3 24 84
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 3 12 469
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 2 5 11 159
Parameters on the boundary in predictive regression 0 0 0 19 0 3 6 21
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 4 9 59
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 3 0 5 5 6
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 1 6 11 454
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 0 14 17 59
Sieve-based inference for infinite-variance linear processes 0 0 3 98 0 1 9 174
Specification tests for GARCH processes 0 0 0 6 0 2 4 19
Specification tests for GARCH processes 0 0 1 41 2 10 18 108
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 6 12 389
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 4 13 572
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 3 12 18 386
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 0 11 20 164
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 1 7 12 171
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 4 5 28
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 0 7 10 223
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 0 4 6 279
The Econometrics of Financial Duration Modeling 0 0 1 68 1 7 19 75
The Size and Uncertainty of Government Spending Multipliers in Italian Regions 0 1 8 8 2 12 27 27
Time-Varying Poisson Autoregression 0 1 2 66 1 5 18 38
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 0 0 11 11 0 8 15 15
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 1 2 85 0 5 9 189
Unit root tests under time-varying variances 0 0 0 9 0 6 9 66
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 5 20 22 77
Wild bootstrap of the mean in the infinite variance case 0 1 1 7 0 5 6 38
Total Working Papers 9 79 201 5,068 79 597 1,128 12,674
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 1 1 24 0 3 6 68
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 0 2 6 6 2 11 32 32
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 5 10 67
A Note on Testing Covariance Stationarity 0 0 0 45 0 0 6 146
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 0 2 8 71
A note on unit root testing in the presence of level shifts 0 0 0 0 0 0 2 55
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 2 21 0 2 6 50
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 0 8 12 13
An identification and testing strategy for proxy-SVARs with weak proxies 0 1 9 27 6 14 41 83
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 1 1 3 217
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 1 3 125 0 6 13 260
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 8 10 51
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 1 5 7 81
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 1 6 9 64
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 3 17 25 507
Bootstrap Inference in the Presence of Bias 0 2 13 17 2 9 43 55
Bootstrap M Unit Root Tests 0 0 0 92 2 7 16 248
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 2 156 3 9 21 329
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 1 3 19 1 8 19 68
Bootstrap inference for Hawkes and general point processes 0 1 1 3 0 6 9 16
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 0 0 3 23 1 24 40 89
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 65 3 6 12 209
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 4 26 0 11 24 86
Bootstrapping non-stationary stochastic volatility 0 0 0 6 0 3 7 46
Bounded integrated processes and unit root tests 0 0 0 0 1 2 6 15
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 1 59 1 7 14 169
Consumption risk sharing and adjustment costs 0 0 0 39 1 7 7 118
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 0 4 6 14
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 1 5 8 33
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 1 29 3 9 12 100
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 0 3 9 74
Factor Network Autoregressions 0 0 0 0 1 5 5 5
Firm size and the Italian Stock Exchange 0 0 0 71 0 4 7 321
Fundamentals and asset price dynamics 0 0 0 2 0 2 3 14
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 0 144 0 3 12 290
Inference Under Random Limit Bootstrap Measures 0 1 6 56 1 7 29 163
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 1 1 2 1 7 11 12
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 1 2 42 0 5 23 150
International dynamic risk sharing 0 0 0 116 2 5 8 357
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 1 3 7 261
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 0 2 5 76
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 2 9 20 363
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 4 0 2 4 29
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 0 13 20 195
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 1 48 0 2 4 141
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 0 4 9 109
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 2 6 40
Recent developments in bootstrap methods for dependent data 0 0 1 11 0 3 7 50
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 1 4 6 252
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 1 4 0 20 24 96
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 2 54 2 2 9 170
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 0 3 4 6
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 1 4 9 146
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 0 5 9 139
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 0 2 1 5 8 14
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 1 9 15 104
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 0 7 10 138
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 88 0 5 10 346
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 2 13 20 240
Testing for unit roots in bounded time series 0 1 1 175 3 8 16 588
Testing for unit roots in time series models with non-stationary volatility 0 0 2 224 1 7 15 508
Testing mean reversion in target-zone exchange rates 0 0 1 61 1 3 13 256
Testing stationarity under a permanent variance shift 0 0 1 42 0 0 4 160
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 0 2 7 170
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 0 3 5 363
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 2 8 110
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 1 6 9 41
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 0 1 83 1 4 7 194
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 0 2 5 51
Unit Root Tests under Time-Varying Variances 0 0 0 27 0 2 9 117
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 0 22 1 5 12 100
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 0 6 9 37
Total Journal Articles 0 13 74 3,063 57 413 866 10,356
1 registered items for which data could not be found
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Statistics updated 2026-04-09