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 1 1 3 105 2 3 10 109
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 0 0 3 589
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 1 3 4 40
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 10 149 0 1 14 122
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 0 0 3 336
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 2 10 0 0 4 41
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 0 2 2 16
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 1 1 8 0 1 4 27
An identification and testing strategy for proxy-SVARs with weak proxies 1 1 4 42 2 6 17 54
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 0 11 43 2 3 24 65
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 1 1 2 20 2 4 10 95
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 1 2 99 1 4 8 234
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 3 7 11 11 4 12 15 15
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 2 2 2 294
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 1 1 2 186
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 4 5 96
Bootstrap Diagnostic Tests 4 27 27 27 6 18 18 18
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 0 0 4 58
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 1 1 404
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 1 89
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 1 4 378
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 2 4 138
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 0 3 6 240
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 1 3 62
Bootstrap inference for Hawkes and general point processes 0 0 0 0 2 2 3 19
Bootstrap inference in the presence of bias 2 6 16 102 5 12 43 230
Bootstrapping DSGE models 0 0 1 195 0 0 4 303
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 3 21
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 1 3 108
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 238 2 2 3 483
Co-integration rank determination in partial systems using information criteria 0 0 0 33 1 2 2 42
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 2 2 179
Consumption risk sharing and adjustment costs 0 0 0 44 0 0 1 183
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 0 1 2 55
Determining the number of cointegrating relations under rank constraints 0 0 0 100 1 3 3 405
Determining the rank of cointegration with infinite variance 0 0 0 14 0 2 3 31
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 2 2 3 48
Factor Network Autoregressions 1 6 34 212 7 22 70 169
Inference in heavy-tailed non-stationary multivariate time series 0 1 2 80 4 12 21 189
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 2 2 3 217
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 0 65
Inference under random limit bootstrap measures 0 0 1 20 3 4 6 21
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 0 2 22 0 2 8 22
International dynamic risk sharing 0 0 0 7 0 0 3 86
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 0 1 6 939
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 1 2 4 218
Limited time series with a unit root 0 0 0 13 1 1 3 45
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 5 22 0 3 24 75
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 7 8 464
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 4 5 153
Parameters on the boundary in predictive regression 0 0 2 19 2 2 9 17
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 0 1 51
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 3 3 4 446
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 0 1 3 45
Sieve-based inference for infinite-variance linear processes 2 2 3 98 3 5 6 171
Specification tests for GARCH processes 0 0 1 41 4 5 8 97
Specification tests for GARCH processes 0 0 0 6 0 0 1 15
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 2 5 5 382
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 7 8 8 567
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 3 3 3 371
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 1 1 5 146
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 3 3 6 163
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 0 1 24
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 0 2 2 215
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 0 0 1 274
The Econometrics of Financial Duration Modeling 0 0 2 67 2 4 17 65
Time-Varying Poisson Autoregression 0 0 3 65 2 6 12 30
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 0 4 11 11 2 3 6 6
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 0 1 84 0 0 2 181
Unit root tests under time-varying variances 0 0 0 9 0 0 2 59
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 1 1 1 56
Wild bootstrap of the mean in the infinite variance case 0 0 0 6 0 1 2 33
Total Working Papers 15 58 158 4,958 95 214 509 11,890
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 2 2 2 64
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 0 1 4 4 2 7 20 20
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 1 1 3 60
A Note on Testing Covariance Stationarity 0 0 0 45 0 0 2 142
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 2 3 3 66
A note on unit root testing in the presence of level shifts 0 0 0 0 0 2 3 55
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 4 21 0 0 6 47
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 0 0 3 4
An identification and testing strategy for proxy-SVARs with weak proxies 0 3 14 26 3 10 33 64
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 0 0 3 215
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 0 3 124 3 3 7 253
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 0 1 42
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 0 0 2 76
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 1 4 58
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 4 7 10 490
Bootstrap Inference in the Presence of Bias 3 6 14 14 6 19 44 44
Bootstrap M Unit Root Tests 0 0 0 92 1 2 6 238
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 1 1 3 156 2 6 12 318
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 1 3 18 2 4 9 55
Bootstrap inference for Hawkes and general point processes 0 0 0 2 1 2 5 10
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 1 1 3 23 6 8 15 62
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 0 1 6 202
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 1 1 5 26 1 4 15 73
Bootstrapping non-stationary stochastic volatility 0 0 0 6 2 3 6 43
Bounded integrated processes and unit root tests 0 0 0 0 1 2 3 11
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 2 59 3 4 10 162
Consumption risk sharing and adjustment costs 0 0 1 39 0 0 1 111
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 1 1 1 9
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 2 2 3 28
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 2 29 0 0 2 89
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 3 3 5 70
Firm size and the Italian Stock Exchange 0 0 0 71 1 3 4 317
Fundamentals and asset price dynamics 0 0 0 2 0 0 1 12
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 1 144 1 1 11 286
Inference Under Random Limit Bootstrap Measures 1 1 5 55 3 5 21 152
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 1 0 1 2 2
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 41 3 7 14 141
International dynamic risk sharing 0 0 0 116 1 2 3 351
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 1 1 5 256
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 0 0 3 73
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 4 136 1 7 18 353
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 4 0 1 4 26
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 1 1 5 179
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 1 48 0 0 1 138
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 1 1 3 102
Recent developments in bootstrap methods for dependent data 0 0 1 11 1 1 4 45
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 1 1 35
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 1 2 3 248
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 1 4 2 3 5 76
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 1 53 1 2 5 165
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 1 1 2 3
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 2 3 5 141
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 2 2 3 133
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 1 2 0 0 1 6
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 2 4 7 95
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 0 1 4 131
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 88 0 1 5 341
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 0 1 9 227
Testing for unit roots in bounded time series 0 0 2 174 3 5 10 579
Testing for unit roots in time series models with non-stationary volatility 0 1 2 224 1 4 9 499
Testing mean reversion in target-zone exchange rates 0 0 0 60 1 5 8 249
Testing stationarity under a permanent variance shift 1 1 1 42 1 2 4 160
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 1 2 4 167
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 0 1 3 360
Tests for cointegration rank and choice of the alternative 0 0 0 38 1 3 3 105
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 1 9 0 2 5 35
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 0 2 83 1 2 5 190
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 1 2 2 48
Unit Root Tests under Time-Varying Variances 0 0 0 27 1 4 5 112
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 1 22 0 1 8 92
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 1 1 2 30
Total Journal Articles 8 18 88 3,047 85 183 462 9,841
1 registered items for which data could not be found
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Statistics updated 2025-12-06