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 2 105 0 2 8 109
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 3 6 8 595
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 2 4 7 43
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 6 149 4 6 16 128
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 5 6 9 342
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 2 10 3 3 6 44
Adaptive inference in heteroskedastic fractional time series models 0 0 0 13 4 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 3 4 7 31
An identification and testing strategy for proxy-SVARs with weak proxies 0 1 4 42 3 15 27 67
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 0 5 43 0 3 13 66
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 1 1 20 9 13 18 106
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 2 99 6 7 14 240
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 1 4 12 12 2 9 20 20
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 8 12 12 304
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 3 6 6 191
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 3 6 9 100
Bootstrap Diagnostic Tests 4 9 32 32 8 22 34 34
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 4 5 8 63
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 3 5 5 408
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 4 4 4 4
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 5 5 6 94
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 2 3 7 381
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 1 4 138
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 4 5 10 245
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 5 6 66
Bootstrap inference for Hawkes and general point processes 0 0 0 0 8 12 12 29
Bootstrap inference in the presence of bias 7 9 22 109 14 27 55 252
Bootstrapping DSGE models 0 0 1 195 2 4 6 307
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 2 3 6 24
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 11 12 15 120
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 238 1 3 4 484
Co-integration rank determination in partial systems using information criteria 0 0 0 33 3 5 6 46
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 2 4 6 183
Consumption risk sharing and adjustment costs 0 0 0 44 3 3 4 186
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 3 5 7 60
Determining the number of cointegrating relations under rank constraints 0 0 0 100 4 6 8 410
Determining the rank of cointegration with infinite variance 0 0 0 14 0 2 5 33
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 3 5 6 51
Factor Network Autoregressions 1 4 27 215 10 34 81 196
Improved Inference for Nonparametric Regression 8 12 12 12 15 28 28 28
Inference in heavy-tailed non-stationary multivariate time series 0 0 2 80 1 9 25 194
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 7 8 8 73
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 3 8 9 223
Inference under random limit bootstrap measures 0 0 1 20 1 6 9 24
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 1 1 2 23 6 10 16 32
International dynamic risk sharing 0 0 0 7 1 2 4 88
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 6 9 13 948
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 7 8 11 225
Limited time series with a unit root 0 0 0 13 7 10 11 54
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 5 22 2 8 26 83
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 5 12 468
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 1 2 7 155
Parameters on the boundary in predictive regression 0 0 1 19 2 5 7 20
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 3 5 5 5 6
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 2 6 7 57
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 3 8 8 451
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 13 13 16 58
Sieve-based inference for infinite-variance linear processes 0 2 3 98 0 5 8 173
Specification tests for GARCH processes 0 0 0 6 1 3 3 18
Specification tests for GARCH processes 0 0 1 41 4 9 12 102
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 6 9 12 389
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 4 12 13 572
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 9 15 15 383
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 7 15 17 160
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 4 8 11 168
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 3 3 4 27
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 7 8 10 223
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 2 3 4 277
The Econometrics of Financial Duration Modeling 0 1 1 68 4 9 18 72
The Size and Uncertainty of Government Spending Multipliers in Italian Regions 1 8 8 8 9 24 24 24
Time-Varying Poisson Autoregression 1 1 4 66 3 8 18 36
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 0 0 11 11 5 8 12 12
Unit root inference for non-stationary linear processes driven by infinite variance innovations 1 1 2 85 2 5 7 186
Unit root tests under time-varying variances 0 0 0 9 4 5 7 64
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 5 7 7 62
Wild bootstrap of the mean in the infinite variance case 1 1 1 7 4 4 6 37
Total Working Papers 26 56 172 5,015 322 596 921 12,399
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 0 23 2 5 5 67
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 2 2 6 6 9 12 30 30
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 3 6 8 65
A Note on Testing Covariance Stationarity 0 0 0 45 0 4 6 146
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 2 7 8 71
A note on unit root testing in the presence of level shifts 0 0 0 0 0 0 3 55
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 2 21 2 3 6 50
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 6 7 10 11
An identification and testing strategy for proxy-SVARs with weak proxies 1 1 10 27 4 12 34 73
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 0 1 4 216
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 0 2 124 2 6 9 256
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 7 8 9 50
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 4 4 6 80
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 2 2 6 60
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 14 18 23 504
Bootstrap Inference in the Presence of Bias 1 5 15 16 2 10 46 48
Bootstrap M Unit Root Tests 0 0 0 92 5 9 14 246
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 156 3 7 16 323
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 0 3 18 2 9 15 62
Bootstrap inference for Hawkes and general point processes 1 1 1 3 6 7 10 16
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 0 1 3 23 20 29 38 85
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 1 2 8 204
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 1 5 26 10 13 26 85
Bootstrapping non-stationary stochastic volatility 0 0 0 6 2 4 8 45
Bounded integrated processes and unit root tests 0 0 0 0 1 4 5 14
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 2 59 5 8 14 167
Consumption risk sharing and adjustment costs 0 0 0 39 6 6 6 117
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 3 5 5 13
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 3 5 6 31
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 1 29 5 7 8 96
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 2 6 8 73
Factor Network Autoregressions 0 0 0 0 3 3 3 3
Firm size and the Italian Stock Exchange 0 0 0 71 4 5 8 321
Fundamentals and asset price dynamics 0 0 0 2 2 2 3 14
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 0 144 2 4 13 289
Inference Under Random Limit Bootstrap Measures 0 1 5 55 4 11 27 160
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 1 4 7 9 9
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 41 3 10 21 148
International dynamic risk sharing 0 0 0 116 3 5 6 355
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 2 5 9 260
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 2 3 6 76
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 7 9 21 361
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 4 2 3 6 29
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 10 14 17 192
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 1 48 1 2 3 140
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 4 8 10 109
Recent developments in bootstrap methods for dependent data 0 0 1 11 3 6 8 50
Recent developments in bootstrap methods for dependent data 0 0 0 7 1 4 5 39
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 2 3 5 250
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 1 4 20 22 25 96
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 1 2 54 0 4 8 168
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 2 3 4 5
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 3 6 9 145
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 5 8 9 139
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 1 2 3 6 7 12
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 6 8 12 101
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 5 5 8 136
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 88 3 3 8 344
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 8 8 15 235
Testing for unit roots in bounded time series 0 0 2 174 3 7 14 583
Testing for unit roots in time series models with non-stationary volatility 0 0 2 224 5 8 14 506
Testing mean reversion in target-zone exchange rates 0 1 1 61 1 6 12 254
Testing stationarity under a permanent variance shift 0 1 1 42 0 1 4 160
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 2 4 7 170
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 3 3 6 363
Tests for cointegration rank and choice of the alternative 0 0 0 38 2 6 8 110
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 1 9 5 5 10 40
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 0 1 83 2 3 6 192
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 2 4 5 51
Unit Root Tests under Time-Varying Variances 0 0 0 27 2 6 10 117
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 1 22 3 6 13 98
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 5 7 8 36
Total Journal Articles 5 16 80 3,055 282 469 802 10,225
1 registered items for which data could not be found
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Statistics updated 2026-02-12