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 1 7 12 116
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 1 3 10 598
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 2 12 48
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 1 149 1 7 17 136
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 2 7 15 350
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 3 11 0 2 9 47
Adaptive inference in heteroskedastic fractional time series models 0 0 0 13 0 2 6 13
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 1 8 1 3 10 34
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 0 1 3 17
An identification and testing strategy for proxy-SVARs with weak proxies 0 0 2 42 1 6 29 74
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 0 1 43 0 3 9 69
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 20 2 5 23 113
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 0 4 14 244
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 0 3 48 48 3 16 103 103
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 1 6 26 318
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 6 15 200
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 2 13 104
Bootstrap Diagnostic Tests 1 4 39 39 5 13 51 51
Bootstrap Inference for Hawkes and General Point Processes 0 1 1 40 0 8 17 73
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 5 11 414
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 4 12 100
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 1 6 6
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 5 9 143
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 3 12 387
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 3 6 14 251
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 1 7 68
Bootstrap inference for Hawkes and general point processes 0 0 0 0 1 4 16 33
Bootstrap inference in the presence of bias 0 3 19 113 2 9 51 263
Bootstrapping DSGE models 0 0 0 195 0 2 6 309
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 4 18 124
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 3 7 12 31
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 0 4 8 489
Co-integration rank determination in partial systems using information criteria 0 0 0 33 0 3 9 49
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 7 14 191
Consumption risk sharing and adjustment costs 0 0 0 44 0 1 4 187
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 1 1 1 52 1 5 12 66
Determining the number of cointegrating relations under rank constraints 0 0 0 100 1 3 11 413
Determining the rank of cointegration with infinite variance 0 0 0 14 0 4 10 38
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 0 2 8 53
Factor Network Autoregressions 1 1 14 216 3 13 77 215
Improved inference for nonparametric regression and regression-discontinuity designs 4 13 30 30 8 28 72 72
Inference in heavy-tailed non-stationary multivariate time series 0 1 2 81 0 5 29 201
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 127 0 2 13 228
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 2 13 78
Inference under random limit bootstrap measures 0 0 0 20 1 3 13 30
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 0 2 23 1 5 21 38
International dynamic risk sharing 0 0 0 7 1 3 7 92
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 0 6 19 957
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 1 6 18 233
Limited time series with a unit root 0 0 0 13 0 5 15 59
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 4 22 0 2 19 85
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 2 14 471
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 2 6 15 163
Parameters on the boundary in predictive regression 0 0 0 19 1 2 8 23
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 3 12 62
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 3 1 3 8 9
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 4 15 25 468
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 0 2 19 61
Sieve-based inference for infinite-variance linear processes 0 0 3 98 0 1 10 175
Specification tests for GARCH processes 0 0 0 6 0 2 6 21
Specification tests for GARCH processes 0 0 1 41 0 2 17 108
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 1 4 17 576
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 2 3 15 392
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 2 11 26 394
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 0 2 22 166
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 2 4 14 174
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 2 7 30
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 2 7 17 230
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 1 1 7 280
The Econometrics of Financial Duration Modeling 0 0 1 68 1 3 18 77
The Size and Uncertainty of Government Spending Multipliers in Italian Regions 0 0 8 8 0 4 29 29
Time-Varying Poisson Autoregression 0 0 2 66 1 5 20 42
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 0 0 11 11 1 2 17 17
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 0 2 85 3 6 15 195
Unit root tests under time-varying variances 0 0 0 9 1 2 11 68
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 1 9 26 81
Wild bootstrap of the mean in the infinite variance case 0 0 1 7 0 1 7 39
Total Working Papers 7 27 202 5,086 72 367 1,362 12,962
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 1 24 1 2 8 70
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 1 1 7 7 2 10 37 40
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 0 10 67
A Note on Testing Covariance Stationarity 0 0 0 45 0 2 8 148
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 0 4 12 75
A note on unit root testing in the presence of level shifts 0 0 0 0 1 4 6 59
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 1 21 0 3 8 53
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 1 2 14 15
An identification and testing strategy for proxy-SVARs with weak proxies 1 1 7 28 5 15 46 92
Asymptotics for unit root tests under Markov regime-switching 0 0 0 81 1 5 6 221
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY 0 0 3 125 0 5 18 265
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 1 11 52
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 1 8 13 88
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 2 10 65
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 7 28 511
Bootstrap Inference in the Presence of Bias 0 0 12 17 0 8 43 61
Bootstrap M Unit Root Tests 0 0 0 92 0 5 19 251
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 2 156 0 4 22 330
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 0 2 19 1 5 22 72
Bootstrap inference for Hawkes and general point processes 0 0 1 3 1 6 15 22
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 1 1 2 24 5 7 43 95
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 65 0 8 16 214
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 3 26 0 1 23 87
Bootstrapping non-stationary stochastic volatility 1 1 1 7 1 2 9 48
Bounded integrated processes and unit root tests 0 0 0 0 0 3 8 17
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 0 59 0 5 16 173
Consumption risk sharing and adjustment costs 0 0 0 39 0 3 9 120
Co†integration Rank Determination in Partial Systems Using Information Criteria 0 0 0 0 0 1 7 15
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 1 1 1 4 3 4 11 36
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 1 29 1 5 14 102
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 0 1 10 75
Factor Network Autoregressions 0 0 0 0 0 4 8 8
Firm size and the Italian Stock Exchange 0 0 0 71 0 2 9 323
Fundamentals and asset price dynamics 0 0 0 2 0 1 3 15
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 0 144 0 1 6 291
Inference Under Random Limit Bootstrap Measures 1 1 6 57 2 5 26 167
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 2 0 5 15 16
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 2 42 1 6 27 156
International dynamic risk sharing 0 0 0 116 0 4 10 359
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 1 2 8 262
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 1 4 8 80
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 0 9 26 370
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 1 1 1 5 2 5 9 34
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 1 4 23 199
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 0 1 48 1 3 7 144
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 0 1 10 110
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 1 7 41
Recent developments in bootstrap methods for dependent data 0 0 1 11 1 3 10 53
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 0 1 6 252
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 1 4 0 0 24 96
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 1 54 1 6 12 174
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 0 1 5 7
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 0 2 10 147
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 0 1 10 140
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 0 2 2 5 12 18
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 1 2 16 105
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 1 6 15 144
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 88 1 1 11 347
Testing for co-integration in vector autoregressions with non-stationary volatility 1 1 2 70 1 5 21 243
Testing for unit roots in bounded time series 0 0 1 175 0 3 16 588
Testing for unit roots in time series models with non-stationary volatility 0 0 1 224 0 1 13 508
Testing mean reversion in target-zone exchange rates 0 0 1 61 0 3 14 258
Testing stationarity under a permanent variance shift 1 1 2 43 3 6 10 166
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 0 3 10 173
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 0 2 7 365
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 0 8 110
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 0 1 9 41
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 0 1 83 2 4 10 197
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 1 4 9 55
Unit Root Tests under Time-Varying Variances 0 0 0 27 3 3 12 120
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 0 22 1 5 16 104
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 1 2 11 39
Total Journal Articles 9 9 68 3,072 52 265 1,021 10,564
1 registered items for which data could not be found
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Statistics updated 2026-06-04