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 2 104 1 2 7 106
A Rescaled Range Statistics Approach to Unit Root Tests 0 0 0 166 0 1 3 589
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 1 2 37
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 1 11 149 0 2 14 121
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 1 1 3 336
Adaptive Inference in Heteroskedastic Fractional Time Series Models 1 2 2 10 2 3 4 41
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 35 0 0 0 14
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 7 0 2 5 26
An identification and testing strategy for proxy-SVARs with weak proxies 0 1 4 41 2 3 14 48
Asymptotics for the Generalized Autoregressive Conditional Duration Model 0 1 11 43 1 2 26 62
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 19 1 1 7 91
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 98 0 0 5 230
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations 0 4 4 4 1 3 3 3
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 78 0 0 0 292
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 0 1 185
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 1 1 1 92
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 0 2 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 0 0 0 403
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 1 1 89
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 2 2 5 377
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 2 2 136
Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion 0 0 0 77 0 0 5 237
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 0 2 61
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 0 2 17
Bootstrap inference in the presence of bias 0 2 16 96 2 6 50 218
Bootstrapping DSGE models 0 0 1 195 0 0 6 303
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 1 1 2 107
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 2 2 3 21
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 238 0 0 1 481
Co-integration rank determination in partial systems using information criteria 0 0 0 33 0 0 1 40
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 0 0 177
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 0 2 54
Determining the number of cointegrating relations under rank constraints 0 0 0 100 0 0 1 402
Determining the rank of cointegration with infinite variance 0 0 0 14 1 1 2 29
Exploiting infinite variance through Dummy Variables in non-stationary autoregressions 0 0 0 5 0 1 1 46
Factor Network Autoregressions 1 4 32 206 2 9 57 147
Inference in heavy-tailed non-stationary multivariate time series 0 0 1 79 1 5 11 177
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 0 0 1 215
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 0 0 3 17
Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry 0 1 2 22 1 3 6 20
International dynamic risk sharing 0 0 0 7 0 1 3 86
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 0 0 5 938
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 0 1 2 216
Limited time series with a unit root 0 0 0 13 0 0 3 44
MinP Score Tests with an Inequality Constrained Parameter Space 0 4 6 22 1 6 26 72
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 457
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 1 1 149
Parameters on the boundary in predictive regression 0 0 19 19 0 0 15 15
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 1 1 51
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 0 0 2 443
Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 0 0 3 1 2 2 44
Sieve-based inference for infinite-variance linear processes 0 1 1 96 0 1 1 166
Specification tests for GARCH processes 0 1 1 41 0 1 4 92
Specification tests for GARCH processes 0 0 1 6 0 0 2 15
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 1 377
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 0 0 559
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 0 0 0 174 0 0 1 368
Testing for a change in persistence in the presence of non-stationary volatility 0 0 0 40 1 1 6 145
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 0 3 160
Testing for unit roots in autoregressions with multiple level shifts 0 0 0 6 0 1 2 24
Testing for unit roots in the presence of a possible break in trend and non-stationary volatility 0 0 0 56 0 0 4 213
Testing the Null of Co-integration in the Presence of Variance Breaks 0 0 0 3 1 1 1 274
The Econometrics of Financial Duration Modeling 0 0 3 67 1 2 14 61
Time-Varying Poisson Autoregression 0 1 3 65 1 2 6 24
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems 7 7 7 7 3 3 3 3
Unit root inference for non-stationary linear processes driven by infinite variance innovations 0 1 1 84 0 1 3 181
Unit root tests under time-varying variances 0 0 0 9 0 2 4 59
Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility 0 0 0 48 0 0 0 55
Wild bootstrap of the mean in the infinite variance case 0 0 0 6 0 0 2 32
Total Working Papers 10 32 132 4,900 32 84 383 11,676
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 0 0 0 62
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” 0 3 3 3 3 10 13 13
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 1 2 2 59
A Note on Testing Covariance Stationarity 0 0 0 45 1 2 2 142
A new approach to stock price modelling and the efficiency of the Italian stock exchange 0 0 0 26 0 0 0 63
A note on unit root testing in the presence of level shifts 0 0 0 0 0 0 1 53
Adaptive Inference in Heteroscedastic Fractional Time Series Models 1 1 7 21 1 2 10 47
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 1 3 3 3 4
An identification and testing strategy for proxy-SVARs with weak proxies 0 2 15 23 2 8 31 54
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 1 2 3 124 2 3 4 250
Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates 0 0 0 5 0 1 1 42
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion 0 0 0 12 0 1 2 76
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 2 3 57
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 0 4 483
Bootstrap Inference in the Presence of Bias 0 3 8 8 2 7 25 25
Bootstrap M Unit Root Tests 0 0 0 92 1 4 4 236
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 155 1 4 7 312
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models 0 0 2 17 0 1 10 51
Bootstrap inference for Hawkes and general point processes 0 0 0 2 0 1 3 8
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models 0 0 3 22 0 2 8 54
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 3 5 201
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 2 4 25 1 5 12 69
Bootstrapping non-stationary stochastic volatility 0 0 0 6 1 1 5 40
Bounded integrated processes and unit root tests 0 0 0 0 0 0 1 9
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 3 59 0 1 8 158
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 0 0 0 8
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 0 1 1 26
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 1 2 29 0 1 3 89
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS 0 0 0 20 0 2 2 67
Firm size and the Italian Stock Exchange 0 0 0 71 0 0 1 314
Fundamentals and asset price dynamics 0 0 0 2 0 0 1 12
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 0 0 1 144 0 0 10 285
Inference Under Random Limit Bootstrap Measures 0 3 4 54 1 6 18 147
Inference in Heavy-Tailed Nonstationary Multivariate Time Series 0 0 1 1 0 0 1 1
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 1 1 41 3 5 8 134
International dynamic risk sharing 0 0 0 116 0 0 1 349
LIMITED TIME SERIES WITH A UNIT ROOT 0 0 0 107 0 1 4 255
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 1 1 3 73
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 5 135 0 2 16 346
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 4 0 0 3 25
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 0 2 4 178
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS 0 1 1 48 0 1 1 138
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS 0 0 0 25 0 1 2 101
Recent developments in bootstrap methods for dependent data 0 1 1 11 0 1 3 44
Recent developments in bootstrap methods for dependent data 0 0 0 7 0 0 1 34
Regional consumption dynamics and risk sharing in Italy 0 0 0 39 0 0 1 246
Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia 0 1 1 4 0 1 2 73
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS 0 0 1 53 0 1 3 163
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary 0 0 0 0 0 0 1 2
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS 0 0 0 31 0 1 2 138
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY 0 0 0 43 1 1 2 131
Tail behavior of ACD models and consequences for likelihood-based estimation 0 0 2 2 0 0 5 6
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics 0 0 0 21 0 2 3 91
Testing for a Change in Persistence in the Presence of a Volatility Shift* 0 0 0 32 0 1 3 130
Testing for a change in persistence in the presence of non-stationary volatility 0 0 1 88 2 4 5 340
Testing for co-integration in vector autoregressions with non-stationary volatility 0 1 2 69 0 4 8 226
Testing for unit roots in bounded time series 0 0 4 174 1 2 9 574
Testing for unit roots in time series models with non-stationary volatility 0 0 1 223 0 0 6 495
Testing mean reversion in target-zone exchange rates 0 0 0 60 0 0 3 244
Testing stationarity under a permanent variance shift 0 0 0 41 0 2 3 158
Testing the Null of Co‐integration in the Presence of Variance Breaks 0 0 0 70 2 2 2 165
Testing the unit root hypothesis using generalized range statistics 0 0 0 2 1 1 2 359
Tests for cointegration rank and choice of the alternative 0 0 0 38 0 0 0 102
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 1 9 0 1 3 33
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 0 1 2 83 0 1 3 188
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 0 0 0 9 0 0 1 46
Unit Root Tests under Time-Varying Variances 0 0 0 27 0 0 1 108
Wild Bootstrap of the Sample Mean in the Infinite Variance Case 0 0 1 22 1 3 7 91
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility 0 0 0 9 0 1 2 29
Total Journal Articles 2 25 85 3,029 32 115 328 9,658
1 registered items for which data could not be found
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