Giuseppe Cavaliere : Citation Profile


Are you Giuseppe Cavaliere?

Alma Mater Studiorum - Università di Bologna

14

H index

14

i10 index

481

Citations

RESEARCH PRODUCTION:

53

Articles

44

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 25
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 41 (7.85 %)

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   Permalink: http://citec.repec.org/pca195
   Updated: 2018-06-23    RAS profile: 2018-02-19    
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Relations with other researchers


Works with:

Taylor, Robert (23)

Nielsen, Morten (7)

De Angelis, Luca (4)

Boswijk, H. Peter (3)

Trenkler, Carsten (3)

Fanelli, Luca (2)

Kristensen, Dennis (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giuseppe Cavaliere.

Is cited by:

Demetrescu, Matei (28)

Taylor, Robert (24)

Smeekes, Stephan (22)

Phillips, Peter (21)

Kruse, Robinson (17)

Czudaj, Robert (15)

Johansen, Soren (11)

Xu, Ke-Li (10)

Skrobotov, Anton (9)

Perron, Pierre (8)

Cheng, Xu (7)

Cites to:

Taylor, Robert (78)

Hansen, Bruce (38)

Phillips, Peter (29)

Rahbek, Anders (26)

Perron, Pierre (26)

Andrews, Donald (16)

Kilian, Lutz (15)

Stock, James (14)

Johansen, Soren (13)

MacKinnon, James (13)

van Dijk, Dick (12)

Main data


Where Giuseppe Cavaliere has published?


Journals with more than one article published# docs
Econometric Theory12
Econometric Reviews7
Journal of Econometrics7
Journal of Time Series Analysis6
Statistical Methods & Applications4
Oxford Bulletin of Economics and Statistics3
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Quaderni di Dipartimento / Department of Statistics, University of Bologna14
Discussion Papers / University of Copenhagen. Department of Economics4
Working Papers / Queen's University, Department of Economics3

Recent works citing Giuseppe Cavaliere (2018 and 2017)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017“Unbiased estimation of autoregressive models forbounded stochastic processes. (2017). Gadea, María ; Carrion-i-Silvestre, Josep ; Montaes, Antonio. In: AQR Working Papers. RePEc:aqr:wpaper:201710.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2018A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (2018). Patterson, Douglas ; Roberts, Denisa ; Hinich, Melvin. In: Papers. RePEc:arx:papers:1801.06727.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2017REGIONAL AND SECTORAL EVIDENCE OF THE MACROECONOMIC EFFECTS OF LABOR REALLOCATION: A PANEL DATA ANALYSIS. (2017). Pelloni, Gianluigi ; Panagiotidis, Theodore ; Bakas, Dimitrios. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:501-526.

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2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Pouliot, William ; Horvath, Lajos ; Wang, Shixuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

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2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

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2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

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2017Money-Multiplier Shocks. (2017). Ireland, Peter ; Benati, Luca. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:933.

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2017The Demand for Divisia Money: Theory and Evidence. (2017). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937.

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2017On the power of the simulation-based ADF test in bounded time series. (2017). Magrini, Stefano ; Gerolimetto, Margherita. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00277.

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2017Is there any convergence in health expenditures across EU countries?. (2017). Oros, Cornel ; Albulescu, Claudiu ; Tiwari, Aviral K. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00577.

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2018Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models. (2018). Barrientos Marin, Jorge ; Velilla, Esteban ; Orozco, Elkin Tabares . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-15.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2017Two simple tests of the trend hypothesis under time-varying variance. (2017). Yang, Yang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2017A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models. (2017). Yamagata, Takashi ; Orme, Chris D ; Halunga, Andreea G. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:209-230.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2018Testing for parameter instability in predictive regression models. (2018). Georgiev, Iliyan ; Robert, A M ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:101-118.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2017Cointegrated market-neutral strategy for basket trading. (2017). , Philip ; Lu, Renjie . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:112-124.

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2018Infinite-Variance Error Structure in Finance and Economics. (2018). Serttas, Fatma Ozgu. In: International Econometric Review (IER). RePEc:erh:journl:v:10:y:2018:i:1:p:14-23.

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2017International Evidence on Long-Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: Working Papers. RePEc:fip:fedmwp:737.

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2017Online Appendix for: International Evidence on Long-Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: Working Papers. RePEc:fip:fedmwp:738.

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2018On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root. (2018). Skrobotov, Anton ; Anton, Skrobotov. In: Working Papers. RePEc:gai:wpaper:wpaper-2018-302.

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2017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

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2017Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

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2017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Grol, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201504.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Groessl, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201802.

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2017Structural Change in Competitive Balance in Big-Time College Football. (2017). Salaga, Steven ; Fort, Rodney. In: Review of Industrial Organization. RePEc:kap:revind:v:50:y:2017:i:1:d:10.1007_s11151-016-9526-z.

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2018Tax Evasion and Inequality. (2018). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3.

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2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

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2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

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2017A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence. (2017). Kejriwal, Mohitosh. In: Purdue University Economics Working Papers. RePEc:pur:prukra:1303.

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2017Monetary Aggregates and Monetary Policy in Peru. (2017). Lahura, Erick. In: Working Papers. RePEc:rbp:wpaper:2017-003.

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2017International Evidence on Long Run Money Demand. (2017). Weber, Warren ; Lucas, Robert ; Benati, Luca ; Nicolini, Juan Pablo. In: 2017 Meeting Papers. RePEc:red:sed017:1154.

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2017Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation. (2017). Osarumwense, Osabuohien-Irabor ; Mbegbu, Julian I. In: Romanian Statistical Review. RePEc:rsr:journl:v:65:y:2017:i:3:p:17-34.

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2017Impacts of corn price and imported beef price on domestic beef price in South Korea. (2017). Kim, Gwanseon ; Mark, Tyler. In: Agricultural and Food Economics. RePEc:spr:agfoec:v:5:y:2017:i:1:d:10.1186_s40100-017-0074-0.

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2017Wild bootstrap tests for autocorrelation in vector autoregressive models. (2017). Catani, Paul ; Ahlgren, Niklas . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0.

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2018Social media, sentiment and public opinions: Evidence from #Brexit and #USElection. (2018). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: Working Papers. RePEc:swn:wpaper:2018-01.

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2017Cointegration Tests and the Classical Dichotomy. (2017). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1704.

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2017Could the Bubble in U.S. House Prices Have Been Detected in Real Time?. (2017). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1705.

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2017Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023.

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2017Heteroskedasticity-robust unit root testing for trending panels. (2017). Walle, Yabibal ; Maxand, Simone ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:314.

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2018Are bootstrapped cointegration test findings unreliable?. (2018). Schreiber, Sven. In: Discussion Papers. RePEc:zbw:fubsbe:20188.

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Works by Giuseppe Cavaliere:


YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
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paper49
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 49
paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 49
paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
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paper17
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
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This paper has another version. Agregated cites: 17
article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
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This paper has another version. Agregated cites: 17
paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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paper30
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 30
article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
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paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
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paper16
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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article
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
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paper7
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
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2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 7
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2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 1
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2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
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2016Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
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2006Testing the Null of Co-integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
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2008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility In: Journal of Time Series Analysis.
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2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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2015Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis.
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2015Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics In: Journal of Time Series Analysis.
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article1
2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space In: Journal of Time Series Analysis.
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2016On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.(2016) In: Quaderni di Dipartimento.
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2006Testing for a Change in Persistence in the Presence of a Volatility Shift In: Oxford Bulletin of Economics and Statistics.
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2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
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2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
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article1
2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
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2006International dynamic risk sharing In: Quaderni di Dipartimento.
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2008International dynamic risk sharing.(2008) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
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2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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2013Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento.
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2013EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory.
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This paper has another version. Agregated cites: 4
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2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
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2016Bootstrapping DSGE models In: Quaderni di Dipartimento.
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2016Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento.
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2006Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento.
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2007TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory.
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2006Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento.
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2005Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.(2005) In: Rivista di Politica Economica.
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2003Limited time series with a unit root In: Quaderni di Dipartimento.
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2005LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory.
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2003Unit root tests under time-varying variances In: Quaderni di Dipartimento.
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2005Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews.
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2006A note on unit root testing in the presence of level shifts In: Statistica.
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200303.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint In: Econometric Theory.
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200403.3.2. The Asymptotic Distribution of the Dickey Solution In: Econometric Theory.
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2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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2008REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS In: Econometric Theory.
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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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2009ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS In: Econometric Theory.
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2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
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2011Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2011) In: Research Memorandum.
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2009Consumption risk sharing and adjustment costs In: Economics Bulletin.
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2006Consumption risk sharing and adjustment costs.(2006) In: MPRA Paper.
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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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2000A Rescaled Range Statistics Approach to Unit Root Tests In: Econometric Society World Congress 2000 Contributed Papers.
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2001Testing the unit root hypothesis using generalized range statistics In: Econometrics Journal.
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2003Asymptotics for unit root tests under Markov regime-switching In: Econometrics Journal.
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2004Testing stationarity under a permanent variance shift In: Economics Letters.
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2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
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2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
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