Giuseppe Cavaliere : Citation Profile

Are you Giuseppe Cavaliere?

University of Exeter (50% share)
Alma Mater Studiorum - Università di Bologna (50% share)

16

H index

24

i10 index

971

Citations

RESEARCH PRODUCTION:

66

Articles

67

Papers

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 40
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 68 (6.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca195
   Updated: 2024-01-16    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Rahbek, Anders (12)

Taylor, Robert (6)

Nielsen, Morten (4)

De Angelis, Luca (4)

Barigozzi, Matteo (3)

Lu, Ye (3)

Fanelli, Luca (2)

Trapani, Lorenzo (2)

Trapani, Lorenzo (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 (41)

Skrobotov, Anton (41)

Taylor, Robert (39)

Phillips, Peter (31)

Smeekes, Stephan (29)

Kruse, Robinson (21)

Perron, Pierre (20)

Benati, Luca (20)

Johansen, Soren (16)

Carrion-i-Silvestre, Josep (15)

Czudaj, Robert (15)

Cites to:

Taylor, Robert (108)

Rahbek, Anders (75)

Hansen, Bruce (45)

Phillips, Peter (42)

Perron, Pierre (40)

Andrews, Donald (33)

Kilian, Lutz (29)

Davidson, Russell (27)

Goncalves, Silvia (26)

Engle, Robert (24)

Johansen, Soren (22)

Main data

Where Giuseppe Cavaliere has published?

Journals with more than one article published# docs
Econometric Theory13
Journal of Econometrics10
Econometric Reviews9
Journal of Time Series Analysis7
Statistical Methods & Applications4
Oxford Bulletin of Economics and Statistics4
Econometrica2
Econometrics Journal2
Journal of Business & Economic Statistics2
Econometrica2

Working Papers Series with more than one paper published# docs
Quaderni di Dipartimento / Department of Statistics, University of Bologna14
Papers / arXiv.org13
Discussion Papers / University of Copenhagen. Department of Economics9
Working Paper / Economics Department, Queen's University3
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Essex Finance Centre Working Papers / University of Essex, Essex Business School2

Recent works citing Giuseppe Cavaliere (2024 and 2023)

YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

Full description at Econpapers || Download paper

2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

Full description at Econpapers || Download paper

2023A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

Full description at Econpapers || Download paper

2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

Full description at Econpapers || Download paper

2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

Full description at Econpapers || Download paper

2023Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

Full description at Econpapers || Download paper

2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2023Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

Full description at Econpapers || Download paper

2023Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

Full description at Econpapers || Download paper

2023The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

Full description at Econpapers || Download paper

2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

Full description at Econpapers || Download paper

2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

Full description at Econpapers || Download paper

2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

Full description at Econpapers || Download paper

2023Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary. (2023). Rahbek, Anders ; Nielsen, Heino Bohn. In: Papers. RePEc:arx:papers:2302.02867.

Full description at Econpapers || Download paper

2023Improving the accuracy of bubble date estimators under time-varying volatility. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2306.02977.

Full description at Econpapers || Download paper

2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Convergence Determinants and Club Formation in the EU over 1999-2021. (2023). Ignatov, Ignat. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:3:p:37-63.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

Full description at Econpapers || Download paper

2023Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555.

Full description at Econpapers || Download paper

2023Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232.

Full description at Econpapers || Download paper

2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

Full description at Econpapers || Download paper

2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

Full description at Econpapers || Download paper

2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

Full description at Econpapers || Download paper

2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: The case of Spanish public debt. (2023). Prats, Maria A ; Esteve, Vicente. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005098.

Full description at Econpapers || Download paper

2023Risk sharing channels in OECD countries: A heterogeneous panel VAR approach. (2023). Asdrubali, Pierfederico ; Poncela, Pilar ; Pericoli, Filippo Maria ; Kim, Soyoung. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000050.

Full description at Econpapers || Download paper

2023Short and long run democracy diffusion. (2023). Janus, Thorsten. In: European Journal of Political Economy. RePEc:eee:poleco:v:78:y:2023:i:c:s0176268023000393.

Full description at Econpapers || Download paper

2023Discerning trends in international metal prices in the presence of nonstationary volatility. (2023). Ghoshray, Atanu ; Addison, Tony. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000513.

Full description at Econpapers || Download paper

2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: the case of Spanish public debt. (2022). Prats, Maria A ; Esteve, Vicente. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116980.

Full description at Econpapers || Download paper

2023Studying the Welfare State by Analysing Time-Series-Cross-Section Data. (2023). Podesta, Federico. In: FBK-IRVAPP Working Papers. RePEc:fbk:wpaper:2023-03.

Full description at Econpapers || Download paper

2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Modeling extreme events:time-varying extreme tail shape. (2023). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0399.

Full description at Econpapers || Download paper

2023Periodic Integration and Seasonal Unit Roots. (2023). del Barrio Castro, Tomás ; Osborn, Denise R. In: MPRA Paper. RePEc:pra:mprapa:117935.

Full description at Econpapers || Download paper

2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

Full description at Econpapers || Download paper

2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

Full description at Econpapers || Download paper

2023Trends in Income Inequality: Evidence from Developing and Developed Countries. (2023). Makhlouf, Yousef. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:165:y:2023:i:1:d:10.1007_s11205-022-03010-8.

Full description at Econpapers || Download paper

2023Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence. (2023). Song, Mingxuan ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230049.

Full description at Econpapers || Download paper

2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

Full description at Econpapers || Download paper

2023Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market?Based Stress Tests. (2023). van Oordt, Maarten. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:465-501.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023The convergence dynamics of economic freedom across U.S. states. (2023). Payne, James ; Karul, Cagin ; Nazlioglu, Saban ; Saunoris, James W. In: Southern Economic Journal. RePEc:wly:soecon:v:89:y:2023:i:4:p:1216-1241.

Full description at Econpapers || Download paper

Works by Giuseppe Cavaliere:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper64
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper45
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper25
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		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.
[Full Text][Citation analysis]		paper11
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
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 Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2019Inference under random limit bootstrap measures In: Papers.
[Full Text][Citation analysis]		paper9
2020Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2021Bootstrapping Non-Stationary Stochastic Volatility In: Papers.
[Full Text][Citation analysis]		paper2
2021Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021Bootstrap Inference for Hawkes and General Point Processes In: Papers.
[Full Text][Citation analysis]		paper0
2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Bootstrap inference for Hawkes and general point processes.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Specification tests for GARCH processes In: Papers.
[Full Text][Citation analysis]		paper0
2021Specification tests for GARCH processes.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021MinP Score Tests with an Inequality Constrained Parameter Space In: Papers.
[Full Text][Citation analysis]		paper0
2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
[Full Text][Citation analysis]		paper0
2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
[Full Text][Citation analysis]		paper0
2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2022) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2023) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Time-Varying Poisson Autoregression In: Papers.
[Full Text][Citation analysis]		paper0
2023Bootstrap inference in the presence of bias In: Papers.
[Full Text][Citation analysis]		paper1
2022The Econometrics of Financial Duration Modeling In: Papers.
[Full Text][Citation analysis]		paper0
2023Factor Network Autoregressions In: Papers.
[Full Text][Citation analysis]		paper5
2023An identification and testing strategy for proxy-SVARs with weak proxies In: Papers.
[Full Text][Citation analysis]		paper0
2023Asymptotics for the Generalized Autoregressive Conditional Duration Model In: Papers.
[Full Text][Citation analysis]		paper0
2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
[Citation analysis]		paper1
2006Testing the Null of Co?integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2008Time?Transformed Unit Root Tests for Models with Non?Stationary Volatility In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article26
2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2015Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
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.
[Full Text][Citation analysis]		article3
2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2016On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.(2016) In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
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.
[Full Text][Citation analysis]		article6
2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018Co†integration Rank Determination in Partial Systems Using Information Criteria In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2006International dynamic risk sharing In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper7
2008International dynamic risk sharing.(2008) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper9
2013Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper8
2013EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper4
2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper7
2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2016Bootstrapping DSGE models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper1
2016Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper1
2006Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper10
2007TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2006Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper3
2005Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.(2005) In: Rivista di Politica Economica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2003Limited time series with a unit root In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper49
2005LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
2003Unit root tests under time-varying variances In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper55
2005Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2006A note on unit root testing in the presence of level shifts In: Statistica.
[Citation analysis]		article0
200303.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint In: Econometric Theory.
[Full Text][Citation analysis]		article0
2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]		article18
2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article71
2008REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
[Full Text][Citation analysis]		article44
2009ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS In: Econometric Theory.
[Full Text][Citation analysis]		article7
2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
[Full Text][Citation analysis]		article9
2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper12
2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2011Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2009Consumption risk sharing and adjustment costs In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2006Consumption risk sharing and adjustment costs.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]		article63
2000A Rescaled Range Statistics Approach to Unit Root Tests In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
2001Testing the unit root hypothesis using generalized range statistics In: Econometrics Journal.
[Citation analysis]		article10
2003Asymptotics for unit root tests under Markov regime-switching In: Econometrics Journal.
[Full Text][Citation analysis]		article7
2004Testing stationarity under a permanent variance shift In: Economics Letters.
[Full Text][Citation analysis]		article11
2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2014Testing for unit roots in bounded time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article58
2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2022Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS.(2018) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2006Regional consumption dynamics and risk sharing in Italy In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article5
2016Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers.
[Full Text][Citation analysis]		paper3
2019Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2001Determining the number of cointegrating relations under rank constraints In: Economics and Quantitative Methods.
[Full Text][Citation analysis]		paper1
2020The Wealth of Parents: Trends over Time in Assortative Mating Based on Parental Wealth In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2020What Is Real and What Is Not in the Global FDI Network? In: Discussion Papers.
[Full Text][Citation analysis]		paper2
2010Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional In: Estudios de Economia Aplicada.
[Full Text][Citation analysis]		article0
2009Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers.
[Full Text][Citation analysis]		paper4
2013Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.(2013) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2020Determining the rank of cointegration with infinite variance In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2002Bounded integrated processes and unit root tests In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article2
2003Fundamentals and asset price dynamics In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article0
2009Tests for cointegration rank and choice of the alternative In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article0
1999A new approach to stock price modelling and the efficiency of the Italian stock exchange In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article0
1999Firm size and the Italian Stock Exchange In: Applied Economics Letters.
[Full Text][Citation analysis]		article4
2005Testing mean reversion in target-zone exchange rates In: Applied Economics.
[Full Text][Citation analysis]		article3
2009A Note on Testing Covariance Stationarity In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2009Bootstrap M Unit Root Tests In: Econometric Reviews.
[Full Text][Citation analysis]		article13
2013Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews.
[Full Text][Citation analysis]		article3
2020Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article12
2015Bootstrap Testing of Hypotheses on Co?Integration Relations in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]		article9
2022Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article0
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]		article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team