Giuseppe Cavaliere : Citation Profile


Are you Giuseppe Cavaliere?

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

15

H index

20

i10 index

771

Citations

RESEARCH PRODUCTION:

61

Articles

59

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 35
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 58 (7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca195
   Updated: 2022-01-15    RAS profile: 2021-11-19    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Rahbek, Anders (20)

Taylor, Robert (12)

Nielsen, Morten (5)

De Angelis, Luca (4)

Fanelli, Luca (3)

Lu, Ye (3)

Skrobotov, Anton (2)

Barigozzi, Matteo (2)

Boswijk, H. Peter (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 (39)

Taylor, Robert (37)

Skrobotov, Anton (32)

Smeekes, Stephan (29)

Phillips, Peter (28)

Kruse, Robinson (20)

Perron, Pierre (17)

Czudaj, Robert (15)

Johansen, Soren (15)

Benati, Luca (15)

Leybourne, Stephen (13)

Cites to:

Taylor, Robert (90)

Rahbek, Anders (58)

Hansen, Bruce (43)

Perron, Pierre (34)

Andrews, Donald (33)

Phillips, Peter (29)

Kilian, Lutz (20)

Goncalves, Silvia (18)

Davidson, Russell (18)

Johansen, Soren (16)

MacKinnon, James (15)

Main data


Where Giuseppe Cavaliere has published?


Journals with more than one article published# docs
Econometric Theory13
Journal of Econometrics8
Econometric Reviews8
Journal of Time Series Analysis7
Oxford Bulletin of Economics and Statistics4
Statistical Methods & Applications4
Econometrics Journal2
Econometrica2
Econometrica2

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 Economics9
Papers / arXiv.org6
Working Paper / Economics Department, Queen's University3
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Giuseppe Cavaliere (2021 and 2020)


YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

Full description at Econpapers || Download paper

2021Are coffee farmers worse off in the long run?. (2021). Ghoshray, Atanu. In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311084.

Full description at Econpapers || Download paper

2021“Detecting multiple level shifts in bounded time series”. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: AQR Working Papers. RePEc:aqr:wpaper:202106.

Full description at Econpapers || Download paper

2020A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (2018). Roberts, Denisa ; Hinich, Melvin ; Patterson, Douglas . In: Papers. RePEc:arx:papers:1801.06727.

Full description at Econpapers || Download paper

2020A 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

2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

Full description at Econpapers || Download paper

2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

Full description at Econpapers || Download paper

2020Unit Root Testing with Slowly Varying Trends. (2020). Otto, Sven. In: Papers. RePEc:arx:papers:2003.04066.

Full description at Econpapers || Download paper

2021New 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

2020Real-time estimation of the short-run impact of COVID-19 on economic activity using electricity market data. (2020). Fanghella, Valeria ; Fezzi, Carlo. In: Papers. RePEc:arx:papers:2007.03477.

Full description at Econpapers || Download paper

2021Nonparametric prediction with spatial data. (2020). Hidalgo, Javier ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.04269.

Full description at Econpapers || Download paper

2020Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

Full description at Econpapers || Download paper

2021Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500.

Full description at Econpapers || Download paper

2021Testing 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

2021Popularity of Unit Root Tests - A Review. (2021). Akram, Vaseem ; Rath, Badri Narayan. In: Asian Economics Letters. RePEc:ayb:jrnael:46.

Full description at Econpapers || Download paper

2020The impact on the cost of equity capital in the effects of integrated reporting quality. (2020). Salvi, Antonio ; Vitolla, Filippo ; Rubino, Michele ; Petruzzella, Felice ; Raimo, Nicola. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:29:y:2020:i:2:p:519-529.

Full description at Econpapers || Download paper

2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

Full description at Econpapers || Download paper

2020Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690.

Full description at Econpapers || Download paper

2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

Full description at Econpapers || Download paper

2020Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2020-009.

Full description at Econpapers || Download paper

2020Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637.

Full description at Econpapers || Download paper

2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_003.

Full description at Econpapers || Download paper

2021Testing Purchasing Power Parity in Cambodia: Time-Varying Trade Weights in Constructing Real Effective Exchange Rate. (2021). Lim, Siphat. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-16.

Full description at Econpapers || Download paper

2020A multilevel index of heterogeneous short-term and long-term debt dynamics. (2020). Golinelli, Roberto ; Bottazzi, Laura ; Bontempi, Maria. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301103.

Full description at Econpapers || Download paper

2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

Full description at Econpapers || Download paper

2020Testing linear relationships between non-constant variances of economic variables. (2020). RAÏSSI, HAMDI ; Raissi, Hamdi ; Hirukawa, Junichi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189.

Full description at Econpapers || Download paper

2020Credit risk – Return puzzle: Evidence from India. (2020). Bhandari, Anup Kumar ; Nedumparambil, Elizabeth. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:195-206.

Full description at Econpapers || Download paper

2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

Full description at Econpapers || Download paper

2021Recursive adjusted unit root tests under non-stationary volatility. (2021). Wen, Kuangyu ; Li, Yanglin ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002184.

Full description at Econpapers || Download paper

2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

Full description at Econpapers || Download paper

2020Inference in heavy-tailed vector error correction models. (2020). Ling, Shiqing ; Qingling, Shi ; She, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:433-450.

Full description at Econpapers || Download paper

2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

Full description at Econpapers || Download paper

2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

Full description at Econpapers || Download paper

2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

Full description at Econpapers || Download paper

2020Asymptotic theory for time series with changing mean and variance. (2020). Robinson, Peter M ; Giraitis, Liudas ; Dalla, Violetta. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:281-313.

Full description at Econpapers || Download paper

2020Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. (2020). Taylor, Robert ; Robert, A M ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:354-388.

Full description at Econpapers || Download paper

2021Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329.

Full description at Econpapers || Download paper

2020Bootstrap lag selection in DSGE models with expectations correction. (2020). Angelini, Giovanni. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:38-48.

Full description at Econpapers || Download paper

2021Bootstrap seasonal unit root test under periodic variation. (2021). Politis, Dimitris N ; Zou, Nan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:1-21.

Full description at Econpapers || Download paper

2020Testing for explosive bubbles in the presence of autocorrelated innovations. (2020). Montes, Erik Christian ; Pedersen, Thomas Quistgaard . In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:207-225.

Full description at Econpapers || Download paper

2021Exogeneity in climate econometrics. (2021). Pretis, Felix. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s014098832100027x.

Full description at Econpapers || Download paper

2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

Full description at Econpapers || Download paper

2021Forecasting Brazilian mortality rates due to occupational accidents using autoregressive moving average approaches. (2021). Rockenbach, Dinei A ; Guerra, Renata Rojas ; Zanini, Roselaine Ruviaro ; Melchior, Cristiane. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:825-837.

Full description at Econpapers || Download paper

2021Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479.

Full description at Econpapers || Download paper

2022Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281.

Full description at Econpapers || Download paper

2021Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:68:y:2021:i:c:s0164070421000161.

Full description at Econpapers || Download paper

2020Money velocity and the natural rate of interest. (2020). Benati, Luca. In: Journal of Monetary Economics. RePEc:eee:moneco:v:116:y:2020:i:c:p:117-134.

Full description at Econpapers || Download paper

2021International evidence on long-run money demand. (2021). Lucas, Robert ; Benati, Luca ; Weber, Warren ; Nicolini, Juan Pablo. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:43-63.

Full description at Econpapers || Download paper

2021On the link between current account and fiscal imbalances in the presence of structural breaks: Empirical evidence from Egypt. (2021). Dissou, Yazid ; Nafie, Yousra. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:15-27.

Full description at Econpapers || Download paper

2020Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. (2020). Shchepeleva, Maria ; Stolbov, Mikhail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302570.

Full description at Econpapers || Download paper

2021Searching for Hysteresis. (2021). Benati, Luca ; Lubik, Thomas A. In: Working Paper. RePEc:fip:fedrwp:90443.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:77-:d:385126.

Full description at Econpapers || Download paper

2021Energy Use Beyond GDP: A Dynamic Panel Analysis with Different Development Indicators. (2021). Ravetti, Chiara ; Cambini, Carlo. In: Working Papers. RePEc:hhs:cbsnow:2021_010.

Full description at Econpapers || Download paper

2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: Working Papers. RePEc:inn:wpaper:2021-05.

Full description at Econpapers || Download paper

2021Detecting multiple level shifts in bounded time series.. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: IREA Working Papers. RePEc:ira:wpaper:202115.

Full description at Econpapers || Download paper

2020Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model. (2020). Cai, Zongwu ; Ling, Shiqing ; Qingling, Shi ; Liu, Mengya ; Zhu, Fukang. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202021.

Full description at Econpapers || Download paper

2021Does Capacity Utilization Predict Inflation? A Wavelet Based Evidence from United States. (2021). Bahramian, Pejman ; Saliminezhad, Andisheh. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09990-4.

Full description at Econpapers || Download paper

2020Why Young Adults Retreat from Marriage? An Easterlin Relative Income Approach. (2020). Panagiotidis, Theodore ; Mavropoulos, Georgios. In: Discussion Paper Series. RePEc:mcd:mcddps:2020_01.

Full description at Econpapers || Download paper

2020Multivariate cointegration and temporal aggregation: some further simulation results. (2020). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Otero, Jesus. In: Discussion Paper Series. RePEc:mcd:mcddps:2020_05.

Full description at Econpapers || Download paper

2020A Poisson autoregressive model to understand COVID-19 contagion dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0185.

Full description at Econpapers || Download paper

2020Current account sustainability for 21 African economies: Evidence based on nonlinear flexible Fourier stationarity and unit-root tests. (2020). Husein, Jamal. In: MPRA Paper. RePEc:pra:mprapa:100410.

Full description at Econpapers || Download paper

2020From Heavy-Tailed Micro to Macro: on the characterization of firm-level heterogeneity and its aggregation properties.. (2020). Dewitte, Ruben. In: MPRA Paper. RePEc:pra:mprapa:103170.

Full description at Econpapers || Download paper

2021Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data. (2021). Doko Tchatoka, Firmin ; Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:110899.

Full description at Econpapers || Download paper

2021Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies. (2021). Plakandaras, Vasilios ; Balcilar, Mehmet ; Ji, Qiang ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202113.

Full description at Econpapers || Download paper

2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

Full description at Econpapers || Download paper

2020Survey on structural breaks and unit root tests. (2020). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0396.

Full description at Econpapers || Download paper

2020Examining the determinants of global and local price passthrough in cereal markets: evidence from DCC-GJR-GARCH and panel analyses. (2020). Tanaka, Tetsuji ; Guo, Jin. In: Agricultural and Food Economics. RePEc:spr:agfoec:v:8:y:2020:i:1:d:10.1186_s40100-020-00173-1.

Full description at Econpapers || Download paper

2020Self-excited hysteretic negative binomial autoregression. (2020). Liu, Mengya ; Zhu, Fukang. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00360-6.

Full description at Econpapers || Download paper

2020COVID-19 contagion and digital finance. (2020). Agosto, Arianna ; Giudici, Paolo. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00021-3.

Full description at Econpapers || Download paper

2020The effect of military spending on income inequality: evidence from NATO countries. (2020). Roupakias, Stelios ; Michael, Chletsos. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1576-7.

Full description at Econpapers || Download paper

2021Federal Reserve policy after the zero lower bound: an indirect inference approach. (2021). Shang, Ying ; Morin, Lealand. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01824-4.

Full description at Econpapers || Download paper

2021Co-movement of commodity price indexes and energy price index: a wavelet coherence approach. (2021). Gungor, Hasan ; Kirikkaleli, Dervis. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00230-8.

Full description at Econpapers || Download paper

2021Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09243-7.

Full description at Econpapers || Download paper

2020Testing for boundary conditions in case of fractionally integrated processes. (2020). Magrini, Stefano ; Gerolimetto, Margherita. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00474-w.

Full description at Econpapers || Download paper

2021Financial contagion through space-time point processes. (2021). Agosto, Arianna ; Chiodi, Marcello ; Adelfio, Giada ; Giudici, Paolo. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00538-2.

Full description at Econpapers || Download paper

2020Nuisance-parameter-free changepoint detection in non-stationary series. (2020). Peta, Michal ; Wendler, Martin. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:2:d:10.1007_s11749-019-00659-1.

Full description at Econpapers || Download paper

2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

Full description at Econpapers || Download paper

2020Real-time estimation of the short-run impact of COVID-19 on economic activity using electricity market data. (2020). Fanghella, Valeria ; Fezzi, Carlo. In: DEM Working Papers. RePEc:trn:utwprg:2020/8.

Full description at Econpapers || Download paper

2020Money Velocity and the Natural Rate of Interest. (2020). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2022.

Full description at Econpapers || Download paper

2021The Welfare Costs of Inflation. (2021). Nicolini, Juan-Pablo ; Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2113.

Full description at Econpapers || Download paper

2020Discerning trends in international metal prices in the presence of non-stationary volatility. (2020). Ghoshray, Atanu ; Addison, Tony. In: WIDER Working Paper Series. RePEc:unu:wpaper:wp-2020-104.

Full description at Econpapers || Download paper

2020Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202006.

Full description at Econpapers || Download paper

2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

Full description at Econpapers || Download paper

2021Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954.

Full description at Econpapers || Download paper

2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

Full description at Econpapers || Download paper

2020Testing jointly for structural changes in the error variance and coefficients of a linear regression model. (2020). Yamamoto, Yohei ; Perron, Pierre ; Zhou, Jing. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:3:p:1019-1057.

Full description at Econpapers || Download paper

2020Household risk‐sharing channels. (2020). Ventura, Luigi ; Asdrubali, Pierfederico ; Tedeschi, Simone. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:3:p:1109-1142.

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]
paper60
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
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]
paper26
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 another version. Agregated cites: 26
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 another version. Agregated cites: 26
paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]
paper43
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
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 another version. Agregated cites: 3
paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper23
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
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]
paper8
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 another version. Agregated cites: 8
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 another version. Agregated cites: 8
paper
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]
paper15
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
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]
paper7
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 another version. Agregated cites: 7
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 another version. Agregated cites: 7
paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2019Inference under random limit bootstrap measures In: Papers.
[Full Text][Citation analysis]
paper3
2020Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2021Bootstrapping Non-Stationary Stochastic Volatility In: Papers.
[Full Text][Citation analysis]
paper0
2021Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2019Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
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: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
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 another 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
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 another 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]
article21
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 another 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]
article2
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 another version. Agregated cites: 2
paper
2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article4
2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article7
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]
article0
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 another version. Agregated cites: 0
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 another 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]
article1
2006International dynamic risk sharing In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
paper5
2008International dynamic risk sharing.(2008) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
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]
paper7
2013Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
paper7
2013EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
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]
paper4
2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
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]
paper9
2007TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2006Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
paper2
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 another version. Agregated cites: 2
article
2003Limited time series with a unit root In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
paper40
2005LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
2003Unit root tests under time-varying variances In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
paper53
2005Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
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]
article15
2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]
article54
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]
article33
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]
article2
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 another version. Agregated cites: 2
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 another 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 another 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 another version. Agregated cites: 0
paper
2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]
article41
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]
article80
2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2014Testing for unit roots in bounded time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article49
2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2006Regional consumption dynamics and risk sharing in Italy In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article4
2016Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers.
[Full Text][Citation analysis]
paper2
2019Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2001Determining the number of cointegrating relations under rank constraints In: Economics and Quantitative Methods.
[Full Text][Citation analysis]
paper1
2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS In: Discussion Papers.
[Full Text][Citation analysis]
paper2
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 another 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]
article4
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]
article6
2015Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]
article4
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2022. Contact: CitEc Team