Giuseppe Cavaliere : Citation Profile


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

16

H index

27

i10 index

1047

Citations

RESEARCH PRODUCTION:

71

Articles

69

Papers

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 40
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 70 (6.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca195
   Updated: 2025-04-26    RAS profile: 2025-04-06    
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Relations with other researchers


Works with:

Rahbek, Anders (11)

Taylor, Robert (4)

De Angelis, Luca (4)

Nielsen, Morten (4)

Barigozzi, Matteo (4)

Lu, Ye (3)

Fanelli, Luca (3)

Moramarco, Graziano (2)

Zanelli, Edoardo (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 (35)

Smeekes, Stephan (31)

Kruse, Robinson (21)

Perron, Pierre (21)

Benati, Luca (20)

Johansen, Soren (16)

Czudaj, Robert (15)

Carrion-i-Silvestre, Josep (15)

Cites to:

Taylor, Robert (109)

Rahbek, Anders (77)

Phillips, Peter (48)

Hansen, Bruce (46)

Perron, Pierre (40)

Andrews, Donald (33)

Kilian, Lutz (29)

Davidson, Russell (27)

Engle, Robert (26)

Goncalves, Silvia (26)

Johansen, Soren (23)

Main data


Where Giuseppe Cavaliere has published?


Journals with more than one article published# docs
Econometric Theory13
Journal of Econometrics12
Econometric Reviews9
Journal of Time Series Analysis7
Oxford Bulletin of Economics and Statistics4
Statistical Methods & Applications4
Journal of Business & Economic Statistics3
Econometrica2
Econometrics Journal2
Journal of the American Statistical Association2
Econometrica2

Working Papers Series with more than one paper published# docs
Quaderni di Dipartimento / Department of Statistics, University of Bologna14
Papers / arXiv.org14
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 (2025 and 2024)


YearTitle of citing document
2024Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2024The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2025Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2403.08753.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2024Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2024VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Grassi, Stefano ; Giancaterini, Francesco ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2501.03945.

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2025Inference in dynamic models for panel data using the moving block bootstrap. (2025). Jochmans, Koen ; Higgins, Ayden. In: Papers. RePEc:arx:papers:2502.08311.

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2024.

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2024.

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2024Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1193.

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2025Under the null of valid specification, pre-tests cannot make post-test inference liberal. (2025). de Chaisemartin, Clément ; Dhaultfoeuille, Xavier. In: Working Papers. RePEc:crs:wpaper:2025-03.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2103.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Robust testing for explosive behavior with strongly dependent errors. (2024). Yu, Jun ; Phillips, Peter ; Lui, Yiu Lim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421.

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2024The validity of bootstrap testing for threshold autoregression. (2024). Giannerini, Simone ; Rahbek, Anders ; Goracci, Greta. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623000040.

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2024Cross-section bootstrap for CCE regressions. (2024). Stauskas, Ovidijus ; de Vos, Ignace. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003640.

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2024Robust inference on correlation under general heterogeneity. (2024). , Peter ; Li, Yufei ; Giraitis, Liudas. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s030440762400037x.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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2024A maximum entropy bootstrap approach to financial development and economic growth in China. (2024). McFarlane, Adian ; Feng, Hui ; Xu, Jingjing ; Tian, Renfang. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000414.

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2024Testing rational expectations in a cointegrated VAR with structural change. (2024). Marçal, Emerson ; Maral, Emerson Fernandes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003673.

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2024Properties of the reconciled distributions for Gaussian and count forecasts. (2024). Giudici, Paolo ; Zambon, Lorenzo ; Corani, Giorgio ; Agosto, Arianna. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1438-1448.

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2024Panel data in environmental economics: Econometric issues and applications to IPAT models. (2024). Manner, Hans ; Deixelberger, Beate ; Eibinger, Tobias. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:125:y:2024:i:c:s0095069624000159.

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2024Unbounded heteroscedasticity in autoregressive models. (2024). Samartzis, Panagiotis ; Kourogenis, Nikolaos ; Pittis, Nikitas. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000634.

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2024Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity. (2024). Wang, Wenjie ; Tchatoka, Firmin Doko. In: MPRA Paper. RePEc:pra:mprapa:123060.

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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2025Inference in Dynamic Models for Panel Data Using The Moving Block Bootstrap. (2025). Jochmans, Koen ; Higgins, Ayden. In: TSE Working Papers. RePEc:tse:wpaper:130347.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lutkepohl, Helmut ; Bruns, Martin. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-06.

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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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paper65
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 65
article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has nother version. Agregated cites: 65
paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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This paper has nother version. Agregated cites: 65
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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paper31
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 nother version. Agregated cites: 31
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 nother version. Agregated cites: 31
paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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paper47
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 47
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 nother version. Agregated cites: 3
paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
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paper25
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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This paper has nother version. Agregated cites: 25
paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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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.
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paper14
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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This paper has nother version. Agregated cites: 14
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.
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This paper has nother version. Agregated cites: 14
paper
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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paper30
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 30
article
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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paper14
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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This paper has nother version. Agregated cites: 14
article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
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This paper has nother version. Agregated cites: 14
paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
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paper8
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
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This paper has nother version. Agregated cites: 8
paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 8
article
2019Inference under random limit bootstrap measures In: Papers.
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paper12
2020Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica.
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This paper has nother version. Agregated cites: 12
article
2021Bootstrapping Non-Stationary Stochastic Volatility In: Papers.
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paper4
2021Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 4
article
2019Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 4
paper
2021Bootstrap Inference for Hawkes and General Point Processes In: Papers.
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paper0
2023Bootstrap inference for Hawkes and general point processes.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 0
article
2021Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers.
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paper
2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2021Specification tests for GARCH processes In: Papers.
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paper0
2021Specification tests for GARCH processes.(2021) In: Discussion Papers.
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This paper has nother version. Agregated cites: 0
paper
2021MinP Score Tests with an Inequality Constrained Parameter Space In: Papers.
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paper0
2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
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paper2
2024Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 2
article
2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
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paper0
2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2022) In: Essex Finance Centre Working Papers.
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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.
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This paper has nother version. Agregated cites: 0
article
2022Time-Varying Poisson Autoregression In: Papers.
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paper0
2023Bootstrap inference in the presence of bias In: Papers.
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paper4
2024Bootstrap Inference in the Presence of Bias.(2024) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 4
article
2022The Econometrics of Financial Duration Modeling In: Papers.
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paper0
2025Factor Network Autoregressions In: Papers.
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paper5
2023An identification and testing strategy for proxy-SVARs with weak proxies In: Papers.
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paper5
2024An identification and testing strategy for proxy-SVARs with weak proxies.(2024) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 5
article
2023Asymptotics for the Generalized Autoregressive Conditional Duration Model In: Papers.
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paper0
2024Parameters on the boundary in predictive regression In: Papers.
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paper0
2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
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paper1
2006Testing the Null of Co‐integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
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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.
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article26
2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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article1
2015Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis.
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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.
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article3
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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article7
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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This paper has nother version. Agregated cites: 7
paper
2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis.
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article7
2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
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article10
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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article7
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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This paper has nother version. Agregated cites: 7
paper
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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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.
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article3
2006International dynamic risk sharing In: Quaderni di Dipartimento.
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paper7
2008International dynamic risk sharing.(2008) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 7
article
2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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paper0
2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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paper9
2013Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento.
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paper8
2013EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory.
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This paper has nother version. Agregated cites: 8
article
2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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paper4
2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
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paper8
2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
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This paper has nother version. Agregated cites: 8
article
2016Bootstrapping DSGE models In: Quaderni di Dipartimento.
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paper1
2016Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento.
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paper1
2006Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento.
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paper10
2007TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory.
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This paper has nother version. Agregated cites: 10
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2006Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento.
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paper3
2005Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.(2005) In: Rivista di Politica Economica.
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This paper has nother version. Agregated cites: 3
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2003Limited time series with a unit root In: Quaderni di Dipartimento.
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paper51
2005LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory.
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This paper has nother version. Agregated cites: 51
article
2003Unit root tests under time-varying variances In: Quaderni di Dipartimento.
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paper58
2005Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 58
article
2006A note on unit root testing in the presence of level shifts In: Statistica.
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article0
2024Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry In: Development Working Papers.
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paper0
200303.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint In: Econometric Theory.
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article0
2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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article19
2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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article74
2008REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS In: Econometric Theory.
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article1
2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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article45
2009ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS In: Econometric Theory.
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article7
2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
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article12
2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
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This paper has nother version. Agregated cites: 12
paper
2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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paper13
2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 13
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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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This paper has nother version. Agregated cites: 13
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2009Consumption risk sharing and adjustment costs In: Economics Bulletin.
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article0
2006Consumption risk sharing and adjustment costs.(2006) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0
paper
2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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article63
2000A Rescaled Range Statistics Approach to Unit Root Tests In: Econometric Society World Congress 2000 Contributed Papers.
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paper0
2001Testing the unit root hypothesis using generalized range statistics In: Econometrics Journal.
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article9
2003Asymptotics for unit root tests under Markov regime-switching In: Econometrics Journal.
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article8
2004Testing stationarity under a permanent variance shift In: Economics Letters.
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article11
2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
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article104
2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
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article21
2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
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This paper has nother version. Agregated cites: 21
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2014Testing for unit roots in bounded time series In: Journal of Econometrics.
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article62
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