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

955

Citations

RESEARCH PRODUCTION:

65

Articles

67

Papers

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 39
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 67 (6.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca195
   Updated: 2023-08-19    RAS profile: 2023-08-15    
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Relations with other researchers


Works with:

Rahbek, Anders (15)

Taylor, Robert (9)

Nielsen, Morten (6)

De Angelis, Luca (5)

Lu, Ye (3)

Fanelli, Luca (3)

Barigozzi, Matteo (3)

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:

Skrobotov, Anton (41)

Demetrescu, Matei (41)

Taylor, Robert (39)

Phillips, Peter (31)

Smeekes, Stephan (29)

Kruse, Robinson (21)

Benati, Luca (20)

Perron, Pierre (20)

Johansen, Soren (16)

Czudaj, Robert (15)

Carrion-i-Silvestre, Josep (15)

Cites to:

Taylor, Robert (108)

Rahbek, Anders (75)

Hansen, Bruce (45)

Phillips, Peter (41)

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 Reviews8
Journal of Time Series Analysis7
Statistical Methods & Applications4
Oxford Bulletin of Economics and Statistics4
Journal of Business & Economic Statistics2
Econometrica2
Econometrics Journal2
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
Essex Finance Centre Working Papers / University of Essex, Essex Business School2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Giuseppe Cavaliere (2023 and 2022)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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

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

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

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2022Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2022On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500.

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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.

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

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2022On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223.

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2022A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions. (2022). Jentsch, Carsten ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2204.01373.

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

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2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

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

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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.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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

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

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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.

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

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2022Popularity of Unit Root Tests - A Review. (2022). Akram, Vaseem ; Rath, Badri Narayan. In: Asian Economics Letters. RePEc:ayb:jrnael:72.

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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.

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2022The economics of domestic market integration. (2022). Zhang, Cheng ; Gunessee, Saileshsingh. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:4:p:1069-1095.

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2022Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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2021Unit root testing with slowly varying trends. (2021). Otto, Sven. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:85-106.

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2021Necessary and sufficient conditions for the identifiability of observation?driven models. (2021). Sim, Tepmony ; Roueff, Franois ; Douc, Randal. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:2:p:140-160.

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2022On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196.

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2022Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods. (2022). Yamamoto, Yohei ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411.

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2022Rank test of unit?root hypothesis with AR?GARCH errors. (2022). Zhang, Rongmao ; Liu, Qimeng ; Liao, Guili. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:695-719.

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2022.

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2022.

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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.

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2022Testing for Co?explosive Behaviour in Financial Time Series. (2022). Leybourne, Stephen J ; Harvey, David I ; Evripidou, Andria C ; Sollis, Robert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:624-650.

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2023.

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2022Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1.

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2022Nonparametric prediction with spatial data. (2022). Hidalgo, Javier ; Gupta, Abhimanyu. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:621.

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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350.

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2022Forecasting Uncertainty Intervals for Return Period of Extreme Daily Electricity Consumption. (2022). Makatjane, Katleho. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-04-25.

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2022Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850–2021. (2022). Prats, Mara A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2205.

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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.

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2022On MCMC sampling in self-exciting integer-valued threshold time series models. (2022). Dong, Xiaogang ; Zhang, Qingqing ; Yu, Xinyang ; Yang, Kai. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002449.

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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.

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2022Unit roots in lower-bounded series with outliers. (2022). Alanya-Beltran, Willy. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322002279.

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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.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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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.

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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.

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2022On robust testing for trend. (2022). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000040.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2022Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:85-113.

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2022Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

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2022Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

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2022Convergence of spectral density estimators in the locally stationary framework. (2022). Kawka, Rafael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:94-115.

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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.

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2021Can digital financial inclusion promote Chinas economic growth?. (2021). Hsu, Yen ; Zhang, Zhiqiang ; Wu, Weilong ; Luan, Lin ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002167.

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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.

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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.

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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.

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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.

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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.

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2022Canonical quantile regression. (2022). Portnoy, Stephen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000768.

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2022Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws. (2022). Oladosu, Gbadebo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000520.

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2022Asymmetric influences on Latin American stock markets: A quantile approach. (2022). Ceretta, Paulo Sergio ; Kruel, Maximiliano. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000238.

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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.

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2022Monitoring network changes in social media. (2022). Wang, Tengyao ; Okhrin, Yarema ; Chen, Cathy Yi-Hsuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113742.

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2022Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114620.

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2022Nonparametric prediction with spatial data. (2022). Hidalgo, Javier ; Gupta, Abhimanyu. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:115292.

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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.

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

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

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2022.

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2022.

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2021.

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2023.

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2022Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results. (2022). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Otero, Jesus. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10062-w.

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2022On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2207.

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2022Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: Biometrika. RePEc:oup:biomet:v:109:y:2022:i:2:p:543-550..

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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.

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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.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc.

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

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2022Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests. (2022). Wang, Yuan ; Enilov, Martin. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1216-1239.

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2022A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation. (2022). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:2:d:10.1007_s10182-021-00414-8.

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2022Concurrent neural network: a model of competition between times series. (2022). Garnier, Remy. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04253-3.

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2022Non-parametric seasonal unit root tests under periodic non-stationary volatility. (2022). Eroglu, Burak Alparslan ; Gogebakan, Kemal Aglar. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:5:d:10.1007_s00180-022-01211-w.

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2022Fiscal reaction functions for the advanced economies revisited. (2022). Fachin, Stefano ; di Iorio, Francesca. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02119-y.

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2022Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x.

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

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2022Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories. (2022). Foster-McGregor, Neil ; Russo, Emanuele. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:32:y:2022:i:2:d:10.1007_s00191-021-00727-6.

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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.

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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.

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

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2022A New Approach to Estimating the Natural Rate of Interest. (2022). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2210.

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2022Bootstrap Inference Under Cross Sectional Dependence. (2022). Perron, Benoit ; Kim, Min Seong ; Goncalves, Silvia ; conley, timothy ; Gonalves, Silvia. In: Working papers. RePEc:uct:uconnp:2022-14.

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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.

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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.

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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.

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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.

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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.

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More than 100 citations found, this list is not complete...

Works by Giuseppe Cavaliere:


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2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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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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2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
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2008International dynamic risk sharing.(2008) In: Journal of Applied Econometrics.
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2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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2013Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento.
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2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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2016Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento.
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2006Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento.
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2006Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento.
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