16
H index
27
i10 index
1047
Citations
Giuseppe Cavaliere : Citation Profile
University of Exeter (50% share) | RESEARCH PRODUCTION: 71 Articles 69 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1999 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Giuseppe Cavaliere. | Is cited by:
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Main data
Where Giuseppe Cavaliere has published?
Recent works citing Giuseppe Cavaliere (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809. Full description at Econpapers || Download paper |
| 2024 | The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599. Full description at Econpapers || Download paper |
| 2025 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper |
| 2025 | Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2403.08753. Full description at Econpapers || Download paper |
| 2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper |
| 2024 | Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572. Full description at Econpapers || Download paper |
| 2024 | VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278. Full description at Econpapers || Download paper |
| 2025 | Sequential Monte Carlo for Noncausal Processes. (2025). Grassi, Stefano ; Giancaterini, Francesco ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2501.03945. Full description at Econpapers || Download paper |
| 2025 | Inference in dynamic models for panel data using the moving block bootstrap. (2025). Jochmans, Koen ; Higgins, Ayden. In: Papers. RePEc:arx:papers:2502.08311. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1193. Full description at Econpapers || Download paper |
| 2025 | Under 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. Full description at Econpapers || Download paper |
| 2024 | Heteroskedastic 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. Full description at Econpapers || Download paper |
| 2024 | Conditional-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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2024 | Robust 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. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | Cross-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. Full description at Econpapers || Download paper |
| 2024 | Robust 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. Full description at Econpapers || Download paper |
| 2024 | Empirical 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. Full description at Econpapers || Download paper |
| 2024 | Bootstrapping 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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2024 | Testing 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. Full description at Econpapers || Download paper |
| 2024 | Properties 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. Full description at Econpapers || Download paper |
| 2024 | Panel 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. Full description at Econpapers || Download paper |
| 2024 | Unbounded 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. Full description at Econpapers || Download paper |
| 2024 | Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity. (2024). Wang, Wenjie ; Tchatoka, Firmin Doko. In: MPRA Paper. RePEc:pra:mprapa:123060. Full description at Econpapers || Download paper |
| 2024 | Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072. Full description at Econpapers || Download paper |
| 2025 | Inference in Dynamic Models for Panel Data Using The Moving Block Bootstrap. (2025). Jochmans, Koen ; Higgins, Ayden. In: TSE Working Papers. RePEc:tse:wpaper:130347. Full description at Econpapers || Download paper |
| 2024 | Heteroskedastic 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. Full description at Econpapers || Download paper |
Works by Giuseppe Cavaliere:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 65 |
| 2010 | Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
| 2008 | Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2007 | Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2008 | Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
| 2011 | TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2009 | Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2009 | Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 47 |
| 2010 | COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
| 2010 | Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
| 2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2014 | Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2014 | Bootstrap 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] | paper | 14 |
| 2015 | Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2013 | Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2015 | Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2016 | Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2017 | Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
| 2017 | Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2016 | Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2019 | Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2022 | Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2019 | Inference under random limit bootstrap measures In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2020 | Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2021 | Bootstrapping Non-Stationary Stochastic Volatility In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2021 | Bootstrap Inference for Hawkes and General Point Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Bootstrap inference for Hawkes and general point processes.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Specification tests for GARCH processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Specification tests for GARCH processes.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | MinP Score Tests with an Inequality Constrained Parameter Space In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Inference in heavy-tailed non-stationary multivariate time series In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2024 | Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2022) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2023) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Time-Varying Poisson Autoregression In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Bootstrap inference in the presence of bias In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2024 | Bootstrap Inference in the Presence of Bias.(2024) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2022 | The Econometrics of Financial Duration Modeling In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Factor Network Autoregressions In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2023 | An identification and testing strategy for proxy-SVARs with weak proxies In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2024 | An identification and testing strategy for proxy-SVARs with weak proxies.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Parameters on the boundary in predictive regression In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers. [Citation analysis] | paper | 1 |
| 2006 | Testing the Null of Co‐integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2008 | Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 26 |
| 2015 | Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2015 | Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Testing 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] | article | 3 |
| 2017 | On 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] | article | 7 |
| 2016 | On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.(2016) In: Quaderni di Dipartimento. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2018 | The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
| 2006 | Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2015 | A 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] | article | 7 |
| 2013 | A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2015 | Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Co€ integration Rank Determination in Partial Systems Using Information Criteria In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2006 | International dynamic risk sharing In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 7 |
| 2008 | International dynamic risk sharing.(2008) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2011 | Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 8 |
| 2013 | EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2015 | Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 8 |
| 2018 | UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2016 | Bootstrapping DSGE models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 10 |
| 2007 | TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2006 | Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.(2005) In: Rivista di Politica Economica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2003 | Limited time series with a unit root In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 51 |
| 2005 | LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
| 2003 | Unit root tests under time-varying variances In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 58 |
| 2005 | Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | article | |
| 2006 | A note on unit root testing in the presence of level shifts In: Statistica. [Citation analysis] | article | 0 |
| 2024 | Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry In: Development Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2005 | STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
| 2008 | BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 74 |
| 2008 | REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2009 | HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory. [Full Text][Citation analysis] | article | 45 |
| 2009 | ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
| 2018 | DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
| 2016 | Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2012 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2015 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2011 | Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2009 | Consumption risk sharing and adjustment costs In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2006 | Consumption risk sharing and adjustment costs.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica. [Full Text][Citation analysis] | article | 63 |
| 2000 | A Rescaled Range Statistics Approach to Unit Root Tests In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Testing the unit root hypothesis using generalized range statistics In: Econometrics Journal. [Citation analysis] | article | 9 |
| 2003 | Asymptotics for unit root tests under Markov regime-switching In: Econometrics Journal. [Full Text][Citation analysis] | article | 8 |
| 2004 | Testing stationarity under a permanent variance shift In: Economics Letters. [Full Text][Citation analysis] | article | 11 |
| 2007 | Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 104 |
| 2008 | Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2006 | Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2014 | Testing for unit roots in bounded time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 62 |
| 2016 | Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2013 | Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2013 | Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2022 | Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2018 | BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2024 | Tail behavior of ACD models and consequences for likelihood-based estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2006 | Regional consumption dynamics and risk sharing in Italy In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 6 |
| 2016 | Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2001 | Determining the number of cointegrating relations under rank constraints In: Economics and Quantitative Methods. [Full Text][Citation analysis] | paper | 1 |
| 2020 | The Wealth of Parents: Trends over Time in Assortative Mating Based on Parental Wealth In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | What Is Real and What Is Not in the Global FDI Network? In: Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Determination 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] | article | 0 |
| 2009 | Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.(2013) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2020 | Determining the rank of cointegration with infinite variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Bounded integrated processes and unit root tests In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 2 |
| 2003 | Fundamentals and asset price dynamics In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 2009 | Tests for cointegration rank and choice of the alternative In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 1999 | A new approach to stock price modelling and the efficiency of the Italian stock exchange In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 1999 | Firm size and the Italian Stock Exchange In: Applied Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2005 | Testing mean reversion in target-zone exchange rates In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
| 2009 | A Note on Testing Covariance Stationarity In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2009 | Bootstrap M Unit Root Tests In: Econometric Reviews. [Full Text][Citation analysis] | article | 13 |
| 2013 | Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
| 2020 | Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 14 |
| 2024 | Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models In: Econometrica. [Full Text][Citation analysis] | article | 11 |
| 2022 | Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 3 |
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