Giuseppe Cavaliere : Citation Profile

Are you Giuseppe Cavaliere?

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

14

H index

23

i10 index

918

Citations

RESEARCH PRODUCTION:

66

Articles

68

Papers

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 36
   Journals where Giuseppe Cavaliere has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 70 (7.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca195
   Updated: 2024-11-04    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Rahbek, Anders (12)

Taylor, Robert (6)

Nielsen, Morten (4)

Barigozzi, Matteo (4)

De Angelis, Luca (4)

Fanelli, Luca (3)

Lu, Ye (3)

Moramarco, Graziano (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:

Skrobotov, Anton (39)

Taylor, Robert (36)

Demetrescu, Matei (36)

Phillips, Peter (35)

Smeekes, Stephan (26)

Perron, Pierre (20)

Kruse, Robinson (18)

Johansen, Soren (16)

Carrion-i-Silvestre, Josep (15)

Nielsen, Morten (13)

Rodrigues, Paulo (12)

Cites to:

Taylor, Robert (108)

Rahbek, Anders (77)

Phillips, Peter (48)

Hansen, Bruce (46)

Perron, Pierre (40)

Andrews, Donald (33)

Kilian, Lutz (29)

Davidson, Russell (27)

Goncalves, Silvia (26)

Engle, Robert (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 Analysis5
Oxford Bulletin of Economics and Statistics4
Statistical Methods & Applications4
Journal of Business & Economic Statistics3
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
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Essex Finance Centre Working Papers / University of Essex, Essex Business School2

Recent works citing Giuseppe Cavaliere (2024 and 2023)

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

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

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

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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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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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2023Asymptotic 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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2024The 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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2024Cross-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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2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

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

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

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

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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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2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165.

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

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

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

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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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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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

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

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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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2023.

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

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

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

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

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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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2023A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102.

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2023Local Trends in Price‐to‐Dividend Ratios—Assessment, Predictive Value, and Determinants. (2016). Herwartz, Helmut ; Xu, Fang ; Rengel, Malte. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:48:y:2016:i:8:p:1655-1690.

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

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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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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: 64		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: 64		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: 64		paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper46
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 46		article
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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This paper has nother version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper25
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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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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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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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.
[Full Text][Citation analysis]		paper27
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: 27		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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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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2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
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2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
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2019Inference under random limit bootstrap measures In: Papers.
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2020Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica.
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This paper has nother version. Agregated cites: 11		article
2021Bootstrapping Non-Stationary Stochastic Volatility In: Papers.
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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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2023Bootstrap inference for Hawkes and general point processes.(2023) In: Journal of Econometrics.
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2021Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers.
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2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers.
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2021Specification tests for GARCH processes In: Papers.
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2021Specification tests for GARCH processes.(2021) In: Discussion Papers.
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2021MinP Score Tests with an Inequality Constrained Parameter Space In: Papers.
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2021Inference in heavy-tailed non-stationary multivariate time series In: Papers.
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2024Inference in Heavy-Tailed Nonstationary Multivariate Time Series.(2024) In: Journal of the American Statistical Association.
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2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
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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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2023Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2023) In: Econometric Reviews.
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2022Time-Varying Poisson Autoregression In: Papers.
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2023Bootstrap inference in the presence of bias In: Papers.
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2022The Econometrics of Financial Duration Modeling In: Papers.
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2024Factor Network Autoregressions In: Papers.
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2023An identification and testing strategy for proxy-SVARs with weak proxies In: Papers.
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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: 3		article
2023Asymptotics for the Generalized Autoregressive Conditional Duration Model In: Papers.
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2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
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2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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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.
[Full Text][Citation analysis]		article3
2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space In: Journal of Time Series Analysis.
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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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2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
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