Giuseppe Cavaliere
Names
| first: |
Giuseppe |
| last: |
Cavaliere |
Identifer
Contact
Affiliations
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University of Exeter
/ Business School
/ Department of Economics (weight: 50%)
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Alma Mater Studiorum - Università di Bologna
/ Dipartimento di Scienze Economiche (weight: 50%)
Research profile
author of:
- Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (RePEc:aah:create:2008-50)
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility (RePEc:aah:create:2008-62)
by Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor - Co-integration Rank Testing under Conditional Heteroskedasticity (RePEc:aah:create:2009-22)
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - Bootstrap Sequential Determination of the Co-integration Rank in VAR Models (RePEc:aah:create:2010-07)
by Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models (RePEc:aah:create:2012-36)
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets (RePEc:aah:create:2014-22)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor - Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (RePEc:aah:create:2015-11)
by Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek - Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form (RePEc:aah:create:2017-02)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor - Adaptive Inference in Heteroskedastic Fractional Time Series Models (RePEc:aah:create:2020-08)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor - Unknown item RePEc:ags:quedwp:274634 (paper)
- Unknown item RePEc:ags:quedwp:274649 (paper)
- Unknown item RePEc:ags:quedwp:274716 (paper)
- Inference under random limit bootstrap measures (RePEc:arx:papers:1911.12779)
by Giuseppe Cavaliere & Iliyan Georgiev - Bootstrapping Non-Stationary Stochastic Volatility (RePEc:arx:papers:2101.03562)
by H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev - Bootstrap Inference for Hawkes and General Point Processes (RePEc:arx:papers:2104.03122)
by Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard - Specification tests for GARCH processes (RePEc:arx:papers:2105.14081)
by Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek - MinP Score Tests with an Inequality Constrained Parameter Space (RePEc:arx:papers:2107.06089)
by Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang - Inference in heavy-tailed non-stationary multivariate time series (RePEc:arx:papers:2107.13894)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models (RePEc:arx:papers:2202.02532)
by H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor - Time-Varying Poisson Autoregression (RePEc:arx:papers:2207.11003)
by Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis - Bootstrap inference in the presence of bias (RePEc:arx:papers:2208.02028)
by Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli - The Econometrics of Financial Duration Modeling (RePEc:arx:papers:2208.02098)
by Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt - Factor Network Autoregressions (RePEc:arx:papers:2208.02925)
by Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco - An identification and testing strategy for proxy-SVARs with weak proxies (RePEc:arx:papers:2210.04523)
by Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli - Asymptotics for the Generalized Autoregressive Conditional Duration Model (RePEc:arx:papers:2307.01779)
by Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt - Parameters on the boundary in predictive regression (RePEc:arx:papers:2409.12611)
by Giuseppe Cavaliere & Iliyan Georgiev & Edoardo Zanelli - Testing the Null of Co-integration in the Presence of Variance Breaks (RePEc:bir:birmec:05-10)
by Giuseppe Cavaliere & A M Robert Taylor - Testing the Null of Co‐integration in the Presence of Variance Breaks (RePEc:bla:jtsera:v:27:y:2006:i:4:p:613-636)
by Giuseppe Cavaliere & A. M. Robert Taylor - Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330)
by Giuseppe Cavaliere & A. M. Robert Taylor - Recent developments in bootstrap methods for dependent data (RePEc:bla:jtsera:v:36:y:2015:i:3:p:269-271)
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek - Recent developments in bootstrap methods for dependent data (RePEc:bla:jtsera:v:36:y:2015:i:3:p:272-289)
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics (RePEc:bla:jtsera:v:36:y:2015:i:5:p:603-629)
by Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space (RePEc:bla:jtsera:v:38:y:2017:i:4:p:513-534)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - The Fixed Volatility Bootstrap for a Class of Arch(q) Models (RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941)
by Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek - Testing for a Change in Persistence in the Presence of a Volatility Shift (RePEc:bla:obuest:v:68:y:2006:i:s1:p:761-781)
by Giuseppe Cavaliere & A. M. Robert Taylor - A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models (RePEc:bla:obuest:v:77:y:2015:i:1:p:106-128)
by Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor - Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates (RePEc:bla:obuest:v:77:y:2015:i:5:p:740-759)
by Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler - Co†integration Rank Determination in Partial Systems Using Information Criteria (RePEc:bla:obuest:v:80:y:2018:i:1:p:65-89)
by Giuseppe Cavaliere & Luca De Angelis & Luca Fanelli - International dynamic risk sharing (RePEc:bot:quadip:1)
by Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini - Testing for unit roots in autoregressions with multiple level shifts (RePEc:bot:quadip:2)
by Giuseppe Cavaliere & Iliyan Georgiev - Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia (RePEc:bot:quadip:3)
by Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli - International dynamic risk sharing (RePEc:bot:quadip:wpaper:1)
by Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini - Wild bootstrap of the mean in the infinite variance case (RePEc:bot:quadip:wpaper:108)
by Giuseppe Cavaliere & Iliyan Georgiev & A.M.Robert Taylor - Bootstrap determination of the co-integration rank in VAR models (RePEc:bot:quadip:wpaper:113)
by Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert - Exploiting infinite variance through Dummy Variables in non-stationary autoregressions (RePEc:bot:quadip:wpaper:118)
by Giuseppe Cavaliere & Iliyan Georgiev - A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models (RePEc:bot:quadip:wpaper:121)
by Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor - Sieve-based inference for infinite-variance linear processes (RePEc:bot:quadip:wpaper:129)
by Giuseppe Cavaliere & Iliyan Georgiev & A.M. Robert Taylor - Unit root inference for non-stationary linear processes driven by infinite variance innovations (RePEc:bot:quadip:wpaper:130)
by Giuseppe Cavaliere & Iliyan Georgiev & Robert Taylor - Bootstrapping DSGE models (RePEc:bot:quadip:wpaper:133)
by Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli - Co-integration rank determination in partial systems using information criteria (RePEc:bot:quadip:wpaper:135)
by Giuseppe Cavaliere & Luca De Angelis & Luca Fanelli - On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space (RePEc:bot:quadip:wpaper:136)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - Testing for unit roots in autoregressions with multiple level shifts (RePEc:bot:quadip:wpaper:2)
by Giuseppe Cavaliere & Iliyan Georgiev - Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia (RePEc:bot:quadip:wpaper:3)
by Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli - Limited time series with a unit root (RePEc:bot:quadip:wpaper:88)
by Giuseppe Cavaliere - Unit root tests under time-varying variances (RePEc:bot:quadip:wpaper:89)
by Giuseppe Cavaliere - A note on unit root testing in the presence of level shifts (RePEc:bot:rivsta:v:66:y:2006:i:1:p:4-18)
by Giuseppe Cavaliere & Iliyan Georgiev - Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry (RePEc:csl:devewp:492)
by Giuseppe Cavaliere & Graziano Moramarco & Alireza Naghavi - 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint (RePEc:cup:etheor:v:19:y:2003:i:04:p:691-692_22)
by Cavaliere, Giuseppe - Limited Time Series With A Unit Root (RePEc:cup:etheor:v:21:y:2005:i:05:p:907-945_05)
by Cavaliere, Giuseppe - Stationarity Tests Under Time-Varying Second Moments (RePEc:cup:etheor:v:21:y:2005:i:06:p:1112-1129_05)
by Cavaliere, Giuseppe & Taylor, A.M. Robert - Testing For Unit Roots In Autoregressions With Multiple Level Shifts (RePEc:cup:etheor:v:23:y:2007:i:06:p:1162-1215_07)
by Cavaliere, Giuseppe & Georgiev, Iliyan - Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility (RePEc:cup:etheor:v:24:y:2008:i:01:p:43-71_08)
by Cavaliere, Giuseppe & Taylor, A.M. Robert - Regime-Switching Autoregressive Coefficients And The Asymptotics For Unit Root Tests (RePEc:cup:etheor:v:24:y:2008:i:04:p:1137-1148_08)
by Cavaliere, Giuseppe & Georgiev, Iliyan - Heteroskedastic Time Series With A Unit Root (RePEc:cup:etheor:v:25:y:2009:i:05:p:1228-1276_09)
by Cavaliere, Giuseppe & Taylor, A.M. Robert - Robust Inference In Autoregressions With Multiple Outliers (RePEc:cup:etheor:v:25:y:2009:i:06:p:1625-1661_99)
by Cavaliere, Giuseppe & Georgiev, Iliyan - Cointegration Rank Testing Under Conditional Heteroskedasticity (RePEc:cup:etheor:v:26:y:2010:i:06:p:1719-1760_99)
by Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert - Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility (RePEc:cup:etheor:v:27:y:2011:i:05:p:957-991_00)
by Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert - Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions (RePEc:cup:etheor:v:29:y:2013:i:06:p:1162-1195_00)
by Cavaliere, Giuseppe & Georgiev, Iliyan - Unit Root Inference For Non-Stationary Linear Processes Driven By Infinite Variance Innovations (RePEc:cup:etheor:v:34:y:2018:i:02:p:302-348_00)
by Cavaliere, Giuseppe & Georgiev, Iliyan & Taylor, A.M.Robert - Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order (RePEc:cup:etheor:v:34:y:2018:i:02:p:349-382_00)
by Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M. - Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (RePEc:cwl:cwldpp:1844)
by Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor - Consumption risk sharing and adjustment costs (RePEc:ebl:ecbull:eb-09-00172)
by Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini - Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models (RePEc:ecm:emetrp:v:80:y:2012:i:4:p:1721-1740)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - A Rescaled Range Statistics Approach to Unit Root Tests (RePEc:ecm:wc2000:0318)
by Giuseppe Cavaliere - Testing the unit root hypothesis using generalized range statistics (RePEc:ect:emjrnl:v:4:y:2001:i:1:p:39a)
by Giuseppe Cavaliere - Asymptotics for unit root tests under Markov regime-switching (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:193-216)
by Giuseppe Cavaliere - Testing stationarity under a permanent variance shift (RePEc:eee:ecolet:v:82:y:2004:i:3:p:403-408)
by Cavaliere, Giuseppe - Testing for unit roots in time series models with non-stationary volatility (RePEc:eee:econom:v:140:y:2007:i:2:p:919-947)
by Cavaliere, Giuseppe & Taylor, A.M. Robert - Testing for a change in persistence in the presence of non-stationary volatility (RePEc:eee:econom:v:147:y:2008:i:1:p:84-98)
by Cavaliere, Giuseppe & Taylor, A.M. Robert - Testing for co-integration in vector autoregressions with non-stationary volatility (RePEc:eee:econom:v:158:y:2010:i:1:p:7-24)
by Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert - Testing for unit roots in bounded time series (RePEc:eee:econom:v:178:y:2014:i:p2:p:259-272)
by Cavaliere, Giuseppe & Xu, Fang - Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (RePEc:eee:econom:v:187:y:2015:i:2:p:557-579)
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert - Inference on co-integration parameters in heteroskedastic vector autoregressions (RePEc:eee:econom:v:192:y:2016:i:1:p:64-85)
by Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert - Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (RePEc:eee:econom:v:198:y:2017:i:1:p:165-188)
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert - Bootstrapping non-stationary stochastic volatility (RePEc:eee:econom:v:224:y:2021:i:1:p:161-180)
by Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders - Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models (RePEc:eee:econom:v:227:y:2022:i:1:p:241-263)
by Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders - Bootstrap inference for Hawkes and general point processes (RePEc:eee:econom:v:235:y:2023:i:1:p:133-165)
by Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob - An identification and testing strategy for proxy-SVARs with weak proxies (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003202)
by Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca - Tail behavior of ACD models and consequences for likelihood-based estimation (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299)
by Cavaliere, Giuseppe & Mikosch, Thomas & Rahbek, Anders & Vilandt, Frederik - Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663)
by Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders - Regional consumption dynamics and risk sharing in Italy (RePEc:eee:reveco:v:15:y:2006:i:4:p:525-542)
by Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio - Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order (RePEc:esy:uefcwp:17454)
by Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR - Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models (RePEc:esy:uefcwp:33707)
by Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert - Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility (RePEc:gai:wpaper:wpaper-2016-269)
by Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert - Determining the number of cointegrating relations under rank constraints (RePEc:ins:quaeco:qf0109)
by Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo - International dynamic risk sharing (RePEc:jae:japmet:v:23:y:2008:i:1:p:1-16)
by Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini - Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (RePEc:kud:kuiedp:0834)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Bootstrap Sequential Determination of the Co-integration Rank in VAR Models (RePEc:kud:kuiedp:1007)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models (RePEc:kud:kuiedp:1211)
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions (RePEc:kud:kuiedp:1313)
by H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor - Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models (RePEc:kud:kuiedp:1810)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek - A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models (RePEc:kud:kuiedp:1903)
by Giuseppe Cavaliere & Anders Rahbek - An Introduction To Bootstrap Theory In Time Series Econometrics (RePEc:kud:kuiedp:2002)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - Bootstrap inference for Hawkes and general point processes (RePEc:kud:kuiedp:2105)
by Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard - Specification tests for GARCH processes (RePEc:kud:kuiedp:2106)
by Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek - Unknown item RePEc:lrk:eeaart:28_3_2 (article)
- Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates (RePEc:mnh:wpaper:32993)
by Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten - Testing for a change in persistence in the presence of non-stationary volatility (RePEc:not:notgts:06/04)
by Giuseppe Cavaliere & A. M. Robert Taylor - Testing for co-integration in vector autoregressions with non-stationary volatility (RePEc:not:notgts:07/02)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Co-integration rank tests under conditional heteroskedasticity (RePEc:not:notgts:09/02)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Testing for unit roots in the presence of a possible break in trend and non-stationary volatility (RePEc:not:notgts:09/05)
by Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion (RePEc:not:notgts:10/04)
by Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler - Determining the rank of cointegration with infinite variance (RePEc:not:notgts:20/01)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Consumption risk sharing and adjustment costs (RePEc:pra:mprapa:1641)
by Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio - Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets (RePEc:qed:wpaper:1309)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form (RePEc:qed:wpaper:1324)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - Adaptive Inference In Heteroskedastic Fractional Time Series Models (RePEc:qed:wpaper:1390)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia (RePEc:rpo:ripoec:v:95:y:2005:i:3:p:219-266)
by Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli - Bounded integrated processes and unit root tests (RePEc:spr:stmapp:v:11:y:2002:i:1:d:10.1007_bf02511445)
by Giuseppe Cavaliere - Fundamentals and asset price dynamics (RePEc:spr:stmapp:v:12:y:2003:i:2:d:10.1007_s10260-003-0053-3)
by Attilio Gardini & Giuseppe Cavaliere & Michele Costa - Tests for cointegration rank and choice of the alternative (RePEc:spr:stmapp:v:18:y:2009:i:2:p:169-191)
by Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo - A new approach to stock price modelling and the efficiency of the Italian stock exchange (RePEc:spr:stmapp:v:8:y:1999:i:1:p:25-47)
by Attilio Gardini & Giuseppe Cavaliere & Michele Costa - Bootstrap Inference For Hawkes And General Point Processes (RePEc:syd:wpaper:2021-05)
by Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J - Firm size and the Italian Stock Exchange (RePEc:taf:apeclt:v:6:y:1999:i:11:p:729-734)
by Guiseppe Cavaliere & Michele Costa - Testing mean reversion in target-zone exchange rates (RePEc:taf:applec:v:37:y:2005:i:20:p:2335-2347)
by Giuseppe Cavaliere - Unit Root Tests under Time-Varying Variances (RePEc:taf:emetrv:v:23:y:2005:i:3:p:259-292)
by Giuseppe Cavaliere - A Note on Testing Covariance Stationarity (RePEc:taf:emetrv:v:28:y:2009:i:4:p:364-371)
by Giuseppe Cavaliere & A. M. Robert Taylor - Bootstrap M Unit Root Tests (RePEc:taf:emetrv:v:28:y:2009:i:5:p:393-421)
by Giuseppe Cavaliere & A. M. Robert Taylor - Wild Bootstrap of the Sample Mean in the Infinite Variance Case (RePEc:taf:emetrv:v:32:y:2013:i:2:p:204-219)
by Giuseppe Cavaliere & Iliyan Georgiev & A. M. Robert Taylor - Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion (RePEc:taf:emetrv:v:32:y:2013:i:7:p:814-847)
by Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler - Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (RePEc:taf:emetrv:v:33:y:2014:i:5-6:p:606-650)
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (RePEc:taf:emetrv:v:34:y:2015:i:4:p:512-536)
by Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor - Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility (RePEc:taf:emetrv:v:38:y:2019:i:5:p:509-532)
by Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor - Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models (RePEc:taf:emetrv:v:42:y:2023:i:9-10:p:725-757)
by H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor - Inference in Heavy-Tailed Nonstationary Multivariate Time Series (RePEc:taf:jnlasa:v:119:y:2024:i:545:p:565-581)
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani - Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling (RePEc:taf:jnlbes:v:38:y:2020:i:1:p:55-67)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - Adaptive Inference in Heteroscedastic Fractional Time Series Models (RePEc:taf:jnlbes:v:40:y:2022:i:1:p:50-65)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor - Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary (RePEc:taf:jnlbes:v:42:y:2024:i:1:p:197-214)
by Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek - Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions (RePEc:tin:wpaper:20130187)
by H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - Bootstrapping Non-Stationary Stochastic Volatility (RePEc:tin:wpaper:20190083)
by Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek - Lag length selection for unit root tests in the presence of nonstationary volatility (RePEc:unm:umamet:2011056)
by Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R. - Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models (RePEc:wly:emetrp:v:83:y:2015:i::p:813-831)
by Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek - Inference Under Random Limit Bootstrap Measures (RePEc:wly:emetrp:v:88:y:2020:i:6:p:2547-2574)
by Giuseppe Cavaliere & Iliyan Georgiev - Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models (RePEc:wly:japmet:v:37:y:2022:i:1:p:3-22)
by Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli - Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement (RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500094)
by Christian Brownlees & Giuseppe Cavaliere & Alice Monti