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Giuseppe Cavaliere

Professore ordinario

Dipartimento di Scienze Economiche

Settore scientifico disciplinare: SECS-P/05 ECONOMETRIA

Pubblicazioni

Cavaliere, Giuseppe*; Nielsen, Heino Bohn; Rahbek, Anders, Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», in corso di stampa, in stampa, pp. 1 - 13 [articolo]

Giuseppe Cavaliere; Luca De Angelis; Luca Fanelli, Co-integration rank determination in partial systems using information criteria, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2018, 80, pp. 65 - 89 [articolo]

Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Taylor, A. M. Robert, Determining the cointegration rank in heteroskedastic VAR models of unknown order, «ECONOMETRIC THEORY», 2018, 34, pp. 349 - 382 [articolo]

BROWNLEES, CHRISTIAN; CAVALIERE, GIUSEPPE; MONTI, ALICE, EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT, «ANNALS OF FINANCIAL ECONOMICS», 2018, 13, pp. 1 - 28 [articolo]

Cavaliere, Giuseppe*; Pedersen, Rasmus Søndergaard; Rahbek, Anders, The Fixed Volatility Bootstrap for a Class of Arch(q) Models, «JOURNAL OF TIME SERIES ANALYSIS», 2018, 39, pp. 920 - 941 [articolo]

Cavaliere, Giuseppe; Georgiev, ILIYAN VLADIMIROV; Taylor, A. M. Robert, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, «ECONOMETRIC THEORY», 2018, 34, pp. 302 - 348 [articolo]

Cavaliere, Giuseppe; Nielsen, Heino Bohn; Rahbek, Anders, On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, «JOURNAL OF TIME SERIES ANALYSIS», 2017, 38, pp. 513 - 534 [articolo]

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert, Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, «JOURNAL OF ECONOMETRICS», 2017, 198, pp. 165 - 188 [articolo]

Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert, Inference on co-integration parameters in heteroskedastic vector autoregressions, «JOURNAL OF ECONOMETRICS», 2016, 192, pp. 64 - 85 [articolo]

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; Rahbek, Anders, Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), «JOURNAL OF EMPIRICAL FINANCE», 2016, 38, pp. 640 - 663 [articolo]

Cavaliere, Giuseppe; Georgiev, Iliyan; Robert Taylor, A.M., Sieve-based inference for infinite-variance linear processes, «ANNALS OF STATISTICS», 2016, 44, pp. 1467 - 1494 [articolo]

Giuseppe Cavaliere; Luca De Angelis; Anders Rahbek; and A.M.Robert Taylor, A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2015, 77, pp. 106 - 128 [articolo]

Giuseppe Cavaliere; A. M. Robert Taylor; Carsten Trenkler, Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2015, 77, pp. 740 - 759 [articolo]

Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 272 - 289 [articolo]

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert, Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, «JOURNAL OF ECONOMETRICS», 2015, 187, pp. 557 - 579 [articolo]

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