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Giuseppe Cavaliere

Professore ordinario

Dipartimento di Scienze Economiche

Settore scientifico disciplinare: SECS-P/05 ECONOMETRIA


vai alle Pubblicazioni

Pubblicazioni antecedenti il 2004

Asymptotics for unit root tests under Markov-regime switching (2003), Econometrics Journal, 6, pp. 193-216.

Bounded integrated processes and unit root tests (2002), Statistical Methods and Applications, 11, pp. 41-70.

Testing the unit root hypothesis using generalized rescaled range statistics (2001), Econometrics Journal, 4, pp. 70-88.

Advertising effect on primary demand: a cointegration approach (2001), International Journal of Advertising, 20, pp. 319-339 (with G. Tassinari).

The R/S Statistics as a unit root test (2001), Econometric Theory, 17(2), p. 483, Problem. 01.2.2, Solution (2002) Econometric Theory, 18, pp. 544-545

The econometrics of risk sharing tests: a new perspective (2001), Statistica, LXI , 595-618. (with A. Gardini and L. Fanelli).

A new approach to stock price modeling and forecasting (1999), Journal of the Italian Statistical Society, 8, pp. 25-47 (with A. Gardini, M. Costa).

Size effect in the Italian Stock Exchange” (1999), Applied Economics Letters, 6, pp. 729-734 (with M.Costa).

Detecting undeclared target zones within the European Monetary System (1998), Statistica , LVIII, pp. 433-456.

Multivariate analysis of financial data (1997), Statistica applicata - The Italian Journal of Applied Statistics, 9, pp. 219-230. (with M. Costa)

Asymptotic inference for reflected Brownian motions (1997), Statistica, LVII, pp. 553-571.

Devaluation expectations and the unit root hypothesis: the Italian Lira in the European Monetary System”(1996), Journal of the Italian Statistical Society, 5, pp. 39-71.

Determining the number of factors in a generalized factor model (1995), Statistica, LV, pp. 495-516 [in Italian]

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