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Giuseppe Cavaliere

Full Professor

Department of Economics

Academic discipline: SECS-P/05 Econometrics

Publications

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

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 [Scientific article]

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 [Scientific article]

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 [Scientific article]

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 [Scientific article]Open Access

Giuseppe Cavaliere; Heino Bohn Nielsen; Anders Rahbek, Bootstrap testing of hypotheses on co-integration relations in VAR models, «ECONOMETRICA», 2015, 83, pp. 813 - 831 [Scientific article]Open Access

Giuseppe Cavaliere; Peter C.B. Phillips; Stephan Smeekes; A.M. Robert Taylor, Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, «ECONOMETRIC REVIEWS», 2015, 34, pp. 512 - 536 [Scientific article]

Giuseppe Cavaliere; Dimitris N. Politis; Anders Rahbek, Recent Developments in Bootstrap Methods for Dependent Data, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 269 - 271 [Comment or similar]

Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Robert Taylor, A.M., Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 603 - 629 [Scientific article]

Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, «ECONOMETRIC REVIEWS», 2014, 33, pp. 606 - 650 [Scientific article]

G. Cavaliere; F. Xu, Testing for unit roots in bounded time series, «JOURNAL OF ECONOMETRICS», 2014, 178, pp. 259 - 272 [Scientific article]

G. Cavaliere; A.M.R. Taylor; C. Trenkler, Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, «ECONOMETRIC REVIEWS», 2013, 32, pp. 814 - 847 [Scientific article]

Giuseppe Cavaliere;Iliyan Georgiev, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, «ECONOMETRIC THEORY», 2013, 29, pp. 1162 - 1195 [Scientific article]

G. Cavaliere; I. Georgiev; A.M.R. Taylor, Wild bootstrap of the mean in the infinite variance case, «ECONOMETRIC REVIEWS», 2013, 32, pp. 204 - 219 [Scientific article]

G. Cavaliere; A. Rahbek; A.M.R. Taylor, Bootstrap determination of the co-integration rank in VAR models, «ECONOMETRICA», 2012, 80, pp. 1721 - 1740 [Scientific article]

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