Giuseppe Cavaliere

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Person:250878

Available identifiers

zbMath Open cavaliere.giuseppeMaRDI QIDQ250878

List of research outcomes

PublicationDate of PublicationType
Inference in Heavy-Tailed Nonstationary Multivariate Time Series2024-03-19Paper
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary2024-03-06Paper
An identification and testing strategy for proxy-SVARs with weak proxies2024-02-13Paper
Tail behavior of ACD models and consequences for likelihood-based estimation2024-02-13Paper
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models2023-12-07Paper
Bootstrap inference for Hawkes and general point processes2023-06-09Paper
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models2022-05-31Paper
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility2022-05-31Paper
Wild Bootstrap of the Sample Mean in the Infinite Variance Case2022-05-31Paper
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion2022-05-31Paper
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models2022-03-16Paper
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility2022-03-04Paper
Bootstrapping non-stationary stochastic volatility2021-07-30Paper
Inference Under Random Limit Bootstrap Measures2021-06-07Paper
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS2021-04-16Paper
A new approach to stock price modelling and the efficiency of the Italian stock exchange2020-09-29Paper
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form2020-02-11Paper
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models2019-01-30Paper
The Fixed Volatility Bootstrap for a Class of Arch(q) Models2018-11-16Paper
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS2018-04-25Paper
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER2018-04-25Paper
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space2017-07-21Paper
Sieve-based inference for infinite-variance linear processes2016-09-07Paper
Testing for co-integration in vector autoregressions with non-stationary volatility2016-08-04Paper
The Role of the Normal Distribution in Financial Markets2016-07-14Paper
Testing for a change in persistence in the presence of non-stationary volatility2016-06-22Paper
Inference on co-integration parameters in heteroskedastic vector autoregressions2016-03-01Paper
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics2015-10-12Paper
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets2015-06-08Paper
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components2015-05-20Paper
Testing for unit roots in bounded time series2014-08-06Paper
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS2014-06-23Paper
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT2014-04-23Paper
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models2013-11-08Paper
Testing stationarity under a permanent variance shift2013-01-01Paper
Testing for unit roots in time series models with non-stationary volatility2012-09-23Paper
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS2012-05-14Paper
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY2011-11-22Paper
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY2011-04-21Paper
https://portal.mardi4nfdi.de/entity/Q30805822011-03-10Paper
https://portal.mardi4nfdi.de/entity/Q35653792010-06-03Paper
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS2009-12-15Paper
A Note on Testing Covariance Stationarity2009-10-21Paper
Tests for cointegration rank and choice of the alternative2009-10-13Paper
BootstrapMUnit Root Tests2009-08-28Paper
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY2009-06-11Paper
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS2009-06-11Paper
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility2009-02-28Paper
Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system2009-02-03Paper
Testing the Null of Co-integration in the Presence of Variance Breaks2007-05-29Paper
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS2006-03-22Paper
LIMITED TIME SERIES WITH A UNIT ROOT2006-03-08Paper
Bounded integrated processes and unit root tests2005-03-03Paper
Fundamentals and asset price dynamics2005-03-03Paper
Unit Root Tests under Time-Varying Variances2005-01-19Paper
Asymptotics for unit root tests under Markov regime‐switching2004-03-17Paper
Testing the unit root hypothesis using generalized range statistics2002-02-19Paper
https://portal.mardi4nfdi.de/entity/Q42594082001-04-09Paper
https://portal.mardi4nfdi.de/entity/Q31256971997-06-02Paper
https://portal.mardi4nfdi.de/entity/Q42247281997-01-01Paper

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