Giuseppe Cavaliere

University of Bologna - Department of Economics

Bologna

Italy

SCHOLARLY PAPERS

25

DOWNLOADS

968

SSRN CITATIONS
Rank 8,129

SSRN RANKINGS

Top 8,129

in Total Papers Citations

72

CROSSREF CITATIONS

87

Scholarly Papers (25)

1.

An Introduction to Bootstrap Theory in Time Series Econometrics

Number of pages: 35 Posted: 28 May 2020
Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 118 (328,386)

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Bootstrap Theory; Bootstrap Implementation; Econometric Time Series Analysis; Testing; Asymptotic Theory; Auto-regressive Models

2.

Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility

CREATES Research Paper No. 2008-50, Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-34
Number of pages: 39 Posted: 03 Oct 2008
Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 116 (332,424)
Citation 22

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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap

3.

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna - Department of Economics, University of Auckland Business School, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 97 (374,770)
Citation 3

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Unit root test, Lag selection, Information criteria, Wild bootstrap, Nonstationary volatility

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-07
Number of pages: 24 Posted: 12 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 49 (546,451)
Citation 1

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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

CREATES Research Paper No. 2010-7
Number of pages: 25 Posted: 11 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 33 (635,997)
Citation 1

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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap

5.

Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

Number of pages: 36 Posted: 05 Dec 2018
University of Bologna - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 76 (433,760)
Citation 3

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Inference on the boundary, Nuisance parameters on the boundary, ARCH models, Bootstrap

6.

Bootstrapping DSGE Models

Quaderni di Dipartimento, Serie Ricerche, 2016, n. 3
Number of pages: 68 Posted: 19 Oct 2016
Giovanni Angelini, Giuseppe Cavaliere and Luca Fanelli
University of Bologna - School of Economics, Management, and Statistics, University of Bologna - Department of Economics and Universita di Bologna
Downloads 59 (494,114)
Citation 1

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Bootstrap, Cross-equation restrictions, DSGE, QLR test, State space model, Weak identification

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 36 (617,079)
Citation 1

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 22 (719,425)
Citation 4

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

8.

Limited Time Series with a Unit Root

Econometric Theory, Vol. 21, No. 5, 2005
Number of pages: 44 Posted: 06 Oct 2008
Giuseppe Cavaliere
University of Bologna - Department of Economics
Downloads 56 (506,119)
Citation 5

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unit roots, limited time series, regulated Brownian motion

9.

Co-Integration Rank Testing under Conditional Heteroskedasticity

CREATES Research Paper No. 2009-22
Number of pages: 48 Posted: 28 May 2009
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 51 (527,623)
Citation 9

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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap

10.

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-11
Number of pages: 37 Posted: 05 Sep 2012
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 49 (536,648)
Citation 14

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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity

11.

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

CREATES Research Paper No. 2008-62
Number of pages: 44 Posted: 02 Dec 2008
University of Bologna - Department of Economics, University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 49 (536,648)
Citation 5

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Unit root tests, quasi difference de-trending, trend break, non-stationary volatility, wild bootstrap

12.

A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models

Number of pages: 49 Posted: 02 May 2019
Giuseppe Cavaliere and Anders Rahbek
University of Bologna - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 46 (550,722)
Citation 1

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Bootstrap; Hypothesis testing; Double-autoregressive models; Parameter on the boundary; Infinite variance

13.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
Downloads 35 (608,711)
Citation 2

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Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution

14.

Bootstrap inference for Hawkes and general point processes

Number of pages: 46 Posted: 13 May 2021
Department of Economics, University of Bologna - Department of Economics, The University of Sydney - School of Economics, University of Copenhagen - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 21 (705,360)

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self-exciting point processes, conditional intensity, bootstrap inference, Hawkes process

15.

Testing the Null of Co-Integration in the Presence of Variance Breaks

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 613-636, July 2006
Number of pages: 24 Posted: 02 Jun 2006
Giuseppe Cavaliere and A. M. Robert Taylor
University of Bologna - Department of Economics and University of Birmingham - Department of Economics
Downloads 20 (713,418)

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16.

Testing for a Change in Persistence in the Presence of a Volatility Shift

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 761-781, December 2006
Number of pages: 21 Posted: 24 Nov 2006
Giuseppe Cavaliere and A. M. Robert Taylor
University of Bologna - Department of Economics and University of Nottingham - School of Economics
Downloads 15 (755,975)
Citation 1

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17.

Specification Tests for GARCH Processes

Number of pages: 46 Posted: 02 Jun 2021
Giuseppe Cavaliere, Indeewara Perera and Anders Rahbek
University of Bologna - Department of Economics, University of Sheffield - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 9 (814,313)

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GARCH model, bootstrap, specification test, Kolmogorov-Smirnov test, Cramér-von Mises test, marked empirical process, nuisance parameters on the boundary,

18.

Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 300-330, March 2008
Number of pages: 31 Posted: 29 Feb 2008
Giuseppe Cavaliere, Robert Taylor and Robert Taylor
University of Bologna - Department of Economics and University of EssexUniversity of Essex - Essex Business School
Downloads 9 (814,313)
Citation 3

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19.

The Fixed Volatility Bootstrap for a Class of Arch() Models

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 920-941, 2018
Number of pages: 22 Posted: 07 Oct 2018
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 1 (910,161)
Citation 2

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ARCH, fixed Volatility bootstrap, hypothesis testing

20.

A Comparison of Sequential and Information‐Based Methods for Determining the Co‐Integration Rank in Heteroskedastic VAR Models

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 1, pp. 106-128, 2015
Number of pages: 23 Posted: 07 Jan 2015
University of Bologna - Department of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 1 (910,161)

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21.

On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space

Journal of Time Series Analysis, Vol. 38, Issue 4, pp. 513-534, 2017
Number of pages: 22 Posted: 03 Jun 2017
Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 0 (926,015)
Citation 3

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bootstrap, boundary, ARCH, location model

22.

Bootstrap Co‐Integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 5, pp. 740-759, 2015
Number of pages: 20 Posted: 08 Sep 2015
Giuseppe Cavaliere, Robert Taylor, Robert Taylor and Carsten Trenkler
University of Bologna - Department of Economics, University of EssexUniversity of Essex - Essex Business School and University of Mannheim - Department of Economics
Downloads 0 (926,015)

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23.

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 603-629, 2015
Number of pages: 27 Posted: 28 Jul 2015
University of Bologna - Department of Economics, University of Nottingham - School of Economics, University of Nottingham and University of Essex
Downloads 0 (926,015)
Citation 1

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Infimum unit root test, multiple trend breaks, non‐stationary volatility, wild bootstrap

24.

Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 272-289, 2015
Number of pages: 18 Posted: 24 Apr 2015
Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 0 (926,015)

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Bootstrap, co‐integration, trace statistic, rank determination, unrestricted constant, unrestricted trend

25.

Testing the Unit Root Hypothesis Using Generalized Range Statistics

Posted: 05 Sep 2001
Giuseppe Cavaliere
University of Bologna - Department of Economics

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Rescaled range statistics, Unit root tests, Long memory