Giuseppe Cavaliere

University of Bologna - Department of Economics

Bologna

Italy

  • University of Bologna - Department of Economics

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SCHOLARLY PAPERS

17

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1,655

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81

Scholarly Papers (17)

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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 259 (234,861)

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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 197 (305,096)
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
Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Auckland Business School, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 128 (438,432)
Citation 3

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

4.

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

Downloads 126 (443,698)
Citation 2

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 72 (650,383)
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 54 (751,473)
Citation 1

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

5.

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Downloads 121 (457,619)
Citation 9

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
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
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 61 (709,119)
Citation 8

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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

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
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 60 (714,916)
Citation 1

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

6.

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

Number of pages: 36 Posted: 05 Dec 2018
Giuseppe Cavaliere, Heino Bohn Nielsen, Rasmus Søndergaard Pedersen and Anders Rahbek
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 110 (491,509)
Citation 3

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

7.

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 93 (551,468)
Citation 1

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

8.

Intellectual Property Rights and the Efficiency of International Production Networks: Evidence from the Automotive Industry

Centro Studi Luca d'Agliano Development Studies Working Paper No. 492
Number of pages: 38 Posted: 16 Jan 2024
Giuseppe Cavaliere, Graziano Moramarco and Alireza Naghavi
University of Bologna - Department of Economics, University of Bologna - Department of Economics and University of Bologna - Department of Economics
Downloads 85 (582,835)

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International production networks, Intellectual property rights, Ownership, Internalization, Automotive industry, Knowledge dissipation, Firm efficiency

9.

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
Giuseppe Cavaliere, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 85 (582,835)
Citation 5

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

10.

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 85 (582,835)
Citation 5

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unit roots, limited time series, regulated Brownian motion

11.

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 81 (599,896)
Citation 1

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

12.

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 79 (608,471)
Citation 14

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

13.

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 78 (612,932)
Citation 9

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

14.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev and Anders Rahbek
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
Downloads 52 (747,778)
Citation 3

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

15.

Bootstrap inference for Hawkes and general point processes

Number of pages: 46 Posted: 13 May 2021
U. Copenhagen Economics Discussion Paper Series, Giuseppe Cavaliere, Ye Lu, Anders Rahbek and Jacob Østergaard
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 42 (815,587)
Citation 1

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

16.

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 34 (879,272)
Citation 3

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

17.

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