Giuseppe Cavaliere

University of Bologna - Department of Economics

Bologna

Italy

SCHOLARLY PAPERS

17

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1,415

SSRN CITATIONS
Rank 16,245

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Top 16,245

in Total Papers Citations

72

CROSSREF CITATIONS

12

Scholarly Papers (17)

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 218 (251,965)

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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 155 (339,505)
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 119 (417,422)
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 68 (606,003)
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 46 (734,291)
Citation 1

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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, 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 58 (659,106)
Citation 7

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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
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 54 (682,794)
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
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 95 (490,200)
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 83 (533,396)
Citation 1

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

8.

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 81 (541,195)
Citation 5

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

9.

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 79 (549,310)
Citation 5

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unit roots, limited time series, regulated Brownian motion

10.

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 74 (570,171)
Citation 1

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

11.

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 74 (570,171)
Citation 14

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

12.

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 74 (570,171)
Citation 9

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

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 49 (698,417)
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 38 (772,067)
Citation 1

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

15.

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 31 (826,291)
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,

16.

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 19 (934,614)

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

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