Items where Author is "De Angelis, Luca"
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Boswijk, H Peter and Cavaliere, Giuseppe and De Angelis, Luca and Taylor, AM Robert (2023) Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42 (9-10). pp. 725-757. DOI https://doi.org/10.1080/07474938.2023.2222633
Boswijk, H Peter and Cavaliere, Giuseppe and De Angelis, Luca and Taylor, AM Robert (2022) Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Cavaliere, Giuseppe and De Angelis, Luca and Rahbek, Anders and Taylor, AM Robert (2018) Determining the cointegration rank in heteroskedastic VAR models of unknown order. Econometric Theory, 34 (02). pp. 349-382. DOI https://doi.org/10.1017/S0266466616000335