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Items where Author is "Cavaliere, G"

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Number of items: 11.

Article

Cavaliere, G and Nielsen, MØ and Taylor, AMR (2015) 'Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.' Journal of Econometrics, 187 (2). 557 - 579. ISSN 0304-4076

Cavaliere, G and Angelis, LD and Rahbek, A and Robert Taylor, AM (2015) 'A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR MODELS.' Oxford Bulletin of Economics and Statistics, 77 (1). 106 - 128. ISSN 0305-9049

Cavaliere, G and Robert Taylor, AM and Trenkler, C (2015) 'Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.' Oxford Bulletin of Economics and Statistics, 77 (5). 740 - 759. ISSN 0305-9049

Cavaliere, G and Rahbek, A and Robert Taylor, AM (2015) 'Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components.' Journal of Time Series Analysis, 36 (3). 272 - 289. ISSN 0143-9782

Cavaliere, G and Phillips, PCB and Smeekes, S and Taylor, AMR (2015) 'Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.' Econometric Reviews, 34 (4). 512 - 536. ISSN 0747-4938

Cavaliere, G and Harvey, DI and Leybourne, SJ and Robert Taylor, AM (2015) 'Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics.' Journal of Time Series Analysis, 36 (5). 603 - 629. ISSN 0143-9782

Cavaliere, G and Rahbek, A and Robert Taylor, AM (2014) 'Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.' Econometric Reviews, 33 (5-6). 606 - 650. ISSN 0747-4938

Cavaliere, G and Taylor, AMR and Trenkler, C (2013) 'Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.' Econometric Reviews, 32 (7). 814 - 847. ISSN 0747-4938

Cavaliere, G and Rahbek, A and Taylor, AMR (2012) 'Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models.' Econometrica, 80 (4). 1721 - 1740. ISSN 0012-9682

Cavaliere, G and Rahbek, A and Taylor, AMR (2010) 'Testing for co-integration in vector autoregressions with non-stationary volatility.' Journal of Econometrics, 158 (1). 7 - 24. ISSN 0304-4076

Monograph

Cavaliere, G and De Angelis, L and Rahbek, A and Taylor, AMR (2016) Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. UNSPECIFIED. Essex Finance Centre Working Papers.

This list was generated on Wed Sep 22 23:48:54 2021 BST.