Items where Author is "Cavaliere, Giuseppe"

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 (Unpublished)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 Ørregaard Nielsen, Morten and Taylor, AM Robert (2022) Adaptive Inference in Heteroskedastic Fractional Time Series Models. Journal of Business and Economic Statistics, 40 (1). pp. 50-65. DOI https://doi.org/10.1080/07350015.2020.1773275

Cavaliere, Giuseppe and Ørregaard Nielsen, Morten and Taylor, AM Robert (2020) Adaptive Inference in Heteroskedastic Fractional Time Series Models. Working Paper. Essex Finance Centre Woring Papers. (Unpublished)

Cavaliere, Giuseppe and Skrobotov, Anton and Taylor, AM Robert (2019) Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews, 38 (5). pp. 509-532. DOI https://doi.org/10.1080/07474938.2017.1348684

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

Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2018) Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory, 34 (02). pp. 302-348. DOI https://doi.org/10.1017/S0266466616000037

Cavaliere, Giuseppe and Nielsen, Morten Ørregaard and Taylor, AM Robert (2017) Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198 (1). pp. 165-188. DOI https://doi.org/10.1016/j.jeconom.2017.01.008

Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2016) Sieve-based inference for infinite-variance linear processes. Annals of Statistics, 44 (4). pp. 1467-1494. DOI https://doi.org/10.1214/15-AOS1419

Boswijk, H Peter and Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2016) Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192 (1). pp. 64-85. DOI https://doi.org/10.1016/j.jeconom.2015.07.005

Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2015) Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates. Oxford Bulletin of Economics and Statistics, 77 (5). pp. 740-759. DOI https://doi.org/10.1111/obes.12090

Cavaliere, Giuseppe and Harvey, David I and Leybourne, Stephen J 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). pp. 603-629. DOI https://doi.org/10.1111/jtsa.12067

Cavaliere, Giuseppe and Nielsen, Morten Ørregaard and Taylor, AM Robert (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). pp. 557-579. DOI https://doi.org/10.1016/j.jeconom.2015.02.039

Cavaliere, Giuseppe and Rahbek, Anders 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). pp. 272-289. DOI https://doi.org/10.1111/jtsa.12104

Cavaliere, Giuseppe and Phillips, Peter CB and Smeekes, Stephan and Taylor, AM Robert (2015) Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, 34 (4). pp. 512-536. DOI https://doi.org/10.1080/07474938.2013.808065

Cavaliere, Giuseppe and Angelis, Luca De and Rahbek, Anders 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). pp. 106-128. DOI https://doi.org/10.1111/obes.12051

Cavaliere, Giuseppe and Rahbek, Anders and Robert Taylor, AM (2014) Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models. Econometric Reviews, 33 (5-6). pp. 606-650. DOI https://doi.org/10.1080/07474938.2013.825175

Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2013) Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews, 32 (7). pp. 814-847. DOI https://doi.org/10.1080/07474938.2012.690677

Cavaliere, Giuseppe and Georgiev, Iliyan and Robert Taylor, AM (2013) Wild Bootstrap of the Sample Mean in the Infinite Variance Case. Econometric Reviews, 32 (2). pp. 204-219. DOI https://doi.org/10.1080/07474938.2012.690660

Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2010) Testing for co-integration in vector autoregressions with non-stationary volatility. Journal of Econometrics, 158 (1). pp. 7-24. DOI https://doi.org/10.1016/j.jeconom.2010.03.003