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Items where Author is "Cavaliere, Giuseppe"

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Number of items: 18.

Article

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. ISSN 0735-0015

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. ISSN 0747-4938

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. ISSN 0266-4666

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. ISSN 0266-4666

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. ISSN 0304-4076

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. ISSN 0090-5364

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. ISSN 0304-4076

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. ISSN 0305-9049

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. ISSN 0143-9782

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. ISSN 0304-4076

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. ISSN 0143-9782

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. ISSN 0747-4938

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. ISSN 0305-9049

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. ISSN 0747-4938

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. ISSN 0747-4938

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. ISSN 0747-4938

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. ISSN 0304-4076

Monograph

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)

This list was generated on Mon Aug 8 23:53:29 2022 BST.