Giuseppe Cavaliere

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Robert TaylorJohn C. Nankervis Chair of Financial Econometrics, University of EssexVerified email at essex.ac.uk
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
Iliyan GeorgievUniversity of BolognaVerified email at unibo.it
Luca FanelliProfessor of Econometrics, Department of Economics, University of BolognaVerified email at unibo.it
Michele CostaDepartment of Economics, University of BolognaVerified email at unibo.it
Morten Ørregaard NielsenProfessor of Economics at Aarhus University and Director of the Aarhus Center for Econometrics (ACE)Verified email at econ.au.dk
Luca De AngelisAssociate professor of Econometrics, University of BolognaVerified email at unibo.it
Steve Leybourneuniversity of nottinghamVerified email at nottingham.ac.uk
David HarveyProfessor of Econometrics, University of NottinghamVerified email at nottingham.ac.uk
H. Peter BoswijkProfessor of Financial Econometrics, University of AmsterdamVerified email at uva.nl
Giovanni AngeliniUniversity of BolognaVerified email at unibo.it
Rasmus Søndergaard PedersenAssociate Professor in Econometrics, University of CopenhagenVerified email at econ.ku.dk
Dennis KristensenUniversity College LondonVerified email at ucl.ac.uk
Arianna AgostoAssistant Professor, University of PaviaVerified email at unipv.it
Matteo BarigozziFull Professor - Alma Mater Studiorum Università di BolognaVerified email at unibo.it
Paolo ParuoloEuropean Commission Joint Research CentreVerified email at ec.europa.eu
mikoschUniversity of CopenhagenVerified email at math.ku.dk
Peter C. B. PhillipsYale UniversityVerified email at yale.edu
Stephan SmeekesProfessor of Econometrics, Maastricht UniversityVerified email at maastrichtuniversity.nl
Carsten TrenklerUniversity of MannheimVerified email at uni-mannheim.de

Giuseppe Cavaliere

University of Bologna and University of Exeter

Verified email at unibo.it - Homepage

Econometrics Time Series Analysis Financial Econometrics Statistical Inference


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Testing for unit roots in time series models with non-stationary volatility G Cavaliere, AMR Taylor Journal of Econometrics 140 (2), 919-947, 2007	196	2007
Unit root tests under time-varying variances G Cavaliere Econometric Reviews 23 (3), 259-292, 2005	183	2005
Bootstrap unit root tests for time series with nonstationary volatility G Cavaliere, AMR Taylor Econometric Theory 24 (1), 43, 2008	160	2008
Testing for co-integration in vector autoregressions with non-stationary volatility G Cavaliere, A Rahbek, AM Taylor Journal of Econometrics 158 (1), 7-24, 2010	151	2010
Bootstrap Determination of the Cointegration Rank in VAR Models A Rahbek, G Cavaliere, RAM Taylor Econometrica, 2012	144*	2012
Testing for unit roots in bounded time series G Cavaliere, F Xu Journal of Econometrics 178, 259-272, 2014	118	2014
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) A Agosto, G Cavaliere, D Kristensen, A Rahbek Journal of Empirical Finance 38, 640-663, 2016	110	2016
Cointegration rank testing under conditional heteroskedasticity G Cavaliere, A Rahbek, AMR Taylor Econometric Theory 26 (6), 1719-1760, 2010	109	2010
Heteroskedastic time series with a unit root G Cavaliere, AMR Taylor Econometric Theory 25 (5), 1228-1276, 2009	102	2009
Limited time series with a unit root G Cavaliere Econometric Theory 21 (5), 907-945, 2005	97	2005
Time‐transformed unit root tests for models with non‐stationary volatility G Cavaliere, AM Robert Taylor Journal of Time Series Analysis 29 (2), 300-330, 2008	74	2008
Testing for a change in persistence in the presence of non-stationary volatility G Cavaliere, AMR Taylor Journal of Econometrics 147 (1), 84-98, 2008	57	2008
Stationarity tests under time-varying second moments G Cavaliere, AMR Taylor Econometric Theory 21 (6), 1112, 2005	55	2005
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility G Cavaliere, DI Harvey, SJ Leybourne, AMR Taylor Econometric Theory 27 (5), 957-991, 2011	45	2011
Lag length selection for unit root tests in the presence of nonstationary volatility G Cavaliere, PCB Phillips, S Smeekes, AMR Taylor Econometric Reviews 34 (4), 512-536, 2015	43	2015
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models G Cavaliere, HB Nielsen, A Rahbek Econometrica 83 (2), 813–831, 2015	42	2015
Bootstrapping noncausal autoregressions: with applications to explosive bubble modeling G Cavaliere, HB Nielsen, A Rahbek Journal of Business & Economic Statistics 38 (1), 55-67, 2020	41	2020
Inference on co-integration parameters in heteroskedastic vector autoregressions HP Boswijk, G Cavaliere, A Rahbek, AMR Taylor Journal of Econometrics 192 (1), 64-85, 2016	39	2016
Bootstrap M unit root tests G Cavaliere, AM Robert Taylor Econometric Reviews 28 (5), 393-421, 2009	38	2009
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models G Cavaliere, HB Nielsen, RS Pedersen, A Rahbek Journal of Econometrics 227 (1), 241-263, 2022	37	2022

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