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Giuseppe Cavaliere · SciRah

Researcher profile · Semantic Scholar

Giuseppe Cavaliere

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Giuseppe Cavaliere — researcher profile on SciRah

h-index: 25
Works: 123
Citations: 2,377

Most-cited papers

Testing for unit roots in time series models with non-stationary volatility
Giuseppe Cavaliere, A. M. Robert Taylor
2007175 citations
Semantic Scholar
Unit Root Tests under Time-Varying Variances
Giuseppe Cavaliere
2005157 citations
Semantic Scholar
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
Giuseppe Cavaliere, A. M. Robert Taylor
2007Econometric Theory154 citations
Semantic Scholar
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
2010135 citations Open access
Semantic Scholar
LIMITED TIME SERIES WITH A UNIT ROOT
Giuseppe Cavaliere
2005Econometric Theory126 citations Open access
Semantic Scholar
Testing for unit roots in bounded time series
Giuseppe Cavaliere, Fang Xu
2014116 citations Open access
Semantic Scholar
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen, Anders Rahbek
2016107 citations Open access
Semantic Scholar
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
2012104 citations
Semantic Scholar
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
2010Econometric Theory93 citations Open access
Semantic Scholar
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
Giuseppe Cavaliere, A. M. Robert Taylor
2009Econometric Theory86 citations
Semantic Scholar
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
Giuseppe Cavaliere, A. M. Robert Taylor
200864 citations
Semantic Scholar
Testing for a change in persistence in the presence of non-stationary volatility☆
Giuseppe Cavaliere, A. M. Robert Taylor
200851 citations Open access
Semantic Scholar
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
201448 citations Open access
Semantic Scholar
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
Giuseppe Cavaliere, A. M. Robert Taylor
2005Econometric Theory48 citations
Semantic Scholar
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Giuseppe Cavaliere, P. Phillips, Stephan Smeekes, A. M. Robert Taylor
201544 citations Open access
Semantic Scholar
Bootstrap M Unit Root Tests
Giuseppe Cavaliere, A. M. Robert Taylor
200942 citations
Semantic Scholar
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Giuseppe Cavaliere, Heino Bohn Nielsen, Anders Rahbek
2018Journal of business & economic statistics37 citations Open access
Semantic Scholar
Inference Under Random Limit Bootstrap Measures
Giuseppe Cavaliere, Iliyan Georgiev
2019Econometrica34 citations Open access
Semantic Scholar
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
Giuseppe Cavaliere, Heino Bohn Nielsen, Anders Rahbek
201634 citations Open access
Semantic Scholar
Inference on co-integration parameters in heteroskedastic vector autoregressions
H. Boswijk, Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
2016Journal of Econometrics33 citations Open access
Semantic Scholar
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
Giuseppe Cavaliere, M. Nielsen, A. M. Robert Taylor
201332 citations Open access
Semantic Scholar
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
Giuseppe Cavaliere, Heino Bohn Nielsen, Anders Rahbek
201529 citations Open access
Semantic Scholar
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Giuseppe Cavaliere, Heino Bohn Nielsen, R. Pedersen, Anders Rahbek
2018Journal of Econometrics26 citations Open access
Semantic Scholar
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Giuseppe Cavaliere, D. I. Harvey, S. Leybourne, A. M. Robert Taylor
2011Econometric Theory26 citations Open access
Semantic Scholar
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Giuseppe Cavaliere, M. Nielsen, A. M. Robert Taylor
201625 citations Open access
Semantic Scholar
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
Giuseppe Cavaliere, D. I. Harvey, S. Leybourne, A. M. Robert Taylor
200824 citations Open access
Semantic Scholar
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
Giuseppe Cavaliere, Iliyan Georgiev, A. M. Robert Taylor
2016Econometric Theory22 citations Open access
Semantic Scholar
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
Giuseppe Cavaliere, Iliyan Georgiev
2007Econometric Theory22 citations Open access
Semantic Scholar
Bootstrap determination of the co-integration rank in VAR models
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
201117 citations
Semantic Scholar
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR MODELS
Giuseppe Cavaliere, L. De Angelis, Anders Rahbek, A. M. Robert Taylor
201416 citations Open access
Semantic Scholar
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
M. Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
2021Journal of the American Statistical Association14 citations Open access
Semantic Scholar
Adaptive Inference in Heteroskedastic Fractional Time Series Models
Giuseppe Cavaliere, M. Nielsen, A. M. Robert Taylor
202014 citations
Semantic Scholar
Sieve-based inference for infinite-variance linear processes
Giuseppe Cavaliere, Iliyan Georgiev, A. M. Robert Taylor
201614 citations Open access
Semantic Scholar
Regional consumption dynamics and risk sharing in Italy
Giuseppe Cavaliere, L. Fanelli, A. Gardini
200614 citations
Semantic Scholar
Bootstrap Inference in the Presence of Bias
Giuseppe Cavaliere, Sı́lvia Gonçalves, M. Nielsen, Edoardo Zanelli
2022Journal of the American Statistical Association13 citations Open access
Semantic Scholar
The Fixed Volatility Bootstrap for a Class of Arch(q) Models
Giuseppe Cavaliere, R. Pedersen, Anders Rahbek
2018Journal of Time Series Analysis13 citations
Semantic Scholar
Wild Bootstrap of the Sample Mean in the Infinite Variance Case
Giuseppe Cavaliere, Iliyan Georgiev, A. M. Robert Taylor
201313 citations
Semantic Scholar
Testing for a Change in Persistence in the Presence of a Volatility Shift
Giuseppe Cavaliere, A. M. Robert Taylor
200613 citations
Semantic Scholar
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Giuseppe Cavaliere, Anders Rahbek, A. M. Robert Taylor
201012 citations Open access
Semantic Scholar
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
Giuseppe Cavaliere, Iliyan Georgiev
2009Econometric Theory12 citations
Semantic Scholar
An identification and testing strategy for proxy-SVARs with weak proxies
G. Angelini, Giuseppe Cavaliere, L. Fanelli
2022Journal of Econometrics11 citations Open access
Semantic Scholar
Bootstrapping Non-Stationary Stochastic Volatility
H. Boswijk, Giuseppe Cavaliere, Iliyan Georgiev, Anders Rahbek
2021Social Science Research Network11 citations Open access
Semantic Scholar
Bootstrap inference for Hawkes and general point processes
Giuseppe Cavaliere, Ye Lu, Anders Rahbek, Jacob Staerk-Ostergaard
2021Journal of Econometrics10 citations Open access
Semantic Scholar
BOOTSTRAP INFERENCE AND DIAGNOSTICS IN STATE SPACE MODELS: WITH APPLICATIONS TO DYNAMIC MACRO MODELS
G. Angelini, Giuseppe Cavaliere, L. Fanelli
2021Journal of applied econometrics10 citations Open access
Semantic Scholar
Testing the Null of Co‐integration in the Presence of Variance Breaks
Giuseppe Cavaliere, A. M. Robert Taylor
200610 citations
Semantic Scholar
The Role of the Normal Distribution in Financial Markets
Michele Costa, Giuseppe Cavaliere, S. Iezzi
200510 citations
Semantic Scholar
International dynamic risk sharing
Giuseppe Cavaliere, L. Fanelli, A. Gardini
20089 citations Open access
Semantic Scholar
Factor Network Autoregressions
M. Barigozzi, Giuseppe Cavaliere, Graziano Moramarco
2022Journal of Business & Economic Statistics8 citations Open access
Semantic Scholar
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Giuseppe Cavaliere, Indeewara Perera, Anders Rahbek
2021Social Science Research Network8 citations Open access
Semantic Scholar
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
Giuseppe Cavaliere, Iliyan Georgiev
2013Econometric Theory8 citations Open access
Semantic Scholar

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