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Testing for unit roots in time series models with non-stationary volatility
Cavaliere, Giuseppe; Taylor, A.M.Robert - In: Journal of econometrics 140 (2007) 2, pp. 919
Persistent link: https://www.econbiz.de/10007761408
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, A.M.Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10008143202
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, A.M. Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-99
Persistent link: https://www.econbiz.de/10008898203
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Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; … - In: Journal of econometrics 235 (2023) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
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Testing for unit roots in bounded time series
Cavaliere, Giuseppe; Fang, Xu - In: Journal of econometrics 178 (2014) 1, pp. 259-272
Persistent link: https://www.econbiz.de/10010256162
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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
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Testing for unit roots in time series models with non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 140 (2007) 2, pp. 919-947
Persistent link: https://www.econbiz.de/10003570043
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188
Persistent link: https://www.econbiz.de/10011818374