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Testing for a change in persistence in the presence of a volatility shift
Cavaliere, Giuseppe; Taylor, Robert - In: Oxford bulletin of economics and statistics 68 (2006), pp. 761-781
Persistent link: https://www.econbiz.de/10003393459
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Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates
Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - In: Oxford bulletin of economics and statistics 77 (2015) 5, pp. 740-759
Persistent link: https://www.econbiz.de/10011383823
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A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; … - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 106-128
Persistent link: https://www.econbiz.de/10011373619
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Co-integration rank determination in partial systems using information criteria
Cavaliere, Giuseppe; De Angelis, Luca; Fanelli, Luca - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 65-89
Persistent link: https://www.econbiz.de/10011969541