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Giuseppe Cavaliere

Global rank #1575 98%

Institution: Alma Mater Studiorum - Università di Bologna

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://giuseppecavaliere.wixsite.com/giuseppe

First Publication: 2003

Most Recent: 2025

RePEc ID: pca195 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.69 1.84 0.00 11.23
Last 10 Years 1.01 6.54 3.69 0.00 20.78
All Time 1.68 10.89 18.10 0.00 48.60

Publication Statistics

Raw Publications 41
Coauthorship-Adjusted Count 34.84

Publications (41)

Year Article Journal Tier Authors
2025 Factor Network Autoregressions Journal of Business & Economic Statistics A 3
2025 A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” Econometrica S 4
2024 Inference in Heavy-Tailed Nonstationary Multivariate Time Series Journal of the American Statistical Association B 3
2024 An identification and testing strategy for proxy-SVARs with weak proxies Journal of Econometrics A 3
2024 Tail behavior of ACD models and consequences for likelihood-based estimation Journal of Econometrics A 4
2024 Bootstrap Inference in the Presence of Bias Journal of the American Statistical Association B 4
2024 Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary Journal of Business & Economic Statistics A 3
2023 Bootstrap inference for Hawkes and general point processes Journal of Econometrics A 4
2022 Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models Journal of Applied Econometrics B 3
2022 Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models Journal of Econometrics A 4
2022 Adaptive Inference in Heteroscedastic Fractional Time Series Models Journal of Business & Economic Statistics A 3
2021 Bootstrapping non-stationary stochastic volatility Journal of Econometrics A 4
2020 Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling Journal of Business & Economic Statistics A 3
2020 Inference Under Random Limit Bootstrap Measures Econometrica S 2
2018 Co‐integration Rank Determination in Partial Systems Using Information Criteria Oxford Bulletin of Economics and Statistics B 3
2018 UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS Econometric Theory B 3
2018 DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER Econometric Theory B 4
2017 Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form Journal of Econometrics A 3
2016 Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics A 4
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 B 4
2015 Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates Oxford Bulletin of Economics and Statistics B 3
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 A 3
2015 Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models Econometrica S 3
2014 Testing for unit roots in bounded time series Journal of Econometrics A 2
2013 EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS Econometric Theory B 2
2011 TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY Econometric Theory B 4
2010 COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY Econometric Theory B 3
2010 Testing for co-integration in vector autoregressions with non-stationary volatility Journal of Econometrics A 3
2009 HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT Econometric Theory B 2
2009 ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS Econometric Theory B 2
2008 BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY Econometric Theory B 2
2008 REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS Econometric Theory B 2
2008 Testing for a change in persistence in the presence of non-stationary volatility Journal of Econometrics A 2
2007 TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS Econometric Theory B 2
2007 Testing for unit roots in time series models with non-stationary volatility Journal of Econometrics A 2
2006 Testing for a Change in Persistence in the Presence of a Volatility Shift* Oxford Bulletin of Economics and Statistics B 2
2005 LIMITED TIME SERIES WITH A UNIT ROOT Econometric Theory B 1
2005 STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS Econometric Theory B 2
2005 Testing mean reversion in target-zone exchange rates Applied Economics C 1
2004 Testing stationarity under a permanent variance shift Economics Letters C 1
2003 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint Econometric Theory B 1