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~isPartOf:"Econometric reviews"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Regional studies"
~language:"eng"
~language:"nld"
~language:"pol"
~person:"Cavaliere, Giuseppe"
~subject:"Einheitswurzeltest"
~subject:"Großbritannien"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Government document"
~type_genre:"Graue Literatur"
~type_genre:"No longer published / No longer aquired"
~type_genre:"Textbook"
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Einheitswurzeltest
Großbritannien
Volatility
Bootstrap approach
12
Bootstrap-Verfahren
12
Volatilität
10
Theorie
9
Theory
9
Time series analysis
8
Zeitreihenanalyse
8
Unit root test
6
Cointegration
4
Estimation theory
4
Heteroscedasticity
4
Heteroskedastizität
4
Kointegration
4
Schätztheorie
4
Bootstrap
3
Wild bootstrap
3
Fractional integration
2
Statistical test
2
Statistischer Test
2
Stochastic process
2
Stochastischer Prozess
2
VAR model
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VAR-Modell
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(periodic) nonstationary volatility
1
(un)Conditional heteroskedasticity
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1
ARCH-Modell
1
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1
ARMA-Modell
1
Adjustment coefficients
1
Analysis of variance
1
Autocorrelation
1
Autokorrelation
1
Autoregressive conditional duration models
1
Bootstrap inference
1
Co-integration
1
Commodity derivative
1
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14
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Amtliche Publikation
Article in journal
Government document
Graue Literatur
No longer published / No longer aquired
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Aufsatz in Zeitschrift
14
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Cavaliere, Giuseppe
Taylor, Robert
27
McAleer, Michael
23
Bollerslev, Tim
19
Phillips, Peter C. B.
17
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Asai, Manabu
11
Aït-Sahalia, Yacine
11
Park, Joon Y.
10
Leybourne, Stephen James
9
Meddahi, Nour
9
Chang, Yoosoon
8
Green, Anne E.
8
Harvey, David I.
8
Westerlund, Joakim
8
Xiu, Dacheng
8
Ghysels, Eric
7
Gouriéroux, Christian
7
Harris, Richard I. D.
7
Li, Jia
7
Linton, Oliver
7
Martin, Ron
7
Mykland, Per A.
7
Patton, Andrew J.
7
Shephard, Neil G.
7
Andreou, Elena
6
Benth, Fred Espen
6
Hallin, Marc
6
Kim, Donggyu
6
Maasoumi, Esfandiar
6
Mason, Colin M.
6
Pesaran, M. Hashem
6
Shin, Dong-wan
6
Yu, Jun
6
Barigozzi, Matteo
5
Beatty, Christina
5
Boswijk, Herman Peter
5
Brigo, Damiano
5
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Econometric reviews
International journal of theoretical and applied finance
Journal of econometrics
Regional studies
Econometric theory
7
Discussion papers / Department of Economics, University of Copenhagen
3
Discussion paper / Tinbergen Institute
2
The econometrics journal
2
CREATES research paper
1
Cowles Foundation discussion paper
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
The economic journal : the journal of the Royal Economic Society
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
4
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
5
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
6
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
Saved in:
7
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Bootstrap M unit root tests
Cavaliere, Giuseppe
;
Taylor, Robert
- In:
Econometric reviews
28
(
2009
)
5
,
pp. 393-421
Persistent link: https://www.econbiz.de/10003873063
Saved in:
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