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~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
7
Bootstrap-Verfahren
7
Volatilität
6
Time series analysis
5
Zeitreihenanalyse
5
Theorie
4
Theory
4
Bootstrap
3
Cointegration
2
Estimation theory
2
Fractional integration
2
Kointegration
2
Schätztheorie
2
Unit root test
2
Wild bootstrap
2
(un)Conditional heteroskedasticity
1
ARCH model
1
ARCH models
1
ARCH-Modell
1
ARMA model
1
ARMA-Modell
1
Adjustment coefficients
1
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Autokorrelation
1
Autoregressive conditional duration models
1
Bootstrap inference
1
Co-integration
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Commodity derivative
1
Commodity market
1
Commodity price
1
Conditional intensity
1
Conditional sum-of-squares
1
Conditional/unconditional heteroskedasticity
1
Efficient market hypothesis
1
Effizienzmarkthypothese
1
Estimation
1
Hawkes process
1
Heteroscedasticity
1
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Amtliche Publikation
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Graue Literatur
No longer published / No longer aquired
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Aufsatz in Zeitschrift
8
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Cavaliere, Giuseppe
Bollerslev, Tim
19
Taylor, Robert
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Phillips, Peter C. B.
13
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Park, Joon Y.
9
Green, Anne E.
8
Meddahi, Nour
8
Xiu, Dacheng
8
Harris, Richard I. D.
7
Li, Jia
7
Linton, Oliver
7
Martin, Ron
7
Mykland, Per A.
7
Patton, Andrew J.
7
Benth, Fred Espen
6
Chang, Yoosoon
6
Ghysels, Eric
6
Hallin, Marc
6
Kim, Donggyu
6
Leybourne, Stephen James
6
Mason, Colin M.
6
Shephard, Neil G.
6
Shin, Dong-wan
6
Westerlund, Joakim
6
Asai, Manabu
5
Barigozzi, Matteo
5
Beatty, Christina
5
Brigo, Damiano
5
Fothergill, Stephen
5
Francq, Christian
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Harvey, David I.
5
Henley, Andrew
5
Li, Yingying
5
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International journal of theoretical and applied finance
Journal of econometrics
Regional studies
Econometric theory
7
Econometric reviews
6
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
1
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ECONIS (ZBW)
8
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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
Saved in:
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