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Professor Giuseppe Cavaliere

Professor Giuseppe Cavaliere

Research Professor

+44 (0) 1392 72


Full Professor of Econometrics since 2006. He has been affiliated with professorships at the University of Copenhagen (Institute of Mathematics; Department of Economics) and University of Aarhus (CREATES). He is also acting as research fellow of the Granger Centre for Time Series Econometrics, affiliated to the University of Nottingham, and as president of the Italian Econometric Association (SIdE). He has a PhD in Statistics (field: econometrics) from the University of Bologna. He has published in several international top-journals, including Econometrica, Econometric Theory, Journal of Econometrics, Annals of Statistics. He is a co-editor of Econometric Theory, associate editor of the Econometrics Journal and the Journal of Time Series Analysis.

Nationality: Italian

Qualifications

PhD in Statistics, University of Bologna

Research interests

  • econometric theory
  • financial econometrics
  • macroeconometrics

Giuseppe Cavaliere’s research primarly focus on econometric theory and time series econometrics (bootstrap methods, non stationarity, unit roots and cointegration, structural change, infinite variance). He is also working on classic topics in financial econometrics (such as volatility modelling) and rmpirical macroeconomics (DSGE models, international macro, consumption).

Key publications | Publications by category | Publications by year

Publications by category


Journal articles

Cavaliere G, Skrobotov A, Taylor AMR (2019). Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews, 38(5), 509-532. Abstract. DOI.
Cavaliere G, Nielsen HB, Rahbek A (2018). Bootstrapping Noncausal Autoregressions: with Applications to Explosive Bubble Modeling. Journal of Business and Economic Statistics, 1-13. Abstract. DOI.
Cavaliere G, De Angelis L, Fanelli L (2018). Co-integration Rank Determination in Partial Systems Using Information Criteria. Oxford Bulletin of Economics and Statistics, 80(1), 65-89. Abstract. DOI.
Cavaliere G, De Angelis L, Rahbek A, Taylor AMR (2018). Determining the cointegration rank in heteroskedastic var models of unknown order. Econometric Theory, 34(2), 349-382. Abstract. DOI.
Cavaliere G, Georgiev I, Taylor AMR (2018). Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory, 34(2), 302-348. Abstract. DOI.
Cavaliere G, Nielsen HB, Rahbek A (2017). On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. Journal of Time Series Analysis, 38(4), 513-534. Abstract. DOI.
Cavaliere G, Nielsen MØ, Taylor AR (2017). Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198(1), 165-188. DOI.
Boswijk HP, Cavaliere G, Rahbek A, Taylor AR (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192(1), 64-85. DOI.
Agosto A, Cavaliere G, Kristensen D, Rahbek A (2016). Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Journal of Empirical Finance, 38, 640-663. Abstract. DOI.
Cavaliere G, Georgiev I, Taylor AMR (2016). Sieve-based inference for infinite-variance linear processes. The Annals of Statistics, 44(4), 1467-1494. DOI.
Cavaliere G, De Angelis L, Rahbek A, Taylor R (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, 77(1), 106-128. DOI.
Cavaliere G, Taylor R, Trenkler C (2015). Bootstrap Co‐Integration Rank Testing: the Effect of Bias‐Correcting Parameter Estimates. Oxford Bulletin of Economics and Statistics, 77(5), 740-759. DOI.
Cavaliere G, Rahbek A, Taylor R (2015). Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components. Recent developments in bootstrap methods for dependent data, 36(3), 272-289. DOI.
Cavaliere G, Nielsen HB, Rahbek A (2015). Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models. Econometrica, 83(2), 813-831. DOI.
Cavaliere G, Nielsen MØ, Taylor AR (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, 187(2), 557-579. DOI.
Cavaliere G, Phillips PCB, Smeekes S, Taylor AMR (2015). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, 34(4), 512-536. Abstract. DOI.
Cavaliere G, Politis DN, Rahbek A (2015). Recent Developements in Bootstrap Methods for Dependent Data. Journal of Time Series Analysis, 36(3), 269-271. DOI.
Cavaliere G, Harvey DI, Leybourne SJ, Robert Taylor AM (2015). Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics. Journal of Time Series Analysis, 36(5), 603-629. Abstract. DOI.
Cavaliere G, Rahbek A, Robert Taylor AM (2014). Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models. Econometric Reviews, 33(5-6), 606-650. Abstract. DOI.
Cavaliere G, Taylor AMR, Trenkler C (2013). Bootstrap Cointegration Rank Testing: the Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews, 32(7), 814-847. Abstract. DOI.
Cavaliere G, Georgiev I (2013). Exploiting infinite variance through dummy variables in nonstationary autoregressions. Econometric Theory, 29(6), 1162-1195. Abstract. DOI.
Boswijk HP, Cavaliere G, Rahbek A, Taylor R (2013). Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions. Univ. of Copenhagen Dept. of Economics Discussion Paper(13).
Cavaliere G, Georgiev I, Robert Taylor AM (2013). Wild Bootstrap of the Sample Mean in the Infinite Variance Case. Econometric Reviews, 32(2), 204-219. Abstract. DOI.
Cavaliere G, Rahbek A, Taylor AMR (2012). Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80(4), 1721-1740. Abstract. DOI.
Cavaliere G, Harvey DI, Leybourne SJ, Taylor AMR (2011). Testing for unit roots in the presence of a possible break in trend and nonstationary volatility. Econometric Theory, 27(5), 957-991. Abstract. DOI.
Cavaliere G, Rahbek A, Taylor AMR (2010). Cointegration rank testing under conditional heteroskedasticity. Econometric Theory, 26(6), 1719-1760. Abstract. DOI.
Cavaliere G, Taylor AMR (2009). A note on testing covariance stationarity. Econometric Reviews, 28(4), 364-371. Abstract. DOI.
Cavaliere G, Taylor AMR (2009). Bootstrap M unit root tests. Econometric Reviews, 28(5), 393-421. Abstract. DOI.
Cavaliere G, Fanelli L, Gardini A (2009). Consumption risk sharing and adjustment costs. Economics Bulletin, 29(2), 1117-1126. Abstract.
Cavaliere G, Taylor AMR (2009). Heteroskedastic time series with a unit root. Econometric Theory, 25(5), 1228-1276. Abstract. DOI.
Cavaliere G, Georgiev I (2009). Robust inference in autoregressions with multiple outliers. Econometric Theory, 25(6), 1625-1661. Abstract. DOI.
Cavaliere G, Fanelli L, Paruolo P (2009). Tests for cointegration rank and choice of the alternative. Statistical Methods and Applications, 18(2), 169-191. Abstract. DOI.
Cavaliere G, Taylor AMR (2008). Bootstrap unit root tests for time series with nonstationary volatility. Econometric Theory, 24(1), 43-71. Abstract. DOI.
Cavaliere G, Fanelli L, Gardini A (2008). International dynamic risk sharing. Journal of Applied Econometrics, 23(1), 1-16. Abstract. DOI.
Cavaliere G, Georgiev I (2008). Regime-switching autoregressive coefficients and the asymptotics for unit root tests. Econometric Theory, 24(4), 1137-1148. Abstract. DOI.
Cavaliere G, Rahbek A, Taylor R (2008). Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility. CREATES Research Paper(2008).
Cavaliere G, Taylor AMR (2008). Testing for a change in persistence in the presence of non-stationary volatility. Journal of Econometrics, 147(1), 84-98. Abstract. DOI.
Cavaliere G, Taylor R (2008). Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. Journal of Time Series Analysis, 29(2), 300-330. DOI.
Cavaliere G, Georgiev I (2007). Testing for unit roots in autoregressions with multiple level shifts. Econometric Theory, 23(6), 1162-1215. Abstract. DOI.
Cavaliere G, Taylor AMR (2007). Testing for unit roots in time series models with non-stationary volatility. Journal of Econometrics, 140(2), 919-947. Abstract. DOI.
Cavaliere G, Fanelli L, Gardini A (2006). Regional consumption dynamics and risk sharing in Italy. International Review of Economics and Finance, 15(4), 525-542. Abstract. DOI.
Cavaliere G, Taylor AMR (2006). Testing the null of Co-integration in the presence of variance breaks. Journal of Time Series Analysis, 27(4), 613-636. Abstract. DOI.
Cavaliere G (2005). Limited time series with a unit root. Econometric Theory, 21(5), 907-945. Abstract. DOI.
Cavaliere G, Taylor AMR (2005). Stationarity tests under time-varying second moments. Econometric Theory, 21(6), 1112-1129. Abstract. DOI.
Cavaliere G (2005). Testing mean reversion in target-zone exchange rates. Applied Economics, 37(20), 2335-2347. Abstract. DOI.
Cavaliere G (2004). 03.3.2. The asymptotic distribution of the dickey-fuller statistic under nonnegativity constraint - Solution. Econometric Theory, 20(4), 808-810. DOI.
Cavaliere G (2004). Testing stationarity under a permanent variance shift. Economics Letters, 82(3), 403-408. Abstract. DOI.
Cavaliere G (2004). The asymptotic distribution of the Dickey-Fuller statistic under nonnegativity constraint. ECONOMETRIC THEORY, 20(4), 808-810. Author URL.
Cavaliere G (2004). Unit root tests under time-varying variances. Econometric Reviews, 23(3), 259-292. Abstract. DOI.
Cavaliere G (2003). 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint. Econometric Theory, 19(4), 691-692. DOI.
Gardini A, Cavaliere G, Costa M (2003). Fundamentals and asset price dynamics. Statistical Methods and Applications, 12(2), 211-226. Abstract. DOI.
Cavaliere G (2002). Bounded integrated processes and unit root tests. Statistical Methods and Applications, 11(1), 41-69. Abstract. DOI.
Cavaliere G, Tassinari G (2001). Advertising effect on primary demand: a cointegration approach. International Journal of Advertising, 20(3), 319-339. Abstract. DOI.
Cavaliere G, Costa M (1999). Firm size and the Italian Stock Exchange. Applied Economics Letters, 6(11), 729-734. Abstract. DOI.
Cavaliere G (1996). Devaluation expectations and the unit root hypothesis: the italian lira in the european monetary system. Statistical Methods and Applications, 5(1), 39-71. Abstract. DOI.

Chapters

Cavaliere G, Costa M, De Angelis L (2015). Investigating stock market behavior using a multivariate markov-switching approach. In  (Ed) Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies, 185-196.  Abstract. DOI.

Conferences

Cavaliere G, Pedersen RS, Rahbek A (2018). The Fixed Volatility Bootstrap for a Class of Arch(q) Models.  Abstract. DOI.
Cavaliere G, Xu F (2014). Testing for unit roots in bounded time series.  Abstract. DOI.
Cavaliere G, Taylor AMR (2006). Testing for a change in persistence in the presence of a volatility shift.  Abstract. DOI.
Costa M, Cavaliere G, Lezzi S (2005). The role of the normal distribution in financial markets.  Abstract.

Publications by year


2019

Cavaliere G, Skrobotov A, Taylor AMR (2019). Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews, 38(5), 509-532. Abstract. DOI.

2018

Cavaliere G, Nielsen HB, Rahbek A (2018). Bootstrapping Noncausal Autoregressions: with Applications to Explosive Bubble Modeling. Journal of Business and Economic Statistics, 1-13. Abstract. DOI.
Cavaliere G, De Angelis L, Fanelli L (2018). Co-integration Rank Determination in Partial Systems Using Information Criteria. Oxford Bulletin of Economics and Statistics, 80(1), 65-89. Abstract. DOI.
Cavaliere G, De Angelis L, Rahbek A, Taylor AMR (2018). Determining the cointegration rank in heteroskedastic var models of unknown order. Econometric Theory, 34(2), 349-382. Abstract. DOI.
Cavaliere G, Pedersen RS, Rahbek A (2018). The Fixed Volatility Bootstrap for a Class of Arch(q) Models.  Abstract. DOI.
Cavaliere G, Georgiev I, Taylor AMR (2018). Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory, 34(2), 302-348. Abstract. DOI.

2017

Cavaliere G, Nielsen HB, Rahbek A (2017). On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. Journal of Time Series Analysis, 38(4), 513-534. Abstract. DOI.
Cavaliere G, Nielsen MØ, Taylor AR (2017). Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198(1), 165-188. DOI.

2016

Boswijk HP, Cavaliere G, Rahbek A, Taylor AR (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192(1), 64-85. DOI.
Agosto A, Cavaliere G, Kristensen D, Rahbek A (2016). Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Journal of Empirical Finance, 38, 640-663. Abstract. DOI.
Cavaliere G, Georgiev I, Taylor AMR (2016). Sieve-based inference for infinite-variance linear processes. The Annals of Statistics, 44(4), 1467-1494. DOI.

2015

Cavaliere G, De Angelis L, Rahbek A, Taylor R (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, 77(1), 106-128. DOI.
Cavaliere G, Taylor R, Trenkler C (2015). Bootstrap Co‐Integration Rank Testing: the Effect of Bias‐Correcting Parameter Estimates. Oxford Bulletin of Economics and Statistics, 77(5), 740-759. DOI.
Cavaliere G, Rahbek A, Taylor R (2015). Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components. Recent developments in bootstrap methods for dependent data, 36(3), 272-289. DOI.
Cavaliere G, Nielsen HB, Rahbek A (2015). Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models. Econometrica, 83(2), 813-831. DOI.
Cavaliere G, Nielsen MØ, Taylor AR (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, 187(2), 557-579. DOI.
Cavaliere G, Costa M, De Angelis L (2015). Investigating stock market behavior using a multivariate markov-switching approach. In  (Ed) Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies, 185-196.  Abstract. DOI.
Cavaliere G, Phillips PCB, Smeekes S, Taylor AMR (2015). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, 34(4), 512-536. Abstract. DOI.
Cavaliere G, Politis DN, Rahbek A (2015). Recent Developements in Bootstrap Methods for Dependent Data. Journal of Time Series Analysis, 36(3), 269-271. DOI.
Cavaliere G, Harvey DI, Leybourne SJ, Robert Taylor AM (2015). Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics. Journal of Time Series Analysis, 36(5), 603-629. Abstract. DOI.

2014

Cavaliere G, Rahbek A, Robert Taylor AM (2014). Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models. Econometric Reviews, 33(5-6), 606-650. Abstract. DOI.
Cavaliere G, Xu F (2014). Testing for unit roots in bounded time series.  Abstract. DOI.

2013

Cavaliere G, Taylor AMR, Trenkler C (2013). Bootstrap Cointegration Rank Testing: the Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews, 32(7), 814-847. Abstract. DOI.
Cavaliere G, Georgiev I (2013). Exploiting infinite variance through dummy variables in nonstationary autoregressions. Econometric Theory, 29(6), 1162-1195. Abstract. DOI.
Boswijk HP, Cavaliere G, Rahbek A, Taylor R (2013). Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions. Univ. of Copenhagen Dept. of Economics Discussion Paper(13).
Cavaliere G, Georgiev I, Robert Taylor AM (2013). Wild Bootstrap of the Sample Mean in the Infinite Variance Case. Econometric Reviews, 32(2), 204-219. Abstract. DOI.

2012

Cavaliere G, Rahbek A, Taylor AMR (2012). Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80(4), 1721-1740. Abstract. DOI.

2011

Cavaliere G, Harvey DI, Leybourne SJ, Taylor AMR (2011). Testing for unit roots in the presence of a possible break in trend and nonstationary volatility. Econometric Theory, 27(5), 957-991. Abstract. DOI.

2010

Cavaliere G, Rahbek A, Taylor AMR (2010). Cointegration rank testing under conditional heteroskedasticity. Econometric Theory, 26(6), 1719-1760. Abstract. DOI.

2009

Cavaliere G, Taylor AMR (2009). A note on testing covariance stationarity. Econometric Reviews, 28(4), 364-371. Abstract. DOI.
Cavaliere G, Taylor AMR (2009). Bootstrap M unit root tests. Econometric Reviews, 28(5), 393-421. Abstract. DOI.
Cavaliere G, Fanelli L, Gardini A (2009). Consumption risk sharing and adjustment costs. Economics Bulletin, 29(2), 1117-1126. Abstract.
Cavaliere G, Taylor AMR (2009). Heteroskedastic time series with a unit root. Econometric Theory, 25(5), 1228-1276. Abstract. DOI.
Cavaliere G, Georgiev I (2009). Robust inference in autoregressions with multiple outliers. Econometric Theory, 25(6), 1625-1661. Abstract. DOI.
Cavaliere G, Fanelli L, Paruolo P (2009). Tests for cointegration rank and choice of the alternative. Statistical Methods and Applications, 18(2), 169-191. Abstract. DOI.

2008

Cavaliere G, Taylor AMR (2008). Bootstrap unit root tests for time series with nonstationary volatility. Econometric Theory, 24(1), 43-71. Abstract. DOI.
Cavaliere G, Fanelli L, Gardini A (2008). International dynamic risk sharing. Journal of Applied Econometrics, 23(1), 1-16. Abstract. DOI.
Cavaliere G, Georgiev I (2008). Regime-switching autoregressive coefficients and the asymptotics for unit root tests. Econometric Theory, 24(4), 1137-1148. Abstract. DOI.
Cavaliere G, Rahbek A, Taylor R (2008). Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility. CREATES Research Paper(2008).
Cavaliere G, Taylor AMR (2008). Testing for a change in persistence in the presence of non-stationary volatility. Journal of Econometrics, 147(1), 84-98. Abstract. DOI.
Cavaliere G, Taylor R (2008). Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. Journal of Time Series Analysis, 29(2), 300-330. DOI.

2007

Cavaliere G, Georgiev I (2007). Testing for unit roots in autoregressions with multiple level shifts. Econometric Theory, 23(6), 1162-1215. Abstract. DOI.
Cavaliere G, Taylor AMR (2007). Testing for unit roots in time series models with non-stationary volatility. Journal of Econometrics, 140(2), 919-947. Abstract. DOI.

2006

Cavaliere G, Fanelli L, Gardini A (2006). Regional consumption dynamics and risk sharing in Italy. International Review of Economics and Finance, 15(4), 525-542. Abstract. DOI.
Cavaliere G, Taylor AMR (2006). Testing for a change in persistence in the presence of a volatility shift.  Abstract. DOI.
Cavaliere G, Taylor AMR (2006). Testing the null of Co-integration in the presence of variance breaks. Journal of Time Series Analysis, 27(4), 613-636. Abstract. DOI.

2005

Cavaliere G (2005). Limited time series with a unit root. Econometric Theory, 21(5), 907-945. Abstract. DOI.
Cavaliere G, Taylor AMR (2005). Stationarity tests under time-varying second moments. Econometric Theory, 21(6), 1112-1129. Abstract. DOI.
Cavaliere G (2005). Testing mean reversion in target-zone exchange rates. Applied Economics, 37(20), 2335-2347. Abstract. DOI.
Costa M, Cavaliere G, Lezzi S (2005). The role of the normal distribution in financial markets.  Abstract.

2004

Cavaliere G (2004). 03.3.2. The asymptotic distribution of the dickey-fuller statistic under nonnegativity constraint - Solution. Econometric Theory, 20(4), 808-810. DOI.
Cavaliere G (2004). Testing stationarity under a permanent variance shift. Economics Letters, 82(3), 403-408. Abstract. DOI.
Cavaliere G (2004). The asymptotic distribution of the Dickey-Fuller statistic under nonnegativity constraint. ECONOMETRIC THEORY, 20(4), 808-810. Author URL.
Cavaliere G (2004). Unit root tests under time-varying variances. Econometric Reviews, 23(3), 259-292. Abstract. DOI.

2003

Cavaliere G (2003). 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint. Econometric Theory, 19(4), 691-692. DOI.
Gardini A, Cavaliere G, Costa M (2003). Fundamentals and asset price dynamics. Statistical Methods and Applications, 12(2), 211-226. Abstract. DOI.

2002

Cavaliere G (2002). Bounded integrated processes and unit root tests. Statistical Methods and Applications, 11(1), 41-69. Abstract. DOI.

2001

Cavaliere G, Tassinari G (2001). Advertising effect on primary demand: a cointegration approach. International Journal of Advertising, 20(3), 319-339. Abstract. DOI.

1999

Cavaliere G, Costa M (1999). Firm size and the Italian Stock Exchange. Applied Economics Letters, 6(11), 729-734. Abstract. DOI.

1996

Cavaliere G (1996). Devaluation expectations and the unit root hypothesis: the italian lira in the european monetary system. Statistical Methods and Applications, 5(1), 39-71. Abstract. DOI.

Awards and Honours

  • Econometric Reviews, Distinguished Fellow (2018)
  • Econometric Theory Plura Scripsit Award (2014)
  • Econometric Theory Multa Scripsit Award (2009)

External positions

  • President 2017-2019 of SIdE – Italian Econometric Association
  • Distinguished fellow of the International Engineering and Technology Institute, Hong Kong.
  • External fellow of the Granger Centre for Time Series Econometrics, host by the School of Economics, University of Nottingham