# Profile

# Profile

# Professor Giuseppe Cavaliere

## Distinguished Research Professor

**Not Known**

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 Journal of Econometrics, 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

### Key publications

**Cavaliere G, Georgiev I**(2020). Inference Under Random Limit Bootstrap Measures.

*Econometrica: journal of the Econometric Society*,

*88*, 2547-2574. Abstract. DOI.

**Cavaliere G, Georgiev I, Taylor AMR**(2016). Sieve-based inference for infinite-variance linear processes.

*The Annals of Statistics*,

*44*(4). 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.

### Publications by category

### Journal articles

**Cavaliere G, De Angelis L, Taylor AMR, Boswijk P**(In Press). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.

*Econometric Reviews*Abstract.

**Cavaliere G, Nielsen HB, Rahbek A**(In Press). An Introduction to Bootstrap Theory in Time Series Econometrics.

*SSRN Electronic Journal*DOI.

**Cavaliere G**(In Press). BOOTSTRAP INFERENCE AND DIAGNOSTICS IN STATE SPACE MODELS: WITH APPLICATIONS TO DYNAMIC MACRO MODELS.

*Journal of Applied Econometrics*

**Cavaliere G, Barigozzi M, Trapani L**(In Press). Inference in heavy-tailed non-stationary multivariate time series.

*Journal of the American Statistical Association*Abstract.

**Cavaliere G, Nielsen MØ, Robert Taylor AM**(2022). Adaptive Inference in Heteroscedastic Fractional Time Series Models.

*Journal of Business and Economic Statistics*,

*40*(1), 50-65. Abstract. DOI.

**Cavaliere G, Lu Y, Rahbek A, Stærk-Østergaard J**(2022). Bootstrap inference for Hawkes and general point processes.

*Journal of Econometrics*DOI.

**Cavaliere G, Boswijk P, Georgiev I, Rahbek A**(2021). Bootstrapping Non-Stationary Stochastic Volatility.

*Journal of Econometrics*Abstract. DOI.

**Cavaliere G, Rahbek A, Taylor AMR**(2021). Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity.

*Studies of Applied Economics*,

*28*(3), 519-552. DOI.

**Cavaliere G, Rahbek A**(2020). A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS.

*Econometric Theory*,

*37*(1), 1-48. Abstract. DOI.

**Cavaliere G, Rahbek A, Nielsen HB, Rasmus Sondergaard P**(2020). Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models.

*Journal of Econometrics*DOI.

**Cavaliere G, Nielsen HB, Rahbek A**(2020). Bootstrapping Noncausal Autoregressions: with Applications to Explosive Bubble Modeling.

*Journal of Business and Economic Statistics*,

*38*(1), 55-67. Abstract. DOI.

**Cavaliere G, Georgiev I**(2020). Inference Under Random Limit Bootstrap Measures.

*Econometrica: journal of the Econometric Society*,

*88*, 2547-2574. Abstract. DOI.

**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, 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.

**BROWNLEES C, CAVALIERE G, MONTI A**(2018). EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT.

*Annals of Financial Economics*,

*13*(02). 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 AMR**(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 AMR**(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). 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 AMR**(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, Angelis LD, Rahbek A, Robert Taylor AM**(2014). A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models.

*Oxford Bulletin of Economics and Statistics*, n/a-n/a. 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, Xu F**(2014). Testing for unit roots in bounded time series.

*Journal of Econometrics*,

*178*(PART 2), 259-272. 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). A note on unit root testing in the presence of level shifts.

*Statistica*,

*66*(1), 4-18. 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**(2006). Stochastic Volatility: Selected Readings.

*The Economic Journal*,

*116*(512), f326-f327. 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.

**Cavaliere G**(2003). Asymptotics for unit root tests under Markov regime‐switching.

*Econometrics Journal*,

*6*(1), 193-216. 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**(2001). Testing the unit root hypothesis using generalized range statistics.

*Econometrics Journal*,

*4*(1), 70-88. DOI.

**Gardini A, Cavaliere G, Costa M**(1999). A new approach to stock price modelling and the efficiency of the Italian stock exchange.

*Statistical Methods & Applications*,

*8*(1). DOI.

### Chapters

**Cavaliere G, Nielsen HB, Rahbek A**(2021). An Introduction to Bootstrap Theory in Time Series Econometrics. In (Ed)

*Oxford Research Encyclopedia of Economics and Finance*. 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, Costa M**(2009). Common Trends in Financial Markets. In (Ed)

*Price Indexes in Time and Space*, 225-238. DOI.

### Publications by year

### In Press

**Cavaliere G, De Angelis L, Taylor AMR, Boswijk P**(In Press). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.

*Econometric Reviews*Abstract.

**Cavaliere G, Nielsen HB, Rahbek A**(In Press). An Introduction to Bootstrap Theory in Time Series Econometrics.

*SSRN Electronic Journal*DOI.

**Cavaliere G**(In Press). BOOTSTRAP INFERENCE AND DIAGNOSTICS IN STATE SPACE MODELS: WITH APPLICATIONS TO DYNAMIC MACRO MODELS.

*Journal of Applied Econometrics*

**Cavaliere G, Nielsen HB, Pedersen RS, Rahbek A**(In Press). Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models.

*SSRN Electronic Journal*DOI.

**Boswijk HP, Cavaliere G, Georgiev I, Rahbek A**(In Press). Bootstrapping Non-Stationary Stochastic Volatility.

*SSRN Electronic Journal*DOI.

**Cavaliere G, Barigozzi M, Trapani L**(In Press). Inference in heavy-tailed non-stationary multivariate time series.

*Journal of the American Statistical Association*Abstract.

### 2022

**Cavaliere G, Nielsen MØ, Robert Taylor AM**(2022). Adaptive Inference in Heteroscedastic Fractional Time Series Models.

*Journal of Business and Economic Statistics*,

*40*(1), 50-65. Abstract. DOI.

**Boswijk HP, Cavaliere G, Angelis LD, Taylor AMR**(2022). Adaptive information-based methods for determining the co-integration. rank in heteroskedastic VAR models. Abstract. Author URL.

**Angelini G, Cavaliere G, Fanelli L**(2022). An identification and testing strategy for proxy-SVARs with weak proxies. DOI.

**Cavaliere G, Lu Y, Rahbek A, Stærk-Østergaard J**(2022). Bootstrap inference for Hawkes and general point processes.

*Journal of Econometrics*DOI.

**Cavaliere G, Mikosch T, Rahbek A, Vilandt F**(2022). The Econometrics of Financial Duration Modeling. DOI.

### 2021

**Cavaliere G, Nielsen HB, Rahbek A**(2021). An Introduction to Bootstrap Theory in Time Series Econometrics. In (Ed)

*Oxford Research Encyclopedia of Economics and Finance*. DOI.

**Cavaliere G, Lu Y, Rahbek A, Stærk-Østergaard J**(2021). Bootstrap Inference for Hawkes and General Point Processes. DOI.

**Series UCEDP, Cavaliere G, Lu Y, Rahbek A, Østergaard J**(2021). Bootstrap inference for Hawkes and general point processes. DOI.

**Boswijk HP, Cavaliere G, Rahbek A, Georgiev I**(2021). Bootstrapping Non-Stationary Stochastic Volatility. DOI.

**Cavaliere G, Boswijk P, Georgiev I, Rahbek A**(2021). Bootstrapping Non-Stationary Stochastic Volatility.

*Journal of Econometrics*Abstract. DOI.

**Cavaliere G, Rahbek A, Taylor AMR**(2021). Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity.

*Studies of Applied Economics*,

*28*(3), 519-552. DOI.

**Cavaliere G, Lu Z-H, Rahbek A, Yang Y**(2021). MinP Score Tests with an Inequality Constrained Parameter Space. DOI.

**Cavaliere G, Perera I, Rahbek A**(2021). Specification Tests for GARCH Processes. DOI.

**Cavaliere G, Perera I, Rahbek A**(2021). Specification tests for GARCH processes. DOI.

### 2020

**Cavaliere G, Rahbek A**(2020). A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS.

*Econometric Theory*,

*37*(1), 1-48. Abstract. DOI.

**Cavaliere G, Rahbek A, Nielsen HB, Rasmus Sondergaard P**(2020). Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models.

*Journal of Econometrics*DOI.

**Cavaliere G, Nielsen HB, Rahbek A**(2020). Bootstrapping Noncausal Autoregressions: with Applications to Explosive Bubble Modeling.

*Journal of Business and Economic Statistics*,

*38*(1), 55-67. Abstract. DOI.

**Cavaliere G, Georgiev I**(2020). Inference Under Random Limit Bootstrap Measures.

*Econometrica: journal of the Econometric Society*,

*88*, 2547-2574. Abstract. DOI.

### 2019

**Cavaliere G, Rahbek A**(2019). A Primer on Bootstrap Testing of Hypotheses in Time Series Models: with an Application to Double Autoregressive Models. DOI.

**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, 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.

**BROWNLEES C, CAVALIERE G, MONTI A**(2018). EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT.

*Annals of Financial Economics*,

*13*(02). 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 AMR**(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

**Angelini G, Cavaliere G, Fanelli L**(2016). Bootstrapping DSGE Models. DOI.

**Boswijk HP, Cavaliere G, Rahbek A, Taylor AMR**(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). 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 AMR**(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, Angelis LD, Rahbek A, Robert Taylor AM**(2014). A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models.

*Oxford Bulletin of Economics and Statistics*, n/a-n/a. 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, Xu F**(2014). Testing for unit roots in bounded time series.

*Journal of Econometrics*,

*178*(PART 2), 259-272. 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).

**Boswijk HP, Cavaliere G, Rahbek A, Taylor R**(2013). Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions. DOI.

**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 Heteroskedastic VAR Models. 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, Phillips PCB, Smeekes S, Taylor AMR**(2012). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. 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). Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models. DOI.

**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, Rahbek A, Taylor AMR**(2009). Co-Integration Rank Testing under Conditional Heteroskedasticity. DOI.

**Cavaliere G, Costa M**(2009). Common Trends in Financial Markets. In (Ed)

*Price Indexes in Time and Space*, 225-238. 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, Rahbek A, Taylor R**(2008). Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility. DOI.

**Cavaliere G, Harvey DI, Leybourne SJ, Taylor AMR**(2008). Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility. DOI.

**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). A note on unit root testing in the presence of level shifts.

*Statistica*,

*66*(1), 4-18. 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.

### 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**(2006). Stochastic Volatility: Selected Readings.

*The Economic Journal*,

*116*(512), f326-f327. 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. DOI.

### 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.

**Cavaliere G**(2003). Asymptotics for unit root tests under Markov regime‐switching.

*Econometrics Journal*,

*6*(1), 193-216. 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.

**Cavaliere G**(2001). Testing the unit root hypothesis using generalized range statistics.

*Econometrics Journal*,

*4*(1), 70-88. DOI.

### 1999

**Gardini A, Cavaliere G, Costa M**(1999). A new approach to stock price modelling and the efficiency of the Italian stock exchange.

*Statistical Methods & Applications*,

*8*(1). DOI.

**Cavaliere G, Costa M**(1999). Firm size and the Italian Stock Exchange.

*Applied Economics Letters*,

*6*(11), 729-734. Abstract. DOI.

### 1996

### Awards and Honours

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

### Editorial responsibilities

*Econometric Theory*, Co-Editor (since 2009)*Journal of Econometrics*, Associate Editor (since 2020)*Econometrics Journal*, Associate Editor (since 2012)*Journal of Time Series Analysis*, Associate Editor (since 2013)

### External positions

- Former President 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