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PUBLICATIONS

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- “Bootstrap inference in the presence of bias”, Journal of the American Statistical Association, forthcoming (with S. Gonçalves, M. Nielsen and Edoardo Zanelli) [abstract and pdf file]


- “An identification and testing strategy for Proxy-SVARs with weak proxies”, Journal of Econometrics, forthcoming (with G. Angelini and L. Fanelli) [abstract and pdf file]
 

- “Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation”, Journal of Econometrics, forthcoming (with T. Mikosch, A. Rahbek and F. Vilandt) [abstract and pdf file, first draft]

“Inference in heavy-tailed non-stationary multivariate time series”, Journal of the American Statistical Association, forthcoming (with M.Barigozzi and L.Trapani), [abstract and pdf file]

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- “Specification tests for GARCH processes”, Journal of Business and Economic Statistics, forthcoming (with I. Perera and A. Rahbek) [abstract and pdf file]

 

- “Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models”, Econometric Reviews, forthcoming (with P. Boswijk, L. De Angelis and A.M.R. Taylor) [abstract and pdf file]

 

- “Bootstrap inference for Hawkes and general point processes”, Journal of Econometrics 235, 133-165 (with A. Rahbek, Ye Lu and J. Stærk-Østergaard) [abstract and pdf file]

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- “Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models” (2022), Journal of Econometrics 227, 241-263 (with A. Rahbek, R.S. Pedersen and H.B.Nielsen) [abstract and pdf file]

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- “Bootstrap inference and diagnostic in state space models: with applications to dynamic macro models” (2022), Journal of Applied Econometrics 37, 3-22 (with G. Angelini and L. Fanelli) [abstract and pdf file]

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- “Adaptive Inference in Heteroskedastic Fractional Time Series Models” (2021), Journal of Business and Economic Statistics 40, 50–65 (with M.O. Nielsen and A.M.R. Taylor) [abstract and pdf file]

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- “A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models” (2021), Econometric Theory 37, 1–48 (with A. Rahbek) [abstract and pdf file]

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- "Bootstrapping non-stationary stochastic volatility" (2021), Journal of Econometrics 224, 161-180 (with P. Boswijk, I. Georgiev and A. Rahbek) [abstract and pdf file]

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- “An Introduction to Bootstrap Theory in Time Series Econometrics” (2021), Oxford Research Encyclopedia of Economics and Finance, https://doi.org/10.1093/acrefore/9780190625979.013.493 (with H.B. Nielsen and A. Rahbek) [abstract and pdf file]

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- “Inference under random limit bootstrap measures” (2020), Econometrica 88, 2547-2574 (joint with I. Georgiev) [abstract and pdf file]

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- “Bootstrapping Non-Causal Autoregressions: With Applications to Explosive Bubble Modelling” (2020), Journal of Business and Economic Statistics, 38, 55-67 (with A. Rahbek and H.B.Nielsen) [abstract and pdf file]

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- “Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility” (2019), Econometric Reviews 38, 509-532 (with A. Skrobotov and R. Taylor) [abstract and pdf file]


- “Unit Root Inference for Non-Stationary Linear Processes driven by Infinite Variance Innovations” (2018), Econometric Theory 34, 302–348 (with I. Georgiev and A.M.R. Taylor) [abstract and pdf file]


- “Determining the cointegration rank in heteroskedastic VAR models of unknown order” (2018), Econometric Theory 34, 349–382 (with L. De Angelis, A. Rahbek and A.M.R. Taylor)


- “The fixed volatility bootstrap for a class of ARCH(q) models” (2018), Journal of Time Series Analysis 39: 920–941 (with R.S. Pedersen and A. Rahbek)


- “Co-integration rank determination in partial systems using information criteria” (2018), Oxford Bulletin of Economics and Statistics, 80, 65–89 (with L. De Angelis and Luca Fanelli)


- “Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form” (2017), Journal of Econometrics 198, 165-188 (with M.O. Nielsen and A.M.R. Taylor)


- “On the consistency of bootstrap testing for a parameter on the boundary of the parameter space” (2017), Journal of Time Series Analysis 38,513-534 (with A. Rahbek and H.B.Nielsen)

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“Sieve-based inference for infinite-variance linear processes” (2016), Annals of Statistics 44, 1467-1494. (with I. Georgiev and A.M.R. Taylor) [working paper version here]

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“Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)” (2016), Journal of Empirical Finance 38, 640-663 (with A. Agosto, D. Kristensen and A. Rahbek) [abstract and pdf file]


“Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions” (2016), Journal of Econometrics 192, 64-85 (with P. Boswijk, A. Rahbek and A.M.R. Taylor)[abstract and pdf file]

- "Bootstrap testing of hypotheses on co-integration relations in VAR models" (2015), Econometrica 83, 813–831  (with H.B. Nielsen and A. Rahbek) [abstract and pdf file; supplemental material]

- "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models,  with an application to price dynamics in commodity spot and futures markets" (2015), Journal of Econometrics 187, 557–579 (with M.O. Nielsen and A.M.R. Taylor) [abstract and pdf file]

- "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates" (2015), Oxford Bulletin of Economics and Statistics 77, 740–759   (with A.M.R. Taylor and C. Trenkler) [abstract and pdf file]

- "Bootstrap determination of the co-integration Rank in VAR models with unrestricted deterministic time trends" (2015), Journal of Time Series Analysis 36, 272–289  with A. Rahbek and A.M.R. Taylor) [abstract and pdf file]

- "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics" (2015), Journal of Time Series Analysis 36, 603–629 (with D. Harvey, S. Leybourne and A.M.R. Taylor) [abstract and pdf file]

- “A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models” (2015), Oxford Bulletin of Economics and Statistics 77, 106-128 (with L. De Angelis, A. Rahbek and A.M.R. Taylor) [abstract and pdf file]

- “Lag length selection for unit root tests in the presence of nonstationary volatility" (2015), Econometric Reviews 34, 512-536 (with P.C.B. Phillips, S. Smeekes and A.M.R. Taylor) [abstract and pdf file]

- “Testing for unit roots in bounded time series" (2014), Journal of Econometrics 178, 259-272 (with F.Xu) [abstract and pdf file]

- "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models" (2014), Econometric Reviews 33, 606-650 (with A. Rahbek and A.M.R. Taylor) [abstract and pdf file]

- “Exploiting Infinite Variance through Dummy Variables in Autoregressions" (2013), Econometric Theory 29, 1162-1195 (with I. Georgiev) [abstract and pdf file]

- "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion" (2013), Econometric Reviews 32, 814-847 (with A. M. Robert Taylor & Carsten Trenkler)  [abstract and pdf file]

- “Wild bootstrap of the sample mean in the infinite variance case” (2013), Econometric Reviews 32, 204-219 (with I. Georgiev and A.M.R. Taylor)  [abstract and pdf file]

- "Bootstrap Determination of the Co-integration Rank in VAR Models" (2012), Econometrica 80, 1721-1740 (with A. Rahbek and A.M.R. Taylor) [first draft: abstract and pdf file; second draft: abstract and pdf file; final version: abstract and pdf file]

- "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility" (2011), Econometric Theory 27, 957-991 (with D. Harvey, S. Leybourne and A.M.R. Taylor) [abstract and pdf file]

- “Testing for co-integration in vector autoregressions with non-stationary volatility” (2010), Journal of Econometrics 158, 7-24 (with A. Rahbek and A.M.R. Taylor) [abstract, pdf file, code]

- “Co-integration Rank Testing under Conditional Heteroskedasticity” (2010), Econometric Theory 26, 1719-1760 (with A. Rahbek and A.M.R. Taylor) [abstract, pdf file, code]

- "Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity", Estudios de Economia Aplicada 28, 519-552 (with A. Rahbek and A.M.R. Taylor) [abstract and pdf file]

- “Heteroskedastic time series with a unit root” (2009), Econometric Theory 25, 1228-1276. (with A.M.R. Taylor) [abstract and pdf file]

- “Robust inference in autoregressions with multiple outliers” (2009), Econometric Theory 25, 1625–1661 (with I. Georgiev) [abstract, pdf and suppl. material]

-  “Bootstrap M unit root tests” (2009), Econometric Reviews 28, 393-421 (with A.M.R. Taylor) [abstract and pdf file]

-  “A note on testing covariance stationarity” (2009), Econometric Reviews 28, pp. 364-371 (with A.M.R. Taylor) [abstract and pdf file]

- “Tests for cointegration rank and choice of the alternative” (2009), Statistical Methods and Applications 18, 169-191 (with L. Fanelli and P. Paruolo) [abstract and pdf file]

- “Testing for a change in persistence in the presence of non-stationary volatility” (2008), Journal of Econometrics 147, 84-98 (with A.M.R. Taylor) [abstract and pdf file]

- “International dynamic risk sharing” (2008), Journal of Applied Econometrics 23, 1-16  (with L.Fanelli and A.Gardini) [abstract and pdf file]

- “Regime switching autoregressive coefficients and the asymptotics for unit root tests” (2008), Econometric Theory (N&P section) 24, 1137-1148. (with I. Georgiev) [abstract and pdf file]

-  “Time-change unit root tests for time series with non-stationary volatility” (2008), Journal of Time Series Analysis 29, 300-330 (with A.M.R. Taylor) [abstract and pdf file]

- “Bootstrap unit root tests for time series models with non-stationary volatility” (2008), Econometric Theory 24, 43-71. (with A.M.R. Taylor) [abstract and pdf file]

- “Testing for unit roots in autoregressions with multiple level shifts” (2007), Econometric Theory 23, 1162-1215. (with I. Georgiev) [abstract and pdf file, suppl.material]

-  “Testing for unit roots in time series models with non-stationary volatility” (2007), Journal of Econometrics 140, 919-947. (with A.M.R. Taylor) [abstract and pdf file]

- “Testing for a change in persistence in the presence of a volatility shift” (2006), Oxford Bulletin of Economics and Statistics 27,  619-636. (with A.M.R. Taylor) [abstract and pdf file]

- “Regional consumption dynamics and risk sharing in Italy” (2006), International Review of Economics and Finance 15, 525-542 (with A. Gardini and L. Fanelli). [abstract and pdf file]

- “Testing the null of co-integration in the presence of variance breaks” (2006), Journal of Time Series Analysis 27, 619-636. (with A.M.R. Taylor) [abstract and pdf file]

- “A note of unit root testing in the presence of level shifts” (2006), Statistica (with I. Georgiev)

- “Limited time series with a unit root” (2005), Econometric Theory 21, 907-945. [abstract and pdf file, suppl. material]

- “Stationarity tests under time-varying variances” (2005), Econometric Theory 21, 1112-1129. (with A.M.R. Taylor) [abstract and pdf file]

- “Testing mean reversion in target-zone exchange-rates” (2005), Applied Economics 37, 2335-2347. [abstract and pdf file]

- “Risk sharing, risk aversion and the stabilization of regional fluctuations in Italy” (2005), Rivista di Politica Economica May-June 2005, 139-186 (with A. Gardini and L. Fanelli). [in Italian] [abstract and pdf file]

- “Unit root tests under time-varying variances” (2004), Econometric Reviews 23, 259-292.

- “Testing stationarity under a permanent variance shift” (2004), Economics Letters 82, 403-408. [abstract and pdf file]

- “Fundamentals and asset price dynamics” (2003), Statistical Methods and Applications 12, 211-226 (with A. Gardini and M. Costa).

- The asymptotic distribution of the Dickey-Fuller statistic under a non-negativity constraint (2003), Econometric Theory 19(3),  691-692, Problem 03.3.2., Solution (2004) Econometric Theory, 20(3), pp. 808-810. [abstract and pdf file]

- “Asymptotics for unit root tests under Markov-regime switching” (2003), Econometrics Journal 6, 193-216. [abstract and pdf file]

- “Bounded integrated processes and unit root tests” (2002), Statistical Methods and Applications 11, 41-70.

- “Testing the unit root hypothesis using generalized rescaled range statistics” (2001), Econometrics Journal 4, 70-88. [abstract and pdf file]

- “Advertising effect on primary demand: a cointegration approach” (2001), International Journal of Advertising 20, 319-339 (with G. Tassinari).

- “The R/S Statistics as a unit root test” (2001), Econometric Theory 17(2), p. 483, Problem. 01.2.2, Solution (2002) Econometric Theory 18, pp. 544-545

- “The econometrics of risk sharing tests: a new perspective” (2001), Statistica LXI , 595-618. (with A. Gardini and L. Fanelli).

- “A new approach to stock price modeling and forecasting” (1999), Journal of the Italian Statistical Society 8, 25-47 (with A. Gardini, M. Costa).

- “Size effect in the Italian Stock Exchange” (1999), Applied Economics Letters 6, 729-734 (with M. Costa).

- “Detecting undeclared target zones within the European Monetary System” (1998), Statistica LVIII, 433-456.

- “Multivariate analysis of financial data” (1997), Statistica applicata - The Italian Journal of Applied Statistics 9, 219-230. with M. Costa)

- “Asymptotic inference for reflected Brownian motions” (1997), Statistica LVII, 553-571.

- “Devaluation expectations and the unit root hypothesis: the Italian Lira in the European Monetary System” (1996), Journal of the Italian Statistical Society 5, 39-71.

- “Determining the number of factors in a generalized factor model” (1995), Statistica LV, 495-516 [in Italian]

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Book chapters

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  1. “Common trends in financial markets” (2010), in Price indexes in time and space, Springer-Verlag, 225 - 238 (with M. Costa)

  2. “The role of the normal distribution in financial markets” (2004), in M. Vichi, P. Monari, S. Mignani, A. Montanari (eds.) , Springer-Verlag, 343-350 (with M. Costa and S. Iezzi).

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Other referred publications

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“A support for classifying scientific papers in a University Department” (2014), 17, 47 – 54 (with D. Cocchi, M. Freo, S. Giannerini, M. Mazzocchi, C. Trivisano and C. Viroli).

 

“Limited cointegrated time series” (2006), Proceedings of the XLIII Meeting of the Italian Statistical Society, 451-454.

 

“The role of the normal distribution in financial markets” (2004), in M. Vichi, P. Monari, S. Mignani, A. Montanari (eds.), , Springer-Verlag, 343-350. (with M.Costa and S.Iezzi)

 

“Regional consumption dynamics and risk sharing in Italy: an econometric investigation” (2002), Proceedings of the XLI Meeting of the Italian Statistical Society, 2, 405-408 (with A.Gardini and L. Fanelli).

 

“Stock price dynamics and their fundamentals” (2000), Proceedings of the XL Meeting of the Italian Statistical Society, 2, pp. 619-622 (with A.Gardini and M.Costa) [in Italian]

 

“Central bank intervention in foreign exchange markets” (2000), Proceedings of the XLI Meeting of the Italian Statistical Society, 2, pp. 419-422. [in Italian]

 

“Stock market efficiency: a statistical analysis”, Proceedings of the XXXIX Meeting of the Italian Statistical Society, 2, pp. 449-456 (with A. Gardini and M. Costa). [in Italian]

 

“Latent factors and financial data: a multivariate analysis'' (1996), Proceedings of the 15th Conference on Multivariate Statistical Analysis, pp. 187--206 (with M.Costa).

 

“Continuous-time exchange rate models”, Proceedings of the XXXVIII Meeting of the Italian Statistical Society, 2, pp. 767-774. [in Italian]

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Books/Lecture Notes

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Econometria (2000), vol. I and II, Milano: Franco Angeli (with A. Gardini, M. Costa, L. Fanelli and P.Paruolo) [in Italian]

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Topics in Financial Econometrics (1997), Copenhagen University, pp. IV+148.

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Factor models for financial market analysis (1996), Università di Bologna, pp. IX +168 (with M. Costa) [in Italian]

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Book reviews


“N. Shephard, Stochastic volatility: selected readings'', Economic Journal, 116, pp. F326-F327.

“I. Karatzas and S.E. Shreve, Methods of mathematical finance”, Statistica, LIX, pp. 303-305.

“J.Y. Campbell, A.W. Lo and A.C. MacKinlay, The econometrics of financial markets”, Statistica, LVIII, pp. 691--693.

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