Selected Publications

• Econometria, Il Mulino, Bologna, 1991, with R. Orsi.
  
  
• “Triangular representation and error correction mechanism in cointegrated system”, Oxford Bulletin of Economics and Statistics, 58, 409-415, 1996, with D. Lubian.
  
  
• “Fully modified estimation of cointegrating vectors via VAR prewhitening: a simulation study”, Journal of the Italian Statistical Society, 5, 13-37, 1996, with D. Lubian.
  
  
• “Spurious regressions between I(1) processes with long memory errors”, Journal of Time Series Analysis, 18, 341-354, 1997, with D. Lubian.
  
  
• “A note on the stationarity of a threshold first-order bilinear process”, Statistics and Probability Letters, 40, 379-384, 1998, with M. Ferrante and G. Fonseca.
  
  
• “Estimation and Inference on long-run equilibria: a simulation study”, Econometric Reviews, , 20, 61-84, 2001, with D. Lubian.
• “Comments on the investment – uncertainty relationship in a real option model”, 2001, with M. Moretto, Quaderno del Dipartimento di Scienze Economiche, Università di Padova, e Nota di lavoro della Fondazione Eni Enrico Mattei.
  
  
• “Bayesian estimation of a stochastic volatilità model with skew-GED errors”, in Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, atti del convegno S.Co. 2001, a cura di C. Provasi, CLEUP Editrice, with D. Lubian and D. Raggi .
  
  
• “Unit Root Test with Infinite Variance Errors”, Journal of Statistical Planning and Inference, 116, 277-303, 2002, with F. Callegari and D. Lubian
  
  
• “MCMC Bayesian Estimation of a Skew-GED, Stochastic volatility Model”, Studies in Nonlinear Dynamics and Econometrics, 8 (2), article 6, 2004, with D. Lubian e D. Raggi.
  
  
• Econometria, 2^nd edition, Il Mulino, Bologna, 2005, with R. Orsi.
  
  
• “Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors”,  Annals of the Institute of Statistical Mathematics, 59, 403-423, 2007, with  D. Lubian. 
  
  
• “Local asymptotic distributions of stationarity tests”,  Journal of Time Series Analysis, 27, 323-345, 2005, with D. Lubian.
  
  
• “Investigating Asymmetry in U.S. Stock Market Indexes: Evidence from a Stochastic Volatility Model” Applied Financial Economics, 16, 479-490, 2006, with D. Lubian e D. Raggi.
• Econometria, 3^rd edition, Giappichelli, Torino, 2011, with R. Orsi.
• “The fragility of the KPSS stationarity test”, Statistical Methods and Applications, 19, 237–253, with D. Lubian.
  
  
  

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