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,
2nd 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, 3rd edition, Giappichelli, Torino, 2011, with R. Orsi.
- “The fragility of the KPSS stationarity test”, Statistical Methods and Applications, 19, 237–253, with D. Lubian.
Ritorno alla HomePage 