Следене
Iliyan Georgiev
Iliyan Georgiev
Потвърден имейл адрес: unibo.it
Заглавие
Позовавания
Позовавания
Година
Testing for parameter instability in predictive regression models
I Georgiev, DI Harvey, SJ Leybourne, AMR Taylor
Journal of Econometrics 204 (1), 101-118, 2018
472018
Testing for episodic predictability in stock returns
M Demetrescu, I Georgiev, PMM Rodrigues, AMR Taylor
Journal of Econometrics 227 (1), 85-113, 2022
382022
Inference under random limit bootstrap measures
G Cavaliere, I Georgiev
Econometrica 88 (6), 2547-2574, 2020
262020
Unit root inference for non-stationary linear processes driven by infinite variance innovations
G Cavaliere, I Georgiev, AMR Taylor
Econometric Theory 34 (2), 302-348, 2018
232018
Testing for unit roots in autoregressions with multiple level shifts
G Cavaliere, I Georgiev
Econometric Theory 23 (6), 1162-1215, 2007
222007
A bootstrap stationarity test for predictive regression invalidity
I Georgiev, DI Harvey, SJ Leybourne, AMR Taylor
Journal of Business & Economic Statistics 37 (3), 528-541, 2019
202019
Wild bootstrap of the sample mean in the infinite variance case
G Cavaliere, I Georgiev, AM Robert Taylor
Econometric Reviews 32 (2), 204-219, 2013
172013
Functional weak limit theory for rare outlying events
I Georgiev
European University Institute, 2002
152002
Extensions to IVX methods of inference for return predictability
M Demetrescu, I Georgiev, PMM Rodrigues, AMR Taylor
Journal of Econometrics 237 (2), 105271, 2023
14*2023
Sieve-based inference for infinite-variance linear processes
G Cavaliere, I Georgiev, AMR Taylor
132016
Robust inference in autoregressions with multiple outliers
G Cavaliere, I Georgiev
Econometric Theory 25 (6), 1625-1661, 2009
132009
Exploiting infinite variance through dummy variables in nonstationary autoregressions
G Cavaliere, I Georgiev
Econometric Theory 29 (6), 1162-1195, 2013
122013
Bootstrapping non-stationary stochastic volatility
HP Boswijk, G Cavaliere, I Georgiev, A Rahbek
Journal of Econometrics 224 (1), 161-180, 2021
82021
A note on unit root testing in the presence of level shifts
G Cavaliere, I Georgiev
Statistica 66 (1), 4-18, 2006
82006
Unit Root Tests and Heavy‐Tailed Innovations
I Georgiev, PMM Rodrigues, AM Robert Taylor
Journal of Time Series Analysis 38 (5), 733-768, 2017
72017
Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers
I Georgiev
Econometric Theory 24 (3), 587-615, 2008
72008
Bootstrap inference under random distributional limits
G Cavaliere, I Georgiev
Research Institute for Econometrics Discussion Paper, 1-17, 2017
52017
A mixture‐distribution factor model for multivariate outliers
I Georgiev
The Econometrics Journal 10 (3), 605-636, 2007
42007
A factor model for innovational outliers in multivariate time series
I Georgiev
First Italian Congress of Econometrics and Empirical Economics, Venice …, 2005
42005
Regime-switching autoregressive coefficients and the asymptotics for unit root tests
G Cavaliere, I Georgiev
Econometric Theory 24 (4), 1137-1148, 2008
32008
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