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Publications

PAPERS IN PEER-REVIEWED JOURNALS

  1. Cavicchioli M., (2011) Structural Macroeconomic Analysis for Dynamic Factor Models, Rivista di Politica Economica 10-12, 39-70
  2. Cavicchioli M., (2011) Some Convergence Results on Dynamic Factor Models, Theoretical and Practical Studies in Economic Fields, Volume II, Issue 2(4)
  3. Cavicchioli M., (2012) Acute Triangulations of Convex Quadrilaterals, Discrete Applied Mathematics 160, 1253-1256
  4. Cavicchioli M., (2013) Inference Methods for Stochastic Volatility Models, International Mathematical Forum 8(8), 369-375
  5. Cavicchioli M., (2013) Acute Triangulations of Trapezoids and Pentagons, Journal of Mathematics, Volume 2013, Article ID 747128, 5 pages
  6. Cavicchioli M., (2013) On Asymptotic Properties of the QML Estimator for GARCH Models, Economics Bulletin 33(2), 959-966
  7. Cavicchioli M., (2013) Spectral Density of Markov Switching VARMA Models, Economics Letters 121, 218-220
  8. Cavicchioli M., (2014) Determining the Number of Regimes in Markov-Switching VAR and VMA Models, Journal of Time Series Analysis 35(2), 173-186
  9. Cavicchioli M., (2014) On Spectral Representation of VARMA Models with Change in Regime, Mathematics and Statistics 2(2), 89-100
  10. Billio M. and Cavicchioli M., (2014) Business Cycle and Markov Switching Models with Distributed Lags: a Comparison between US and Euro area, Rivista Italiana degli Economisti, 19(2), 253-276
  11. Cavicchioli M., (2014) Quasi Maximum Likelihood Inference for Stochastic Volatility Models, Frontiers in Finance and Economics 11(1), 1-24
  12. Cavicchioli M., (2014) Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models, Journal of Time Series Analysis 35(6), 624-639
  13. Cavicchioli M., (2014) Autocovariance and Linear Transformations of Markov Switching VARMA Processes, Central European Journal of Economic Modeling and Econometrics 6, 275-289
  14. Cavicchioli M., (2015) Likelihood Ratio Test and Information Criteria for Markov Switching VAR Models: an Application to the Italian Macroeconomy, Italian Economic Journal 1(3), 315-322
  15. Billio M. and Cavicchioli M., (2016) Validating Markov Switching VAR Through Spectral Representations, in: Causal Inference in Econometrics (V.N. Huynk et al. eds.), Stud.in Comp.Int. 622, Springer-Verlag
  16. Cavicchioli M., (2016) Weak VARMA Representations of Regime-Switching State-Space Models, Statistical Papers 57(3), 705-720
  17. Cavicchioli M. and Pistoresi B., (2016) Testing threshold cointegration in Wagner’s Law: the role of military spending, Economic Modelling 59, 23-31
  18. Cavicchioli M., (2016) Statistical Analysis of Mixture Vector Autoregressive Models, Scandinavian Journal of Statistics 43(4), 1192-1213
  19. Cavicchioli M., (2017) Third and Fourth Moments of Vector Autoregressions with Regime Switching, Communications in Statistics – Theory and Methods 46(9), 4181-4194
  20. Pistoresi B., Cavicchioli M. and Brevini G., (2017) Central Bank Independence, financial instability and politics: new evidence for OECD and non-OECD countries, International Journal of Economics and Finance 9(7), 179-188
  21. Cavicchioli M., (2017) Matrix Algebra and Invertibility Conditions for Linear Dynamic Stochastic General Equilibrium Models, International Journal of Statistics and Economics 18(3), 41-55
  22. Cavicchioli M., (2017) Asymptotic Fisher information matrix of Markov switching VARMA models, Journal of Multivariate Analysis 157, 124-135
  23. Cavicchioli M., (2017) Estimation and Asymptotic Covariance Matrix for Stochastic Volatility Models, Statistical Methods & Applications 26(3), 437-452
  24. Billio M. and Cavicchioli M., (2017) Markov Switching GARCH Models: Filtering, Approximations and Duality, in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Corazza M. et al. eds.), Springer, 59-72
  25. Cavicchioli M., (2017) Higher order moments of Markov switching VARMA models, Econometric Theory 33(6), 1502-1515
  26. Cavicchioli M., (2018) On Mixture Autoregressive Conditional Heteroskedasticity, Journal of Statistical Planning and Inference 197, 35-50
  27. Cavicchioli M., Papana A., Papana Dagiasis A., and Pistoresi, B. (2018)  A Random Forests Approach to Assess Determinants of Central Bank Independence, Journal of Modern Applied Statistical Methods 17(2), 1-21
  28. Cavicchioli M., (2020) Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models, Computational Economics 55, 61-86
  29. Cavicchioli M., (2020) Spectral Representation and Autocovariance Structure of Markov Switching DSGE Models, Communications in Statistics – Theory and Methods 49(7), 1635-1652
  30. Cavicchioli M., (2020) A note on the asymptotic and exact Fisher Information matrices of a Markov Switching VARMA process, Statistical Methods & Applications 29, 129-139
  31. Cavicchioli M. and Pistoresi B., (2020) Unfolding the relationship between mortality, economic fluctuations and health in Italy, The European Journal of Health Economics 21, 351–362
  32. Cavicchioli M., (2020) Generalised Cepstral Models for the Spectrum of Vector Time Series, Electronic Journal of Statistics 14, 605-631
  33. Cavicchioli M. and Kocollari U., (2021) Learning from failure. Big data analysis for detecting the patterns of failure in innovative startups, Big Data 9(2), 79-88.
  34. Cavicchioli M., (2021) OLS estimation of Markov Switching VAR models: asymptotics and application to energy use, AStA Advances in Statistical Analysis 105(3), 431-449.
  35. Cavicchioli M., (2021) A matrix approach to the Beveridge-Nelson decomposition of Markov-Switching processes with applications to business cycle, Applied Economics Letters 28(19), 1648-1655.
  36. Cavicchioli M., (2021) Fourth Moment Structure of Markov Switching Multivariate GARCH Models, Journal of Financial Econometrics 19(4), 565–582.
  37. Cavicchioli M., (2021) Statistical Inference for Mixture GARCH Models with Financial Application, Computational Statistics 36, 2615–2642.
  38. Cavicchioli M., (2021) Markov Switching GARCH Models: higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic, forthcoming in Journal of Business & Economic Statistics
  39. Cavicchioli M. and Lalla M., (2021) Evidences from survey data and fiscal data: nonresponse and measurement errors in annual incomes, forthcoming in Statistical Methods & Applications 
  40. Cavicchioli M., (2021) Spectral Analysis of Markov Switching GARCH Models with Statistical Inference, forthcoming in Scandinavian Journal of Statistics