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1

Weak VARMA representations of regime-switching state-space models

Cavicchioli, Maddalena

Journal:

Statistical Papers

Year:

2016

Language:

english

File:

PDF, 226 KB

english, 2016

2

On mixture autoregressive conditional heteroskedasticity

Cavicchioli, Maddalena

Journal:

Journal of Statistical Planning and Inference

Year:

2017

Language:

english

File:

PDF, 565 KB

english, 2017

3

OLS Estimation of Markov switching VAR models: asymptotics and application to energy use

Cavicchioli, Maddalena

Journal:

AStA Advances in Statistical Analysis

Year:

2020

File:

PDF, 1.62 MB

2020

4

Acute triangulations of convex quadrilaterals

Maddalena Cavicchioli

Journal:

Discrete Applied Mathematics

Year:

2012

Language:

english

File:

PDF, 188 KB

english, 2012

5

Spectral density of Markov-switching VARMA models

Cavicchioli, Maddalena

Journal:

Economics Letters

Year:

2013

Language:

english

File:

PDF, 357 KB

english, 2013

6

ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS

Cavicchioli, Maddalena

Journal:

Journal of Time Series Analysis

Year:

2014

Language:

english

File:

PDF, 190 KB

english, 2014

7

DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS

Cavicchioli, Maddalena

Journal:

Journal of Time Series Analysis

Year:

2014

Language:

english

File:

PDF, 196 KB

english, 2014

8

Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy

Cavicchioli, Maddalena

Journal:

Italian Economic Journal

Year:

2015

Language:

english

File:

PDF, 564 KB

english, 2015

9

Third and fourth moments of vector autoregressions with regime switching

Cavicchioli, Maddalena

Journal:

Communication in Statistics- Theory and Methods

Year:

2016

Language:

english

File:

PDF, 423 KB

english, 2016

10

Testing threshold cointegration in Wagner's Law: The role of military spending

Cavicchioli, Maddalena, Pistoresi, Barbara

Journal:

Economic Modelling

Year:

2016

Language:

english

File:

PDF, 902 KB

english, 2016

11

Statistical Analysis Of Mixture Vector Autoregressive Models

Cavicchioli, Maddalena

Journal:

Scandinavian Journal of Statistics

Year:

2016

Language:

english

File:

PDF, 380 KB

english, 2016

12

Estimation and asymptotic covariance matrix for stochastic volatility models

Cavicchioli, Maddalena

Journal:

Statistical Methods & Applications

Year:

2016

Language:

english

File:

PDF, 568 KB

english, 2016

13

HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS

Cavicchioli, Maddalena

Journal:

Econometric Theory

Year:

2016

Language:

english

File:

PDF, 183 KB

english, 2016

14

Asymptotic Fisher information matrix of Markov switching VARMA models

Cavicchioli, Maddalena

Journal:

Journal of Multivariate Analysis

Year:

2017

Language:

english

File:

PDF, 389 KB

english, 2017

15

Acute Triangulations of Trapezoids and Pentagons

Cavicchioli, Maddalena

Journal:

Journal of Mathematics

Year:

2013

Language:

english

File:

PDF, 1.84 MB

english, 2013

16

Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models

Cavicchioli, Maddalena

Journal:

Computational Economics

Year:

2018

Language:

english

File:

PDF, 583 KB

english, 2018

17

Spectral representation and autocovariance structure of Markov switching DSGE models

Cavicchioli, Maddalena

Journal:

Communication in Statistics- Theory and Methods

Year:

2019

File:

PDF, 1.58 MB

2019

18

Determining the Number of Regimes in Markov Switching VAR and VMA Models

Cavicchioli, Maddalena

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 795 KB

english, 2013

19

A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process

Cavicchioli, Maddalena

Journal:

Statistical Methods & Applications

Year:

2019

Language:

english

File:

PDF, 304 KB

english, 2019

20

Fourth Moment Structure of Markov Switching Multivariate GARCH Models

Cavicchioli, Maddalena

Journal:

Journal of Financial Econometrics

Year:

2019

Language:

english

File:

PDF, 267 KB

english, 2019

21

Unfolding the relationship between mortality, economic fluctuations, and health in Italy

Cavicchioli, Maddalena, Pistoresi, Barbara

Journal:

The European Journal of Health Economics

Year:

2019

File:

PDF, 817 KB

2019

22

A matrix approach to the Beveridge-Nelson decomposition of Markov-switching processes with applications to business cycle

Cavicchioli, Maddalena

Journal:

Applied Economics Letters

Year:

2020

File:

PDF, 1.36 MB

2020