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Cavicchioli, Maddalena

Author ID: cavicchioli.maddalena Recent zbMATH articles by "Cavicchioli, Maddalena"
Published as: Cavicchioli, Maddalena
Documents Indexed: 27 Publications since 2012
Co-Authors: 2 Co-Authors with 2 Joint Publications
42 Co-Co-Authors

Co-Authors

25 single-authored
1 Billio, Monica
1 Lalla, Michele

Publications by Year

Citations contained in zbMATH Open

17 Publications have been cited 83 times in 30 Documents Cited by Year
Determining the number of regimes in Markov switching VAR and VMA models. Zbl 1301.62083
Cavicchioli, Maddalena
17
2014
Higher order moments of Markov switching VARMA models. Zbl 1396.62197
Cavicchioli, Maddalena
12
2017
Analysis of the likelihood function for Markov-switching VAR(CH) models. Zbl 1311.62127
Cavicchioli, Maddalena
12
2014
Spectral density of Markov-switching VARMA models. Zbl 1288.62134
Cavicchioli, Maddalena
11
2013
Asymptotic Fisher information matrix of Markov switching VARMA models. Zbl 1362.62014
Cavicchioli, Maddalena
10
2017
Weak VARMA representations of regime-switching state-space models. Zbl 1353.60066
Cavicchioli, Maddalena
4
2016
Statistical analysis of mixture vector autoregressive models. Zbl 1373.62444
Cavicchioli, Maddalena
4
2016
Third and fourth moments of vector autoregressions with regime switching. Zbl 1368.62243
Cavicchioli, Maddalena
2
2017
Statistical inference for mixture GARCH models with financial application. Zbl 1505.62091
Cavicchioli, Maddalena
2
2021
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis. Zbl 07505543
Cavicchioli, Maddalena
2
2022
Estimation and asymptotic covariance matrix for stochastic volatility models. Zbl 1384.62319
Cavicchioli, Maddalena
1
2017
Markov switching GARCH models: filtering, approximations and duality. Zbl 1383.62201
Billio, Monica; Cavicchioli, Maddalena
1
2017
Acute triangulations of convex quadrilaterals. Zbl 1250.52001
Cavicchioli, Maddalena
1
2012
OLS estimation of Markov switching VAR models: asymptotics and application to energy use. Zbl 1480.62168
Cavicchioli, Maddalena
1
2021
Spectral representation and autocovariance structure of Markov switching DSGE models. Zbl 1511.62214
Cavicchioli, Maddalena
1
2020
Spectral analysis of Markov switching GARCH models with statistical inference. Zbl 07677031
Cavicchioli, Maddalena
1
2023
On mixture autoregressive conditional heteroskedasticity. Zbl 1432.62292
Cavicchioli, Maddalena
1
2018
Spectral analysis of Markov switching GARCH models with statistical inference. Zbl 07677031
Cavicchioli, Maddalena
1
2023
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis. Zbl 07505543
Cavicchioli, Maddalena
2
2022
Statistical inference for mixture GARCH models with financial application. Zbl 1505.62091
Cavicchioli, Maddalena
2
2021
OLS estimation of Markov switching VAR models: asymptotics and application to energy use. Zbl 1480.62168
Cavicchioli, Maddalena
1
2021
Spectral representation and autocovariance structure of Markov switching DSGE models. Zbl 1511.62214
Cavicchioli, Maddalena
1
2020
On mixture autoregressive conditional heteroskedasticity. Zbl 1432.62292
Cavicchioli, Maddalena
1
2018
Higher order moments of Markov switching VARMA models. Zbl 1396.62197
Cavicchioli, Maddalena
12
2017
Asymptotic Fisher information matrix of Markov switching VARMA models. Zbl 1362.62014
Cavicchioli, Maddalena
10
2017
Third and fourth moments of vector autoregressions with regime switching. Zbl 1368.62243
Cavicchioli, Maddalena
2
2017
Estimation and asymptotic covariance matrix for stochastic volatility models. Zbl 1384.62319
Cavicchioli, Maddalena
1
2017
Markov switching GARCH models: filtering, approximations and duality. Zbl 1383.62201
Billio, Monica; Cavicchioli, Maddalena
1
2017
Weak VARMA representations of regime-switching state-space models. Zbl 1353.60066
Cavicchioli, Maddalena
4
2016
Statistical analysis of mixture vector autoregressive models. Zbl 1373.62444
Cavicchioli, Maddalena
4
2016
Determining the number of regimes in Markov switching VAR and VMA models. Zbl 1301.62083
Cavicchioli, Maddalena
17
2014
Analysis of the likelihood function for Markov-switching VAR(CH) models. Zbl 1311.62127
Cavicchioli, Maddalena
12
2014
Spectral density of Markov-switching VARMA models. Zbl 1288.62134
Cavicchioli, Maddalena
11
2013
Acute triangulations of convex quadrilaterals. Zbl 1250.52001
Cavicchioli, Maddalena
1
2012

Citations by Year