PAPERS IN PEER-REVIEWED JOURNALS
59. Avarucci M., Cavicchioli M., Forni M., Zaffaroni P. (2025) Frequency-Band Estimation of the Number of Factors, Forthcoming in Journal of the American Statistical Association
58. Demaria F., Cavicchioli M. (2025) Employees’ well-being, work-related factors, and digitalization: a decision-tree approach for imbalanced data, Forthcoming in Annals of Operations Research
57. Demaria F., Cavicchioli M. (2025) Financial sustainability in the luxury industry across the Covid-19 pandemic: lessons from hierarchical methods, Forthcoming in Quality & Quantity
56. Kocollari U., Demaria F., Cavicchioli M. (2025) Time after time: exploring the role of CSR on employees’ long-lasting working relationships in Italy, Forthcoming in Small Business Economics
55. Cavicchioli M., Demaria F., Nannetti F., Scapolan A.C., Fabbri T. (2025) Employees’ attitudes and work-related stress in the digital workplace: an empirical investigation, Frontiers in Psychology 16, 1546832
54. Cavicchioli M., (2025) Forecasting Markov switching vector autoregressions: Evidence from simulation and application, Journal of Forecasting 44(1), 136-152
53. Kocollari U., Girardi A., Cavicchioli M., Pedrazzoli A. (2025) Crowdability: a new configuration of accountability forms in crowdfunding campaigns of non-profit organisations, Journal of Applied Accounting Research 26(1), 222-248
52. Ghezal A., Cavicchioli M., Zemmouri I. (2024) On the existence of stationary threshold bilinear processes, Statistical Papers 65, 3739-3767
51. Cavicchioli M., (2024) A matrix unified framework for deriving various impulse responses in Markov switching VAR: evidence from oil and gas markets, The Journal of Economic Asymmetries 29, e00349
50. Cavicchioli M., (2024) Generalized autocovariance matrices for multivariate time series, Communications in Statistics – Theory and Methods 53(10), 3797-3817
49. Kocollari U., Cavicchioli M., Demaria F., (2024) The 5 E(lements) of employee-centric CSR and their stimulus on Happiness At Work: an empirical investigation, Corporate Social Responsibility and Environmental Management 31, 1959–1976
48. Cavicchioli M., (2023) Impulse Response Function analysis for Markov Switching VAR models, Economics Letters 232, 111357
47. Cavicchioli M., (2023) Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends, Stochastics: An International Journal Of Probability And Stochastic Processes 95(8), 1488-1509
46. Cavicchioli M., (2023) Likelihood-based analysis in Mixture Global VARs, Journal of Mathematical Sciences 271, 341-353
45. Cavicchioli M., (2023) Trend and cycle decomposition of Markov switching (co)integrated time series, Statistical Methods & Applications 32, 1381–1406
44. Cavicchioli M., (2023) Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables, Journal of Multivariate Analysis 196, 105164
43. Cavicchioli M., (2023) Spectral Analysis of Markov Switching GARCH Models with Statistical Inference, Scandinavian Journal of Statistics 50(1), 102– 119
42. Cavicchioli M., (2022) Markov Switching GARCH Models: higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic, Journal of Business & Economic Statistics 40(4), 1772-1783
41. Minoja M., Kocollari U. and Cavicchioli M., (2022) Exploring differences of CSR perceptions and expectations between Eastern and Western countries: emerging patterns and managerial implications, International Journal of Cross Cultural Management 22(2), 327-347
40. Kocollari U., Pedrazzoli A., Cavicchioli M. and Girardi A., (2022) Too Tied to Fail: A Multidimensional Approach to Social Capital in Crowdfunding Campaigns, Journal of Small Business and Enterprise Development 29(5), 719-741
39. Cavicchioli M. and Lalla M., (2022) Evidences from survey data and fiscal data: nonresponse and measurement errors in annual incomes, Statistical Methods & Applications 31, 587–615
38. Cavicchioli M., (2022) Goodness-of-fit Tests for Markov Switching VAR Models using Spectral Analysis, Journal of Statistical Planning and Inference 219, 189-203
37. Cavicchioli M., (2021) Statistical Inference for Mixture GARCH Models with Financial Application, Computational Statistics 36, 2615–2642
36. Cavicchioli M., (2021) Fourth Moment Structure of Markov Switching Multivariate GARCH Models, Journal of Financial Econometrics 19(4), 565–582
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
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
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
32. Cavicchioli M., (2020) Generalised Cepstral Models for the Spectrum of Vector Time Series, Electronic Journal of Statistics 14, 605-631
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
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
29. Cavicchioli M., (2020) Spectral Representation and Autocovariance Structure of Markov Switching DSGE Models, Communications in Statistics – Theory and Methods 49(7), 1635-1652
28. Cavicchioli M., (2020) Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models, Computational Economics 55, 61-86
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
26. Cavicchioli M., (2018) On Mixture Autoregressive Conditional Heteroskedasticity, Journal of Statistical Planning and Inference 197, 35-50
25. Cavicchioli M., (2017) Higher order moments of Markov switching VARMA models, Econometric Theory 33(6), 1502-1515
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
23. Cavicchioli M., (2017) Estimation and Asymptotic Covariance Matrix for Stochastic Volatility Models, Statistical Methods & Applications 26(3), 437-452
22. Cavicchioli M., (2017) Asymptotic Fisher information matrix of Markov switching VARMA models, Journal of Multivariate Analysis 157, 124-135
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
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
19. Cavicchioli M., (2017) Third and Fourth Moments of Vector Autoregressions with Regime Switching, Communications in Statistics – Theory and Methods 46(9), 4181-4194
18. Cavicchioli M., (2016) Statistical Analysis of Mixture Vector Autoregressive Models, Scandinavian Journal of Statistics 43(4), 1192-1213
17. Cavicchioli M. and Pistoresi B., (2016) Testing threshold cointegration in Wagner’s Law: the role of military spending, Economic Modelling 59, 23-31
16. Cavicchioli M., (2016) Weak VARMA Representations of Regime-Switching State-Space Models, Statistical Papers 57(3), 705-720
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
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
13. Cavicchioli M., (2014) Autocovariance and Linear Transformations of Markov Switching VARMA Processes, Central European Journal of Economic Modeling and Econometrics 6, 275-289
12. Cavicchioli M., (2014) Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models, Journal of Time Series Analysis 35(6), 624-639
11. Cavicchioli M., (2014) Quasi Maximum Likelihood Inference for Stochastic Volatility Models, Frontiers in Finance and Economics 11(1), 1-24
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
9. Cavicchioli M., (2014) On Spectral Representation of VARMA Models with Change in Regime, Mathematics and Statistics 2(2), 89-100
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
7. Cavicchioli M., (2013) Spectral Density of Markov Switching VARMA Models, Economics Letters 121, 218-220
6. Cavicchioli M., (2013) On Asymptotic Properties of the QML Estimator for GARCH Models, Economics Bulletin 33(2), 959-966
5. Cavicchioli M., (2013) Acute Triangulations of Trapezoids and Pentagons, Journal of Mathematics, Volume 2013, Article ID 747128, 5 pages
4. Cavicchioli M., (2013) Inference Methods for Stochastic Volatility Models, International Mathematical Forum 8(8), 369-375
3. Cavicchioli M., (2012) Acute Triangulations of Convex Quadrilaterals, Discrete Applied Mathematics 160, 1253-1256
2. Cavicchioli M., (2011) Some Convergence Results on Dynamic Factor Models, Theoretical and Practical Studies in Economic Fields, Volume II, Issue 2(4)
1. Cavicchioli M., (2011) Structural Macroeconomic Analysis for Dynamic Factor Models, Rivista di Politica Economica 10-12, 39-70
- BOOKS/CHAPTERS
Cavicchioli M., Franco Villoria M., Frederic P. and Morlini I., (2022) Che cos’è la statistica? Una prima introduzione alla scienza dei dati [ISBN: 978-88-89427-03-3] - Cavicchioli M., Demaria F., Franco Villoria M., Frederic P. and Morlini I., (2023) Statistica: la scienza che modella i dati. Un’introduzione alle diverse tipologie di dati [ISBN: 978-88-89427-04-0]
- Cavicchioli M., Demaria F., Franco Villoria M., Frederic P., Martini M.C., Montagna S. and Morlini I., (2024) Statistica: dalla datificazione dei processi alla previsione [ISBN: 978-88-89427-05-7]
- Cavicchioli M., Demaria F., Franco Villoria M., Frederic P., Montagna S. and Morlini I., (2025) Gimme (uni)MORE data: workbook to the data challenge. [ISBN: 978-88-89427-07-1]