← All authors Iliyan Georgiev University of Bologna (from arXiv:2411.19572, 2024) · ORCID · OpenAlex
21 papers in scope · 20 published · 2 on the econ.EM arXiv · 232 citations · h-index 10 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Anders Rahbek H. Peter Boswijk Giuseppe Cavaliere Ayush Jha Yang Zu Vadim Gorin Jun Yu Anna Bykhovskaya Arkadiusz Szydłowski Torben G. Andersen Luca Fanelli Giovanni Angelini Alessandro Casini Pierre Perrón Christis Katsouris Frank J. Fabozzi Svetlozar T. Rachev Abootaleb Shirvani Luca M. Neri Viktor Todorov Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 21)
published 2026 · Journal of the American Statistical Association
working paper 2025 · arXiv
published 2025 · Econometric Theory · first circulated 2024
Estimating the number of common trends in large T and N factor models via canonical correlations analysis
published 2023 · Econometrics and Statistics · 1 citations
Extensions to IVX methods of inference for return predictability
published 2022 · Journal of Econometrics · 15 citations
Testing for episodic predictability in stock returns
published 2020 · Journal of Econometrics · 43 citations · first circulated 2019
published 2020 · Econometrica · 8 citations
published 2019 · Journal of Econometrics · 1 citations
Testing for parameter instability in predictive regression models
published 2018 · Journal of Econometrics · 32 citations
A Bootstrap Stationarity Test for Predictive Regression Invalidity
published 2017 · Journal of Business and Economic Statistics · 18 citations
Unit Root Tests and Heavy‐Tailed Innovations
published 2017 · Journal of Time Series Analysis · 6 citations
Sieve-based inference for infinite-variance linear processes
published 2016 · The Annals of Statistics · 14 citations · first circulated 2015
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
published 2016 · Econometric Theory · 24 citations
EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
published 2013 · Econometric Theory · 10 citations
Wild Bootstrap of the Sample Mean in the Infinite Variance Case
published 2012 · Econometric Reviews · 13 citations · first circulated 2011
Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
published 2010 · Journal of Econometrics · 8 citations
ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
published 2009 · Econometric Theory · 13 citations
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
published 2008 · Econometric Theory · 3 citations
ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
published 2008 · Econometric Theory · 7 citations
A mixture‐distribution factor model for multivariate outliers
published 2007 · Econometrics Journal · 2 citations
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
published 2007 · Econometric Theory · 14 citations · first circulated 2006
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