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Details about Giovanni Urga

E-mail:
Homepage:http://bunhill.city.ac.uk/research/cassexperts.nsf/%28smarturl%29/G.Urga
Phone:020 70408698
Postal address:Faculty of Finance Cass Business School 106, Bunhill Row London EC1Y 8TZ (U.K.)
Workplace:Centre for Econometric Analysis (CEA), Cass Business School, City University, (more information at EDIRC)
Dipartimento di Scienze Aziendali, Economiche e Metodi Quatitativi (Department of Management, Economics and Quantitative Methods), Università degli Studi di Bergamo (University of Bergamo), (more information at EDIRC)

Access statistics for papers by Giovanni Urga.

Last updated 2017-02-04. Update your information in the RePEc Author Service.

Short-id: pur7


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Working Papers

2016

  1. Jumps and Information Asymmetry in the US Treasury Market
    EconStor Preprints, ZBW - German National Library of Economics Downloads
  2. Testing for Instability in Covariance Structures
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2012) Downloads

2015

  1. Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

2012

  1. Independent Factor Autoregressive Conditional Density Model
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2015)
  2. Testing for Breaks in Cointegrated Panels
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads

2011

  1. Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads

2009

  1. Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006
    PSE Working Papers, HAL Downloads View citations (1)

2008

  1. Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads
  2. On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads
  3. Use and abuse of rights issues. Do they really protect minorities?
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads

2007

  1. An Econometric Analysis of the Banking Crises in Russia and Ukraine
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads
  2. Copula-Based Tests for Cross-Sectional Independence in Panel Models
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads
    See also Journal Article in Economics Letters (2008)
  3. Micro versus Macro Cointegration in Heterogeneous Panels
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
  4. Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (1)
    Also in Working Papers, Department of Economics and Technology Management, University of Bergamo (2007) Downloads View citations (1)
  5. Testing for Instability in Factor Structure of Yield Curves
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads

2006

  1. Asymptotics for panel models with common shocks
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads
  2. Optimal forecasting with heterogeneous panels: a Monte Carlo study
    Working Papers, Department of Economics and Technology Management, University of Bergamo Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2009)
  3. The Asymptotics for Panel Models with Common Shocks
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (5)

2005

  1. Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory
    School of Economics Discussion Papers, School of Economics, University of Surrey Downloads
  2. Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data
    School of Economics Discussion Papers, School of Economics, University of Surrey Downloads View citations (2)
  3. Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function
    School of Economics Discussion Papers, School of Economics, University of Surrey Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)

2004

  1. Cointegration Versus Spurious Regression In Heterogeneous Panels
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads
  2. Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads View citations (2)
  3. Privatisation Methods and Economic Growth in Transition Economies
    Working Papers, Fondazione Eni Enrico Mattei Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (13)
  4. Privatization Methods and Economic Growth
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations (1)
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations (3)
  5. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (6)
  6. Testing Asset Pricing Model with Coskweness
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2002

  1. Contrasts between classes of assets in fixed investment panel equations as a way of testing real option theory
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data Downloads View citations (1)
  2. Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (4)
  3. The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data Downloads View citations (1)

2000

  1. A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Papers, HAL (1998) View citations (2)
    Les Cahiers de Recherche, HEC Paris (1998) Downloads View citations (2)

1999

  1. The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

1997

  1. Are Differences in Firm Size Transitory or Permanent?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
    See also Journal Article in Journal of Applied Econometrics (2003)
  2. Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (1)
  3. Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
  4. Information Content of Russian Stock Indices
    Working Papers, HAL

1992

  1. The Econometrics of Panel Data: A Selective Introduction
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)

1991

  1. Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data
    CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy Downloads

Journal Articles

2015

  1. Independent Factor Autoregressive Conditional Density Model
    Econometric Reviews, 2015, 34, (5), 594-616 Downloads View citations (2)
    See also Working Paper (2012)
  2. MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES
    L'Actualité Economique, 2015, 91, (1-2), 115-139 Downloads
  3. Macroannouncements, bond auctions and rating actions in the European government bond spreads
    Journal of International Money and Finance, 2015, 53, (C), 148-173 Downloads
  4. Trading price jump clusters in foreign exchange markets
    Journal of Financial Markets, 2015, 24, (C), 66-92 Downloads View citations (2)
  5. Trading strategies with implied forward credit default swap spreads
    Journal of Banking & Finance, 2015, 58, (C), 361-375 Downloads
  6. True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
    Econometric Reviews, 2015, 34, (4), 452-479 Downloads View citations (5)

2014

  1. Evaluating the accuracy of value-at-risk forecasts: New multilevel tests
    International Journal of Forecasting, 2014, 30, (2), 206-216 Downloads View citations (5)
  2. Identification robust inference in cointegrating regressions
    Journal of Econometrics, 2014, 182, (2), 385-396 Downloads View citations (2)

2013

  1. On the use of cross-sectional measures of forecast uncertainty
    International Journal of Forecasting, 2013, 29, (3), 367-377 Downloads View citations (2)

2011

  1. Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
    Journal of Business & Economic Statistics, 2011, 30, (2), 242-255 Downloads View citations (30)

2010

  1. Micro versus macro cointegration in heterogeneous panels
    Journal of Econometrics, 2010, 155, (1), 1-18 Downloads View citations (5)
    See also Working Paper (2007)

2009

  1. Optimal forecasting with heterogeneous panels: A Monte Carlo study
    International Journal of Forecasting, 2009, 25, (3), 567-586 Downloads View citations (13)
    See also Working Paper (2006)

2008

  1. Changes in ownership and minority protection
    International Journal of Managerial Finance, 2008, 4, (4), 323-342 Downloads View citations (1)
  2. Copula-based tests for cross-sectional independence in panel models
    Economics Letters, 2008, 100, (2), 224-228 Downloads
    See also Working Paper (2007)
  3. Real options -- delay vs. pre-emption: Do industrial characteristics matter?
    International Journal of Industrial Organization, 2008, 26, (2), 532-545 Downloads View citations (5)

2007

  1. COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS
    Econometric Theory, 2007, 23, (01), 89-105 Downloads View citations (2)
  2. Common Features in Economics and Finance: An Overview of Recent Developments
    Journal of Business & Economic Statistics, 2007, 25, 2-11 Downloads View citations (9)
  3. Methods of privatization and economic growth in transition economies
    The Economics of Transition, 2007, 15, 661-683 Downloads View citations (12)

2006

  1. Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory
    Journal of Business & Economic Statistics, 2006, 24, 432-443 Downloads View citations (2)
  2. Identifying externalities in UK manufacturing using direct estimation of an average cost function
    Economics Letters, 2006, 92, (2), 228-233 Downloads View citations (2)
    See also Working Paper (2005)

2005

  1. Modelling structural breaks, long memory and stock market volatility: an overview
    Journal of Econometrics, 2005, 129, (1-2), 1-34 Downloads View citations (55)
  2. Profitability, capacity, and uncertainty: a model of UK manufacturing investment
    Oxford Economic Papers, 2005, 57, (1), 120-141 Downloads View citations (20)
  3. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 Downloads View citations (12)

2004

  1. Testing Asset Pricing Models With Coskewness
    Journal of Business & Economic Statistics, 2004, 22, 474-485 Downloads View citations (23)
  2. The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators
    Empirical Economics, 2004, 29, (1), 115-128 Downloads View citations (12)
  3. Transforming Qualitative Survey Data: Performance Comparisons for the UK
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 71-89 Downloads View citations (27)

2003

  1. Are differences in firm size transitory or permanent?
    Journal of Applied Econometrics, 2003, 18, (1), 47-59 Downloads View citations (24)
    See also Working Paper (1997)
  2. Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand
    Energy Economics, 2003, 25, (1), 1-21 Downloads View citations (41)

2001

  1. A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies
    Journal of Business & Economic Statistics, 2001, 19, (1), 73-84 View citations (51)
  2. Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996
    Economic Change and Restructuring, 2001, 34, (3), 215-230 Downloads View citations (1)
    Also in Economic Change and Restructuring, 2001, 34, (3), 215-30 (2001) Downloads
  3. Efficiency, scale and scope economies in the Ukrainian banking sector in 1998
    Emerging Markets Review, 2001, 2, (3), 292-308 Downloads View citations (14)
  4. Testing for Ongoing Convergence in Transition Economies, 1970 to 1998
    Journal of Comparative Economics, 2001, 29, (4), 677-691 Downloads View citations (7)
  5. The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?
    Scottish Journal of Political Economy, 2001, 48, (4), 361-82 Downloads View citations (13)
  6. The development of the GKO futures market in Russia
    Emerging Markets Review, 2001, 2, (1), 1-16 Downloads View citations (2)
  7. Theory and Practice of Econometric Modelling Using PCGIVE10
    Journal of Economic Surveys, 2001, 15, (4), 571-88 Downloads

2000

  1. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 Downloads View citations (51)

1999

  1. A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1999, 61, 749-67 Downloads View citations (9)
  2. An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand
    Economic Modelling, 1999, 16, (4), 503-513 Downloads View citations (10)
  3. Interrelated Factor Demands from Dynamic Cost Functions: An Application to the Non-energy Business Sector of the UK Economy
    Economica, 1999, 66, (263), 403-13 Downloads View citations (17)

1997

  1. The Competitiveness of UK Manufacturing: Evidence from Imports
    Oxford Economic Papers, 1997, 49, (2), 207-27 Downloads View citations (7)

1996

  1. On the identification problem in testing the dynamic specification of factor-demand equations
    Economics Letters, 1996, 52, (3), 205-210 Downloads View citations (5)
 
Page updated 2017-06-27