Details about Claudio Morana
E-mail: |
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Homepage: | https://sites.google.com/unimib.it/claudio-morana
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Workplace: | Dipartimento di Economia, Metodi Quantitativi e Strategie d'Impresa (DEMS) (Department of Economics, Quantitative Methods and Business Strategy), Scuola di Economia e Statistica (School of Economics and Statistics), Università degli Studi di Milano-Bicocca (University of Milan-Bicocca), (more information at EDIRC) Center for European Studies, Università degli Studi di Milano-Bicocca (University of Milan-Bicocca), (more information at EDIRC) Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto (Carlo Alberto College), Università degli Studi di Torino (University of Turin), (more information at EDIRC) Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)
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Access statistics for papers by Claudio Morana.
Last updated 2022-07-19. Update your information in the RePEc Author Service.
Short-id: pmo818
Jump to Journal Articles Books Chapters
Working Papers
2022
- Is climate change time reversible?
Papers, arXiv.org View citations (1)
Also in Working Paper series, Rimini Centre for Economic Analysis (2022) View citations (5) Working Papers, University of Milano-Bicocca, Department of Economics (2022) View citations (1)
- The risks of exiting too early the policy responses to the COVID-19 recession
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
Also in Working Paper series, Rimini Centre for Economic Analysis (2021)  Working Papers, University of Milano-Bicocca, Department of Economics (2021)
2021
- A new macro-financial condition index for the euro area
Working Papers, University of Milano-Bicocca, Department of Economics View citations (2)
Also in Working Paper series, Rimini Centre for Economic Analysis (2021) View citations (5)
- Climate change awareness: Empirical evidence for the European Union
Working Papers, University of Milano-Bicocca, Department of Economics View citations (18)
Also in Working Paper series, Rimini Centre for Economic Analysis (2020) View citations (2)
See also Journal Article in Energy Economics (2021)
2018
- Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
Working Papers, University of Milano-Bicocca, Department of Economics 
See also Journal Article in Econometrics and Statistics (2019)
- Some Financial Implications of Global Warming: an Empirical Assessment
Working Papers, Fondazione Eni Enrico Mattei View citations (5)
Also in CSI: Climate and Sustainable Innovation, Fondazione Eni Enrico Mattei (FEEM) (2018) View citations (5) CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2018) View citations (4) Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4) Working Papers, University of Milano-Bicocca, Department of Economics (2017) View citations (1)
2017
- Semiparametric Estimation of Multivariate GARCH Models
Working Paper series, Rimini Centre for Economic Analysis 
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (15)
- Temperature Anomalies, Radiative Forcing and ENSO
Working Papers, Fondazione Eni Enrico Mattei View citations (1)
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2017) View citations (1) MITP: Mitigation, Innovation and Transformation Pathways, Fondazione Eni Enrico Mattei (FEEM) (2017) View citations (1) Working Paper series, Rimini Centre for Economic Analysis (2017) View citations (1)
2016
- Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
Working Papers, University of Milano-Bicocca, Department of Economics View citations (1)
Also in ESP: Energy Scenarios and Policy, Fondazione Eni Enrico Mattei (FEEM) (2016)  Working Paper series, Rimini Centre for Economic Analysis (2016)  CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2016)  Working Papers, Fondazione Eni Enrico Mattei (2016) 
See also Journal Article in Economic Modelling (2017)
- The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) 
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (5)
2015
- Financial Deepening And Income Distribution Inequality In The Euro Area
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (1) CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2015) View citations (1)
- It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection
Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (9)
Also in Working papers, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino (2015) View citations (5) Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (12)
See also Journal Article in Applied Economics (2017)
- Model Averaging by Stacking
Working Paper series, Rimini Centre for Economic Analysis View citations (4)
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (4)
2014
- Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
Working Papers, University of Milano-Bicocca, Department of Economics View citations (7)
- Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2007) View citations (15)
See also Journal Article in Journal of Economic Dynamics and Control (2009)
2013
- Determinants of US Financial fragility conditions
Working Papers, University of Milano-Bicocca, Department of Economics View citations (1)
Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2012) View citations (1) Working papers, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino (2012) View citations (1)
See also Journal Article in Research in International Business and Finance (2014)
- Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure
Working Papers, University of Milano-Bicocca, Department of Economics
- Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (3)
Also in Working Papers, University of Milano-Bicocca, Department of Economics (2013) View citations (3)
See also Journal Article in Journal of Empirical Finance (2014)
- New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
- Oil price dynamics, macro-finance interactions and the role of financial speculation
Working Papers, University of Milano-Bicocca, Department of Economics View citations (76)
Also in Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2012) View citations (3) Working Papers, Fondazione Eni Enrico Mattei (2012) View citations (2)
See also Journal Article in Journal of Banking & Finance (2013)
- The oil price-macroeconomy relationship since the mid-1980s: A global perspective
Working Papers, University of Milano-Bicocca, Department of Economics View citations (17)
Also in Working Papers, Fondazione Eni Enrico Mattei (2012)  Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2012) 
See also Journal Article in The Energy Journal (2013)
2012
- Euro money market spreads during the 2007-? financial crisis
Working Paper Series, European Central Bank View citations (9)
See also Journal Article in Journal of Empirical Finance (2012)
2011
- Macro-finance interactions in the US: A global perspective
Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino View citations (1)
2010
- Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
- The 2007-? financial crisis: a euro area money market perspective
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
- The 2007-? financial crisis: a money market perspective
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
- The Great Recession: US dynamics and spillovers to the world economy
Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino View citations (5)
Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2010) View citations (10) ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2010) View citations (4)
See also Journal Article in Journal of Banking & Finance (2012)
- The effects of US economic and financial crises on euro area convergence
Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino View citations (2)
Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2010) View citations (2)
See also Chapter (2011)
2009
- Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
- Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) 
Also in Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino (2008)
2008
- International shocks and national house prices
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
- Modelling short-term interest rate spreads in the euro money market
Working Paper Series, European Central Bank View citations (17)
See also Journal Article in International Journal of Central Banking (2008)
- Realized Betas and the Cross-Section of Expected Returns
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
- Realized portfolio selection in the euro area
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
2007
- Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?
Carlo Alberto Notebooks, Collegio Carlo Alberto 
See also Journal Article in Applied Economics (2010)
- Comovements in Volatility in the Euro Money Market
ICER Working Papers, ICER - International Centre for Economic Research View citations (2)
Also in Working Paper Series, European Central Bank (2006) View citations (10)
See also Journal Article in Journal of International Money and Finance (2010)
- Estimating, Filtering and Forecasting Realized Betas
ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
- Factor demand modelling: the theory and the practice
ICER Working Papers, ICER - International Centre for Economic Research View citations (1)
- On the macroeconomic causes of exchange rates volatility
ICER Working Papers, ICER - International Centre for Economic Research View citations (4)
See also Journal Article in International Journal of Forecasting (2009)
- Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Working Paper Series, European Central Bank View citations (2)
Also in ICER Working Papers, ICER - International Centre for Economic Research (2006) View citations (1)
See also Journal Article in Journal of Financial Transformation (2007)
2006
- A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling
Carlo Alberto Notebooks, Collegio Carlo Alberto
- Comovements in International Stock Markets
ICER Working Papers, ICER - International Centre for Economic Research View citations (9)
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
- International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach
Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (8)
Also in ICER Working Papers, ICER - International Centre for Economic Research (2006) View citations (7)
See also Journal Article in Economic Modelling (2009)
- International Stock Markets Comovements: the Role of Economic and Financial Integration
ICER Working Papers, ICER - International Centre for Economic Research View citations (1)
See also Journal Article in Empirical Economics (2008)
- Multivariate modelling of long memory processes with common components
ICER Working Papers, ICER - International Centre for Economic Research View citations (2)
See also Journal Article in Computational Statistics & Data Analysis (2007)
- Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
ICER Working Papers, ICER - International Centre for Economic Research
- The End of the Japanese Stagnation: an Assessment of the Policy Solutions
ICER Working Papers, ICER - International Centre for Economic Research
2005
- Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
ICER Working Papers, ICER - International Centre for Economic Research
2004
- A structural common factor approach to core inflation estimation and forecasting
Working Paper Series, European Central Bank View citations (1)
See also Journal Article in Applied Economics Letters (2007)
- Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility
Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont View citations (2)
See also Journal Article in Journal of Econometrics (2006)
- Frequency domain principal components estimation of fractionally cointegrated processes
Working Paper Series, European Central Bank View citations (18)
See also Journal Article in Applied Economics Letters (2004)
- The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?
ICER Working Papers, ICER - International Centre for Economic Research 
See also Journal Article in Applied Economics (2005)
2003
- Volatility of interest rates in the euro area: evidence from high frequency data
Working Paper Series, European Central Bank View citations (13)
See also Journal Article in The European Journal of Finance (2006)
2002
- Monetary policy and the stock market in the euro area
Working Paper Series, European Central Bank View citations (30)
See also Journal Article in Journal of Policy Modeling (2004)
2000
- Measuring core inflation in the euro area
Working Paper Series, European Central Bank View citations (4)
Journal Articles
2021
- Climate change awareness: Empirical evidence for the European Union
Energy Economics, 2021, 96, (C) View citations (17)
See also Working Paper (2021)
2019
- Climate change implications for the catastrophe bonds market: An empirical analysis
Economic Modelling, 2019, 81, (C), 274-294 View citations (17)
- Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
Econometrics and Statistics, 2019, 12, (C), 42-65 View citations (1)
See also Working Paper (2018)
2018
- Financial development and income distribution inequality in the euro area
Economic Modelling, 2018, 70, (C), 40-55 View citations (30)
2017
- It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection
Applied Economics, 2017, 49, (49), 4946-4969 View citations (2)
See also Working Paper (2015)
- Macroeconomic and financial effects of oil price shocks: Evidence for the euro area
Economic Modelling, 2017, 64, (C), 82-96 View citations (22)
See also Working Paper (2016)
- The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises
Journal of Forecasting, 2017, 36, (8), 919-935 View citations (2)
2016
- The financial Kuznets curve: Evidence for the euro area
Journal of Empirical Finance, 2016, 39, (PB), 265-269 View citations (8)
2014
- Determinants of US financial fragility conditions
Research in International Business and Finance, 2014, 30, (C), 377-392 View citations (20)
See also Working Paper (2013)
- Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns
Journal of Empirical Finance, 2014, 29, (C), 64-79 View citations (13)
See also Working Paper (2013)
2013
- Oil price dynamics, macro-finance interactions and the role of financial speculation
Journal of Banking & Finance, 2013, 37, (1), 206-226 View citations (83)
See also Working Paper (2013)
- The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective
The Energy Journal, 2013, Volume 34, (Number 3) View citations (16)
See also Working Paper (2013)
2012
- Adaptive ARFIMA models with applications to inflation
Economic Modelling, 2012, 29, (6), 2451-2459 View citations (17)
- Euro money market spreads during the 2007–? financial crisis
Journal of Empirical Finance, 2012, 19, (4), 548-557 View citations (8)
See also Working Paper (2012)
- Real Oil Prices since the 1990s
Review of Environment, Energy and Economics - Re3, 2012 View citations (5)
- The Great Recession: US dynamics and spillovers to the world economy
Journal of Banking & Finance, 2012, 36, (1), 1-13 View citations (88)
See also Working Paper (2010)
2010
- Business cycle comovement in the G-7: common shocks or common transmission mechanisms?
Applied Economics, 2010, 42, (18), 2327-2345 View citations (19)
See also Working Paper (2007)
- Comovements in volatility in the euro money market
Journal of International Money and Finance, 2010, 29, (3), 525-539 View citations (12)
See also Working Paper (2007)
- International house prices and macroeconomic fluctuations
Journal of Banking & Finance, 2010, 34, (3), 533-545 View citations (79)
2009
- An omnibus noise filter
Computational Statistics, 2009, 24, (3), 459-479
- International macroeconomic dynamics: A factor vector autoregressive approach
Economic Modelling, 2009, 26, (2), 432-444 View citations (25)
See also Working Paper (2006)
- Medium-term macroeconomic determinants of exchange rate volatility
Journal of Financial Transformation, 2009, 25, 55-64
- Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
Journal of Economic Dynamics and Control, 2009, 33, (8), 1577-1592 View citations (122)
See also Working Paper (2014)
- On the macroeconomic causes of exchange rate volatility
International Journal of Forecasting, 2009, 25, (2), 328-350 View citations (26)
See also Working Paper (2007)
2008
- Comovements in international stock markets
Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 31-45 View citations (76)
See also Working Paper (2006)
- Factor vector autoregressive estimation: a new approach
Journal of Economic Interaction and Coordination, 2008, 3, (1), 15-23 View citations (6)
- International stock markets comovements: the role of economic and financial integration
Empirical Economics, 2008, 35, (2), 333-359 View citations (13)
See also Working Paper (2006)
- Modeling Short-Term Interest Rate Spreads in the Euro Money Market
International Journal of Central Banking, 2008, 4, (4), 1-37 View citations (7)
See also Working Paper (2008)
2007
- A structural common factor approach to core inflation estimation and forecasting
Applied Economics Letters, 2007, 14, (3), 163-169 View citations (8)
See also Working Paper (2004)
- Does the stock market affect income distribution? Some empirical evidence for the US
Applied Economics Letters, 2007, 14, (2), 99-104 View citations (5)
- Inflation and monetary dynamics in the USA: a quantity-theory approach
Applied Economics, 2007, 39, (2), 229-244 View citations (9)
- Multivariate modelling of long memory processes with common components
Computational Statistics & Data Analysis, 2007, 52, (2), 919-934 View citations (23)
See also Working Paper (2006)
- Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Journal of Financial Transformation, 2007, 19, 81-90 View citations (1)
See also Working Paper (2007)
2006
- A small scale macroeconometric model for the Euro-12 area
Economic Modelling, 2006, 23, (3), 391-426 View citations (18)
- Breaks and persistency: macroeconomic causes of stock market volatility
Journal of Econometrics, 2006, 131, (1-2), 151-177 View citations (89)
See also Working Paper (2004)
- The price stability oriented monetary policy of the ECB: an assessment
Applied Economics, 2006, 38, (17), 2007-2020
- Volatility of interest rates in the euro area: Evidence from high frequency data
The European Journal of Finance, 2006, 12, (6-7), 513-528 View citations (5)
See also Working Paper (2003)
2005
- Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility
Physica A: Statistical Mechanics and its Applications, 2005, 355, (1), 165-175 View citations (5)
- The Japanese deflation: has it had real effects? Could it have been avoided?
Applied Economics, 2005, 37, (12), 1337-1352 View citations (9)
See also Working Paper (2004)
2004
- Frequency domain principal components estimation of fractionally cointegrated processes
Applied Economics Letters, 2004, 11, (13), 837-842 View citations (16)
See also Working Paper (2004)
- Monetary policy and the stock market in the euro area
Journal of Policy Modeling, 2004, 26, (3), 387-399 View citations (35)
See also Working Paper (2002)
- Regional Convergence in Italy: 1951-2000
Giornale degli Economisti, 2004, 63, (2), 139-160 View citations (3)
- Some frequency domain properties of fractionally cointegrated processes
Applied Economics Letters, 2004, 11, (14), 891-894 View citations (6)
- Stock market volatility of regulated industries: an empirical assessment
Portuguese Economic Journal, 2004, 3, (3), 189-204 View citations (5)
- Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
Journal of Empirical Finance, 2004, 11, (5), 629-658 View citations (77)
- The Japanese stagnation: an assessment of the productivity slowdown hypothesis
Japan and the World Economy, 2004, 16, (2), 193-211 View citations (7)
2003
- A common trends model of UK core inflation
Empirical Economics, 2003, 28, (1), 157-172 View citations (9)
- Erratum
Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (3), 1-3
- Long-Run Growth and Income Distribution: Evidence for Italy and the US
Giornale degli Economisti, 2003, 62, (2), 171-210
- Measuring US core inflation: A common trends approach
Journal of Macroeconomics, 2003, 25, (2), 197-212 View citations (12)
2002
- An empirical investigation of long-run growth in the UK
Structural Change and Economic Dynamics, 2002, 13, (1), 49-70
- Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 1-40 View citations (23)
- Core inflation in the Euro area
Applied Economics Letters, 2002, 9, (6), 353-357 View citations (26)
- IGARCH effects: an interpretation
Applied Economics Letters, 2002, 9, (11), 745-748 View citations (10)
- Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry
Journal of Regulatory Economics, 2002, 22, (2), 185-204
- The effects of the introduction of the euro on the volatility of European stock markets
Journal of Banking & Finance, 2002, 26, (10), 2047-2064 View citations (46)
2001
- A semiparametric approach to short-term oil price forecasting
Energy Economics, 2001, 23, (3), 325-338 View citations (94)
- Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data
Economic Notes, 2001, 30, (2), 205-234 View citations (8)
2000
- Central bank interventions and exchange rates: an analysis with high frequency data
Journal of International Financial Markets, Institutions and Money, 2000, 10, (3-4), 349-362 View citations (11)
- Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market
Scottish Journal of Political Economy, 2000, 47, (1), 72-93 View citations (5)
- Regulatory Uncertainty and Share Price Volatility: The English and Welsh Water Industry's Periodic Price Review
Journal of Regulatory Economics, 2000, 17, (1), 87-100 View citations (9)
1999
- Computing value at risk with high frequency data
Journal of Empirical Finance, 1999, 6, (5), 431-455 View citations (28)
- Measuring Core Inflation in Italy
Giornale degli Economisti, 1999, 58, (3-4), 301-328 View citations (6)
1998
- Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric Analysis
Giornale degli Economisti, 1998, 57, (3-4), 325-358 View citations (4)
Books
2012
- New Paradigms in Monetary Theory and Policy?
SUERF Studies, SUERF - The European Money and Finance Forum View citations (3)
Chapters
2011
- The Effects of the US Economic and Financial Crises on Euro Area Convergence
Chapter 7 in The Economic Crisis and European Integration, 2011 
See also Working Paper (2010)
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