Details about Claudio Morana

Homepage:

https://sites.google.com/unimib.it/claudio-morana

Workplace:

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) 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)

Access statistics for papers by Claudio Morana.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pmo818

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Jump to Journal Articles Books Chapters

Working Papers

2025

1. Extreme Weather in Europe: Determinants and Economic Impact
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2025)

2024

2. Eurozone Economic Integration: Historical Developments and New Challenges Ahead
   Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2024)
   Working Paper series, Rimini Centre for Economic Analysis (2024)
3. Green risk in Europe
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2023)

2023

4. Euro area inflation and a new measure of core inflation
   Working Papers, University of Milano-Bicocca, Department of Economics
   Also in Working Paper series, Rimini Centre for Economic Analysis (2023)

2022

5. 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)
   See also Journal Article Is Climate Change Time-Reversible?, Econometrics, MDPI (2022) View citations (2) (2022)
6. 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 View citations (1)
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2021)
   Working Paper series, Rimini Centre for Economic Analysis (2021)

2021

7. A new macro-financial condition index for the euro area
   Working Paper series, Rimini Centre for Economic Analysis View citations (7)
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2021) View citations (2)
   See also Journal Article A new macro-financial condition index for the euro area, Econometrics and Statistics, Elsevier (2024) View citations (1) (2024)
8. Climate change awareness: Empirical evidence for the European Union
   Working Papers, University of Milano-Bicocca, Department of Economics View citations (38)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2020) View citations (2)
   See also Journal Article Climate change awareness: Empirical evidence for the European Union, Energy Economics, Elsevier (2021) View citations (37) (2021)

2018

9. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
   Working Papers, University of Milano-Bicocca, Department of Economics
   See also Journal Article Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices, Econometrics and Statistics, Elsevier (2019) View citations (5) (2019)
10. Some Financial Implications of Global Warming: an Empirical Assessment
    Working Papers, Fondazione Eni Enrico Mattei View citations (5)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2017) View citations (1)
    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)

2017

11. 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)
12. 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

13. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
    Working Paper series, Rimini Centre for Economic Analysis
    Also in ESP: Energy Scenarios and Policy, Fondazione Eni Enrico Mattei (FEEM) (2016)
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2016)
    Working Papers, Fondazione Eni Enrico Mattei (2016)
    Working Papers, University of Milano-Bicocca, Department of Economics (2016) View citations (1)
    See also Journal Article Macroeconomic and financial effects of oil price shocks: Evidence for the euro area, Economic Modelling, Elsevier (2017) View citations (23) (2017)
14. 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

15. 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)
16. 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 (12)
    Also in Working papers, Department of Economics, Social Studies, Applied Mathematics 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 It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection, Applied Economics, Taylor & Francis Journals (2017) View citations (3) (2017)
17. Model Averaging by Stacking
    Working Paper series, Rimini Centre for Economic Analysis View citations (6)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (6)

2014

18. 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 (9)
19. 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 Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (127) (2009)

2013

20. Determinants of US Financial fragility conditions
    Working Papers, University of Milano-Bicocca, Department of Economics View citations (1)
    Also in Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino (2012) View citations (1)
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2012) View citations (1)
    See also Journal Article Determinants of US financial fragility conditions, Research in International Business and Finance, Elsevier (2014) View citations (20) (2014)
21. 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
22. 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 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, Elsevier (2014) View citations (16) (2014)
23. 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)
    See also Journal Article New insights on the US OIS spreads term structure during the recent financial turmoil, Applied Financial Economics, Taylor & Francis Journals (2014) View citations (3) (2014)
24. Oil price dynamics, macro-finance interactions and the role of financial speculation
    Working Papers, University of Milano-Bicocca, Department of Economics View citations (84)
    Also in Working Papers, Fondazione Eni Enrico Mattei (2012) View citations (2)
    Conference papers, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project (2012)
    Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2012) View citations (3)
    See also Journal Article Oil price dynamics, macro-finance interactions and the role of financial speculation, Journal of Banking & Finance, Elsevier (2013) View citations (96) (2013)
25. The oil price-macroeconomy relationship since the mid-1980s: A global perspective
    Working Papers, University of Milano-Bicocca, Department of Economics View citations (18)
    Also in Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2012)
    Working Papers, Fondazione Eni Enrico Mattei (2012)
    See also Journal Article The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective, The Energy Journal (2013) View citations (1) (2013)

2012

26. Euro money market spreads during the 2007-? financial crisis
    Working Paper Series, European Central Bank View citations (11)
    See also Journal Article Euro money market spreads during the 2007–? financial crisis, Journal of Empirical Finance, Elsevier (2012) View citations (9) (2012)

2011

27. 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

28. 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)
29. The 2007-? financial crisis: a euro area money market perspective
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
30. The 2007-? financial crisis: a money market perspective
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
31. 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 The Great Recession: US dynamics and spillovers to the world economy, Journal of Banking & Finance, Elsevier (2012) View citations (90) (2012)
32. 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 The Effects of the US Economic and Financial Crises on Euro Area Convergence, Chapters, Edward Elgar Publishing (2011) (2011)

2009

33. 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)
34. 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

35. International shocks and national house prices
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
36. Modelling short-term interest rate spreads in the euro money market
    Working Paper Series, European Central Bank View citations (18)
    See also Journal Article Modeling Short-Term Interest Rate Spreads in the Euro Money Market, International Journal of Central Banking, International Journal of Central Banking (2008) View citations (8) (2008)
37. Realized Betas and the Cross-Section of Expected Returns
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
    See also Journal Article Realized betas and the cross-section of expected returns, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (5) (2009)
38. Realized portfolio selection in the euro area
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research

2007

39. Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?
    Carlo Alberto Notebooks, Collegio Carlo Alberto
    See also Journal Article Business cycle comovement in the G-7: common shocks or common transmission mechanisms?, Applied Economics, Taylor & Francis Journals (2010) View citations (21) (2010)
40. 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 Comovements in volatility in the euro money market, Journal of International Money and Finance, Elsevier (2010) View citations (12) (2010)
41. Estimating, Filtering and Forecasting Realized Betas
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (1)
42. Factor demand modelling: the theory and the practice
    ICER Working Papers, ICER - International Centre for Economic Research View citations (1)
43. On the macroeconomic causes of exchange rates volatility
    ICER Working Papers, ICER - International Centre for Economic Research View citations (5)
    See also Journal Article On the macroeconomic causes of exchange rate volatility, International Journal of Forecasting, Elsevier (2009) View citations (30) (2009)
44. 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 Structural econometric approach to bidding in the main refinancing operations of the Eurosystem, Journal of Financial Transformation, Capco Institute (2007) View citations (1) (2007)

2006

45. A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling
    Carlo Alberto Notebooks, Collegio Carlo Alberto
46. Comovements in International Stock Markets
    ICER Working Papers, ICER - International Centre for Economic Research View citations (9)
    See also Journal Article Comovements in international stock markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2008) View citations (81) (2008)
47. 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 International macroeconomic dynamics: A factor vector autoregressive approach, Economic Modelling, Elsevier (2009) View citations (25) (2009)
48. 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 International stock markets comovements: the role of economic and financial integration, Empirical Economics, Springer (2008) View citations (15) (2008)
49. 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 Multivariate modelling of long memory processes with common components, Computational Statistics & Data Analysis, Elsevier (2007) View citations (24) (2007)
50. Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
    ICER Working Papers, ICER - International Centre for Economic Research
51. The End of the Japanese Stagnation: an Assessment of the Policy Solutions
    ICER Working Papers, ICER - International Centre for Economic Research

2005

52. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
    ICER Working Papers, ICER - International Centre for Economic Research
    See also Journal Article Structural breaks and common factors in the volatility of the Fama-French factor portfolios, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (1) (2006)

2004

53. A structural common factor approach to core inflation estimation and forecasting
    Working Paper Series, European Central Bank
    See also Journal Article A structural common factor approach to core inflation estimation and forecasting, Applied Economics Letters, Taylor & Francis Journals (2007) View citations (9) (2007)
54. 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 Breaks and persistency: macroeconomic causes of stock market volatility, Journal of Econometrics, Elsevier (2006) View citations (98) (2006)
55. Frequency domain principal components estimation of fractionally cointegrated processes
    Working Paper Series, European Central Bank View citations (18)
    See also Journal Article Frequency domain principal components estimation of fractionally cointegrated processes, Applied Economics Letters, Taylor & Francis Journals (2004) View citations (16) (2004)
56. 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 The Japanese deflation: has it had real effects? Could it have been avoided?, Applied Economics, Taylor & Francis Journals (2005) View citations (9) (2005)

2003

57. Volatility of interest rates in the euro area: evidence from high frequency data
    Working Paper Series, European Central Bank View citations (12)
    See also Journal Article Volatility of interest rates in the euro area: Evidence from high frequency data, The European Journal of Finance, Taylor & Francis Journals (2006) View citations (5) (2006)

2002

58. Monetary policy and the stock market in the euro area
    Working Paper Series, European Central Bank View citations (31)
    See also Journal Article Monetary policy and the stock market in the euro area, Journal of Policy Modeling, Elsevier (2004) View citations (35) (2004)

2000

59. Measuring core inflation in the euro area
    Working Paper Series, European Central Bank View citations (4)

Journal Articles

2024

1. A new macro-financial condition index for the euro area
   Econometrics and Statistics, 2024, 29, (C), 64-87 View citations (1)
   See also Working Paper A new macro-financial condition index for the euro area, Working Paper series (2021) View citations (7) (2021)

2022

2. Is Climate Change Time-Reversible?
   Econometrics, 2022, 10, (4), 1-18 View citations (2)
   See also Working Paper Is climate change time reversible?, Papers (2022) View citations (1) (2022)

2021

3. Climate change awareness: Empirical evidence for the European Union
   Energy Economics, 2021, 96, (C) View citations (37)
   See also Working Paper Climate change awareness: Empirical evidence for the European Union, Working Papers (2021) View citations (38) (2021)

2019

4. Climate change implications for the catastrophe bonds market: An empirical analysis
   Economic Modelling, 2019, 81, (C), 274-294 View citations (29)
5. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
   Econometrics and Statistics, 2019, 12, (C), 42-65 View citations (5)
   See also Working Paper Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices, Working Papers (2018) (2018)

2018

6. Financial development and income distribution inequality in the euro area
   Economic Modelling, 2018, 70, (C), 40-55 View citations (43)

2017

7. 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 (3)
   See also Working Paper It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection, Carlo Alberto Notebooks (2015) View citations (12) (2015)
8. Macroeconomic and financial effects of oil price shocks: Evidence for the euro area
   Economic Modelling, 2017, 64, (C), 82-96 View citations (23)
   See also Working Paper Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area, Working Paper series (2016) (2016)
9. 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 (3)

2016

10. The financial Kuznets curve: Evidence for the euro area
    Journal of Empirical Finance, 2016, 39, (PB), 265-269 View citations (10)

2014

11. Determinants of US financial fragility conditions
    Research in International Business and Finance, 2014, 30, (C), 377-392 View citations (20)
    See also Working Paper Determinants of US Financial fragility conditions, Working Papers (2013) View citations (1) (2013)
12. 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 (16)
    See also Working Paper Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns, CeRP Working Papers (2013) View citations (3) (2013)
13. New insights on the US OIS spreads term structure during the recent financial turmoil
    Applied Financial Economics, 2014, 24, (5), 291-317 View citations (3)
    See also Working Paper New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil, CeRP Working Papers (2013) (2013)

2013

14. Oil price dynamics, macro-finance interactions and the role of financial speculation
    Journal of Banking & Finance, 2013, 37, (1), 206-226 View citations (96)
    See also Working Paper Oil price dynamics, macro-finance interactions and the role of financial speculation, Working Papers (2013) View citations (84) (2013)
15. The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective
    The Energy Journal, 2013, 34, (3), 153-190 View citations (1)
    Also in The Energy Journal, 2013, Volume 34, (Number 3) (2013) View citations (17)
    See also Working Paper The oil price-macroeconomy relationship since the mid-1980s: A global perspective, Working Papers (2013) View citations (18) (2013)

2012

16. Adaptive ARFIMA models with applications to inflation
    Economic Modelling, 2012, 29, (6), 2451-2459 View citations (20)
17. Euro money market spreads during the 2007–? financial crisis
    Journal of Empirical Finance, 2012, 19, (4), 548-557 View citations (9)
    See also Working Paper Euro money market spreads during the 2007-? financial crisis, Working Paper Series (2012) View citations (11) (2012)
18. Real Oil Prices since the 1990s
    Review of Environment, Energy and Economics - Re3, 2012 View citations (6)
19. The Great Recession: US dynamics and spillovers to the world economy
    Journal of Banking & Finance, 2012, 36, (1), 1-13 View citations (90)
    See also Working Paper The Great Recession: US dynamics and spillovers to the world economy, Working papers (2010) View citations (5) (2010)

2010

20. Business cycle comovement in the G-7: common shocks or common transmission mechanisms?
    Applied Economics, 2010, 42, (18), 2327-2345 View citations (21)
    See also Working Paper Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?, Carlo Alberto Notebooks (2007) (2007)
21. 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 Comovements in Volatility in the Euro Money Market, ICER Working Papers (2007) View citations (2) (2007)
22. International house prices and macroeconomic fluctuations
    Journal of Banking & Finance, 2010, 34, (3), 533-545 View citations (87)
23. Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis
    Applied Financial Economics, 2010, 20, (1-2), 151-170 View citations (3)
24. Realized mean-variance efficient portfolio selection and euro area stock market integration
    Applied Financial Economics, 2010, 20, (12), 989-1001 View citations (1)

2009

25. An omnibus noise filter
    Computational Statistics, 2009, 24, (3), 459-479
26. International macroeconomic dynamics: A factor vector autoregressive approach
    Economic Modelling, 2009, 26, (2), 432-444 View citations (25)
    See also Working Paper International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach, Carlo Alberto Notebooks (2006) View citations (8) (2006)
27. Medium-term macroeconomic determinants of exchange rate volatility
    Journal of Financial Transformation, 2009, 25, 55-64
28. 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 (127)
    See also Working Paper Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach, Working Papers (2014) (2014)
29. On the macroeconomic causes of exchange rate volatility
    International Journal of Forecasting, 2009, 25, (2), 328-350 View citations (30)
    See also Working Paper On the macroeconomic causes of exchange rates volatility, ICER Working Papers (2007) View citations (5) (2007)
30. Realized betas and the cross-section of expected returns
    Applied Financial Economics, 2009, 19, (17), 1371-1381 View citations (5)
    See also Working Paper Realized Betas and the Cross-Section of Expected Returns, ICER Working Papers - Applied Mathematics Series (2008) (2008)

2008

31. Aggregate hedge funds' flows and returns
    Applied Financial Economics, 2008, 18, (21), 1755-1764 View citations (1)
32. Comovements in international stock markets
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 31-45 View citations (81)
    See also Working Paper Comovements in International Stock Markets, ICER Working Papers (2006) View citations (9) (2006)
33. Factor vector autoregressive estimation: a new approach
    Journal of Economic Interaction and Coordination, 2008, 3, (1), 15-23 View citations (6)
34. International stock markets comovements: the role of economic and financial integration
    Empirical Economics, 2008, 35, (2), 333-359 View citations (15)
    See also Working Paper International Stock Markets Comovements: the Role of Economic and Financial Integration, ICER Working Papers (2006) View citations (1) (2006)
35. Modeling Short-Term Interest Rate Spreads in the Euro Money Market
    International Journal of Central Banking, 2008, 4, (4), 1-37 View citations (8)
    See also Working Paper Modelling short-term interest rate spreads in the euro money market, Working Paper Series (2008) View citations (18) (2008)

2007

36. A structural common factor approach to core inflation estimation and forecasting
    Applied Economics Letters, 2007, 14, (3), 163-169 View citations (9)
    See also Working Paper A structural common factor approach to core inflation estimation and forecasting, Working Paper Series (2004) (2004)
37. Does the stock market affect income distribution? Some empirical evidence for the US
    Applied Economics Letters, 2007, 14, (2), 99-104 View citations (5)
38. Inflation and monetary dynamics in the USA: a quantity-theory approach
    Applied Economics, 2007, 39, (2), 229-244 View citations (9)
39. Multivariate modelling of long memory processes with common components
    Computational Statistics & Data Analysis, 2007, 52, (2), 919-934 View citations (24)
    See also Working Paper Multivariate modelling of long memory processes with common components, ICER Working Papers (2006) View citations (2) (2006)
40. 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 Structural econometric approach to bidding in the main refinancing operations of the Eurosystem, Working Paper Series (2007) View citations (2) (2007)

2006

41. A small scale macroeconometric model for the Euro-12 area
    Economic Modelling, 2006, 23, (3), 391-426 View citations (18)
42. Breaks and persistency: macroeconomic causes of stock market volatility
    Journal of Econometrics, 2006, 131, (1-2), 151-177 View citations (98)
    See also Working Paper Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility, Working Papers (2004) View citations (2) (2004)
43. Estimating long memory in the mark–dollar exchange rate with high frequency data
    Applied Financial Economics Letters, 2006, 2, (6), 361-364
44. Structural breaks and common factors in the volatility of the Fama-French factor portfolios
    Applied Financial Economics, 2006, 16, (14), 1059-1073 View citations (1)
    See also Working Paper Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios, ICER Working Papers (2005) (2005)
45. The price stability oriented monetary policy of the ECB: an assessment
    Applied Economics, 2006, 38, (17), 2007-2020
46. 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 Volatility of interest rates in the euro area: evidence from high frequency data, Working Paper Series (2003) View citations (12) (2003)

2005

47. 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)
48. 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 The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?, ICER Working Papers (2004) (2004)

2004

49. Frequency domain principal components estimation of fractionally cointegrated processes
    Applied Economics Letters, 2004, 11, (13), 837-842 View citations (16)
    See also Working Paper Frequency domain principal components estimation of fractionally cointegrated processes, Working Paper Series (2004) View citations (18) (2004)
50. 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 Monetary policy and the stock market in the euro area, Working Paper Series (2002) View citations (31) (2002)
51. Regional Convergence in Italy: 1951-2000
    Giornale degli Economisti, 2004, 63, (2), 139-160 View citations (3)
52. Some frequency domain properties of fractionally cointegrated processes
    Applied Economics Letters, 2004, 11, (14), 891-894 View citations (6)
53. Stock market volatility of regulated industries: an empirical assessment
    Portuguese Economic Journal, 2004, 3, (3), 189-204 View citations (5)
54. 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 (81)
55. The Japanese stagnation: an assessment of the productivity slowdown hypothesis
    Japan and the World Economy, 2004, 16, (2), 193-211 View citations (7)

2003

56. A common trends model of UK core inflation
    Empirical Economics, 2003, 28, (1), 157-172 View citations (8)
57. Erratum
    Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (3), 3
58. Long-Run Growth and Income Distribution: Evidence for Italy and the US
    Giornale degli Economisti, 2003, 62, (2), 171-210
59. Measuring US core inflation: A common trends approach
    Journal of Macroeconomics, 2003, 25, (2), 197-212 View citations (12)

2002

60. An empirical investigation of long-run growth in the UK
    Structural Change and Economic Dynamics, 2002, 13, (1), 49-70
61. 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), 40 View citations (24)
62. Core inflation in the Euro area
    Applied Economics Letters, 2002, 9, (6), 353-357 View citations (26)
63. IGARCH effects: an interpretation
    Applied Economics Letters, 2002, 9, (11), 745-748 View citations (10)
64. Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry
    Journal of Regulatory Economics, 2002, 22, (2), 185-204
65. 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 (47)

2001

66. A semiparametric approach to short-term oil price forecasting
    Energy Economics, 2001, 23, (3), 325-338 View citations (98)
67. 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

68. 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)
69. 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)
70. 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 (10)

1999

71. Computing value at risk with high frequency data
    Journal of Empirical Finance, 1999, 6, (5), 431-455 View citations (30)
72. Measuring Core Inflation in Italy
    Giornale degli Economisti, 1999, 58, (3-4), 301-328 View citations (4)

1998

73. 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

1. New Paradigms in Monetary Theory and Policy?
   SUERF Studies, SUERF - The European Money and Finance Forum View citations (3)

Chapters

2011

1. 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 The effects of US economic and financial crises on euro area convergence, Former Department of Economics and Public Finance "G. Prato", University of Torino (2010) View citations (2) (2010)