Details about Giovanni Urga

Homepage:	https://sites.google.com/site/urgagiovanni/
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), Bayes Business School, City St George's, (more information at EDIRC)

Access statistics for papers by Giovanni Urga.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pur7

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Working Papers

2023

1. Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts
   Papers, arXiv.org View citations (3)
2. Estimation and Inference for High Dimensional Factor Model with Regime Switching
   Papers, arXiv.org View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2022) View citations (1)

2020

3. Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2019

4. Measuring liquidity in gas markets: The case of the UK National Balancing Point
   Papers, Economic and Social Research Institute (ESRI) View citations (1)

2018

5. The dynamics of factor loadings in the cross-section of returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2016

6. Identifying Drivers of Liquidity in the NBP Month-ahead Market
   EcoMod2016, EcoMod
7. Jumps and Information Asymmetry in the US Treasury Market
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics View citations (2)
8. Testing for Instability in Covariance Structures
   Working papers, University of Connecticut, Department of Economics View citations (5)
   Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2012) View citations (1)

2015

9. Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)

2012

10. Independent Factor Autoregressive Conditional Density Model
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (4)
    See also Journal Article Independent Factor Autoregressive Conditional Density Model, Econometric Reviews, Taylor & Francis Journals (2015) View citations (17) (2015)
11. Testing for Breaks in Cointegrated Panels
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (3)

2011

12. 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 View citations (1)

2009

13. Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006
    Working Papers, HAL View citations (2)
    Also in PSE Working Papers, HAL (2009) View citations (3)

2008

14. Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo View citations (2)
15. On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo
16. Use and abuse of rights issues. Do they really protect minorities?
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo

2007

17. An Econometric Analysis of the Banking Crises in Russia and Ukraine
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo
18. Copula-Based Tests for Cross-Sectional Independence in Panel Models
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    See also Journal Article Copula-based tests for cross-sectional independence in panel models, Economics Letters, Elsevier (2008) (2008)
19. Micro versus Macro Cointegration in Heterogeneous Panels
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo View citations (1)
    See also Journal Article Micro versus macro cointegration in heterogeneous panels, Journal of Econometrics, Elsevier (2010) View citations (6) (2010)
20. 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 View citations (3)
    Also in Working Papers, Department of Management, Information and Production Engineering, University of Bergamo (2007) View citations (3)
21. Testing for Instability in Factor Structure of Yield Curves
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University

2006

22. Asymptotics for panel models with common shocks
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo View citations (13)
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2006) View citations (6)
    See also Journal Article Asymptotics for Panel Models with Common Shocks, Econometric Reviews, Taylor & Francis Journals (2012) View citations (9) (2012)
23. Optimal forecasting with heterogeneous panels: a Monte Carlo study
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo
    See also Journal Article Optimal forecasting with heterogeneous panels: A Monte Carlo study, International Journal of Forecasting, Elsevier (2009) View citations (20) (2009)

2005

24. 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
25. 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 View citations (2)
26. Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function
    School of Economics Discussion Papers, School of Economics, University of Surrey View citations (1)
    See also Journal Article Identifying externalities in UK manufacturing using direct estimation of an average cost function, Economics Letters, Elsevier (2006) View citations (4) (2006)

2004

27. Cointegration Versus Spurious Regression In Heterogeneous Panels
    Royal Economic Society Annual Conference 2004, Royal Economic Society
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004)
28. Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data
    Royal Economic Society Annual Conference 2004, Royal Economic Society View citations (2)
29. Privatisation Methods and Economic Growth in Transition Economies
    Working Papers, Fondazione Eni Enrico Mattei View citations (12)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (19)
30. Privatization Methods and Economic Growth
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
31. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (7)
32. Testing Asset Pricing Model with Coskweness
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2002

33. 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 View citations (1)
34. Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (4)
35. 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 View citations (1)

2000

36. 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 View citations (10)
    Also in HEC Research Papers Series, HEC Paris (1998) View citations (5)
    Working Papers, HAL (1998) View citations (4)
    See also Journal Article A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies, Journal of Business & Economic Statistics, American Statistical Association (2001) View citations (67) (2001)

1999

37. 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

1997

38. Are Differences in Firm Size Transitory or Permanent?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
    See also Journal Article Are differences in firm size transitory or permanent?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (34) (2003)
39. 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 View citations (16)
40. Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
41. Information Content of Russian Stock Indices
    Working Papers, HAL

1993

42. Panel Data vs Time Series Regression Analysis: An Aggregation Issue
    Working Papers, Queen Mary University of London, School of Economics and Finance
43. Unions Cash Flow and Investment Decisions: Evidence from Italian Firm Data
    Working Papers, Queen Mary University of London, School of Economics and Finance

1992

44. The Econometrics of Panel Data: A Selective Introduction
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (1992) View citations (2)

1991

45. Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data
    CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy View citations (2)

Journal Articles

2022

1. Systemic risk in the Chinese financial system: A panel Granger causality analysis
   International Review of Financial Analysis, 2022, 82, (C) View citations (9)
2. The contribution of (shadow) banks and real estate to systemic risk in China
   Journal of Financial Stability, 2022, 60, (C) View citations (7)
3. The role of shadow banking in systemic risk in the European financial system
   Journal of Banking & Finance, 2022, 138, (C) View citations (11)

2021

4. Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators
   Revue d'économie politique, 2021, 131, (1), 19-55
5. Leverage and systemic risk pro-cyclicality in the Chinese financial system
   International Review of Financial Analysis, 2021, 78, (C) View citations (9)

2020

6. Forecasting using heterogeneous panels with cross-sectional dependence
   International Journal of Forecasting, 2020, 36, (4), 1211-1227
7. The contribution of shadow insurance to systemic risk
   Journal of Financial Stability, 2020, 51, (C) View citations (4)

2019

8. Asymmetric jump beta estimation with implications for portfolio risk management
   International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (7)
9. Combining p-values to test for multiple structural breaks in cointegrated regressions
   Journal of Econometrics, 2019, 211, (2), 461-482 View citations (6)
10. Consistent estimation of time-varying loadings in high-dimensional factor models
    Journal of Econometrics, 2019, 208, (2), 535-562 View citations (12)
11. Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point
    The Energy Journal, 2019, Volume 40, (Number 1) View citations (2)

2018

12. On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States
    Journal of Money, Credit and Banking, 2018, 50, (7), 1645-1660 View citations (14)
13. SYSTEMIC RISK DETERMINANTS IN THE EUROPEAN BANKING INDUSTRY DURING FINANCIAL CRISES, 2006-2012
    Rivista Internazionale di Scienze Sociali, 2018, 126, (2), 109-122
14. Testing for Co-jumps in Financial Markets
    Journal of Financial Econometrics, 2018, 16, (1), 118-128 View citations (2)

2017

15. High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
    Journal of Financial Econometrics, 2017, 15, (1), 62-105 View citations (5)
16. Money market funds, shadow banking and systemic risk in United Kingdom
    Finance Research Letters, 2017, 21, (C), 163-171 View citations (12)

2015

17. Independent Factor Autoregressive Conditional Density Model
    Econometric Reviews, 2015, 34, (5), 594-616 View citations (17)
    See also Working Paper Independent Factor Autoregressive Conditional Density Model, DEM Working Papers Series (2012) View citations (4) (2012)
18. MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES
    L'Actualité Economique, 2015, 91, (1-2), 115-139
19. Macroannouncements, bond auctions and rating actions in the European government bond spreads
    Journal of International Money and Finance, 2015, 53, (C), 148-173 View citations (4)
20. Trading price jump clusters in foreign exchange markets
    Journal of Financial Markets, 2015, 24, (C), 66-92 View citations (17)
21. Trading strategies with implied forward credit default swap spreads
    Journal of Banking & Finance, 2015, 58, (C), 361-375
22. True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
    Econometric Reviews, 2015, 34, (4), 452-479 View citations (11)

2014

23. Evaluating the accuracy of value-at-risk forecasts: New multilevel tests
    International Journal of Forecasting, 2014, 30, (2), 206-216 View citations (23)
24. Identification robust inference in cointegrating regressions
    Journal of Econometrics, 2014, 182, (2), 385-396 View citations (3)

2013

25. On the use of cross-sectional measures of forecast uncertainty
    International Journal of Forecasting, 2013, 29, (3), 367-377 View citations (5)

2012

26. Asymptotics for Panel Models with Common Shocks
    Econometric Reviews, 2012, 31, (4), 390-439 View citations (9)
    See also Working Paper Asymptotics for panel models with common shocks, Working Papers (2006) View citations (13) (2006)

2011

27. Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
    Journal of Business & Economic Statistics, 2011, 30, (2), 242-255 View citations (60)

2010

28. Micro versus macro cointegration in heterogeneous panels
    Journal of Econometrics, 2010, 155, (1), 1-18 View citations (6)
    See also Working Paper Micro versus Macro Cointegration in Heterogeneous Panels, Working Papers (2007) View citations (1) (2007)

2009

29. Optimal forecasting with heterogeneous panels: A Monte Carlo study
    International Journal of Forecasting, 2009, 25, (3), 567-586 View citations (20)
    See also Working Paper Optimal forecasting with heterogeneous panels: a Monte Carlo study, Working Papers (2006) (2006)

2008

30. Changes in ownership and minority protection
    International Journal of Managerial Finance, 2008, 4, (4), 323-342 View citations (4)
31. Copula-based tests for cross-sectional independence in panel models
    Economics Letters, 2008, 100, (2), 224-228
    See also Working Paper Copula-Based Tests for Cross-Sectional Independence in Panel Models, Center for Policy Research Working Papers (2007) (2007)
32. Real options -- delay vs. pre-emption: Do industrial characteristics matter?
    International Journal of Industrial Organization, 2008, 26, (2), 532-545 View citations (12)

2007

33. COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS
    Econometric Theory, 2007, 23, (1), 89-105 View citations (2)
34. Common Features in Economics and Finance: An Overview of Recent Developments
    Journal of Business & Economic Statistics, 2007, 25, 2-11 View citations (11)
35. Methods of privatization and economic growth in transition economies1
    The Economics of Transition, 2007, 15, (4), 661-683 View citations (6)

2006

36. 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 View citations (5)
37. Identifying externalities in UK manufacturing using direct estimation of an average cost function
    Economics Letters, 2006, 92, (2), 228-233 View citations (4)
    See also Working Paper Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function, School of Economics Discussion Papers (2005) View citations (1) (2005)

2005

38. Modelling structural breaks, long memory and stock market volatility: an overview
    Journal of Econometrics, 2005, 129, (1-2), 1-34 View citations (100)
39. Profitability, capacity, and uncertainty: a model of UK manufacturing investment
    Oxford Economic Papers, 2005, 57, (1), 120-141 View citations (34)
40. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 View citations (15)

2004

41. Testing Asset Pricing Models With Coskewness
    Journal of Business & Economic Statistics, 2004, 22, 474-485 View citations (42)
42. The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators
    Empirical Economics, 2004, 29, (1), 115-128 View citations (20)
43. Transforming Qualitative Survey Data: Performance Comparisons for the UK
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 71-89 View citations (41)

2003

44. Are differences in firm size transitory or permanent?
    Journal of Applied Econometrics, 2003, 18, (1), 47-59 View citations (34)
    See also Working Paper Are Differences in Firm Size Transitory or Permanent?, CEPR Discussion Papers (1997) View citations (15) (1997)
45. 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 View citations (71)

2001

46. 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 (67)
    See also Working Paper A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies, CEPR Discussion Papers (2000) View citations (10) (2000)
47. Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996
    Economic Change and Restructuring, 2001, 34, (3), 215-230 View citations (1)
    Also in Economic Change and Restructuring, 2001, 34, (3), 215-30 (2001)
48. Efficiency, scale and scope economies in the Ukrainian banking sector in 1998
    Emerging Markets Review, 2001, 2, (3), 292-308 View citations (22)
49. Software Review: Theory and Practice of Econometric Modelling using PcGive10
    Journal of Economic Surveys, 2001, 15, (4), 571-588 View citations (1)
50. Testing for Ongoing Convergence in Transition Economies, 1970 to 1998
    Journal of Comparative Economics, 2001, 29, (4), 677-691 View citations (12)
51. The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?
    Scottish Journal of Political Economy, 2001, 48, (4), 361-382 View citations (20)
52. The development of the GKO futures market in Russia
    Emerging Markets Review, 2001, 2, (1), 1-16 View citations (2)

2000

53. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 View citations (62)

1999

54. A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1999, 61, (S1), 749-767 View citations (10)
55. An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand
    Economic Modelling, 1999, 16, (4), 503-513 View citations (14)

1997

56. The Competitiveness of UK Manufacturing: Evidence from Imports
    Oxford Economic Papers, 1997, 49, (2), 207-27 View citations (9)

1996

57. On the identification problem in testing the dynamic specification of factor-demand equations
    Economics Letters, 1996, 52, (3), 205-210 View citations (7)

Chapters

2016

1. Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 317-360 View citations (3)