Giovanni Urga
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Giovanni |
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Urga |
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Contact
Affiliations
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City University
/ Bayes Business School
/ Centre for Econometric Analysis (CEA)
Research profile
author of:
- Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models (RePEc:aah:create:2015-61)
by Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga - The dynamics of factor loadings in the cross-section of returns (RePEc:aah:create:2018-38)
by Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga - Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings (RePEc:aah:create:2020-19)
by Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga - Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point (RePEc:aen:journl:ej40-1-russo)
by Lilian M. de Menezes, Marianna Russo, and Giovanni Urga - Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts (RePEc:arx:papers:2003.02803)
by Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang - Estimation and Inference for High Dimensional Factor Model with Regime Switching (RePEc:arx:papers:2205.12126)
by Giovanni Urga & Fa Wang - A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies (RePEc:bes:jnlbes:v:19:y:2001:i:1:p:73-84)
by Rockinger, Michael & Urga, Giovanni - Testing Asset Pricing Models With Coskewness (RePEc:bes:jnlbes:v:22:y:2004:p:474-485)
by Giovanni Barone Adesi & Patrick Gagliardini & Giovanni Urga - Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory (RePEc:bes:jnlbes:v:24:y:2006:p:432-443)
by Driver, Ciaran & Temple, Paul & Urga, Giovanni - Common Features in Economics and Finance: An Overview of Recent Developments (RePEc:bes:jnlbes:v:25:y:2007:p:2-11)
by Urga, Giovanni - Methods of privatization and economic growth in transition economies1 (RePEc:bla:etrans:v:15:y:2007:i:4:p:661-683)
by John Bennett & Saul Estrin & Giovanni Urga - Software Review: Theory and Practice of Econometric Modelling using PcGive10 (RePEc:bla:jecsur:v:15:y:2001:i:4:p:571-588)
by Giovanni Urga - A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence (RePEc:bla:obuest:v:61:y:1999:i:s1:p:749-767)
by Stephen Hall & Stepana Lazarova & Giovanni Urga - Transforming Qualitative Survey Data: Performance Comparisons for the UK (RePEc:bla:obuest:v:66:y:2004:i:1:p:71-89)
by Ciaran Driver & Giovanni Urga - The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon? (RePEc:bla:scotjp:v:48:y:2001:i:4:p:361-382)
by Paul Temple & Giovanni Urga & Ciaran Driver - Asymptotics for panel models with common shocks (RePEc:brh:wpaper:0615)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Optimal forecasting with heterogeneous panels: a Monte Carlo study (RePEc:brh:wpaper:0616)
by Lorenzo Trapani & Giovanni Urga - An Econometric Analysis of the Banking Crises in Russia and Ukraine (RePEc:brh:wpaper:0702)
by Michele Meoli & Alexander Mertens & Giovanni Urga - Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends (RePEc:brh:wpaper:0708)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Micro versus Macro Cointegration in Heterogeneous Panels (RePEc:brh:wpaper:0711)
by Lorenzo Trapani & Giovanni Urga - On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty (RePEc:brh:wpaper:0803)
by Ciaran Driver & Lorenzo Trapani & Giovanni Urga - Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia (RePEc:brh:wpaper:0808)
by Michele Meoli & Stefano Paleari & Giovanni Urga - Use and abuse of rights issues. Do they really protect minorities? (RePEc:brh:wpaper:0811)
by Michele Meoli & Stefano Paleari & Giovanni Urga - Privatization Methods and Economic Growth (RePEc:bru:bruedp:03-24)
by John Bennett & Saul Estrin & James Maw & Giovanni Urga - Privatization Methods and Economic Growth (RePEc:bru:bruppp:03-24)
by John Bennett & Saul Estrin & James Maw & Giovanni Urga - Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators (RePEc:cai:repdal:redp_311_0025)
by Oguzhan Akgun & Alain Pirotte & Giovanni Urga - Contrasts between classes of assets in fixed investment panel equations as a way of testing real option theory (RePEc:cpd:pd2002:b3-3)
by Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga - The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1 (RePEc:cpd:pd2002:b3-4)
by Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga - Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995 (RePEc:cpr:ceprdp:1616)
by Estrin, Saul & Urga, Giovanni - Are Differences in Firm Size Transitory or Permanent? (RePEc:cpr:ceprdp:1691)
by Geroski, Paul A & Samiei, Hossein & Urga, Giovanni - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (RePEc:cpr:ceprdp:2346)
by Rockinger, Michael & Urga, Giovanni - Privatization Methods and Economic Growth in Transition Economies (RePEc:cpr:ceprdp:4291)
by Bennett, John & Estrin, Saul & Maw, James & Urga, Giovanni - Common Stochastic Trends And Aggregation In Heterogeneous Panels (RePEc:cup:etheor:v:23:y:2007:i:01:p:89-105_07)
by Lazarová, štěpána & Trapani, Lorenzo & Urga, Giovanni - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (RePEc:ebg:heccah:0635)
by Michael, ROCKINGER & Giovanni, URGA - Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment (RePEc:ecj:ac2002:66)
by Driver, Ciaran & Paul Temple & Giovanni Urga - Cointegration Versus Spurious Regression In Heterogeneous Panels (RePEc:ecj:ac2004:74)
by Giovanni Urga & Lorenzo Trapani - Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data (RePEc:ecj:ac2004:96)
by Ciaran Driver & Lorenzo Trapani & Giovanni Urga - Stopping Tests in the Sequential Estimation for Multiple Structural Breaks (RePEc:ecm:latm04:320)
by Giovanni Urga & Christian de Peretti - Cointegration versus Spurious Regression in Heterogeneous Panels (RePEc:ecm:nasm04:266)
by Giovanni Urga & Lorenzo Trapani - Testing Asset Pricing Model with Coskweness (RePEc:ecm:nawm04:491)
by Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini - An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand (RePEc:eee:ecmode:v:16:y:1999:i:4:p:503-513)
by Urga, Giovanni - Copula-based tests for cross-sectional independence in panel models (RePEc:eee:ecolet:v:100:y:2008:i:2:p:224-228)
by Huang, Hongming & Kao, Chihwa & Urga, Giovanni - On the identification problem in testing the dynamic specification of factor-demand equations (RePEc:eee:ecolet:v:52:y:1996:i:3:p:205-210)
by Urga, Giovanni - Identifying externalities in UK manufacturing using direct estimation of an average cost function (RePEc:eee:ecolet:v:92:y:2006:i:2:p:228-233)
by Driver, Ciaran & Temple, Paul & Urga, Giovanni - Modelling structural breaks, long memory and stock market volatility: an overview (RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34)
by Banerjee, Anindya & Urga, Giovanni - Robust GMM tests for structural breaks (RePEc:eee:econom:v:129:y:2005:i:1-2:p:139-182)
by Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni - Micro versus macro cointegration in heterogeneous panels (RePEc:eee:econom:v:155:y:2010:i:1:p:1-18)
by Trapani, Lorenzo & Urga, Giovanni - Identification robust inference in cointegrating regressions (RePEc:eee:econom:v:182:y:2014:i:2:p:385-396)
by Khalaf, Lynda & Urga, Giovanni - Consistent estimation of time-varying loadings in high-dimensional factor models (RePEc:eee:econom:v:208:y:2019:i:2:p:535-562)
by Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni - Combining p-values to test for multiple structural breaks in cointegrated regressions (RePEc:eee:econom:v:211:y:2019:i:2:p:461-482)
by Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni - The development of the GKO futures market in Russia (RePEc:eee:ememar:v:2:y:2001:i:1:p:1-16)
by Peresetsky, A. & Turmuhambetova, G. & Urga, G. - Efficiency, scale and scope economies in the Ukrainian banking sector in 1998 (RePEc:eee:ememar:v:2:y:2001:i:3:p:292-308)
by Mertens, Alexander & Urga, Giovanni - Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand (RePEc:eee:eneeco:v:25:y:2003:i:1:p:1-21)
by Urga, Giovanni & Walters, Chris - Leverage and systemic risk pro-cyclicality in the Chinese financial system (RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002210)
by Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni - Systemic risk in the Chinese financial system: A panel Granger causality analysis (RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405)
by Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni - Money market funds, shadow banking and systemic risk in United Kingdom (RePEc:eee:finlet:v:21:y:2017:i:c:p:163-171)
by Bellavite Pellegrini, Carlo & Meoli, Michele & Urga, Giovanni - Trading price jump clusters in foreign exchange markets (RePEc:eee:finmar:v:24:y:2015:i:c:p:66-92)
by Novotný, Jan & Petrov, Dmitri & Urga, Giovanni - The contribution of shadow insurance to systemic risk (RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300772)
by Leong, Soon Heng & Pellegrini, Carlo Bellavite & Urga, Giovanni - The contribution of (shadow) banks and real estate to systemic risk in China (RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000420)
by Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni - Real options -- delay vs. pre-emption: Do industrial characteristics matter? (RePEc:eee:indorg:v:26:y:2008:i:2:p:532-545)
by Driver, Ciaran & Temple, Paul & Urga, Giovanni - Optimal forecasting with heterogeneous panels: A Monte Carlo study (RePEc:eee:intfor:v:25:y:2009:i:3:p:567-586)
by Trapani, Lorenzo & Urga, Giovanni - On the use of cross-sectional measures of forecast uncertainty (RePEc:eee:intfor:v:29:y:2013:i:3:p:367-377)
by Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni - Evaluating the accuracy of value-at-risk forecasts: New multilevel tests (RePEc:eee:intfor:v:30:y:2014:i:2:p:206-216)
by Leccadito, Arturo & Boffelli, Simona & Urga, Giovanni - Forecasting using heterogeneous panels with cross-sectional dependence (RePEc:eee:intfor:v:36:y:2020:i:4:p:1211-1227)
by Akgun, Oguzhan & Pirotte, Alain & Urga, Giovanni - The role of shadow banking in systemic risk in the European financial system (RePEc:eee:jbfina:v:138:y:2022:i:c:s037842662200022x)
by Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni - Trading strategies with implied forward credit default swap spreads (RePEc:eee:jbfina:v:58:y:2015:i:c:p:361-375)
by Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni - The Evolution of Stock Markets in Transition Economies (RePEc:eee:jcecon:v:28:y:2000:i:3:p:456-472)
by Rockinger, Michael & Urga, Giovanni - Testing for Ongoing Convergence in Transition Economies, 1970 to 1998 (RePEc:eee:jcecon:v:29:y:2001:i:4:p:677-691)
by Estrin, Saul & Urga, Giovanni & Lazarova, Stepana - Macroannouncements, bond auctions and rating actions in the European government bond spreads (RePEc:eee:jimfin:v:53:y:2015:i:c:p:148-173)
by Boffelli, Simona & Urga, Giovanni - Asymmetric jump beta estimation with implications for portfolio risk management (RePEc:eee:reveco:v:62:y:2019:i:c:p:20-40)
by Alexeev, Vitali & Urga, Giovanni & Yao, Wenying - Identifying Drivers of Liquidity in the NBP Month-ahead Market (RePEc:ekd:009007:9570)
by Lilian de Menezes & Marianna Russo & Giovanni Urga - Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach (RePEc:eme:aecozz:s0731-905320150000035008)
by Martin Belvisi & Riccardo Pianeti & Giovanni Urga - Unknown item RePEc:eme:ijmfpp:v:4:y:2008:i:4:p:323-342 (article)
- Measuring liquidity in gas markets: The case of the UK National Balancing Point (RePEc:esr:wpaper:rb201906)
by de Menezes, Lilian M. & Russo, Marianna & Urga, Giovanni - Privatisation Methods and Economic Growth in Transition Economies (RePEc:fem:femwpa:2004.105)
by John Bennett & Saul Estrin & James Maw & Giovanni Urga - Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006 (RePEc:hal:psewpa:halshs-00575107)
by Matteo Mogliani & Giovanni Urga & Carlos Winograd - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (RePEc:hal:wpaper:hal-00601498)
by Michael Rockinger & Giovanni Urga - Information Content of Russian Stock Indices (RePEc:hal:wpaper:hal-00601586)
by Michael Rockinger & Giovanni Urga - Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006 (RePEc:hal:wpaper:halshs-00575107)
by Matteo Mogliani & Giovanni Urga & Carlos Winograd - Are differences in firm size transitory or permanent? (RePEc:jae:japmet:v:18:y:2003:i:1:p:47-59)
by G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters - Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996 (RePEc:kap:ecopln:v:34:y:2001:i:3:p:215-230)
by Saul Estrin & Stepana Lazarova & Giovanni Urga - Convergence in Transition Countries--Focus on Investment: Central and Eastern Europe, 1970-1996 (RePEc:kap:ecopln:v:34:y:2001:i:3:p:215-30)
by Estrin, Saul & Lazarova, Stepana & Urga, Giovanni - Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends (RePEc:max:cprwps:129)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Testing for Instability in Covariance Structures (RePEc:max:cprwps:131)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Testing for Breaks in Cointegrated Panels (RePEc:max:cprwps:135)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - The Asymptotics for Panel Models with Common Shocks (RePEc:max:cprwps:77)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend (RePEc:max:cprwps:92)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Testing for Instability in Factor Structure of Yield Curves (RePEc:max:cprwps:96)
by Dennis Philip & Chihwa Kao & Giovanni Urga - Copula-Based Tests for Cross-Sectional Independence in Panel Models (RePEc:max:cprwps:99)
by Hong-Ming Huang & Chihwa Kao & Giovanni Urga - High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers (RePEc:oup:jfinec:v:15:y:2017:i:1:p:62-105.)
by Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga - Testing for Co-jumps in Financial Markets (RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128.)
by Jan Novotný & Giovanni Urga - The Competitiveness of UK Manufacturing: Evidence from Imports (RePEc:oup:oxecpp:v:49:y:1997:i:2:p:207-27)
by Temple, Paul & Urga, Giovanni - Profitability, capacity, and uncertainty: a model of UK manufacturing investment (RePEc:oup:oxecpp:v:57:y:2005:i:1:p:120-141)
by Ciaran Driver & Paul Temple & Giovanni Urga - The Econometrics of Panel Data: A Selective Introduction (RePEc:oxf:wpaper:99151)
by Urga, G. - Independent Factor Autoregressive Conditional Density Model (RePEc:pav:demwpp:021)
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga - Estimation and inference for high dimensional factor model with regime switching (RePEc:pra:mprapa:113172)
by Urga, Giovanni & Wang, Fa - The Econometrics of Panel Data: A Selective Introduction (RePEc:qmw:qmwecw:282)
by G. Urga - Panel Data vs Time Series Regression Analysis: An Aggregation Issue (RePEc:qmw:qmwecw:292)
by G. Urga & G. Parigi - Unions Cash Flow and Investment Decisions: Evidence from Italian Firm Data (RePEc:qmw:qmwecw:297)
by G. Urga - Maximum Non-Extensive Entropy Block Bootstrap For Non-Stationary Processes (RePEc:ris:actuec:0115)
by Bergamelli, Michele & Novotný, Jan & Urga, Giovanni - Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data (RePEc:sal:celpdp:0003)
by URGA, Giovanni - The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates (RePEc:sce:scecf9:941)
by Claudia Panseri & Giovanni Urga & Annalisa Cristini - The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators (RePEc:spr:empeco:v:29:y:2004:i:1:p:115-128)
by Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga - Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data (RePEc:sur:surrec:0405)
by Ciaran Driver & Paul Temple & Giovanni Urga - Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory (RePEc:sur:surrec:0805)
by Ciaran Driver & Paul Temple & Giovanni Urga - Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function (RePEc:sur:surrec:1005)
by Ciaran Driver & Paul Temple & Giovanni Urga - Asymptotics for Panel Models with Common Shocks (RePEc:taf:emetrv:v:31:y:2012:i:4:p:390-439)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison (RePEc:taf:emetrv:v:34:y:2015:i:4:p:452-479)
by Arturo Leccadito & Omar Rachedi & Giovanni Urga - Independent Factor Autoregressive Conditional Density Model (RePEc:taf:emetrv:v:34:y:2015:i:5:p:594-616)
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga - Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (RePEc:taf:jnlbes:v:30:y:2011:i:2:p:242-255)
by Ana-Maria Dumitru & Giovanni Urga - Testing for Instability in Covariance Structures (RePEc:uct:uconnp:2016-33)
by Chihwa Kao & Lorenzo Trapani & Giovanni Urga - Systemic Risk Determinants In The European Banking Industry During Financial Crises, 2006-2012 (RePEc:vep:journl:y:2018:v:126:i:2:p:109-122)
by Carlo Bellavite Pellegrini & Laura Pellegrini & Michele Meoli & Giovanni Urga - Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995 (RePEc:wdi:papers:1997-30)
by Saul Estrin & Geovanni Urga - On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States (RePEc:wly:jmoncb:v:50:y:2018:i:7:p:1645-1660)
by Matteo Mogliani & Giovanni Urga - Jumps and Information Asymmetry in the US Treasury Market (RePEc:zbw:esprep:130148)
by Dumitru, Ana-Maria & Urga, Giovanni