CLAUDIO MORANA : Citation Profile

Are you CLAUDIO MORANA?

Università degli Studi di Milano-Bicocca (98% share)
Università degli Studi di Torino (1% share)
Rimini Centre for Economic Analysis (RCEA) (1% share)

15

H index

19

i10 index

808

Citations

RESEARCH PRODUCTION:

67

Articles

85

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 40
   Journals where CLAUDIO MORANA has often published
   Relations with other researchers
   Recent citing documents: 158.    Total self citations: 93 (10.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo818
   Updated: 2019-08-24    RAS profile: 2019-05-19    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Sbrana, Giacomo (9)

Bagliano, Fabio (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with CLAUDIO MORANA.

Is cited by:

GUPTA, RANGAN (28)

Misas, Martha (11)

Ajmi, Ahdi Noomen (10)

Allen, David (9)

Ben Nasr, Adnen (9)

Weigand, Roland (9)

Hartl, Tobias (9)

McAleer, Michael (9)

Gil-Alana, Luis (9)

DE TRUCHIS, Gilles (8)

Keddad, Benjamin (8)

Cites to:

Bollerslev, Tim (60)

Bai, Jushan (57)

Granger, Clive (45)

Hamilton, James (44)

Engle, Robert (36)

Diebold, Francis (34)

Baillie, Richard (34)

Bagliano, Fabio (33)

Beltratti, Andrea (33)

Watson, Mark (32)

Pesaran, M (32)

Main data

Where CLAUDIO MORANA has published?

Journals with more than one article published# docs
Applied Financial Economics6
Applied Economics Letters6
Journal of Empirical Finance5
Applied Economics5
Economic Modelling5
Journal of Banking & Finance4
Giornale degli Economisti4
Empirical Economics2
Journal of International Financial Markets, Institutions and Money2
Journal of Financial Transformation2
Journal of Regulatory Economics2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Milano-Bicocca, Department of Economics15
ICER Working Papers / ICER - International Centre for Economic Research12
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)11
ICER Working Papers - Applied Mathematics Series / ICER - International Centre for Economic Research9
Working Paper Series / European Central Bank9
Working Paper series / Rimini Centre for Economic Analysis6
Working Papers / Fondazione Eni Enrico Mattei5
Working papers / Former Department of Economics and Public Finance "G. Prato", University of Torino4
Carlo Alberto Notebooks / Collegio Carlo Alberto4
Energy: Resources and Markets / Fondazione Eni Enrico Mattei (FEEM)2
Working papers / Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino2

Recent works citing CLAUDIO MORANA (2018 and 2017)

YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

Full description at Econpapers || Download paper

2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

Full description at Econpapers || Download paper

2018Some Financial Implications of Global Warming: an Empirical Assessment. (2018). Sbrana, Giacomo ; MORANA, CLAUDIO. In: CSI: Climate and Sustainable Innovation. RePEc:ags:cpaper:268728.

Full description at Econpapers || Download paper

2017Forecasting the U.S. Real House Price Index. (2017). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Papers. RePEc:arx:papers:1707.04868.

Full description at Econpapers || Download paper

2019Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

Full description at Econpapers || Download paper

2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

Full description at Econpapers || Download paper

2017Terms-of-Trade and House Price Fluctuations: A Cross-Country Study. (2017). Corrigan, Paul . In: Staff Working Papers. RePEc:bca:bocawp:17-1.

Full description at Econpapers || Download paper

2018Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia. (2018). Rodríguez N., Norberto ; Ramirez-Ramirez, Alejandra ; Rodriguez-Nio, Norberto. In: Borradores de Economia. RePEc:bdr:borrec:1040.

Full description at Econpapers || Download paper

2018Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination. (2018). Agenor, Pierre-Richard ; Pereira, Luiz Awazu. In: BIS Papers. RePEc:bis:bisbps:97.

Full description at Econpapers || Download paper

2017The international dimensions of macroprudential policies. (2017). Pereira da Silva, Luiz Awazu ; Lombardo, Giovanni ; Gambacorta, Leonardo ; Agénor, Pierre-Richard ; Kharroubi, Enisse ; Agenor, Pierre-Richard. In: BIS Working Papers. RePEc:bis:biswps:643.

Full description at Econpapers || Download paper

2017How Do the Trans-Pacific Economies Affect the USA? An Industrial Sector Approach. (2017). Yagihashi, Takeshi ; Selover, David D. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:10:p:2097-2124.

Full description at Econpapers || Download paper

2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

Full description at Econpapers || Download paper

2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

Full description at Econpapers || Download paper

2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

Full description at Econpapers || Download paper

2018Fragilidad financiera empresarial y expectativas de ingresos: evidencias de un modelo multi-agentes. (2018). Stellian, Remi ; Londoo, David Andres ; Danna-Buitrago, Jenny Paola. In: REVISTA CUADERNOS DE ECONOMÍA. RePEc:col:000093:016019.

Full description at Econpapers || Download paper

2017The International Dimensions of Macroprudential Policies. (2017). Pereira da Silva, Luiz Awazu ; Lombardo, Giovanni ; Gambacorta, Leonardo ; Kharroubi, Enisse ; Agenor, Pierre-Richard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12108.

Full description at Econpapers || Download paper

2017The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns.. (2017). Perdichizzi, Salvatore. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def059.

Full description at Econpapers || Download paper

2017Predicting US Inflation: Evidence from a New Approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0039.

Full description at Econpapers || Download paper

2018You are what you eat: The role of oil price in Nigeria inflation forecast. (2018). tule, moses ; Salisu, Afees ; Chimeke, Charles. In: Working Papers. RePEc:cui:wpaper:0040.

Full description at Econpapers || Download paper

2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1729.

Full description at Econpapers || Download paper

2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

Full description at Econpapers || Download paper

2017Testing for asymmetries in the predictive model for oil price-inflation nexus. (2017). Salisu, Afees ; Isah, Kazeem ; Ademuyiwa, Idris . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00609.

Full description at Econpapers || Download paper

2017Investigate the Effect of Exchange Rate Volatility on the Demand for Life Insurance in Iran. (2017). Hosseinzadeh, Maryam ; Daei-Karimzadeh, Saeed . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-22.

Full description at Econpapers || Download paper

2017How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?. (2017). Lee, Chin ; Habibullah, Muzafar Shah ; Chin, Lee ; Mohamed, Azali ; Razmi, Fatemeh . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-72.

Full description at Econpapers || Download paper

2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

Full description at Econpapers || Download paper

2019Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?. (2019). Buberkoku, Onder. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-23.

Full description at Econpapers || Download paper

2017Modelling the interdependence of tourism demand: The global vector autoregressive approach. (2017). Cao, Zheng ; Li, Gang ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:67:y:2017:i:c:p:1-13.

Full description at Econpapers || Download paper

2017Great recession, slow recovery and muted fiscal policies in the US. (2017). Tirelli, Patrizio ; Paccagnini, Alessia ; Albonico, Alice. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:140-161.

Full description at Econpapers || Download paper

2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

Full description at Econpapers || Download paper

2018Housing prices and real effective exchange rates in 18 OECD countries: A bootstrap multivariate panel Granger causality. (2018). Bahmani-Oskooee, Mohsen ; Wu, Tsung-Pao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:60:y:2018:i:c:p:119-126.

Full description at Econpapers || Download paper

2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

Full description at Econpapers || Download paper

2018Causes and consequences of oil price shocks on the UK economy. (2018). Pieroni, Luca ; Lorusso, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:223-236.

Full description at Econpapers || Download paper

2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

Full description at Econpapers || Download paper

2018Chinas increasing global influence: Changes in international growth linkages. (2018). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:194-206.

Full description at Econpapers || Download paper

2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

Full description at Econpapers || Download paper

2018Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis. (2018). Ji, Qiang ; GUPTA, RANGAN ; Marfatia, Hardik . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:103-113.

Full description at Econpapers || Download paper

2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

Full description at Econpapers || Download paper

2018The Great Recession, the Treadmill of Production and Ecological Disorganization: Did the Recession Decrease Toxic Releases Across US States, 2005–2014?. (2018). Long, Michael A ; Stretesky, Paul B ; Lynch, Michael J. In: Ecological Economics. RePEc:eee:ecolec:v:146:y:2018:i:c:p:184-192.

Full description at Econpapers || Download paper

2019Did financial factors matter during the Great Recession?. (2019). Paccagnini, Alessia. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:26-30.

Full description at Econpapers || Download paper

2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

Full description at Econpapers || Download paper

2018House price convergence in euro zone and non-euro zone countries. (2018). I-Chun Tsai, . In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:2:p:269-281.

Full description at Econpapers || Download paper

2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

Full description at Econpapers || Download paper

2018Asymmetric attention and volatility asymmetry. (2018). Dzieliski, Micha ; Talpsepp, Tnn ; Rieger, Marc Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:59-67.

Full description at Econpapers || Download paper

2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

Full description at Econpapers || Download paper

2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

Full description at Econpapers || Download paper

2018A novel approach for oil price forecasting based on data fluctuation network. (2018). Zhou, Peng ; Tian, Lixin ; Wang, Minggang. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:201-212.

Full description at Econpapers || Download paper

2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

Full description at Econpapers || Download paper

2018Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices. (2018). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504.

Full description at Econpapers || Download paper

2018Forecasting crude oil prices by a semiparametric Markov switching model: OPEC, WTI, and Brent cases. (2018). Nademi, Arash . In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:757-766.

Full description at Econpapers || Download paper

2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

Full description at Econpapers || Download paper

2019Oil price shocks and Chinese banking performance: Do country risks matter?. (2019). Lee, Chien-Chiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:46-53.

Full description at Econpapers || Download paper

2019The asymmetric response of gasoline prices to oil price shocks and policy uncertainty. (2019). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:66-79.

Full description at Econpapers || Download paper

2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

Full description at Econpapers || Download paper

2019The VEC-NAR model for short-term forecasting of oil prices. (2019). Wei, Yi-Ming ; Fan, Tijun ; Li, Tian ; Cheng, Fangzheng. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:656-667.

Full description at Econpapers || Download paper

2018A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting. (2018). Ding, Yishan . In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:328-336.

Full description at Econpapers || Download paper

2018Impacts of supply and demand factors on declining oil prices. (2018). Kim, Myung Suk . In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:1059-1065.

Full description at Econpapers || Download paper

2018Forecasting crude oil price: Does exist an optimal econometric model?. (2018). de Albuquerquemello, Vinicius Phillipe ; Maia, Sinezio Fernandes ; da Nobrega, Cassio ; de Medeiros, Rennan Kertlly. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:578-591.

Full description at Econpapers || Download paper

2019Heterogeneity and asymmetric effects in energy resources allocation of the manufacturing sectors in China. (2019). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:170:y:2019:i:c:p:1019-1035.

Full description at Econpapers || Download paper

2019Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests. (2019). Jiang, Yonghong ; Nie, HE ; Chen, Cuiqiong ; Mo, Bin. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:234-251.

Full description at Econpapers || Download paper

2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

Full description at Econpapers || Download paper

2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

Full description at Econpapers || Download paper

2018The January sentiment effect in the U.S. stock market. (2018). Chen, Zhongdong ; Daves, Phillip R. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:94-104.

Full description at Econpapers || Download paper

2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

Full description at Econpapers || Download paper

2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

Full description at Econpapers || Download paper

2018Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies. (2018). Rodriguez, Diego ; Gonzalez, Andres ; Fernandez, Andres. In: Journal of International Economics. RePEc:eee:inecon:v:111:y:2018:i:c:p:99-121.

Full description at Econpapers || Download paper

2017Evaluating multi-step system forecasts with relatively few forecast-error observations. (2017). Martinez, Andrew ; Hendry, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:359-372.

Full description at Econpapers || Download paper

2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

Full description at Econpapers || Download paper

2017Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174.

Full description at Econpapers || Download paper

2017Determinants of the crude oil futures curve: Inventory, consumption and volatility. (2017). Yeung, Danny ; Thorp, Susan ; Nikitopoulos-Sklibosios, Christina ; Squires, Matthew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:53-67.

Full description at Econpapers || Download paper

2019Competition and credit procyclicality in European banking. (2019). Lucotte, Yannick ; Leroy, Aurélien. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:237-251.

Full description at Econpapers || Download paper

2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

Full description at Econpapers || Download paper

2019Financial intermediation, capital composition and income stagnation: The case of Europe. (2019). Moro, Andrea ; Makrominas, Michalis ; Samatas, Andreas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:273-289.

Full description at Econpapers || Download paper

2017Has there actually been a sustained increase in the synchronization of house price (and business) cycles across countries?. (2017). Miles, William. In: Journal of Housing Economics. RePEc:eee:jhouse:v:36:y:2017:i:c:p:25-43.

Full description at Econpapers || Download paper

2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

Full description at Econpapers || Download paper

2019Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries. (2019). Silanine, Alexandre ; Guillaumin, Cyriac ; Boubakri, Salem . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:212-228.

Full description at Econpapers || Download paper

2019Wavelet variance ratio cointegration test and wavestrapping. (2019). Erolu, Burak Alparslan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:298-319.

Full description at Econpapers || Download paper

2019Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region. (2019). Kalhoro, Muhammad Ramzan ; Bhutto, Niaz Ahmed ; Ahmed, Khalid. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:423-432.

Full description at Econpapers || Download paper

2017Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries. (2017). Yang, Sheng-Ping. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pb:p:337-354.

Full description at Econpapers || Download paper

2017Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19.

Full description at Econpapers || Download paper

2018The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis. (2018). Uddin, Gazi ; Bekiros, Stelios ; Ahmed, Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:30-39.

Full description at Econpapers || Download paper

2018Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202.

Full description at Econpapers || Download paper

2018The knotty interplay between credit and housing. (2018). Lastauskas, Povilas ; Constantinescu, Mihnea. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:241-266.

Full description at Econpapers || Download paper

2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

Full description at Econpapers || Download paper

2018Quantifying the impact of the November 2014 Shanghai-Hong Kong Stock Connect. (2018). Siklos, Pierre. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:156-163.

Full description at Econpapers || Download paper

2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

Full description at Econpapers || Download paper

2017Long memory or structural breaks: Some evidence for African stock markets. (2017). Ngene, Geoffrey ; Darrat, Ali F ; Tah, Kenneth A. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:61-73.

Full description at Econpapers || Download paper

2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

Full description at Econpapers || Download paper

2017Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

Full description at Econpapers || Download paper

2017True or spurious long memory in European non-EMU currencies. (2017). Walther, Thomas ; Piontek, Krzysztof ; Thu, Hien Pham ; Klein, Tony. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:217-230.

Full description at Econpapers || Download paper

2019Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:381-396.

Full description at Econpapers || Download paper

2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:36-:d:162048.

Full description at Econpapers || Download paper

2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030.

Full description at Econpapers || Download paper

2018Forecasting Crude Oil Prices Using Ensemble Empirical Mode Decomposition and Sparse Bayesian Learning. (2018). LI, TAIYONG ; Zhou, Yingrui ; Wu, Jiang ; Jia, Yanchi ; Hu, Zhenda. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1882-:d:158756.

Full description at Econpapers || Download paper

2019An Adaptive Hybrid Learning Paradigm Integrating CEEMD, ARIMA and SBL for Crude Oil Price Forecasting. (2019). Wu, Jiang ; Li, Taiyong ; Zhou, Tengfei ; Chen, YU. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:7:p:1239-:d:218826.

Full description at Econpapers || Download paper

2018Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model. (2018). Shi, Yanlin ; Yang, Yang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:26-:d:138135.

Full description at Econpapers || Download paper

2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

Full description at Econpapers || Download paper

2018Effects of Bank Lending on Urban Housing Prices for Sustainable Development: A Panel Analysis of Chinese Cities. (2018). Jiang, Yongsheng ; Du, Jing ; Sanderford, Andrew ; Zhao, Dong. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:3:p:642-:d:133972.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by CLAUDIO MORANA:

YearTitleTypeCited
2013The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective In: The Energy Journal.
[Full Text][Citation analysis]		article6
2012The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective.(2012) In: Energy: Resources and Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2012The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2013The oil price-macroeconomy relationship since the mid-1980s: A global perspective.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2018Some Financial Implications of Global Warming: an Empirical Assessment In: CSI: Climate and Sustainable Innovation.
[Full Text][Citation analysis]		paper1
2017Some Financial Implications of Global Warming: An Empirical Assessment.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Some financial implications of global warming: An empirical assessment.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Some Financial Implications of Global Warming: an Empirical Assessment.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018“Some financial implications of global warming: An empirical assessment.(2018) In: CeRP Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2012Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation In: Energy: Resources and Markets.
[Full Text][Citation analysis]		paper35
2013Oil price dynamics, macro-finance interactions and the role of financial speculation.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2012Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2013Oil price dynamics, macro-finance interactions and the role of financial speculation.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area In: ESP: Energy Scenarios and Policy.
[Full Text][Citation analysis]		paper9
2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area.(2016) In: CeRP Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2017Macroeconomic and financial effects of oil price shocks: Evidence for the euro area.(2017) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2016Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area.(2016) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2017Temperature Anomalies, Radiative Forcing and ENSO In: MITP: Mitigation, Innovation and Transformation Pathways.
[Full Text][Citation analysis]		paper0
2017Temperature Anomalies, Radiative Forcing and ENSO.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Temperature anomalies, radiative forcing and ENSO.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Temperature anomalies, radiative forcing and ENSO.(2017) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2001Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data In: Economic Notes.
[Full Text][Citation analysis]		article3
2000Modelling Evolving Long-Run Relationships: An Application to the Italian Energy Market. In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article5
2002Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2003Erratum In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2006A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper0
2006International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper19
2009International macroeconomic dynamics: A factor vector autoregressive approach.(2009) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2006International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach.(2006) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2007Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms? In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper15
2010Business cycle comovement in the G-7: common shocks or common transmission mechanisms?.(2010) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2015It ain?t over till it?s over: A global perspective on the Great Moderation-Great Recession interconnection In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper1
2015It aint over till its over: A global perspective on the Great Moderation-Great Recession interconnection.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2017It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection.(2017) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2015It aint over till its over: A global perspective on the Great Moderation-Great Recession interconnection.(2015) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2010The 2007-? financial crisis: a money market perspective In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2010The Great Recession: US dynamics and spillovers to the world economy In: CeRP Working Papers.
[Full Text][Citation analysis]		paper50
2012The Great Recession: US dynamics and spillovers to the world economy.(2012) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		article
2010The Great Recession: US dynamics and spillovers to the world economy.(2010) In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
2010The Great Recession: US dynamics and spillovers to the world economy.(2010) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
2012Determinants of US financial fragility conditions In: CeRP Working Papers.
[Full Text][Citation analysis]		paper7
2014Determinants of US financial fragility conditions.(2014) In: Research in International Business and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2013Determinants of US Financial fragility conditions.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2012Determinants of US financial fragility conditions.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2013New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2014New insights on the US OIS spreads term structure during the recent financial turmoil.(2014) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2013 Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns In: CeRP Working Papers.
[Full Text][Citation analysis]		paper7
2014Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns.(2014) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2013Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2015Financial deepening and income distribution inequality in the euro area In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2015Financial deepening and income distribution inequality in the euro area.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Financial Deepening And Income Distribution Inequality In The Euro Area.(2015) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2015The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2009Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2008Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence.(2008) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2010The effects of US economic and financial crises on euro area convergence In: CeRP Working Papers.
[Full Text][Citation analysis]		paper1
2010The effects of US economic and financial crises on euro area convergence.(2010) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2000Measuring core inflation in the euro area In: Working Paper Series.
[Full Text][Citation analysis]		paper5
2002Monetary policy and the stock market in the euro area In: Working Paper Series.
[Full Text][Citation analysis]		paper47
2004Monetary policy and the stock market in the euro area.(2004) In: Journal of Policy Modeling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		article
2003Volatility of interest rates in the euro area: evidence from high frequency data In: Working Paper Series.
[Full Text][Citation analysis]		paper16
2006Volatility of interest rates in the euro area: Evidence from high frequency data.(2006) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2004A structural common factor approach to core inflation estimation and forecasting In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2007A structural common factor approach to core inflation estimation and forecasting.(2007) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2004Frequency domain principal components estimation of fractionally cointegrated processes In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2004Frequency domain principal components estimation of fractionally cointegrated processes.(2004) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2006Comovements in volatility in the euro money market In: Working Paper Series.
[Full Text][Citation analysis]		paper18
2010Comovements in volatility in the euro money market.(2010) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2007Comovements in Volatility in the Euro Money Market.(2007) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2007Structural econometric approach to bidding in the main refinancing operations of the Eurosystem In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2006Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem.(2006) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2007Structural econometric approach to bidding in the main refinancing operations of the Eurosystem.(2007) In: Journal of Financial Transformation.
[Citation analysis]
This paper has another version. Agregated cites: 2		article
2008Modelling short-term interest rate spreads in the euro money market In: Working Paper Series.
[Full Text][Citation analysis]		paper15
2008Modeling Short-Term Interest Rate Spreads in the Euro Money Market.(2008) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2012Euro money market spreads during the 2007-? financial crisis In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2012Euro money market spreads during the 2007–? financial crisis.(2012) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2007Multivariate modelling of long memory processes with common components In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2006Multivariate modelling of long memory processes with common components.(2006) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2009Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article81
2007Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach.(2007) In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2014Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2007Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2006A small scale macroeconometric model for the Euro-12 area In: Economic Modelling.
[Full Text][Citation analysis]		article2
2012Adaptive ARFIMA models with applications to inflation In: Economic Modelling.
[Full Text][Citation analysis]		article8
2018Financial development and income distribution inequality in the euro area In: Economic Modelling.
[Full Text][Citation analysis]		article2
2006Breaks and persistency: macroeconomic causes of stock market volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article42
2004Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2004Structural change and long-range dependence in volatility of exchange rates: either, neither or both? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article48
2016The financial Kuznets curve: Evidence for the euro area In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
1999Computing value at risk with high frequency data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article18
2001A semiparametric approach to short-term oil price forecasting In: Energy Economics.
[Full Text][Citation analysis]		article68
2000Central bank interventions and exchange rates: an analysis with high frequency data In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article7
2008Comovements in international stock markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article53
2006Comovements in International Stock Markets.(2006) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		paper
2009On the macroeconomic causes of exchange rate volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
2007On the macroeconomic causes of exchange rates volatility.(2007) In: ICER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2004The Japanese stagnation: an assessment of the productivity slowdown hypothesis In: Japan and the World Economy.
[Full Text][Citation analysis]		article4
2002The effects of the introduction of the euro on the volatility of European stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article33
2010International house prices and macroeconomic fluctuations In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article54
2003Measuring US core inflation: A common trends approach In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article11
2005Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2002An empirical investigation of long-run growth in the UK In: Structural Change and Economic Dynamics.
[Full Text][Citation analysis]		article0
2011The Effects of the US Economic and Financial Crises on Euro Area Convergence In: Chapters.
[Full Text][Citation analysis]		chapter0
2012New Paradigms in Monetary Theory and Policy? In: SUERF Studies.
[Full Text][Citation analysis]		book3
2012Real Oil Prices since the 1990s In: Review of Environment, Energy and Economics - Re3.
[Full Text][Citation analysis]		article0
1998Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric Analysis In: Giornale degli Economisti.
[Citation analysis]		article2
1999Measuring Core Inflation in Italy In: Giornale degli Economisti.
[Citation analysis]		article4
2003Long-Run Growth and Income Distribution: Evidence for Italy and the US In: Giornale degli Economisti.
[Full Text][Citation analysis]		article0
2004Regional Convergence in Italy: 1951-2000 In: Giornale degli Economisti.
[Full Text][Citation analysis]		article1
2005Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios. In: ICER Working Papers.
[Full Text][Citation analysis]		paper0
2006Structural breaks and common factors in the volatility of the Fama-French factor portfolios.(2006) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2006International Stock Markets Comovements: the Role of Economic and Financial Integration In: ICER Working Papers.
[Full Text][Citation analysis]		paper8
2008International stock markets comovements: the role of economic and financial integration.(2008) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2006The End of the Japanese Stagnation: an Assessment of the Policy Solutions In: ICER Working Papers.
[Full Text][Citation analysis]		paper0
2004The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided? In: ICER Working Papers.
[Full Text][Citation analysis]		paper3
2005The Japanese deflation: has it had real effects? Could it have been avoided?.(2005) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2006Net Inflows and Time-Varying Alphas: The Case of Hedge Funds In: ICER Working Papers.
[Full Text][Citation analysis]		paper0
2007Factor demand modelling: the theory and the practice In: ICER Working Papers.
[Full Text][Citation analysis]		paper1
2009Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper1
2008Realized portfolio selection in the euro area In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper0
2008International shocks and national house prices In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper0
2008Realized Betas and the Cross-Section of Expected Returns In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper4
2009Realized betas and the cross-section of expected returns.(2009) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2010The 2007-? financial crisis: a euro area money market perspective In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper0
2010Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper0
2007Estimating, Filtering and Forecasting Realized Betas In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]		paper0
2000Regulatory Uncertainty and Share Price Volatility: The English and Welsh Water Industrys Periodic Price Review. In: Journal of Regulatory Economics.
[Full Text][Citation analysis]		article3
2002Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry. In: Journal of Regulatory Economics.
[Full Text][Citation analysis]		article0
2013Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Model Averaging by Stacking In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Model Averaging by Stacking.(2015) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Semiparametric Estimation of Multivariate GARCH Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2017Semiparametric Estimation of Multivariate GARCH Models.(2017) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices In: Working Papers.
[Full Text][Citation analysis]		paper0
2009Medium-term macroeconomic determinants of exchange rate volatility In: Journal of Financial Transformation.
[Full Text][Citation analysis]		article0
2009An omnibus noise filter In: Computational Statistics.
[Full Text][Citation analysis]		article0
2003A common trends model of UK core inflation In: Empirical Economics.
[Full Text][Citation analysis]		article8
2008Factor vector autoregressive estimation: a new approach In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]		article1
2004Stock market volatility of regulated industries: an empirical assessment In: Portuguese Economic Journal.
[Full Text][Citation analysis]		article0
2004Some frequency domain properties of fractionally cointegrated processes In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2007Does the stock market affect income distribution? Some empirical evidence for the US In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2002IGARCH effects: an interpretation In: Applied Economics Letters.
[Full Text][Citation analysis]		article7
2002Core inflation in the Euro area In: Applied Economics Letters.
[Full Text][Citation analysis]		article23
2008Aggregate hedge funds flows and returns In: Applied Financial Economics.
[Full Text][Citation analysis]		article1
2010Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis In: Applied Financial Economics.
[Full Text][Citation analysis]		article1
2010Realized mean-variance efficient portfolio selection and euro area stock market integration In: Applied Financial Economics.
[Full Text][Citation analysis]		article1
2006The price stability oriented monetary policy of the ECB: an assessment In: Applied Economics.
[Full Text][Citation analysis]		article0
2007Inflation and monetary dynamics in the USA: a quantity-theory approach In: Applied Economics.
[Full Text][Citation analysis]		article4
2011Macro-finance interactions in the US: A global perspective In: Working papers.
[Full Text][Citation analysis]		paper0
2017The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises In: Journal of Forecasting.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team