CLAUDIO MORANA : Citation Profile


Are you CLAUDIO MORANA?

Università degli Studi di Milano-Bicocca

14

H index

18

i10 index

610

Citations

RESEARCH PRODUCTION:

62

Articles

76

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   19 years (1998 - 2017). See details.
   Cites by year: 32
   Journals where CLAUDIO MORANA has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 78 (11.34 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo818
   Updated: 2017-07-22    RAS profile: 2017-06-15    
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Relations with other researchers


Works with:

Bagliano, Fabio (8)

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 (21)

López, Enrique (11)

Misas, Martha (11)

Ajmi, Ahdi Noomen (10)

Ben Nasr, Adnen (9)

McAleer, Michael (9)

Allen, David (9)

Keddad, Benjamin (8)

DE TRUCHIS, Gilles (8)

Scharth, Marcel (7)

Teräsvirta, Timo (7)

Cites to:

Bollerslev, Tim (53)

Bai, Jushan (50)

Granger, Clive (44)

Hamilton, James (42)

Watson, Mark (36)

Stock, James (35)

Diebold, Francis (34)

Bagliano, Fabio (32)

Baillie, Richard (31)

Engle, Robert (29)

Pesaran, M (28)

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 Economics4
Giornale degli Economisti4
Journal of Banking & Finance4
Economic Modelling3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Regulatory Economics2
Journal of International Financial Markets, Institutions and Money2
Journal of Financial Transformation2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Milano-Bicocca, Department of Economics13
ICER Working Papers / ICER - International Centre for Economic Research12
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)10
ICER Working Papers - Applied Mathematics Series / ICER - International Centre for Economic Research9
Working Paper Series / European Central Bank9
Working Paper Series / The Rimini Centre for Economic Analysis5
Working Papers / Fondazione Eni Enrico Mattei4
Carlo Alberto Notebooks / Collegio Carlo Alberto4
Working papers / Former Department of Economics and Public Finance "G. Prato", University of Torino4
Working papers / Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino2

Recent works citing CLAUDIO MORANA (2017 and 2016)


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.

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2016Entropy and credit risk in highly correlated markets. (2016). Gottschalk, Sylvia . In: Papers. RePEc:arx:papers:1604.07042.

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

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2016Stock Market Volatility: Does Our Fundamentals Matter?. (2016). Isola, Lawal Adedoyin . In: Economic Studies journal. RePEc:bas:econst:y:2016:i:3:p:33-42.

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

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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

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2016Impacts of OPECs political risk on the international crude oil prices: An empirical analysis based on the SVAR models. (2016). Wei, Yi-Ming ; Tang, Bao-Jun ; Liao, Hua ; Chen, Hao . In: CEEP-BIT Working Papers. RePEc:biw:wpaper:96.

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2016On the estimation of short memory components in long memory time series models. (2016). George, Kapetanios ; Richard, Baillie . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:365-375:n:8.

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2016Un Análisis de la Capacidad Predictiva del Precio del Cobre sobre la Inflación Global. (2016). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:786.

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2016Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls. (2016). Mandalinci, Zeyyad ; Boero, Gianna ; Taylor, Mark P. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11689.

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

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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.

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2016Finance-augmented business cycles: A robustness check. (2016). Sindermann, Friedrich ; Gächter, Martin ; Fernández-Amador, Octavio ; Gchter, Martin ; Fernndez-Amador, Octavio . In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00136.

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2016The response of asset prices to monetary policy shocks: stronger than thought. (2016). Kerssenfischer, Mark ; Alessi, Lucia. In: Working Paper Series. RePEc:ecb:ecbwps:20161967.

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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.

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

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2016Imperfect knowledge, liquidity and bubbles. (2016). Branch, William. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:17-42.

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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations. (2016). Park, Sung Y. ; Li, Haiqi ; Zhong, Wanling . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:661-671.

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2016Threshold, smooth transition and mean reversion in inflation: New evidence from European countries. (2016). Hsu, Chi-Sheng ; Chen, Shyh-Wei . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:23-36.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:450-462.

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2016The dark side of the black gold shock onto Europe: One stocks joy is another stocks sorrow. (2016). Kaabia, Olfa ; Mkaouar, Farid ; Abid, Ilyes . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:642-654.

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2016Modelling the extreme variability of the US Consumer Price Index inflation with a stable non-symmetric distribution. (2016). Chronis, George A. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:271-277.

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2016Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets. (2016). Hegerty, Scott. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:23-37.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2016Does speculation impact what factors determine oil futures prices?. (2016). Kearney, Fearghal ; Gogolin, Fabian . In: Economics Letters. RePEc:eee:ecolet:v:144:y:2016:i:c:p:119-122.

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

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2016Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets. (2016). Enders, Walter ; Brooks, Robert ; Teterin, Pavel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:22-36.

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2016Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics. (2016). Prasanna, Krishna ; Shalini, Velappan . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:40-57.

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2016Bidding structure, market efficiency and persistence in a multi-time tariff setting. (2016). AVCI-SURUCU, Ezgi ; Akgul, Doganbey ; Aydogan, Kursat A. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:77-87.

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2016Does the S&P500 index lead the crude oil dynamics? A complexity-based approach. (2016). Kyrtsou, Catherine ; Papana, Angeliki ; Mikropoulou, Christina . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:239-246.

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2016Disentangling the determinants of real oil prices. (2016). Wu, Wenfeng ; Liu, LI ; Wang, Yudong . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:363-373.

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2016Impacts of OPECs political risk on the international crude oil prices: An empirical analysis based on the SVAR models. (2016). Wei, Yi-Ming ; Tang, Bao-Jun ; Liao, Hua ; Chen, Hao . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:42-49.

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2016Do OPEC announcements influence oil prices?. (2016). Loutia, Amine ; Andriosopoulos, Kostas ; Mellios, Constantin . In: Energy Policy. RePEc:eee:enepol:v:90:y:2016:i:c:p:262-272.

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2016The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis. (2016). Razmi, Fatemeh ; Lee, Chin ; Habibullah, Muzafar Shah ; Azali, M. ; Chin, Lee . In: Energy. RePEc:eee:energy:v:101:y:2016:i:c:p:581-591.

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2016Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom. (2016). Floros, Christos ; Antonakakis, Nikolaos. In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:111-122.

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2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016The information content of issuer rating changes: Evidence for the G7 stock markets. (2016). Hu, Haoshen ; Prokop, Jorg ; Kaspereit, Thomas . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:99-108.

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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.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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

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2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

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2016Credible reforms and stock return volatility: Evidence from privatization. (2016). Some, Hyacinthe Y ; Valery, Pascale ; Cosset, Jean-Claude . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:99-120.

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2016Bank integration and co-movements across housing markets. (2016). Milcheva, Stanimira ; Zhu, Bing . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s148-s171.

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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.

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2016Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. (2016). Tiwari, Aviral ; Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Raza, Naveed . In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:290-301.

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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.

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2016Continuous wavelet transform and rolling correlation of European stock markets. (2016). Tiwari, Aviral ; Mutascu, Mihai Ioan ; Albulescu, Claudiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:237-256.

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2016Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. (2016). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:559-571.

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2016Spikes and crashes in the oil market. (2016). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:615-623.

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2016Does national culture affect the intensity of volatility linkages in international equity markets?. (2016). Wu, Eliza ; Rothonis, Stephanie ; Tran, Duy . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:85-95.

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2016Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall. (2016). Derbali, Abdelkader ; Hallara, Slaheddine . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:113-134.

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2016Analysing the financial strength of Tunisia: An approach to estimate an index of financial safety. (2016). Matkovskyy, Roman ; Bouraoui, Taoufik ; Hammami, Helmi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:485-493.

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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.

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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.

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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.

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2016Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels. (2016). LI, TAIYONG ; He, Ting ; Tao, Quanyi ; Pan, Fan ; Wu, Jiang ; Luo, Min ; Guo, Chaoqi ; Zhou, Min . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:12:p:1014-:d:84168.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

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2016Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gnay, Samet . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:2:p:11:d:70218.

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2016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. (2016). McAleer, Michael ; Allen, David ; Singh, Abhay K ; Peiris, Shelton . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:7-:d:65863.

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2016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. (2016). Peiris, Shelton ; Singh, Abhay K. In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:7:d:65863.

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2017Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors. (2017). Lee, Chul-Yong ; Huh, Sung-Yoon . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:2:p:190-:d:88968.

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2016Time-series measures of core inflation. (2016). Smith, Julie ; Gamber, Edward N. In: Working Papers. RePEc:gwc:wpaper:2016-008.

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2017Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices. (2017). Shah, Imran ; Sosvilla-Rivero, Simon . In: IREA Working Papers. RePEc:ira:wpaper:201710.

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2016Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries. (2016). Chen, Shyh-Wei ; Pen, Cyun-Jhen ; Hsu, Chi-Sheng . In: Journal of Economics and Management. RePEc:jec:journl:v:12:y:2016:i:1:p:119-155.

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2017The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries. (2017). Kishor, N ; Marfatia, Hardik A. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:54:y:2017:i:2:d:10.1007_s11146-015-9546-8.

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2016Long-Run Comovements in East Asian Stock Market Volatility. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9401-4.

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2017The Impact of US Uncertainty Shocks on Small Open Economies. (2017). Österholm, Pär ; Osterholm, Par ; Stockhammar, Par . In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-016-9424-x.

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2017Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Jiang, Ying ; Liu, Xiaoquan ; Ahmed, Shamim . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0570-4.

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2016Chinas Increasing Global Influence: Changes in International Growth Spillovers. (2016). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:221.

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2017Forecasting with FAVAR: macroeconomic versus financial factors. (2017). Paccagnini, Alessia. In: NBP Working Papers. RePEc:nbp:nbpmis:256.

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2016House Valuations and Economic Growth: Some International Evidence. (2016). Jinjarak, Yothin ; Aizenman, Joshua ; Zheng, Huanhuan . In: NBER Working Papers. RePEc:nbr:nberwo:22699.

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2016Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations. (2016). Martinez, Andrew ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:784.

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2016International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?. (2016). Trecroci, Carmine ; Bua, Giovanna. In: MPRA Paper. RePEc:pra:mprapa:74771.

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2016Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica. (2016). Venegas-Martínez, Francisco ; Martinez-Marca, Jose Luis ; de los Angeles, Maria ; Venegas-Martinez, Francisco . In: MPRA Paper. RePEc:pra:mprapa:75705.

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2016Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models. (2016). Naser, Hanan ; Ahmed, Abdul Rashid . In: MPRA Paper. RePEc:pra:mprapa:77868.

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2017How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?. (2017). Razmi, Fatemeh ; Habibullah, Muzafar Shah ; Chin, Lee . In: MPRA Paper. RePEc:pra:mprapa:79079.

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni . In: Working Papers. RePEc:pre:wpaper:201647.

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2016Modeling Dynamics of Exchange Rates Volatility: A Case of Pakistan from 1980-2010. (2016). Malik, Fizza . In: Bulletin of Business and Economics (BBE). RePEc:rfh:bbejor:v:5:y:2016:i:3:p:144-161.

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2016Effects of US policy uncertainty on Swedish GDP growth. (2016). Österholm, Pär ; Stockhammar, Par ; Osterholm, Par . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:2:d:10.1007_s00181-015-0934-y.

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2016Persistence and cyclical dependence in the monthly euribor rate. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:1:d:10.1007_s12197-014-9296-0.

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2016Persistence and cyclical dependence in the monthly euribor rate. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:1:p:157-171.

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni. In: Working papers. RePEc:uct:uconnp:2016-09.

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2016Finance-augmented business cycles: A robustness check. (2016). Fernandez-Amador, Octavio . In: Papers. RePEc:wti:papers:1038.

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2016Which market integration measure?. (2016). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, Max . In: SAFE Working Paper Series. RePEc:zbw:safewp:159.

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Works by CLAUDIO MORANA:


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