Giovanni Urga : Citation Profile


Are you Giovanni Urga?

City University (50% share)
Università degli Studi di Bergamo (50% share)

15

H index

18

i10 index

700

Citations

RESEARCH PRODUCTION:

52

Articles

49

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1991 - 2019). See details.
   Cites by year: 25
   Journals where Giovanni Urga has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 21 (2.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pur7
   Updated: 2019-10-06    RAS profile: 2019-07-26    
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Relations with other researchers


Works with:

Russo, Marianna (2)

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

Is cited by:

Baum, Christopher (9)

Kutan, Ali (9)

Talavera, Oleksandr (8)

Skjerpen, Terje (8)

Weale, Martin (8)

Pierdzioch, Christian (8)

Hanousek, Jan (8)

Nguyen, Duc Khuong (8)

Driver, Ciaran (8)

Baltagi, Badi (7)

AROURI, Mohamed (7)

Cites to:

Andrews, Donald (21)

Bai, Jushan (20)

Bollerslev, Tim (18)

Andersen, Torben (15)

Perron, Pierre (15)

Phillips, Peter (14)

Dufour, Jean-Marie (14)

Reichlin, Lucrezia (13)

Ng, Serena (13)

Pesaran, M (13)

Watson, Mark (12)

Main data


Where Giovanni Urga has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Business & Economic Statistics4
International Journal of Forecasting3
Econometric Reviews3
Economics Letters3
Oxford Economic Papers2
Journal of Financial Econometrics2
Oxford Bulletin of Economics and Statistics2
Economic Change and Restructuring2
Emerging Markets Review2
Journal of Comparative Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics and Technology Management, University of Bergamo8
Center for Policy Research Working Papers / Center for Policy Research, Maxwell School, Syracuse University7
School of Economics Discussion Papers / School of Economics, University of Surrey3
Royal Economic Society Annual Conference 2004 / Royal Economic Society2
Working Papers / HAL2

Recent works citing Giovanni Urga (2019 and 2018)


YearTitle of citing document
2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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2018Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2018Understanding the role of economic transition in enlarging energy price elasticity. (2018). Li, Jianglong. In: The Economics of Transition. RePEc:bla:etrans:v:26:y:2018:i:2:p:253-281.

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2019Money Market Funds and Unconventional Monetary Policy. (2019). Sorbo, Jacopo ; Dunne, Peter G ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/19.

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2018The Demand for Money at the Zero Interest Rate Bound. (2018). Yabu, Tomoyoshi ; Watanabe, Tsutomu. In: CARF F-Series. RePEc:cfi:fseres:cf444.

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2018The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt. (2018). de Haan, Leo ; Vermeulen, Robert. In: DNB Working Papers. RePEc:dnb:dnbwpp:620.

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2019An explorative analysis of Italy banking financial stability. (2019). Angelini, Eliana ; Foglia, Matteo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00071.

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2018Tourism in Iceland: Persistence and seasonality. (2018). Gil-Alana, Luis ; Huijbens, Edward H. In: Annals of Tourism Research. RePEc:eee:anture:v:68:y:2018:i:c:p:20-29.

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2018Towards a low carbon economy by removing fossil fuel subsidies?. (2018). Li, Jianglong ; Sun, Chuanwang. In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:17-33.

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2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2018Estimating concave substitution possibilities with non-stationary data using the dynamic linear logit demand model. (2018). Considine, Timothy J. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:22-30.

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2018Gibrat’s law and quantile regressions: An application to firm growth. (2018). Santoro, Emiliano ; Petrella, Ivan ; Distante, Roberta. In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:5-9.

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2018A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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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.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2019Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628.

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2018The price and income elasticity of Chinas natural gas demand: A multi-sectoral perspective. (2018). Ji, Qiang ; Fan, Ying ; Zhang, YI. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:332-341.

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2018Further evidence on the debate of oil-gas price decoupling: A long memory approach. (2018). Zhang, Dayong ; Ji, Qiang. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:68-75.

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2018Energy consumption, fuel substitution, technical change, and economic growth: Implications for CO2 mitigation in Egypt. (2018). Lin, Boqiang ; Wesseh, Presley K. In: Energy Policy. RePEc:eee:enepol:v:117:y:2018:i:c:p:340-347.

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2018Hydropower and potential for interfuel substitution: The case of electricity sector in Malaysia. (2018). solarin, sakiru ; Yen, Yuen Yee ; Bello, Mufutau Opeyemi. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:966-983.

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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.

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2018Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution. (2018). Fang, Libing ; Qian, Yichuo ; Yu, Honghai ; Chen, Baizhu. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:137-144.

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2019Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe. (2019). Arreola-Hernandez, Jose ; van Hoang, Thi Hong ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:153-159.

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2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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2018Multi-dimensional portfolio risk and its diversification: A note. (2018). Kim, Tae-Hwan ; Bang, Seungbeom . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:147-156.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

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2018Construction of currency portfolios by means of an optimized investment strategy. (2018). Chandrinos, Spyros K ; Lagaros, Nikos D. In: Operations Research Perspectives. RePEc:eee:oprepe:v:5:y:2018:i:c:p:32-44.

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2018Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470.

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2019Financial constraints on investment: Effects of firm size and the financial crisis. (2019). Driver, Ciaran ; Muoz-Bugarin, Jair . In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:441-457.

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2018Privatization in developing countries: what are the lessons of recent experience?. (2018). Pelletier, Adeline ; Estrin, Saul. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87348.

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2018Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21.

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2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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2019Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. (2019). Bernstein, David H ; Nielsen, Bent. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:6-:d:198742.

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2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. (2019). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195.

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2019Money as an Institution: Rule versus Evolved Practice? Analysis of Multiple Currencies in Argentina. (2019). Gomez, Georgina M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:80-:d:229396.

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2019Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2019Differential Impact of Uncertainty on Exporting Decision in Risk-averse and Risk-taking Firms. (2019). Kim, Haeng-Sun. In: Working Papers. RePEc:hal:wpaper:hal-02128335.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201801.

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2019Empirical modelling of survey-based expectations for the design of economic indicators in five European regions. (2019). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Empirica. RePEc:kap:empiri:v:46:y:2019:i:2:d:10.1007_s10663-017-9395-1.

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2018Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions. (2018). Spagnolo, Nicola ; Zhao, Yuqian ; Barassi, Marco R. In: Environmental & Resource Economics. RePEc:kap:enreec:v:71:y:2018:i:4:d:10.1007_s10640-017-0190-z.

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2019Semi-strong factors in asset returns. (2019). Korajczyk, Robert A ; Connor, Gregory . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n294-19.pdf.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2018Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets. (2018). Härdle, Wolfgang ; Petukhina, Alla ; Nasekin, Sergey ; Chuen, David Kuo ; Hardle, Wolfgang Karl. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0060-9.

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2018Higher co-moments and asset pricing on emerging stock markets by quantile regression approach. (2018). Luu, Toan Huynh ; Nguyen, Sang Phu. In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:132-142.

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2018What Remains of Cross-Country Convergence?. (2018). Papageorgiou, Chris ; Johnson, Paul. In: MPRA Paper. RePEc:pra:mprapa:89355.

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2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

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2018Privatization and growth: natural experiments of European economies in transition. (2018). Kant, Chander. In: MPRA Paper. RePEc:pra:mprapa:90302.

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2019What is the Investment Loss due to Uncertainty?. (2019). Panagiotidis, Theodore ; Printzis, Panagiotis. In: Working Paper series. RePEc:rim:rimwps:19-06.

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2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS. (2019). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/970.

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2019An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns. (2019). Lebedeva, K. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2015:i:3:p:5-31.

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2018The Effects of Market Structure on Uncertainty-Investment Relationship: Evidence from Turkish Manufacturing Industry. (2018). Guven, Aytekin ; Akkoyunlu-Wigley, Arzu. In: Sosyoekonomi Journal. RePEc:sos:sosjrn:180310.

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2018A heuristic, iterative algorithm for change-point detection in abrupt change models. (2018). Fasola, Salvatore ; Kuchenhoff, Helmut ; Vito, . In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-017-0740-4.

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2018Valuation of an R&D project with three types of uncertainty. (2018). Nishihara, Michi. In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0076-5.

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2018What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?. (2018). Ftiti, Zied ; Chaouachi, Slim . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:3:d:10.1007_s40953-017-0098-z.

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2018A Data-Driven Approach to Construct Survey-Based Indicators by Means of Evolutionary Algorithms. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:135:y:2018:i:1:d:10.1007_s11205-016-1490-3.

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2018The Socioeconomic Consequences of Privatization: An Empirical Analysis for Europe. (2018). Cuadrado-Ballesteros, Beatriz ; Pea-Miguel, Noemi. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:139:y:2018:i:1:d:10.1007_s11205-017-1713-2.

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2018The Demand for Money at the Zero Interest Rate Bound. (2018). Yabu, Tomoyoshi ; Watanabe, Tsutomu. In: Working Papers on Central Bank Communication. RePEc:upd:utmpwp:002.

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2019Exploiting ergodicity in forecasts of corporate profitability. (2019). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: BERG Working Paper Series. RePEc:zbw:bamber:147.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). DUMITRU, ANA-MARIA ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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Works by Giovanni Urga:


YearTitleTypeCited
2015Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models In: CREATES Research Papers.
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2018The dynamics of factor loadings in the cross-section of returns In: CREATES Research Papers.
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2019Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point In: The Energy Journal.
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2001A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies. In: Journal of Business & Economic Statistics.
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article54
2004Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics.
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article30
2006Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory In: Journal of Business & Economic Statistics.
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article4
2007Common Features in Economics and Finance: An Overview of Recent Developments In: Journal of Business & Economic Statistics.
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1999Interrelated Factor Demands from Dynamic Cost Functions: An Application to the Non-energy Business Sector of the UK Economy. In: Economica.
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2007Methods of privatization and economic growth in transition economies In: The Economics of Transition.
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2001 Theory and Practice of Econometric Modelling Using PCGIVE10. In: Journal of Economic Surveys.
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1999 A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence. In: Oxford Bulletin of Economics and Statistics.
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2004Transforming Qualitative Survey Data: Performance Comparisons for the UK In: Oxford Bulletin of Economics and Statistics.
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2001The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon? In: Scottish Journal of Political Economy.
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2006Asymptotics for panel models with common shocks In: Working Papers.
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2012Asymptotics for Panel Models with Common Shocks.(2012) In: Econometric Reviews.
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2006Optimal forecasting with heterogeneous panels: a Monte Carlo study In: Working Papers.
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2009Optimal forecasting with heterogeneous panels: A Monte Carlo study.(2009) In: International Journal of Forecasting.
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2007An Econometric Analysis of the Banking Crises in Russia and Ukraine In: Working Papers.
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2007Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends In: Working Papers.
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2007Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend.(2007) In: Center for Policy Research Working Papers.
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2007Micro versus Macro Cointegration in Heterogeneous Panels In: Working Papers.
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2010Micro versus macro cointegration in heterogeneous panels.(2010) In: Journal of Econometrics.
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2008On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty In: Working Papers.
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2008Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia In: Working Papers.
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2008Use and abuse of rights issues. Do they really protect minorities? In: Working Papers.
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2002Contrasts between classes of assets in fixed investment panel equations as a way of testing real option theory In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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2002The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1 In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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1997Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995 In: CEPR Discussion Papers.
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1997Are Differences in Firm Size Transitory or Permanent? In: CEPR Discussion Papers.
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2003Are differences in firm size transitory or permanent?.(2003) In: Journal of Applied Econometrics.
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2000A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies In: CEPR Discussion Papers.
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1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: HEC Research Papers Series.
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1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Working Papers.
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2004Privatization Methods and Economic Growth in Transition Economies In: CEPR Discussion Papers.
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2004Privatisation Methods and Economic Growth in Transition Economies.(2004) In: Working Papers.
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2007COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS In: Econometric Theory.
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2002Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment In: Royal Economic Society Annual Conference 2002.
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2004Cointegration Versus Spurious Regression In Heterogeneous Panels In: Royal Economic Society Annual Conference 2004.
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2004Cointegration versus Spurious Regression in Heterogeneous Panels.(2004) In: Econometric Society 2004 North American Summer Meetings.
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2004Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data In: Royal Economic Society Annual Conference 2004.
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2004Stopping Tests in the Sequential Estimation for Multiple Structural Breaks In: Econometric Society 2004 Latin American Meetings.
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2004Testing Asset Pricing Model with Coskweness In: Econometric Society 2004 North American Winter Meetings.
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1999An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand In: Economic Modelling.
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