Giovanni Urga : Citation Profile


Are you Giovanni Urga?

City University

14

H index

21

i10 index

754

Citations

RESEARCH PRODUCTION:

53

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1991 - 2021). See details.
   Cites by year: 25
   Journals where Giovanni Urga has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 24 (3.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pur7
   Updated: 2021-11-28    RAS profile: 2021-05-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Bellavite Pellegrini, Carlo (3)

Russo, Marianna (3)

Hillebrand, Eric (3)

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

Is cited by:

Nguyen, Duc Khuong (11)

Hanousek, Jan (11)

Kutan, Ali (10)

Baum, Christopher (9)

Talavera, Oleksandr (8)

Pierdzioch, Christian (8)

Driver, Ciaran (8)

Caglayan, Mustafa (7)

Anatolyev, Stanislav (6)

Bürgi, Constantin (6)

Baltagi, Badi (6)

Cites to:

Bai, Jushan (27)

Pesaran, M (25)

Perron, Pierre (22)

Ng, Serena (21)

Andrews, Donald (20)

Dufour, Jean-Marie (20)

Bollerslev, Tim (18)

Watson, Mark (16)

Baltagi, Badi (15)

Phillips, Peter (15)

Diebold, Francis (15)

Main data


Where Giovanni Urga has published?


Journals with more than one article published# docs
Journal of Econometrics6
International Journal of Forecasting4
Journal of Business & Economic Statistics4
Econometric Reviews3
Economics Letters3
Journal of Financial Econometrics2
Journal of Comparative Economics2
Economic Change and Restructuring2
Oxford Economic Papers2
Emerging Markets Review2
Oxford Bulletin of Economics and Statistics2

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
Working Papers / HAL3
Royal Economic Society Annual Conference 2004 / Royal Economic Society2

Recent works citing Giovanni Urga (2021 and 2020)


YearTitle of citing document
2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

Full description at Econpapers || Download paper

2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

Full description at Econpapers || Download paper

2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2021The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

Full description at Econpapers || Download paper

2021Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

Full description at Econpapers || Download paper

2020Cointegrating Polynomial Regressions with Power Law Trends: A New Angle on the Environmental Kuznets Curve. (2020). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:2009.02262.

Full description at Econpapers || Download paper

2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

Full description at Econpapers || Download paper

2021Privatization in Croatia: Standpoint of Croatian Citizens in 1998 and 2018. (2021). Helena, Nikoli ; Jan, Horaek. In: Business Systems Research. RePEc:bit:bsrysr:v:12:y:2021:i:1:p:1-16:n:7.

Full description at Econpapers || Download paper

2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

Full description at Econpapers || Download paper

2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

Full description at Econpapers || Download paper

2021Market power and long-term gas contracts: the case of Gazprom in Central and Eastern European Gas Markets. (2021). Chyong, C K ; Aggarwal, D ; Reiner, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2144.

Full description at Econpapers || Download paper

2020Economic Policy Uncertainty: Persistence and Cross-Country Linkages. (2020). Caporale, Guglielmo Maria ; Gil-Alana, Luis A ; Aikins, Emmanuel Joel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8289.

Full description at Econpapers || Download paper

2020The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

Full description at Econpapers || Download paper

2021The welfare cost of inflation. (2021). Xu, Libo ; Serletis, Apostolos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000798.

Full description at Econpapers || Download paper

2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

Full description at Econpapers || Download paper

2020Historical market genes, marketization and economic growth in China. (2020). Chen, Xirong ; Ma, Zhongxin ; Li, Renyu. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:327-333.

Full description at Econpapers || Download paper

2020Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397.

Full description at Econpapers || Download paper

2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

Full description at Econpapers || Download paper

2020Preferences, inflation, and welfare. (2020). Dressler, Scott J ; Curran, Michael. In: European Economic Review. RePEc:eee:eecrev:v:130:y:2020:i:c:s0014292120302245.

Full description at Econpapers || Download paper

2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

Full description at Econpapers || Download paper

2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

Full description at Econpapers || Download paper

2020Price and income elasticities of residential and industrial electricity demand in the European Union. (2020). Csereklyei, Zsuzsanna. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306664.

Full description at Econpapers || Download paper

2020Do energy efficiency policies save energy? A new approach based on energy policy indicators (in the EU Member States). (2020). Mosconi, Rocco ; Bertoldi, Paolo. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s030142152030077x.

Full description at Econpapers || Download paper

2021Tracking factor substitution and the rebound effect of China’s agricultural energy consumption: A new research perspective from asymmetric response. (2021). Chunga, Joseph ; Yuan, Kaihua ; Wen, Zihao ; Wang, Haolin ; Fei, Rilong. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324142.

Full description at Econpapers || Download paper

2021Electrification of rails in China: Its impact on energy conservation and emission reduction. (2021). Lin, Boqiang ; Liu, Weisheng. In: Energy. RePEc:eee:energy:v:226:y:2021:i:c:s0360544221006125.

Full description at Econpapers || Download paper

2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news. (2020). Vo, Xuan Vinh ; Salisu, Afees. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301903.

Full description at Econpapers || Download paper

2021Firm-specific news and the predictability of Consumer stocks in Vietnam. (2021). Salisu, Afees ; Vo, Xuan Vinh. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316159.

Full description at Econpapers || Download paper

2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

Full description at Econpapers || Download paper

2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

Full description at Econpapers || Download paper

2020Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846.

Full description at Econpapers || Download paper

2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

Full description at Econpapers || Download paper

2020Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Corbet, Shaen ; Akyildirim, Erdinc. In: International Review of Law and Economics. RePEc:eee:irlaec:v:63:y:2020:i:c:s0144818819301991.

Full description at Econpapers || Download paper

2020Economic policy uncertainty, cost of capital, and corporate innovation. (2020). Xu, Zhaoxia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302729.

Full description at Econpapers || Download paper

2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

Full description at Econpapers || Download paper

2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

Full description at Econpapers || Download paper

2020A new insight into oil price-inflation nexus. (2020). Raheem, Ibrahim ; Agboola, Yusuf H ; Bello, Ajide Kazeem. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303597.

Full description at Econpapers || Download paper

2020Is there a role for Islamic finance and R&D in endogenous growth models in the case of Indonesia?. (2020). Juhro, Solikin ; Iyke, Bernard Njindan ; Narayan, Paresh Kumar ; Trisnanto, Budi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x19304287.

Full description at Econpapers || Download paper

2021Economic policy uncertainty: Persistence and cross-country linkages. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000635.

Full description at Econpapers || Download paper

2020Convergence among the CEE-8 economies and their catch-up towards the EU-15. (2020). Cieślik, Andrzej ; Wcilik, Dominika Roa ; Cielik, Andrzej. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:55:y:2020:i:c:p:39-48.

Full description at Econpapers || Download paper

2021Procuring NGA infrastructure: The performance of EMAT auctions in Italy. (2021). Matteucci, Nicola. In: Telecommunications Policy. RePEc:eee:telpol:v:45:y:2021:i:1:s0308596120301646.

Full description at Econpapers || Download paper

2021Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model. (2021). Maecka, Marta. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162.

Full description at Econpapers || Download paper

2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

Full description at Econpapers || Download paper

2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Gkillas, Konstantinos ; Siriopoulos, Costas ; Konstantatos, Christoforos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

Full description at Econpapers || Download paper

2021“I am Delighted!”: The Effect of Perceived Customer Value on Repurchase and Advocacy Intention in B2B Express Delivery Services. (2021). Cepeda, Ignacio ; Alarcon, David ; Correa, Carlos. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:11:p:6013-:d:562952.

Full description at Econpapers || Download paper

2020What Does Forecaster Disagreement Tell Us about the State of the Economy?. (2020). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Sinclair, Tara M ; Burgi, Constantin. In: Working Papers. RePEc:gwc:wpaper:2020-001.

Full description at Econpapers || Download paper

2020Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Working Papers. RePEc:ipg:wpaper:2020-006.

Full description at Econpapers || Download paper

2021Backtesting ESG Ratings. (2021). Matton, Stephane ; le Lann, Wassim ; Boucher, Christophe ; Tokpavi, Sessi. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2883.

Full description at Econpapers || Download paper

2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

Full description at Econpapers || Download paper

2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

Full description at Econpapers || Download paper

2020Macroprudential due-diligence framework for shadow banking entities. (2020). Prorokowski, Lukasz. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:51:y:2020:i:6:p:587-612.

Full description at Econpapers || Download paper

2020The CBI Suite of Business Surveys. (2020). Mizen, Paul ; Lee, Kevin ; Mahony, Michael. In: Economic Statistics Centre of Excellence (ESCoE) Technical Reports. RePEc:nsr:escoet:escoe-tr-08.

Full description at Econpapers || Download paper

2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

Full description at Econpapers || Download paper

2021Euro area inflation expectations during the COVID-19 pandemic. (2021). Gomes, Sandra ; Ribeiro, Pedro Pires ; Iskrev, Nikolay. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202112.

Full description at Econpapers || Download paper

2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

Full description at Econpapers || Download paper

2020Realized volatility and jump testing in the Japanese electricity spot market. (2020). Zarraga, Ainhoa ; Muniain, Peru ; Ciarreta, Aitor. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1577-6.

Full description at Econpapers || Download paper

2020Estimates of the New Keynesian Phillips Curve for Pakistan. (2020). Hall, Stephen G ; Hyder, Kalim. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:2:d:10.1007_s00181-019-01659-8.

Full description at Econpapers || Download paper

2021Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. (2021). Molyneux, Philip ; Li, Matthew C ; Fu, Xiaoqing. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01852-0.

Full description at Econpapers || Download paper

2021Backtesting and estimation error: value-at-risk overviolation rate. (2021). Cataldo, James ; Tsafack, Georges . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01905-4.

Full description at Econpapers || Download paper

2021Shadow banking: a bibliometric and content analysis. (2021). Ferdous, Mohammad Ashraful ; Nath, Ridoy Deb. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00286-6.

Full description at Econpapers || Download paper

2021A spatial model averaging approach to measuring house prices. (2021). Greenaway-McGrevy, Ryan ; Sorensen, Kade. In: Journal in Spatial Econometrics. RePEc:spr:jospat:v:2:y:2021:i:1:d:10.1007_s43071-021-00013-4.

Full description at Econpapers || Download paper

2020Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

Full description at Econpapers || Download paper

2020Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107.

Full description at Econpapers || Download paper

2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Working Papers. RePEc:ucr:wpaper:202009.

Full description at Econpapers || Download paper

2021Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data. (2021). Yabu, Tomoyoshi ; Watanabe, Tsutomu. In: Working Papers on Central Bank Communication. RePEc:upd:utmpwp:034.

Full description at Econpapers || Download paper

2020Are Corn Futures Prices Getting “Jumpy”?. (2020). Couleau, Anabelle ; Garcia, Philip ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:2:p:569-588.

Full description at Econpapers || Download paper

2021Forecasting Chinas Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect. (2021). Huang, Dengshi ; M. I. M. Wahab, ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:921-941.

Full description at Econpapers || Download paper

2021Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. (2021). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1055-1073.

Full description at Econpapers || Download paper

2020A random forest-based approach to identifying the most informative seasonality tests. (2020). Webel, Karsten ; Ollech, Daniel. In: Discussion Papers. RePEc:zbw:bubdps:552020.

Full description at Econpapers || Download paper

2020Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars. In: Discussion Papers. RePEc:zbw:fubsbe:202017.

Full description at Econpapers || Download paper

Works by Giovanni Urga:


YearTitleTypeCited
2015Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2018The dynamics of factor loadings in the cross-section of returns In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2019Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point In: The Energy Journal.
[Full Text][Citation analysis]
article1
2020Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts In: Papers.
[Full Text][Citation analysis]
paper2
2001A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies. In: Journal of Business & Economic Statistics.
[Citation analysis]
article61
2000A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(2000) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 61
paper
2004Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article34
2006Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article4
2007Common Features in Economics and Finance: An Overview of Recent Developments In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article8
2007Methods of privatization and economic growth in transition economies1 In: The Economics of Transition.
[Full Text][Citation analysis]
article3
1999A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
2004Transforming Qualitative Survey Data: Performance Comparisons for the UK In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article31
2001The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon? In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]
article0
2006Asymptotics for panel models with common shocks In: Working Papers.
[Full Text][Citation analysis]
paper11
2006The Asymptotics for Panel Models with Common Shocks.(2006) In: Center for Policy Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2012Asymptotics for Panel Models with Common Shocks.(2012) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2006Optimal forecasting with heterogeneous panels: a Monte Carlo study In: Working Papers.
[Full Text][Citation analysis]
paper17
2009Optimal forecasting with heterogeneous panels: A Monte Carlo study.(2009) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2007An Econometric Analysis of the Banking Crises in Russia and Ukraine In: Working Papers.
[Full Text][Citation analysis]
paper0
2007Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends In: Working Papers.
[Full Text][Citation analysis]
paper2
2007Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend.(2007) In: Center for Policy Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2007Micro versus Macro Cointegration in Heterogeneous Panels In: Working Papers.
[Full Text][Citation analysis]
paper7
2010Micro versus macro cointegration in heterogeneous panels.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2008On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty In: Working Papers.
[Full Text][Citation analysis]
paper0
2008Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia In: Working Papers.
[Full Text][Citation analysis]
paper0
2008Use and abuse of rights issues. Do they really protect minorities? In: Working Papers.
[Full Text][Citation analysis]
paper0
2021Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators In: Revue d'économie politique.
[Full Text][Citation analysis]
article0
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.
[Full Text][Citation analysis]
paper1
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.
[Full Text][Citation analysis]
paper0
1997Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995 In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper5
1997Are Differences in Firm Size Transitory or Permanent? In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper42
2003Are differences in firm size transitory or permanent?.(2003) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
article
2004Privatization Methods and Economic Growth in Transition Economies In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper18
2004Privatisation Methods and Economic Growth in Transition Economies.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2007COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS In: Econometric Theory.
[Full Text][Citation analysis]
article0
2002Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]
paper4
2004Cointegration Versus Spurious Regression In Heterogeneous Panels In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]
paper0
2004Cointegration versus Spurious Regression in Heterogeneous Panels.(2004) In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2004Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]
paper2
2004Stopping Tests in the Sequential Estimation for Multiple Structural Breaks In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]
paper4
2004Testing Asset Pricing Model with Coskweness In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper0
1999An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand In: Economic Modelling.
[Full Text][Citation analysis]
article14
2008Copula-based tests for cross-sectional independence in panel models In: Economics Letters.
[Full Text][Citation analysis]
article0
2007Copula-Based Tests for Cross-Sectional Independence in Panel Models.(2007) In: Center for Policy Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1996On the identification problem in testing the dynamic specification of factor-demand equations In: Economics Letters.
[Full Text][Citation analysis]
article5
2006Identifying externalities in UK manufacturing using direct estimation of an average cost function In: Economics Letters.
[Full Text][Citation analysis]
article3
2005Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function.(2005) In: School of Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2005Modelling structural breaks, long memory and stock market volatility: an overview In: Journal of Econometrics.
[Full Text][Citation analysis]
article77
2005Robust GMM tests for structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2014Identification robust inference in cointegrating regressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2019Consistent estimation of time-varying loadings in high-dimensional factor models In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2019Combining p-values to test for multiple structural breaks in cointegrated regressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2001The development of the GKO futures market in Russia In: Emerging Markets Review.
[Full Text][Citation analysis]
article2
2001Efficiency, scale and scope economies in the Ukrainian banking sector in 1998 In: Emerging Markets Review.
[Full Text][Citation analysis]
article19
2003Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand In: Energy Economics.
[Full Text][Citation analysis]
article61
2017Money market funds, shadow banking and systemic risk in United Kingdom In: Finance Research Letters.
[Full Text][Citation analysis]
article7
2015Trading price jump clusters in foreign exchange markets In: Journal of Financial Markets.
[Full Text][Citation analysis]
article11
2020The contribution of shadow insurance to systemic risk In: Journal of Financial Stability.
[Full Text][Citation analysis]
article0
2008Real options -- delay vs. pre-emption: Do industrial characteristics matter? In: International Journal of Industrial Organization.
[Full Text][Citation analysis]
article9
2013On the use of cross-sectional measures of forecast uncertainty In: International Journal of Forecasting.
[Full Text][Citation analysis]
article4
2014Evaluating the accuracy of value-at-risk forecasts: New multilevel tests In: International Journal of Forecasting.
[Full Text][Citation analysis]
article16
2020Forecasting using heterogeneous panels with cross-sectional dependence In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2015Trading strategies with implied forward credit default swap spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article0
2000The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics.
[Full Text][Citation analysis]
article58
2001Testing for Ongoing Convergence in Transition Economies, 1970 to 1998 In: Journal of Comparative Economics.
[Full Text][Citation analysis]
article12
2015Macroannouncements, bond auctions and rating actions in the European government bond spreads In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article2
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article1
2016Identifying Drivers of Liquidity in the NBP Month-ahead Market In: EcoMod2016.
[Full Text][Citation analysis]
paper0
2016Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach In: Advances in Econometrics.
[Full Text][Citation analysis]
chapter1
2008Changes in ownership and minority protection: Governance lessons from the case of Telecom Italia In: International Journal of Managerial Finance.
[Full Text][Citation analysis]
article2
2019Measuring liquidity in gas markets: The case of the UK National Balancing Point In: Papers.
[Full Text][Citation analysis]
paper0
2009Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006 In: PSE Working Papers.
[Full Text][Citation analysis]
paper3
2009Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1997Information Content of Russian Stock Indices In: Working Papers.
[Citation analysis]
paper0
2001Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996 In: Economic Change and Restructuring.
[Full Text][Citation analysis]
article1
2001Convergence in Transition Countries--Focus on Investment: Central and Eastern Europe, 1970-1996..(2001) In: Economic Change and Restructuring.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2011Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends In: Center for Policy Research Working Papers.
[Citation analysis]
paper1
2012Testing for Instability in Covariance Structures In: Center for Policy Research Working Papers.
[Citation analysis]
paper4
2016Testing for Instability in Covariance Structures.(2016) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2012Testing for Breaks in Cointegrated Panels In: Center for Policy Research Working Papers.
[Citation analysis]
paper3
2007Testing for Instability in Factor Structure of Yield Curves In: Center for Policy Research Working Papers.
[Citation analysis]
paper0
2017High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article5
2018Testing for Co-jumps in Financial Markets In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article2
1997The Competitiveness of UK Manufacturing: Evidence from Imports. In: Oxford Economic Papers.
[Full Text][Citation analysis]
article9
2005Profitability, capacity, and uncertainty: a model of UK manufacturing investment In: Oxford Economic Papers.
[Full Text][Citation analysis]
article33
1992The Econometrics of Panel Data: A Selective Introduction. In: Economics Series Working Papers.
[Citation analysis]
paper2
1992The Econometrics of Panel Data: A Selective Introduction.(1992) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2012Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series.
[Full Text][Citation analysis]
paper11
2015Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
1993Panel Data vs Time Series Regression Analysis: An Aggregation Issue In: Working Papers.
[Full Text][Citation analysis]
paper0
1993Unions Cash Flow and Investment Decisions: Evidence from Italian Firm Data In: Working Papers.
[Full Text][Citation analysis]
paper0
2015MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
1991Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data In: CELPE Discussion Papers.
[Full Text][Citation analysis]
paper0
1999The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]
paper0
2004The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators In: Empirical Economics.
[Full Text][Citation analysis]
article14
2005Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data In: School of Economics Discussion Papers.
[Full Text][Citation analysis]
paper2
2005Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory In: School of Economics Discussion Papers.
[Full Text][Citation analysis]
paper0
2015True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison In: Econometric Reviews.
[Full Text][Citation analysis]
article9
2011Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article59
2018SYSTEMIC RISK DETERMINANTS IN THE EUROPEAN BANKING INDUSTRY DURING FINANCIAL CRISES, 2006-2012 In: Rivista Internazionale di Scienze Sociali.
[Full Text][Citation analysis]
article0
1997Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995 In: William Davidson Institute Working Papers Series.
[Full Text][Citation analysis]
paper2
2018On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
article10
2016Jumps and Information Asymmetry in the US Treasury Market In: EconStor Preprints.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team