Giovanni Urga : Citation Profile

Are you Giovanni Urga?

City University

17

H index

26

i10 index

979

Citations

RESEARCH PRODUCTION:

57

Articles

54

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1991 - 2023). See details.
   Cites by year: 30
   Journals where Giovanni Urga has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 29 (2.88 %)

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   Permalink: http://citec.repec.org/pur7
   Updated: 2024-12-03    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Akgun, Oguzhan (3)

Pellini, Elisabetta (2)

Russo, Marianna (2)

Hillebrand, Eric (2)

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

Is cited by:

Fidrmuc, Jarko (18)

Hanousek, Jan (12)

Nguyen, Duc Khuong (11)

Kutan, Ali (10)

Korhonen, Iikka (10)

Driver, Ciaran (9)

Baum, Christopher (9)

Talavera, Oleksandr (8)

Pierdzioch, Christian (8)

Yao, Wenying (8)

Caglayan, Mustafa (7)

Cites to:

Bai, Jushan (32)

Pesaran, Mohammad (30)

Watson, Mark (26)

Reichlin, Lucrezia (24)

Andrews, Donald (23)

Ng, Serena (23)

Dufour, Jean-Marie (22)

Acharya, Viral (21)

Hurlin, Christophe (21)

Bollerslev, Tim (21)

Diebold, Francis (20)

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 Forecasting4
Econometric Reviews3
Economics Letters3
Journal of Banking & Finance2
International Review of Financial Analysis2
Oxford Bulletin of Economics and Statistics2
Economic Change and Restructuring2
Journal of Financial Stability2
Journal of Comparative Economics2
Emerging Markets Review2
Journal of Financial Econometrics2
Oxford Economic Papers2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Management, Information and Production Engineering, University of Bergamo8
Center for Policy Research Working Papers / Center for Policy Research, Maxwell School, Syracuse University7
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
School of Economics Discussion Papers / School of Economics, University of Surrey3
Working Papers / HAL3
Papers / arXiv.org2
Royal Economic Society Annual Conference 2004 / Royal Economic Society2

Recent works citing Giovanni Urga (2024 and 2023)

YearTitle of citing document
2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023Time-Varying Vector Error-Correction Models: Estimation and Inference. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2305.17829.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023.

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2024Financial risk under the shock of global warming: Evidence from China. (2024). Hao, YU ; Li, Lianqing ; Gao, Zhiyuan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:335-351.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2024Research on human dynamics characteristics under large-scale stock data perturbation. (2024). Huang, Yao ; Yang, Yihe ; Yu, Wei ; Li, Xiaoming ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001936.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2023Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331.

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2023Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Evolving efficiency of the BRICS markets. (2024). Yu, Gennady ; Taylor, David R ; Kulikova, Maria V. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x.

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2023How does privatization affect cash dividends? Quasi-experimental evidence from China. (2023). Wu, Yibing ; Jiang, Haiyan ; Hu, Jinshuai. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000808.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

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2023Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247.

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2023The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments. (2023). Hamori, Shigeyuki ; He, Xie ; Zhang, Wenting. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300251x.

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2023The puzzle of household wealth preservation and corporate innovation. (2023). Wang, Jiawei ; Liu, Jiemei ; Huang, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300409x.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2023Identifying 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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2023Temperature shocks and bank systemic risk: Evidence from China. (2023). Fang, Tong ; Song, Xiaoni. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006249.

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2023Economic uncertainty and non-bank financial intermediation: Evidence from a European panel. (2023). Hodula, Martin ; Sori, Petar ; Peri, Blanka Krabi. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000491.

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2023Investor-enterprise interactions and shadow banking of non-financial enterprises in China. (2023). Chen, Dong ; Zeng, Lin ; Tao, Yunqing ; Liu, Huan. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003513.

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2023Corporate financing from shadow banking and bond credit spreads. (2023). Huang, Liqiang ; Lei, Ningze. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300853x.

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2023Macro-prudential policy and systemic risk of real estate firms: Evidence from China. (2023). Kong, Dongmin ; Wang, Lijuan ; Li, Xiao-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008905.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2024International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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2024Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective. (2024). Pacelli, Vincenzo ; Wang, Gang-Jin ; di Tommaso, Caterina ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000088.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Capital market liberalization and systemic risk of non-financial firms: Evidence from Chinese Stock Connect scheme. (2023). Ge, Xinyu ; Li, Haofei ; Si, Deng-Kui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002615.

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2023How economic depreciation shapes the relationship of uncertainty with investments’ size & timing. (2023). Silveira, Rafael Rossi. In: International Journal of Production Economics. RePEc:eee:proeco:v:260:y:2023:i:c:s0925527323000683.

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2024Economic impacts of reducing methane emissions in British Columbia’s oil and natural gas sectors: Taxes vs technology standards. (2024). Risk, Dave ; Withey, Patrick ; Long, Mallory ; Sharma, Chinmay ; Lantz, Van. In: Resource and Energy Economics. RePEc:eee:resene:v:76:y:2024:i:c:s0928765523000763.

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2023An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552.

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2024Stein-like Common Correlated Effects Estimation under Structural Breaks. (2024). Parsaeian, Shahnaz. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:2:p:11-:d:1378087.

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2023Land Finance, Real Estate Market, and Local Government Debt Risk: Evidence from China. (2023). Wang, Xiaowei ; Ruan, Debao ; Chen, Ting. In: Land. RePEc:gam:jlands:v:12:y:2023:i:8:p:1597-:d:1216624.

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2023Regulation and De-Risking: Theoretical and Empirical Insights. (2023). Gregoriou, Andros ; Haar, Lawrence. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:104-:d:1162304.

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2023Causal Interaction between Foreign Direct Investment Inflows and China’s Economic Growth. (2023). Hossain, Md Shamim. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:10:p:7994-:d:1146516.

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2023Debt Relief: The Day After, Financing Low-Income Countries. (2023). Tykhonenko, Anna ; Donnat, Gregory. In: GREDEG Working Papers. RePEc:gre:wpaper:2023-07.

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2023Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2023Endogenous Entry and Growth of Firms with Heterogeneous Firms. (2023). Munter, Markus Thomas. In: Review of Industrial Organization. RePEc:kap:revind:v:63:y:2023:i:1:d:10.1007_s11151-023-09906-0.

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2023What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon. (2023). Dbski, Wiesaw ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:54:y:2023:i:1:p:25-44.

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2024Economic policy uncertainty and cash dividend policy: evidence from China. (2024). Zhang, Yiwen ; Zhao, Liang ; Li, Chuanzhen. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03055-9.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012.

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2023Liberalization and the volatility of gas prices: Exploring their relation in times of abundance and scarcity. (2023). Cardinale, Roberto. In: Competition and Regulation in Network Industries. RePEc:sae:crnind:v:24:y:2023:i:2-3:p:72-96.

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2023Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3.

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2023Mixed frequency composite indicators for measuring public sentiment in the EU. (2023). Scepi, Germana ; Spano, Maria ; Misuraca, Michelangelo ; Mattera, Raffaele. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01468-9.

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2023Business Forms and Business Performance in UK Manufacturing 1871-81 Abstract We analyse a new dataset of 483 manufacturing firms in 1881 either that employed at least 1000 or had done so a decade earl. (2023). Hannah, Leslie ; Foreman-Peck, James. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1222.

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2024Investment under uncertainty and irreversibility: Evidence from the shipping markets. (2024). Tsouknidis, Dimitris ; Drakos, Konstantinos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2139-2154.

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2023Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time?varying factor loadings. (2023). Mikkelsen, Jakob Guldbak ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:857-877.

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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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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings 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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2023Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts In: Papers.
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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching In: Papers.
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2022Estimation and inference for high dimensional factor model with regime switching.(2022) In: MPRA Paper.
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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.
[Citation analysis]		article77
2000A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(2000) 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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2004Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article40
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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2007Common Features in Economics and Finance: An Overview of Recent Developments In: Journal of Business & Economic Statistics.
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2007Methods of privatization and economic growth in transition economies1 In: The Economics of Transition.
[Full Text][Citation analysis]		article6
2001Software Review: Theory and Practice of Econometric Modelling using PcGive10 In: Journal of Economic Surveys.
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1999A 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.
[Full Text][Citation analysis]		article34
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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2006The Asymptotics for Panel Models with Common Shocks.(2006) In: Center for Policy Research 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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2021Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators In: Revue d'économie politique.
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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.
[Full Text][Citation analysis]		paper47
2003Are differences in firm size transitory or permanent?.(2003) In: Journal of Applied Econometrics.
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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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