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Items where City Author is "Urga, G."

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Number of items: 30.

Article

Urga, G., Akgun, O. and Pirotte, A. (2019). Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence. International Journal of Forecasting,

Alexeev, V., Urga, G. and Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics and Finance, 62, doi: 10.1016/j.iref.2019.02.014

Bergamelli, M., Bianchi, A., Khalaf, L. and Urga, G. (2019). Combining P-values to Test for Multiple Structural Breaks in Cointegrated Regressions. Journal of Econometrics, 211(2), pp. 461-482. doi: 10.1016/j.jeconom.2019.01.013

Mikkelsen, J. G., Hillebrand, E. and Urga, G. (2019). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208(2), pp. 535-562. doi: 10.1016/j.jeconom.2018.09.020

de Menezes, L. M. ORCID: 0000-0001-9155-5850, Russo, M. and Urga, G. (2019). Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: the Case of the UK National Balancing Point. The Energy Journal, 40(1), pp. 143-169. doi: 10.5547/01956574.40.1

Urga, G. and Mogliani, M. (2018). On the instability of long-run money demand and the welfare cost of inflation in the U.S.. Journal of Money, Credit and Banking, doi: 10.1111/jmcb.12480

Pellegrini, C. B., Meoli, M., Pellegrini, L. and Urga, G. (2018). Systemic risk determinants in the European banking industry during financial crises, 2006-2012. Rivista Internazionale di Scienze Sociali, 2018(2), pp. 109-122. doi: 10.26350/000518_000009

Kao, C., Trapani, L. and Urga, G. (2018). Testing for instability in covariance structures. Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 24(1), pp. 740-771. doi: 10.3150/16-BEJ894

Novotny, J. and Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbx028

Urga, G., Bellavite Pellegrini, C. and Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, doi: 10.1016/j.frl.2017.02.002

Russo, M., de Menezes, L. M. and Urga, G. (2016). Liquidity in the NBP forward market. 2016 13th International Conference on the European Energy Market (EEM), 2016-J, doi: 10.1109/EEM.2016.7521358

Belvisi, M, Pianeti, R and Urga, G. (2016). Modelling financial markets comovements during crises: A dynamic multi-factor approach. Advances in Econometrics, 35, pp. 317-360. doi: 10.1108/S0731-905320150000035008

Boffelli, S., Skintzi, V. D. and Urga, G. (2016). High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers. Journal of Financial Econometrics, 15(1), pp. 62-105. doi: 10.1093/jjfinec/nbv023

Leccadito, A, Tunaru, RS and Urga, G. (2015). Trading strategies with implied forward credit default swap spreads. Journal of Banking &Finance, 58, pp. 361-375. doi: 10.1016/j.jbankfin.2015.04.018

Leccadito, A., Rachedi, O. and Urga, G. (2015). True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison. Econometric Reviews, 34(4), pp. 452-479. doi: 10.1080/07474938.2013.808462

Urga, G., Ghalanos, A. and Rossi, E. (2015). Independent Factor Autoregressive Conditional Density Model. Econometric Reviews, 34(5), pp. 594-616. doi: 10.1080/07474938.2013.808561

Bergamelli, M., Novotny, J. and Urga, G. (2015). MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES. L'Actualité Economique, 91(1-2), pp. 115-139.

Boffelli, S. and Urga, G. (2015). Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads. Journal of International Money and Finance, 53, pp. 148-173. doi: 10.1016/j.jimonfin.2015.01.004

Novotny, J., Petrov, D. and Urga, G. (2015). Trading Price Jump Clusters in Foreign Exchange Markets. Journal of Financial Markets, 24, pp. 66-92. doi: 10.1016/j.finmar.2015.03.002

Khalaf, L. and Urga, G. (2014). Identification robust inference in cointegrating regressions. Journal of Econometrics, 182(2), pp. 385-396. doi: 10.1016/j.jeconom.2014.06.001

Leccadito, A., Boffelli, S. and Urga, G. (2014). Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests. International Journal of Forecasting, 30(2), pp. 206-216. doi: 10.1016/j.ijforecast.2013.07.014

Driver, C., Trapani, L. and Urga, G. (2013). On the use of cross-sectional measures of forecast uncertainty. International Journal of Forecasting, 29(3), pp. 367-377. doi: 10.1016/j.ijforecast.2012.11.005

Kao, C., Trapani, L. and Urga, G. (2012). Asymptotics for Panel Models with Common Shocks. Econometric Reviews, 31(4), pp. 390-439. doi: 10.1080/07474938.2011.607991

Dumitru, A-M. and Urga, G. (2012). Identifying jumps in financial assets: A comparison between nonparametric jump tests. Journal of Business and Economic Statistics, 30(2), pp. 242-255. doi: 10.1080/07350015.2012.663250

Trapani, L. and Urga, G. (2010). Micro versus macro cointegration in heterogeneous panels. Journal of Econometrics, 155(1), pp. 1-18. doi: 10.1016/j.jeconom.2009.07.005

Trapani, L. and Urga, G. (2009). Optimal forecasting with heterogeneous panels: A Monte Carlo study. International Journal of Forecasting, 25(3), pp. 567-586. doi: 10.1016/j.ijforecast.2009.02.001

Driver, C., Temple, P. and Urga, G. (2008). Real options - delay vs. pre-emption: Do industrial characteristics matter?. International Journal of Industrial Organization, 26(2), pp. 532-545. doi: 10.1016/j.ijindorg.2007.03.003

Lazarova, S., Trapani, L. and Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(1), pp. 89-105. doi: 10.1017/S0266466607070041

Conference or Workshop Item

de Menezes, L. M., Russo, M. and Urga, G. (2016). Identifying Drivers of Liquidity in the NBP Month-ahead Market. Paper presented at the EcoMod2016, 06 Jul 2016 - 08 Jul 2016, Lisbon, Portugal.

Working Paper

Urga, G., Leong, S. H. and Bellavite Pellegrini, C. (2019). The Contribution of Shadow Insurance to Systemic Risk?. .

This list was generated on Fri Nov 22 04:38:57 2019 UTC.