City Research Online

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Coppola, A., Urga, G. ORCID: 0000-0002-6742-7370 & Varaldo, A. (2024). Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets. Journal of Financial Stability,

Cincinelli, P., Tsolacos, S. & Urga, G. ORCID: 0000-0002-6742-7370 (2024). Price Exuberance Episodes in Private Real Estate. Journal of Financial Stability, 74, article number 101300. doi: 10.1016/j.jfs.2024.101300

Cincinelli, P., Pellini, E. & Urga, G. ORCID: 0000-0002-6742-7370 (2024). Is There an Optimal Level of Leverage? The Case of Banks and Non-Bank Institutions in Europe. International Review of Financial Analysis, 94, article number 103323. doi: 10.1016/j.irfa.2024.103323

Urga, G. ORCID: 0000-0002-6742-7370 & Wang, F. (2024). Estimation and Inference for High Dimensional Factor Model with Regime Switching. Journal of Econometrics, 241(2), article number 105752. doi: 10.1016/j.jeconom.2024.105752

Akgun, O., Pirotte, A., Urga, G. ORCID: 0000-0002-6742-7370 & Yang, Z.view all authors (2024). Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts. International Journal of Forecasting, 40(1), pp. 202-228. doi: 10.1016/j.ijforecast.2023.02.001

Leong, S. H. & Urga, G. ORCID: 0000-0002-6742-7370 (2023). A practical multivariate approach to testing volatility spillover. Journal of Economic Dynamics and Control, 153, article number 104694. doi: 10.1016/j.jedc.2023.104694

Hillebrand, E., Mikkelsen, J., Spreng, L. & Urga, G. ORCID: 0000-0002-6742-7370view all authors (2023). Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. Journal of Applied Econometrics, 38(6), pp. 857-877. doi: 10.1002/jae.2984

Cincinelli, P., Pellini, E. ORCID: 0000-0001-9402-3526 & Urga, G. ORCID: 0000-0002-6742-7370 (2022). Systemic Risk in the Chinese Financial System: A Panel Granger Causality Analysis. International Review of Financial Analysis, 82, article number 102179. doi: 10.1016/j.irfa.2022.102179

Bellavite Pellegrini, C., Cincinelli, P., Meoli, M. & Urga, G. ORCID: 0000-0002-6742-7370view all authors (2022). The Contribution of (Shadow) Banks and Real Estate to Systemic Risk in China. Journal of Financial Stability, 60, article number 101018. doi: 10.1016/j.jfs.2022.101018

Bellavite Pellegrini, C., Cincinelli, P., Meoli, M. & Urga, G. ORCID: 0000-0002-6742-7370view all authors (2022). The Role of Shadow Banking in Systemic Risk in the European Financial System. Journal of Banking and Finance, 138, article number 106422. doi: 10.1016/j.jbankfin.2022.106422

Spreng, L. & Urga, G. ORCID: 0000-0002-6742-7370 (2022). Combining p-values for Multivariate Predictive Ability Testing. Journal of Business and Economic Statistics, 41(3), pp. 765-777. doi: 10.1080/07350015.2022.2067545

Cincinelli, P., Pellini, E. & Urga, G. (2021). Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System. International Review of Financial Analysis, 78(101895), article number 101895. doi: 10.1016/j.irfa.2021.101895

Akgun, O., Pirotte, A. & Urga, G. (2021). Heterogeneity and cross-sectional dependence in panels: Heterogeneous vs. homogeneous estimators. Revue d'Economie Politique, Vol. 1(1), pp. 19-55. doi: 10.3917/redp.311.0025

Khalaf, L., Leccadito, A. & Urga, G. (2021). Multilevel and Tail Risk Management. Journal of Financial Econometrics, 20(5), pp. 839-874. doi: 10.1093/jjfinec/nbaa044

Boffelli, S., Novotny, J. & Urga, G. (2020). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets. Journal of Financial Econometrics, 20(4), pp. 681-715. doi: 10.1093/jjfinec/nbaa039

Leong, S. H., Bellavite Pellegrini, C. & Urga, G. ORCID: 0000-0002-6742-7370 (2020). The Contribution of Shadow Insurance to Systemic Risk. Journal of Financial Stability, 51, article number 100778. doi: 10.1016/j.jfs.2020.100778

Urga, G., Akgun, O. & Pirotte, A. (2020). Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence. International Journal of Forecasting, 36(4), pp. 1211-1227. doi: 10.1016/j.ijforecast.2019.11.007

Alexeev, V., Urga, G. & Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics and Finance, 62, pp. 20-40. doi: 10.1016/j.iref.2019.02.014

Bergamelli, M., Bianchi, A., Khalaf, L. & Urga, G.view all authors (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

de Menezes, L. M. ORCID: 0000-0001-9155-5850, Russo, M. & 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. 143-170. doi: 10.5547/01956574.40.1.lmen

Urga, G. & 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, 50(7), pp. 1645-1660. doi: 10.1111/jmcb.12480

Mikkelsen, J. G., Hillebrand, E. & Urga, G. (2018). 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

Pellegrini, C. B., Meoli, M., Pellegrini, L. & Urga, G.view all authors (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. & 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. & Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, 16(1), pp. 118-128. doi: 10.1093/jjfinec/nbx028

Urga, G., Bellavite Pellegrini, C. & Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, 21, pp. 163-171. doi: 10.1016/j.frl.2017.02.002

Russo, M., de Menezes, L. M. & 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 & 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. & 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 & 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. & 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. & 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. & Urga, G. (2015). MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES. L'Actualité Economique, 91(1-2), pp. 115-139. doi: 10.7202/1036916ar

Boffelli, S. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(01), pp. 89-105. doi: 10.1017/s0266466607070041

Conference or Workshop Item

de Menezes, L. M., Russo, M. & Urga, G. (2016). Identifying Drivers of Liquidity in the NBP Month-ahead Market. In: EcoMod2016 Proceedings. EcoMod2016, 06 Jul 2016 - 08 Jul 2016, Lisbon, Portugal.