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Publications

by members of

Centre for Econometric Analysis (CEA)
Cass Business School
City University
London, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2012

  1. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
  2. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Instability in Covariance Structures," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 131, Center for Policy Research, Maxwell School, Syracuse University.
  3. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 135, Center for Policy Research, Maxwell School, Syracuse University.

2011

  1. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2011. "Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 129, Center for Policy Research, Maxwell School, Syracuse University.
  2. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economic Institute, Prague.

2010

  1. Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  2. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economic Institute, Prague.

2009

  1. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.

2008

  1. Ciaran Driver & Lorenzo Trapani & Giovanni Urga, 2008. "On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty," Working Papers 0803, Department of Economics and Technology Management, University of Bergamo.
  2. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Use and abuse of rights issues. Do they really protect minorities?," Working Papers 0811, Department of Economics and Technology Management, University of Bergamo.
  3. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia," Working Papers 0808, Department of Economics and Technology Management, University of Bergamo.

2007

  1. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 92, Center for Policy Research, Maxwell School, Syracuse University.
  2. Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Economics and Technology Management, University of Bergamo.
  3. Hong-Ming Huang & Chihwa Kao & Giovanni Urga, 2007. "Copula-Based Tests for Cross-Sectional Independence in Panel Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 99, Center for Policy Research, Maxwell School, Syracuse University.
  4. Michele Meoli & Alexander Mertens & Giovanni Urga, 2007. "An Econometric Analysis of the Banking Crises in Russia and Ukraine," Working Papers 0702, Department of Economics and Technology Management, University of Bergamo.
  5. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 96, Center for Policy Research, Maxwell School, Syracuse University.

2006

  1. Lorenzo Trapani & Giovanni Urga, 2006. "Optimal forecasting with heterogeneous panels: a Monte Carlo study," Working Papers 0616, Department of Economics and Technology Management, University of Bergamo.
  2. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 77, Center for Policy Research, Maxwell School, Syracuse University.
  3. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "Asymptotics for panel models with common shocks," Working Papers 0615, Department of Economics and Technology Management, University of Bergamo.

2005

  1. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function," School of Economics Discussion Papers, School of Economics, University of Surrey 1005, School of Economics, University of Surrey.
  2. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers, School of Economics, University of Surrey 0405, School of Economics, University of Surrey.
  3. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory," School of Economics Discussion Papers, School of Economics, University of Surrey 0805, School of Economics, University of Surrey.

2004

  1. John Bennett & Saul Estrin & James Maw & Giovanni Urga, 2004. "Privatisation Methods and Economic Growth in Transition Economies," Working Papers, Fondazione Eni Enrico Mattei 2004.105, Fondazione Eni Enrico Mattei.
  2. Giovanni Urga & Christian de Peretti, 2004. "Stopping Tests in the Sequential Estimation for Multiple Structural Breaks," Econometric Society 2004 Latin American Meetings, Econometric Society 320, Econometric Society.
  3. Ciaran Driver & Lorenzo Trapani & Giovanni Urga, 2004. "Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data," Royal Economic Society Annual Conference 2004, Royal Economic Society 96, Royal Economic Society.
  4. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings, Econometric Society 266, Econometric Society.
  5. Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004. "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society 491, Econometric Society.

2002

  1. Driver, Ciaran & Paul Temple & Giovanni Urga, 2002. "Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment," Royal Economic Society Annual Conference 2002, Royal Economic Society 66, Royal Economic Society.
  2. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2002. "The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data B3-4, International Conferences on Panel Data.
  3. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2002. "Contrasts between classes of assets in fixed investment panel equations as a way of testing real option theory," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data B3-3, International Conferences on Panel Data.

2000

  1. Rockinger, Michael & Urga, Giovanni, 2000. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2346, C.E.P.R. Discussion Papers.

1999

  1. Claudia Panseri & Giovanni Urga & Annalisa Cristini, 1999. "The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates," Computing in Economics and Finance 1999, Society for Computational Economics 941, Society for Computational Economics.

1997

  1. Estrin, Saul & Urga, Giovanni, 1997. "Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1616, C.E.P.R. Discussion Papers.
  2. Geroski, Paul A & Samiei, Hossein & Urga, Giovanni, 1997. "Are Differences in Firm Size Transitory or Permanent?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1691, C.E.P.R. Discussion Papers.
  3. Saul Estrin & Geovanni Urga, 1997. "Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995," William Davidson Institute Working Papers Series 30, William Davidson Institute at the University of Michigan.

1992

  1. Urga, G., 1992. "The Econometrics of Panel Data: A Selective Introduction," Economics Series Working Papers 99151, University of Oxford, Department of Economics.

Undated

  1. John Bennett & Saul Estrin & James Maw & Giovanni Urga, . "Privatization Methods and Economic Growth," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 03-24, Economics and Finance Section, School of Social Sciences, Brunel University.

Journal articles

2013

  1. Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(3), pages 367-377.

2012

  1. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, Elsevier, vol. 13(2), pages 184-201.

2011

  1. Ana-Maria Dumitru & Giovanni Urga, 2011. "Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(2), pages 242-255, October.

2010

  1. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 155(1), pages 1-18, March.
  2. Lavička, H. & Lin, L. & Novotný, J., 2010. "Employment, Production and Consumption model: Patterns of phase transitions," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(8), pages 1708-1720.

2009

  1. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(3), pages 567-586, July.

2008

  1. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 26(2), pages 532-545, March.
  2. Huang, Hongming & Kao, Chihwa & Urga, Giovanni, 2008. "Copula-based tests for cross-sectional independence in panel models," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 224-228, August.
  3. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Changes in ownership and minority protection: Governance lessons from the case of Telecom Italia," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 4(4), pages 323-342, October.

2007

  1. John Bennett & Saul Estrin & Giovanni Urga, 2007. "Methods of privatization and economic growth in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, The European Bank for Reconstruction and Development, vol. 15, pages 661-683, October.
  2. Lazarov , tep na & Trapani, Lorenzo & Urga, Giovanni, 2007. "Common Stochastic Trends And Aggregation In Heterogeneous Panels," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 23(01), pages 89-105, February.
  3. Urga, Giovanni, 2007. "Common Features in Economics and Finance: An Overview of Recent Developments," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 2-11, January.

2006

  1. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2006. "Identifying externalities in UK manufacturing using direct estimation of an average cost function," Economics Letters, Elsevier, Elsevier, vol. 92(2), pages 228-233, August.
  2. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2006. "Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 432-443, October.

2005

  1. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  2. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Profitability, capacity, and uncertainty: a model of UK manufacturing investment," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 120-141, January.
  3. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 139-182.

2004

  1. Ciaran Driver & Giovanni Urga, 2004. "Transforming Qualitative Survey Data: Performance Comparisons for the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 71-89, 02.
  2. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2004. "The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators," Empirical Economics, Springer, Springer, vol. 29(1), pages 115-128, January.
  3. Giovanni Barone Adesi & Patrick Gagliardini & Giovanni Urga, 2004. "Testing Asset Pricing Models With Coskewness," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 474-485, October.

2003

  1. G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters, 2003. "Are differences in firm size transitory or permanent?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(1), pages 47-59.
  2. Urga, Giovanni & Walters, Chris, 2003. "Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand," Energy Economics, Elsevier, Elsevier, vol. 25(1), pages 1-21, January.

2001

  1. Temple, Paul & Urga, Giovanni & Driver, Ciaran, 2001. "The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(4), pages 361-82, September.
  2. Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(1), pages 73-84, January.
  3. Estrin, Saul & Lazarova, Stepana & Urga, Giovanni, 2001. " Convergence in Transition Countries--Focus on Investment: Central and Eastern Europe, 1970-1996," Economic Change and Restructuring, Springer, Springer, vol. 34(3), pages 215-30.
  4. Urga, Giovanni, 2001. " Theory and Practice of Econometric Modelling Using PCGIVE10," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 15(4), pages 571-88, September.
  5. Mertens, Alexander & Urga, Giovanni, 2001. "Efficiency, scale and scope economies in the Ukrainian banking sector in 1998," Emerging Markets Review, Elsevier, Elsevier, vol. 2(3), pages 292-308, September.
  6. Estrin, Saul & Urga, Giovanni & Lazarova, Stepana, 2001. "Testing for Ongoing Convergence in Transition Economies, 1970 to 1998," Journal of Comparative Economics, Elsevier, vol. 29(4), pages 677-691, December.
  7. Peresetsky, A. & Turmuhambetova, G. & Urga, G., 2001. "The development of the GKO futures market in Russia," Emerging Markets Review, Elsevier, Elsevier, vol. 2(1), pages 1-16, March.

2000

  1. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.

1999

  1. Allen, Chris & Urga, Giovanni, 1999. "Interrelated Factor Demands from Dynamic Cost Functions: An Application to the Non-energy Business Sector of the UK Economy," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 66(263), pages 403-13, August.
  2. Hall, Stephen & Lazarova, Stepana & Urga, Giovanni, 1999. " A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 749-67, Special I.
  3. Urga, Giovanni, 1999. "An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand," Economic Modelling, Elsevier, Elsevier, vol. 16(4), pages 503-513, December.

1997

  1. Temple, Paul & Urga, Giovanni, 1997. "The Competitiveness of UK Manufacturing: Evidence from Imports," Oxford Economic Papers, Oxford University Press, vol. 49(2), pages 207-27, April.

1996

  1. Urga, Giovanni, 1996. "On the identification problem in testing the dynamic specification of factor-demand equations," Economics Letters, Elsevier, Elsevier, vol. 52(3), pages 205-210, September.