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Claudio Morana

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Papers 2205.07579, arXiv.org, revised Nov 2022.

    Cited by:

    1. Ohtsuka, Yoshihiro & Oga, Takashi & Kakamu, Kazuhiko, 2010. "Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2721-2735, November.
    2. Geweke, John & Amisano, Gianni, 2010. "Comparing and evaluating Bayesian predictive distributions of asset returns," International Journal of Forecasting, Elsevier, vol. 26(2), pages 216-230, April.
    3. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
    4. Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models," Econometrics, MDPI, vol. 11(1), pages 1-16, March.

  2. Cassola, Nuno & De Grauwe, Paul & Morana, Claudio & Tirelli, Patrizio, 2022. "The risks of exiting too early the policy responses to the COVID-19 recession," LSE Research Online Documents on Economics 113327, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Fernandes, Mário Correia & Dutra, Tiago Mota & Dias, José Carlos & Teixeira, João C.A., 2023. "Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1046-1058.

  3. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Papers 467, University of Milano-Bicocca, Department of Economics, revised Sep 2021.

    Cited by:

    1. Mian, Atif & Sufi, Amir & Trebbi, Francesco, 2013. "The Political Economy of the Subprime Mortgage Credit Expansion," Quarterly Journal of Political Science, now publishers, vol. 8(4), pages 373-408, October.
    2. Thomas Bassetti & Filippo Pavesi, 2012. "Deep Pockets, Extreme Preferences: Interest Groups and Campaign Finance Contributions," Working Papers 222, University of Milano-Bicocca, Department of Economics, revised Apr 2012.
    3. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    4. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Paper series 23-14, Rimini Centre for Economic Analysis.
    5. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Papers 526, University of Milano-Bicocca, Department of Economics.
    6. Atif Mian & Amir Sufi & Francesco Trebbi, 2010. "The Political Economy of the US Mortgage Default Crisis," American Economic Review, American Economic Association, vol. 100(5), pages 1967-1998, December.
    7. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.

  4. Donatella Baiardi & Claudio Morana, 2020. "Climate change awareness: Empirical evidence for the European Union," Working Papers 426, University of Milano-Bicocca, Department of Economics, revised Feb 2021.

    Cited by:

    1. Paola D'Orazio, 2022. "Mapping the emergence and diffusion of climate-related financial policies: Evidence from a cluster analysis on G20 countries," International Economics, CEPII research center, issue 169, pages 135-147.
    2. Francisco Serranito & Donatella Gatti & Gaye-Del Lo, 2023. "Unpacking the green box: Determinants of Environmental Policy Stringency in European countries," Working Papers hal-04202808, HAL.
    3. Cristina Andreea NICOLAE & Mihai-Ioan ROȘCA, 2021. "Is Climate Change More Serious than International Terrorism? Evidence from European Countries," Journal of Emerging Trends in Marketing and Management, The Bucharest University of Economic Studies, vol. 1(1), pages 22-30, August.
    4. Shiri Shinan-Altman & Yaira Hamama-Raz, 2023. "The Association between Climate Change Exposure and Climate Change Worry among Israeli Adults: The Interplay of Risk Appraisal, Collective Efficacy, Age, and Gender," Sustainability, MDPI, vol. 15(18), pages 1-14, September.
    5. Pang, Lidong & Zhu, Meng Nan & Yu, Haiyan, 2022. "Is green finance really a blessing for green technology and carbon efficiency?," Energy Economics, Elsevier, vol. 114(C).
    6. Donatella Baiardi, 2021. "What do you think about climate change?," Working Paper series 21-16, Rimini Centre for Economic Analysis.
    7. Xu, Deyi & Sheraz, Muhammad & Hassan, Arshad & Sinha, Avik & Ullah, Saif, 2022. "Financial development, renewable energy and CO2 emission in G7 countries: New evidence from non-linear and asymmetric analysis," Energy Economics, Elsevier, vol. 109(C).
    8. Busato, Francesco & Chiarini, Bruno & Cisco, Gianluigi & Ferrara, Maria, 2021. "Greta Thunberg effect and Business Cycle Dynamics: A DSGE model," MPRA Paper 110141, University Library of Munich, Germany.
    9. Johansson, Alva & Berggren, Niclas & Nilsson, Therese, 2022. "Intolerance predicts climate skepticism," Energy Economics, Elsevier, vol. 105(C).
    10. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Paper series 23-14, Rimini Centre for Economic Analysis.
    11. Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
    12. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Papers 526, University of Milano-Bicocca, Department of Economics.
    13. Luan Santos & Karl Steininger & Marcelle Candido Cordeiro & Johanna Vogel, 2022. "Current Status and Future Perspectives of Carbon Pricing Research in Austria," Sustainability, MDPI, vol. 14(15), pages 1-28, August.
    14. Gu, Yan & Ho, Kung-Cheng & Xia, Senmao & Yan, Cheng, 2022. "Do public environmental concerns promote new energy enterprises' development? Evidence from a quasi-natural experiment," Energy Economics, Elsevier, vol. 109(C).
    15. Xu, Yongan & Duong, Duy & Xu, Hualong, 2023. "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, vol. 57(C).
    16. Hara Moshou & Hara Drinia, 2023. "Climate Change Education and Preparedness of Future Teachers—A Review: The Case of Greece," Sustainability, MDPI, vol. 15(2), pages 1-13, January.
    17. Donatella Baiardi, 2021. "What do you think about climate change?," Working Papers 477, University of Milano-Bicocca, Department of Economics, revised Aug 2021.
    18. Vance, C. & Sweeney, J. & Murphy, F., 2022. "Space, time, and sustainability: The status and future of life cycle assessment frameworks for novel biorefinery systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 159(C).
    19. Alessi, Lucia & Battiston, Stefano & Kvedaras, Virmantas, 2021. "Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal," Working Papers 2021-12, Joint Research Centre, European Commission.
    20. L. Ende & M.-A. Reinhard & L. Göritz, 2023. "Detecting Greenwashing! The Influence of Product Colour and Product Price on Consumers’ Detection Accuracy of Faked Bio-fashion," Journal of Consumer Policy, Springer, vol. 46(2), pages 155-189, June.
    21. Manveer Kaur Mangat & Erhard Reschenhofer, 2020. "Frequency-Domain Evidence for Climate Change," Econometrics, MDPI, vol. 8(3), pages 1-15, July.
    22. Luzzati, Tommaso & Tucci, Ilaria & Guarnieri, Pietro, 2022. "Information overload and environmental degradation: Learning from H.A. Simon and W. Wenders," Ecological Economics, Elsevier, vol. 202(C).

  5. Morana, Claudio & Sbrana, Giacomo, 2018. "Some Financial Implications of Global Warming: an Empirical Assessment," CSI: Climate and Sustainable Innovation 268728, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Dunz, Nepomuk & Naqvi, Asjad & Monasterolo, Irene, 2019. "Climate Transition Risk, Climate Sentiments, and Financial Stability in a Stock-Flow Consistent approach," Ecological Economic Papers 23, WU Vienna University of Economics and Business.
    2. Monasterolo, Irene & Roventini, Andrea & Foxon, Tim J., 2019. "Uncertainty of climate policies and implications for economics and finance: An evolutionary economics approach," Ecological Economics, Elsevier, vol. 163(C), pages 177-182.
    3. Bressan, Giacomo Maria & Romagnoli, Silvia, 2021. "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, vol. 54(C).
    4. Dunz, Nepomuk & Naqvi, Asjad & Monasterolo, Irene, 2021. "Climate sentiments, transition risk, and financial stability in a stock-flow consistent model," Journal of Financial Stability, Elsevier, vol. 54(C).
    5. Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2022. "Sustainable finance: A journey toward ESG and climate risk," SAFE Working Paper Series 349, Leibniz Institute for Financial Research SAFE.
    6. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.

  6. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.

    Cited by:

    1. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
    2. Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.

  7. Morana, Claudio & Sbrana, Giacomo, 2017. "Temperature Anomalies, Radiative Forcing and ENSO," MITP: Mitigation, Innovation and Transformation Pathways 253732, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).

  8. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Claudio Morana, 2017. "Semiparametric Estimation of Multivariate GARCH Models," Working Paper series 17-02, Rimini Centre for Economic Analysis.

  9. Morana, Claudio, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," ESP: Energy Scenarios and Policy 232925, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Lee, Chi-Chuan & Lee, Chien-Chiang, 2019. "Oil price shocks and Chinese banking performance: Do country risks matter?," Energy Economics, Elsevier, vol. 77(C), pages 46-53.
    2. Afees A. Salisu & Kazeem O. Isah & Idris Ademuyiwa, 2017. "Testing for asymmetries in the predictive model for oil price-inflation nexus," Economics Bulletin, AccessEcon, vol. 37(3), pages 1797-1804.
    3. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
    4. Saif-Alyousfi, Abdulazeez Y.H. & Saha, Asish & Md-Rus, Rohani & Taufil-Mohd, Kamarun Nisham, 2021. "Do oil and gas price shocks have an impact on bank performance?," Journal of Commodity Markets, Elsevier, vol. 22(C).
    5. Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019. "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, vol. 77(C), pages 66-79.
    6. Lorusso, Marco & Pieroni, Luca, 2018. "Causes and consequences of oil price shocks on the UK economy," Economic Modelling, Elsevier, vol. 72(C), pages 223-236.
    7. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
    8. Dervis Kirikkaleli & Hasan Güngör, 2021. "Co-movement of commodity price indexes and energy price index: a wavelet coherence approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
    9. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
    10. Arodh Lal Karn & Bhavana Raj Kondamudi & Ravi Kumar Gupta & Denis A. Pustokhin & Irina V. Pustokhina & Meshal Alharbi & Subramaniyaswamy Vairavasundaram & Vijayakumar Varadarajan & Sudhakar Sengan, 2022. "An Empirical Analysis of the Effects of Energy Price Shocks for Sustainable Energy on the Macro-Economy of South Asian Countries," Energies, MDPI, vol. 16(1), pages 1-19, December.
    11. Mo, Bin & Chen, Cuiqiong & Nie, He & Jiang, Yonghong, 2019. "Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests," Energy, Elsevier, vol. 178(C), pages 234-251.
    12. Ahmed, Khalid & Bhutto, Niaz Ahmed & Kalhoro, Muhammad Ramzan, 2019. "Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region," Resources Policy, Elsevier, vol. 61(C), pages 423-432.
    13. Xiao Yukun, 2017. "The impact of international energy price on Romanian macroeconomic," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 8(2), pages 97-105, August.
    14. Elsayed, Ahmed H. & Naifar, Nader & Uddin, Gazi Salah & Wang, Gang-Jin, 2023. "Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries," International Review of Financial Analysis, Elsevier, vol. 87(C).
    15. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
    16. Chen, Zhan-Ming & Chen, Pei-Lin & Ma, Zeming & Xu, Shiyun & Hayat, Tasawar & Alsaedi, Ahmed, 2019. "Inflationary and distributional effects of fossil energy price fluctuation on the Chinese economy," Energy, Elsevier, vol. 187(C).
    17. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2021. "The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model," Journal of Asian Economics, Elsevier, vol. 77(C).
    18. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
    19. Zanxin Wang & Rui Wang & Yaqing Liu, 2024. "The macroeconomic effect of petroleum product price regulation in alleviating the crude oil price volatility," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-22, April.
    20. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).

  10. Fabio C. Bagliano & Claudio Morana, 2015. "It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection," Carlo Alberto Notebooks 424, Collegio Carlo Alberto.

    Cited by:

    1. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
    3. Donatella, Baiardi & Claudio, Morana, 2015. "Financial deepening and income distribution inequality in the euro area," Working Papers 316, University of Milano-Bicocca, Department of Economics, revised 04 Dec 2015.
    4. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016. "Great Recession, Slow Recovery and Muted Fiscal Policies in the US," Working Papers 201602, School of Economics, University College Dublin.
    5. Baiardi, Donatella & Morana, Claudio, 2018. "Financial development and income distribution inequality in the euro area," Economic Modelling, Elsevier, vol. 70(C), pages 40-55.
    6. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    7. Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.

  11. Claudio, Morana, 2015. "Model Averaging by Stacking," Working Papers 310, University of Milano-Bicocca, Department of Economics, revised 29 Oct 2015.

    Cited by:

    1. Donatella, Baiardi & Claudio, Morana, 2015. "Financial deepening and income distribution inequality in the euro area," Working Papers 316, University of Milano-Bicocca, Department of Economics, revised 04 Dec 2015.
    2. Baiardi, Donatella & Morana, Claudio, 2018. "Financial development and income distribution inequality in the euro area," Economic Modelling, Elsevier, vol. 70(C), pages 40-55.
    3. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Paper series 23-14, Rimini Centre for Economic Analysis.
    4. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Papers 526, University of Milano-Bicocca, Department of Economics.

  12. Claudio, Morana, 2015. "Semiparametric Estimation of Multivariate GARCH Models," Working Papers 317, University of Milano-Bicocca, Department of Economics, revised 10 Dec 2015.

    Cited by:

    1. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Claudio Morana & Giacomo Sbrana, 2017. "Temperature anomalies, radiative forcing and ENSO," Working Paper series 17-06, Rimini Centre for Economic Analysis.
    3. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    4. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017. "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
    5. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
    6. Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.

  13. Donatella Baiardi & Claudio Morana, 2015. "Financial deepening and income distribution inequality in the euro area," CeRP Working Papers 153, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Passant M. B. Selim & Hasan Güngör, 2021. "Inequality and financial development: Evidence from selected MENA region countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2732-2747, April.

  14. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.

    Cited by:

    1. Claudio Morana, 2013. "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers 264, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    2. Fabio C. Bagliano & Claudio Morana, 2015. "It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection," Carlo Alberto Notebooks 424, Collegio Carlo Alberto.
    3. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    4. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    5. de Souza Ramser, Claudia Aline & Souza, Adriano Mendonça & Souza, Francisca Mendonça & da Veiga, Claudimar Pereira & da Silva, Wesley Vieira, 2019. "The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy," Resources Policy, Elsevier, vol. 62(C), pages 9-21.
    6. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.

  15. Claudio Morana, 2013. "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers 138, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Zaafri A. Husodo & M. Budi Prasetyo & Rizky Luxianto & Theresia Silitonga & Januar Hafidz & M. Harris Muhajir & Inna Firindra, 2018. "Mispricing And Risk Taking In The Indonesian Stock Market," Working Papers WP/28/2018, Bank Indonesia.
    2. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
    3. Wickens, Michael R., 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," CEPR Discussion Papers 10197, C.E.P.R. Discussion Papers.
    4. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    5. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    6. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    7. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    8. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Paper series 23-14, Rimini Centre for Economic Analysis.
    9. Nuno Cassola & Claudio Morana & Elisa Ossola, 2023. "Green risk in Europe," Working Papers 526, University of Milano-Bicocca, Department of Economics.
    10. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    11. Jardine A. Husman & Ali Sakti & Dahnila Dahlan & Imam Wahyudi Indrawan & Zaäfri A. Husodo & Nur Dhani Hendranastiti & Muhammad Budi Prasetyo & Wahyu Jatmiko, 2022. "On The Development Of The Islamic Benchmark Rate: An Indonesian Case," Working Papers WP/04/2022, Bank Indonesia.
    12. Filippo Lechthaler & Lisa Leinert, 2019. "Moody oil: What is driving the crude oil price?," Empirical Economics, Springer, vol. 57(5), pages 1547-1578, November.

  16. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    2. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).

  17. Fabio Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," CeRP Working Papers 128, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Mikhail V. Oet & Stephen J. Ong, 2015. "From Organization to Activity in the US Collateralized Interbank Market," Working Papers (Old Series) 1529, Federal Reserve Bank of Cleveland.
    2. Lepers, Etienne & Sánchez Serrano, Antonio, 2017. "Decomposing financial (in)stability in emerging economies," ESRB Working Paper Series 39, European Systemic Risk Board.
    3. Matkovskyy, Roman & Bouraoui, Taoufik & Hammami, Helmi, 2016. "Analysing the financial strength of Tunisia: An approach to estimate an index of financial safety," Research in International Business and Finance, Elsevier, vol. 38(C), pages 485-493.
    4. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    5. Tanha, Hassan & Dempsey, Michael, 2015. "The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options," Research in International Business and Finance, Elsevier, vol. 34(C), pages 164-176.
    6. Rémi Stellian & Jenny Paola Danna-Buitrago & David Andrés Londoño Bedoya, 2018. "Fragilidad financiera empresarial y expectativas de ingresos: evidencias de un modelo multi-agentes," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(73), February.
    7. Sofiane Aboura & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.
    8. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
    9. Rémi Stellian & Gabriel I. Penagos & Jenny P. Danna-Buitrago, 2021. "Firms in financial distress: evidence from inter-firm payment networks with volatility driven by ‘animal spirits’," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 59-101, January.
    10. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    11. Begüm Yurteri Kösedağlı & A. Özlem Önder, 2021. "Determinants of financial stress in emerging market economies: Are spatial effects important?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4653-4669, July.
    12. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    13. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
    14. Oumayma GHARBI & Yousra TRICHILI & Mouna BOUJELBENE ABBES, 2022. "Impact of the COVID-19 pandemic on the relationship between uncertainty factors, investor’s behavioral biases and the stock market reaction of US Fintech companies," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 101-122, June.
    15. Derbali, Abdelkader & Hallara, Slaheddine, 2016. "Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall," Research in International Business and Finance, Elsevier, vol. 37(C), pages 113-134.
    16. Carvallo, Oscar & Pagliacci, Carolina, 2013. "Macroeconomic Shocks, Housing Market and Banks’ Performance in Venezuela," MPRA Paper 58711, University Library of Munich, Germany, revised Jul 2014.
    17. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    18. Unver, Mustafa & Dogru, Bulent, 2015. "The Determinants of Economic Fragility: Case of the Fragile Five Countries," MPRA Paper 68734, University Library of Munich, Germany, revised 2015.
    19. Rangan Gupta & Patrick Kanda & Aviral Kumar Tiwari & Mark E. Wohar, 2018. "Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress," Working Papers 201848, University of Pretoria, Department of Economics.
    20. Rémi Stellian & Jenny P. Danna‐Buitrago, 2020. "Financial distress, free cash flow, and interfirm payment network: Evidence from an agent‐based model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 598-616, October.
    21. Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

  18. Morana, Claudio, 2012. "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Energy: Resources and Markets 121723, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
    2. Yonghong Jiang & Gengyu Tian & Bin Mo, 2020. "Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
    3. Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers hal-04159797, HAL.
    4. Öztunç Kaymak, Öznur & Kaymak, Yiğit, 2022. "Prediction of crude oil prices in COVID-19 outbreak using real data," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    5. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    6. Gogolin, Fabian & Kearney, Fearghal, 2016. "Does speculation impact what factors determine oil futures prices?," Economics Letters, Elsevier, vol. 144(C), pages 119-122.
    7. Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
    8. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
    9. Petre Caraiani & Adrian Cantemir Călin, 2019. "Monetary Policy Effects on Energy Sector Bubbles," Energies, MDPI, vol. 12(3), pages 1-13, February.
    10. Guo, Jiaqi & Long, Shaobo & Luo, Weijie, 2022. "Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas," International Review of Financial Analysis, Elsevier, vol. 83(C).
    11. Mohamed Albaity & Hasan Mustafa, 2018. "International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 69-81.
    12. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    13. O-Chia Chuang & Chenxu Yang, 2022. "Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model," Energies, MDPI, vol. 15(8), pages 1-14, April.
    14. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    15. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    16. Zhu, Bo & Lin, Renda & Liu, Jiahao, 2020. "Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective," Energy Economics, Elsevier, vol. 89(C).
    17. Naveed Raza & Syed Jawad Hussain Shahzad & Aviral Kumar Tiwari & Muhammad Shahbaz, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Post-Print hal-02013747, HAL.
    18. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    19. Uddin, Gazi Salah & Bekiros, Stelios & Ahmed, Ali, 2018. "The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 30-39.
    20. Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
    21. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
    22. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
    23. Alola, Andrew A. & Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Outlook of oil prices and volatility from 1970 to 2040 through global energy mix-security from production to reserves: A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 79(C).
    24. Chen, Hao & Liao, Hua & Tang, Bao-Jun & Wei, Yi-Ming, 2016. "Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models," Energy Economics, Elsevier, vol. 57(C), pages 42-49.
    25. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
    26. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2017. "Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 1-26.
    27. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    28. Fabian Lutzenberger & Benedikt Gleich & Herbert G. Mayer & Christian Stepanek & Andreas W. Rathgeber, 2017. "Metals: resources or financial assets? A multivariate cross-sectional analysis," Empirical Economics, Springer, vol. 53(3), pages 927-958, November.
    29. Mauro Sayar Ferreira & André Cordeiro Valério, 2020. "Global shocks and emerging economies: disentangling the commodity roller coaster," Textos para Discussão Cedeplar-UFMG 623, Cedeplar, Universidade Federal de Minas Gerais.
    30. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
    31. Marc Gronwald & Jana Lippelt, 2014. "Climate Notes: A Guide to Speculation," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 67(21), pages 58-59, November.
    32. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    33. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
    34. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
    35. Carolina Effio Saldivar & José Herskovits & Juan Pablo Luna & Claudia Sagastizábal, 2019. "Multidimensional Calibration Of Crude Oil And Refined Products Via Semidefinite Programming Techniques," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-31, February.
    36. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
    37. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
    38. Chen, Xin & Mu, Hailin & Li, Huanan & Gui, Shusen, 2014. "Using stockpile delegation to improve China׳s strategic oil policy: A multi-dimension stochastic dynamic programming approach," Energy Policy, Elsevier, vol. 69(C), pages 28-42.
    39. Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018. "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, vol. 72(C), pages 320-332.
    40. Barrales-Ruiz, Jose & Mohammed, Mikidadu, 2021. "Financial regimes and oil prices," Resources Policy, Elsevier, vol. 74(C).
    41. Rehman, Mobeen Ur, 2019. "Energy shocks pricing model: A non-linear US sectoral based analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    42. Fakhri Hasanov & Leila Dagher, 2021. "Oil Market Shocks and Financial Instability in Asian Countries," Discussion Papers ks--2021-dp018, King Abdullah Petroleum Studies and Research Center.
    43. Qi Zhang & Yi Hu & Jianbin Jiao & Shouyang Wang, 2022. "Exploring the Trend of Commodity Prices: A Review and Bibliometric Analysis," Sustainability, MDPI, vol. 14(15), pages 1-22, August.
    44. Zhu, Bo & Liu, Jiahao & Lin, Renda & Chevallier, Julien, 2021. "Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?," Energy Economics, Elsevier, vol. 101(C).
    45. Hammami Algia & Bouri Abdelfatteh, 2016. "The Volatility of Oil Prices: What Factors?," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 4(1), pages 98-110, March.
    46. Andrés Fernández & Andres Gonzalez & Diego Rodriguez, 2015. "Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies," IMF Working Papers 2015/280, International Monetary Fund.
    47. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
    48. Muhammad Arshad Khan & Muhammad Iftikhar Ul Husnain & Qaisar Abbas & Syed Zulfiqar Ali Shah, 2019. "Asymmetric effects of oil price shocks on Asian economies: a nonlinear analysis," Empirical Economics, Springer, vol. 57(4), pages 1319-1350, October.
    49. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018. "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, vol. 72(C), pages 486-504.
    50. Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
    51. Celso Brunetti & Jeffrey H. Harris & Bahattin Büyükşahin, 2024. "Crude Oil Price Movements and Institutional Traders," Commodities, MDPI, vol. 3(1), pages 1-23, February.
    52. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
    53. Benoît Guilleminot & Jean-Jacques Ohana & Steve Ohana, 2014. "The interaction of speculators and index investors in agricultural derivatives markets," Agricultural Economics, International Association of Agricultural Economists, vol. 45(6), pages 767-792, November.
    54. Kaabia, Olfa & Abid, Ilyes & Mkaouar, Farid, 2016. "The dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow," Economic Modelling, Elsevier, vol. 58(C), pages 642-654.
    55. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
    56. Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015. "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, vol. 82(C), pages 278-288.
    57. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
    58. Chatziantoniou, Ioannis & Filippidis, Michail & Filis, George & Gabauer, David, 2021. "A closer look into the global determinants of oil price volatility," Energy Economics, Elsevier, vol. 95(C).
    59. Li, Haiqi & Kim, Hyung-Gun & Park, Sung Y., 2015. "The role of financial speculation in the energy future markets: A new time-varying coefficient approach," Economic Modelling, Elsevier, vol. 51(C), pages 112-122.
    60. Chul-Yong Lee & Sung-Yoon Huh, 2017. "Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors," Sustainability, MDPI, vol. 9(2), pages 1-15, January.
    61. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
    62. Li, Li & Chen, Hongyi & Xiang, Jingjie, 2023. "Oil price uncertainty, financial distress and real economic activities: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    63. Rangan Gupta & Patrick Kanda & Aviral Kumar Tiwari & Mark E. Wohar, 2018. "Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress," Working Papers 201848, University of Pretoria, Department of Economics.
    64. Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
    65. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
    66. Cheng, Fangzheng & Fan, Tijun & Fan, Dandan & Li, Shanling, 2018. "The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm," Energy Economics, Elsevier, vol. 72(C), pages 341-355.
    67. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    68. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
    69. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.
    70. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
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    73. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).

  19. Morana, Claudio, 2012. "The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective," Energy: Resources and Markets 127423, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Shrestha, Anil & Mustafa, Andy Ali & Htike, Myo Myo & You, Vithyea & Kakinaka, Makoto, 2022. "Evolution of energy mix in emerging countries: Modern renewable energy, traditional renewable energy, and non-renewable energy," Renewable Energy, Elsevier, vol. 199(C), pages 419-432.
    2. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    3. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
    4. Fabio Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," CeRP Working Papers 128, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    5. Hegerty, Scott W., 2016. "Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 23-37.
    6. Lorusso, Marco & Pieroni, Luca, 2018. "Causes and consequences of oil price shocks on the UK economy," Economic Modelling, Elsevier, vol. 72(C), pages 223-236.
    7. Ramaprasad Bhar & Anastasios G. Malliaris & Mary Malliaris, 2021. "What Has Driven the U.S. Monthly Oil Production Since 2009? Empirical Results from Two Modeling Approaches," JRFM, MDPI, vol. 14(2), pages 1-11, February.
    8. Cheng, Fangzheng & Li, Tian & Wei, Yi-ming & Fan, Tijun, 2019. "The VEC-NAR model for short-term forecasting of oil prices," Energy Economics, Elsevier, vol. 78(C), pages 656-667.
    9. Chul-Yong Lee & Sung-Yoon Huh, 2017. "Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors," Sustainability, MDPI, vol. 9(2), pages 1-15, January.
    10. Timilsina, Govinda R., 2015. "Oil prices and the global economy: A general equilibrium analysis," Energy Economics, Elsevier, vol. 49(C), pages 669-675.
    11. Abdollahi, Hooman & Ebrahimi, Seyed Babak, 2020. "A new hybrid model for forecasting Brent crude oil price," Energy, Elsevier, vol. 200(C).
    12. Jaehyung An & Alexey Mikhaylov & Nikita Moiseev, 2019. "Oil Price Predictors: Machine Learning Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 1-6.
    13. Shiyi Chen & Dengke Chen & Wolfgang K. Härdle, 2014. "The Influence of Oil Price Shocks on China’s Macroeconomy : A Perspective of International Trade," SFB 649 Discussion Papers SFB649DP2014-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  20. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007-? financial crisis," Working Paper Series 1437, European Central Bank.

    Cited by:

    1. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    2. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    3. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    4. Nafeesa Yunus, 2023. "Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 393-436, June.
    5. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    6. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
    7. Rodríguez-López, Araceli & Fernández-Abascal, Hermenegildo & Maté-García, Jorge-Julio & Rodríguez-Fernández, José-Miguel & Rojo-García, José-Luis & Sanz-Gómez, José-Antonio, 2021. "Evaluating Euribor Manipulation: Effects on Mortgage Borrowers," Finance Research Letters, Elsevier, vol. 40(C).
    8. Vašíček, Bořek & Calice, Giovanni & Miao, RongHui & Štěrba, Filip, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
    9. Olivier Brossard & Susanna Saroyan, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Post-Print hal-01293693, HAL.
    10. Vijay Kumar Vishwakarma, 2021. "Long-run drivers and integration in interprovincial Canadian housing price relations," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 22-40, November.

  21. Fabio C. Bagliano & Claudio Morana, 2011. "Macro-finance interactions in the US: A global perspective," Working papers 23, Former Department of Economics and Public Finance "G. Prato", University of Torino.

    Cited by:

    1. Gour Gobinda Goswami & Farzana Alamgir, 2018. "Does Economic Growth Spillover More from the Eastern than the Western Countries? Evidence from Bangladesh’s Four Decades of Growth Experience," South Asian Survey, , vol. 25(1-2), pages 59-83, March.

  22. Fabio Bagliano & Claudio Morana, 2010. "The effects of US economic and financial crises on euro area convergence," CeRP Working Papers 99, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Giulia Rivolta, 2018. "Potential ECB reaction functions with time-varying parameters: an assessment," Empirical Economics, Springer, vol. 55(4), pages 1425-1473, December.
    2. TRIANDAFIL, Cristina Maria, 2013. "Sustainability of convergence in the context of macro-prudential policies in the European Union," Working Papers of National Institute for Economic Research 130618, Institutul National de Cercetari Economice (INCE).

  23. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.

    Cited by:

    1. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.

  24. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Hummaira Jabeen, 2022. "Monetary Policy Shock Transmission in Emerging Markets," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(4), pages 379-390, December.
    2. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
    3. Alex Klein & Keisuke Otsu, 2013. "Efficiency, Distortions and Factor Utilization during the Interwar Period," Studies in Economics 1317, School of Economics, University of Kent.
    4. Ørjan Robstad, 2014. "House prices, credit and the effect of monetary policy in Norway: Evidence from Structural VAR Models," Working Paper 2014/05, Norges Bank.
    5. Matthew Abiodun Dada, 2020. "COVID-19 Outbreak and Behavioral Maladjustments: A Shift from a Highly Globalized World to a Strange World of Unique Isolationism," Journal of Economics and Behavioral Studies, AMH International, vol. 12(4), pages 43-58.
    6. Gambacorta, Leonardo & Agénor, Pierre-Richard & Kharroubi, Enisse & Lombardo, Giovanni & Pereira da Silva, Luiz A., 2017. "The International Dimensions of Macroprudential Policies," CEPR Discussion Papers 12108, C.E.P.R. Discussion Papers.
    7. Bataa, Erdenebat & Osborn, Denise R. & Sensier, Marianne, 2018. "China's increasing global influence: Changes in international growth linkages," Economic Modelling, Elsevier, vol. 74(C), pages 194-206.
    8. Claudio Morana, 2013. "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers 264, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    9. Fabio C. Bagliano & Claudio Morana, 2015. "It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection," Carlo Alberto Notebooks 424, Collegio Carlo Alberto.
    10. Stanimira Milcheva, 2012. "Monetary policy, financial intermediation, current account and housing market - how do they fit together?," ERES eres2012_151, European Real Estate Society (ERES).
    11. Fabio Bagliano & Claudio Morana, 2012. "Determinants of US financial fragility conditions," CeRP Working Papers 128, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    12. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    13. Juliana Ávila Vélez & Álvaro José Pinzón Giraldo, 2015. "¿Están sincronizados los ciclos económicos en Latinoamérica?," Borradores de Economia 864, Banco de la Republica de Colombia.
    14. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    15. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2016. "Credit constraints and the international propagation of US financial shocks," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 67-80.
    16. Edgardo Cayon & Susan Thorp, 2014. "Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S3), pages 122-139.
    17. Poon, Aubrey & Zhu, Dan, 2022. "Do Recessions Occur Concurrently Across Countries? A Multinomial Logistic Approach," Working Papers 2022:11, Örebro University, School of Business.
    18. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
    19. Ozili, Peterson & Arun, Thankom, 2020. "Spillover of COVID-19: Impact on the Global Economy," MPRA Paper 99317, University Library of Munich, Germany.
    20. Ji, Qiang & Marfatia, Hardik & Gupta, Rangan, 2018. "Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 103-113.
    21. Eickmeier, Sandra & Ng, Tim, 2011. "How do credit supply shocks propagate internationally? A GVAR approach," Discussion Paper Series 1: Economic Studies 2011,27, Deutsche Bundesbank.
    22. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," EconomiX Working Papers 2012-27, University of Paris Nanterre, EconomiX.
    23. Fabio C. Bagliano & Claudio Morana, 2011. "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 7, Edward Elgar Publishing.
    24. Long, Michael A. & Lynch, Michael J. & Stretesky, Paul B., 2018. "The Great Recession, the Treadmill of Production and Ecological Disorganization: Did the Recession Decrease Toxic Releases Across US States, 2005–2014?," Ecological Economics, Elsevier, vol. 146(C), pages 184-192.
    25. Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
    26. Wang, Yi-Chen & Wang, Ching-Wen & Huang, Chia-Hsing, 2015. "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 41-51.
    27. Razmi, Fatemeh & M., Azali & Chin, Lee & Habibullah, Muzafar Shah, 2017. "How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?," MPRA Paper 79079, University Library of Munich, Germany.
    28. Paccagnini, Alessia, 2019. "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, vol. 174(C), pages 26-30.
    29. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Provocări pentru Finanţele Comportamentale în contextul COVID-19 [Some challenges for the Behavioral Finance in the Context of COVID-19]," MPRA Paper 99675, University Library of Munich, Germany, revised 16 Apr 2020.
    30. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
    31. Julian Ramajo & Miguel A. Marquez & Geoffrey J.D. Hewings, 2013. "Spatio-temporal Analysis of Regional Systems: A Multiregional Spatial Vector Autoregressive Model for Spain," ERSA conference papers ersa13p159, European Regional Science Association.
    32. Chiu-Lan Chang & Paul L. Hsueh, 2013. "An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 53-69, September.
    33. Enisse Kharroubi, 2021. "Global lending conditions and international coordination of financial regulation policies," BIS Working Papers 962, Bank for International Settlements.
    34. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
    35. Pierre-Richard Agénor & Luiz Awazu Pereira da Silva, 2018. "Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination," BIS Papers, Bank for International Settlements, number 97.
    36. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "When the United States and the People’s Republic of China Sneeze: International Real and Financial Spillovers in Asia," ADBI Working Papers 1288, Asian Development Bank Institute.
    37. Cabral, Ricardo, 2013. "A perspective on the symptoms and causes of the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 103-117.
    38. Fakhri Hasanov & Leila Dagher, 2021. "Oil Market Shocks and Financial Instability in Asian Countries," Discussion Papers ks--2021-dp018, King Abdullah Petroleum Studies and Research Center.
    39. Pierre‐Richard Agénor & Timothy Jackson & Enisse Kharroubi & Leonardo Gambacorta & Giovanni Lombardo & Luiz A. Pereira Da Silva, 2021. "Assessing the Gains from International Macroprudential Policy Cooperation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1819-1866, October.
    40. Dreger, Christian & Gerdesmeier, Dieter & Roffia, Barbara, 2020. "The impact of credit for house price overvaluations in the euro area: Evidence from threshold models," MPRA Paper 99523, University Library of Munich, Germany.
    41. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015. "Financial frictions and global spillovers," Discussion Papers 04/2015, Deutsche Bundesbank.
    42. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018. "US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis," Working Papers 2018-05, Swansea University, School of Management.
    43. Klein, Alexander & Otsuy, Keisuke, 2013. "Efficiency, Distortions and Factor Utilization during the Interwar Period," CAGE Online Working Paper Series 147, Competitive Advantage in the Global Economy (CAGE).
    44. AITOUTOUHEN, latifa, 2021. "Study of the Socio-Economic Impact of the COVID-19 Crisis in Morocco," MPRA Paper 111114, University Library of Munich, Germany, revised 15 Dec 2021.
    45. Razmi, Fatemeh & Azali, M. & Chin, Lee & Shah Habibullah, Muzafar, 2016. "The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis," Energy, Elsevier, vol. 101(C), pages 581-591.
    46. Kun Duan & Tapas Mishra & Mamata Parhi & Simon Wolfe, 2019. "How Effective are Policy Interventions in a Spatially-Embedded International Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 596-637, May.
    47. M. Hashem Pesaran & TengTeng Xu, 2013. "Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults," Staff Working Papers 13-19, Bank of Canada.
    48. Fabio C. Bagliano & Claudio Morana, 2011. "Macro-finance interactions in the US: A global perspective," Working papers 23, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    49. Razmi, Fatemeh & Mohamed, Azali & Chin, Lee & Habibullah, Muzafar Shah, 2015. "The role of monetary policy in macroeconomic volatility of ASEAN-4 countries against oil price shock over time," MPRA Paper 65714, University Library of Munich, Germany.
    50. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
    51. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    52. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," Working Papers hal-04141067, HAL.
    53. Michael Murach & Helmut Wagner, 2021. "The effects of external shocks on the business cycle in China: A structural change perspective," Review of International Economics, Wiley Blackwell, vol. 29(3), pages 681-702, August.
    54. Octavio Fernández-Amador & Martin Gächter & Friedrich Sindermann, 2016. "Finance-augmented business cycles: A robustness check," Economics Bulletin, AccessEcon, vol. 36(1), pages 132-144.
    55. Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2021. "Measuring the Connectedness of the Global Economy," International Journal of Forecasting, Elsevier, vol. 37(2), pages 899-919.
    56. Ørjan Robstad, 2018. "House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models," Empirical Economics, Springer, vol. 54(2), pages 461-483, March.
    57. Mannan, Kazi Abdul & Farhana, Khandaker Mursheda & Chowdhury, G. M. Omar Faruque, 2020. "The COVID-19 Pandemic Impacts on Manpower Export: An Econometric Analysis of Survival Strategies of Recruiting Agencies in Bangladesh," MPRA Paper 103566, University Library of Munich, Germany, revised 2020.
    58. John Beirne & Nuobu Renzhi & Ulrich Volz, 2023. "When the United States and the People’s Republic of China Sneeze: Monetary Policy Spillovers to Asian Economies," Open Economies Review, Springer, vol. 34(3), pages 519-540, July.
    59. Simola, Heli, 2019. "Effects of external shocks on Russian economy," BOFIT Policy Briefs 4/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    60. Erdenebat Bataa & Denise R.Osborn & Marianne Sensier, 2016. "China's Increasing Global Influence: Changes in International Growth Spillovers," Centre for Growth and Business Cycle Research Discussion Paper Series 221, Economics, The University of Manchester.
    61. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    62. Fang, Yi & Jing, Zhongbo & Shi, Yukun & Zhao, Yang, 2021. "Financial spillovers and spillbacks: New evidence from China and G7 countries," Economic Modelling, Elsevier, vol. 94(C), pages 184-200.
    63. Wang, Ruting & Althof, Michael & Härdle, Wolfgang, 2021. "A financial risk meter for China," IRTG 1792 Discussion Papers 2021-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    64. Muhammad Fahad Sattar & Sehrish Khanum & Ahsan Nawaz & Muhammad Muzamal Ashfaq & Muhammad Anas Khan & Muhammad Jawad & Waseem Ullah, 2020. "Covid-19 Global, Pandemic impact on World Economy," Technium Social Sciences Journal, Technium Science, vol. 11(1), pages 165-179, September.
    65. Murach, Michael & Wagner, Helmut, 2019. "The effects of external shocks on the business cycle in China: A structural change perspective," CEAMeS Discussion Paper Series 1/2016, University of Hagen, Center for East Asia Macro-economic Studies (CEAMeS), revised 2019.
    66. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2015. "The Role of Monetary Policy in Macroeconomic Volatility of Association of Southeast Asian Nations-4 Countries against Oil Price Shock over Time," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 731-737.
    67. Pagliacci, Carolina, 2019. "Dynamic credit convergence in CARD: The spreading of common shocks," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    68. Fridhi, Bechir, 2020. "Coronavirus (COVID-19) Crisis: What's the Economic Alternative in Tunisia?," EconStor Preprints 225249, ZBW - Leibniz Information Centre for Economics.
    69. Marc Anderes, 2021. "Housing Demand Shocks and Households Balance Sheets," KOF Working papers 21-492, KOF Swiss Economic Institute, ETH Zurich.
    70. Pagliacci, Carolina, 2014. "Latin American Performance to External Shocks: What Has Really Been Sweat?," MPRA Paper 57816, University Library of Munich, Germany.
    71. Julián Ramajo & Miguel A. Márquez & Geoffrey J. D. Hewings, 2017. "Spatiotemporal Analysis of Regional Systems," International Regional Science Review, , vol. 40(1), pages 75-96, January.
    72. P. Fulya Gebeşoğlu & Hasan Murat Ertuğrul, 2014. "GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 3(2), pages 51-66, May.
    73. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2014.
    74. Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.

  25. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.

    Cited by:

    1. de Figueiredo, Erik Alencar, 2010. "Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching," Economic Modelling, Elsevier, vol. 27(5), pages 900-908, September.

  26. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research.

    Cited by:

    1. Vendrame, Vasco & Guermat, Cherif & Tucker, Jon, 2018. "A conditional regime switching CAPM," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 1-11.
    2. Massimo Biasin & Roy Cerqueti & Emanuela Giacomini & Nicoletta Marinelli & Anna Grazia Quaranta & Luca Riccetti, 2019. "Macro Asset Allocation with Social Impact Investments," Sustainability, MDPI, vol. 11(11), pages 1-19, June.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    4. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.

  27. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.

    Cited by:

    1. Ulrike Busch & Dieter Nautz, 2009. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," SFB 649 Discussion Papers SFB649DP2009-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Gabriel Perez-Quiros & Hugo Rodríguez Mendizábal, 2010. "Asymmetric standing facilities: an unexploited monetary policy tool," Working Papers 1004, Banco de España.
    3. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.
    4. Peter Chobanov & Amine Lahiani & Nikolay Nenovsky, 2010. "Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States," William Davidson Institute Working Papers Series wp1002, William Davidson Institute at the University of Michigan.
    5. De La Motte, Laura & Czernomoriez, Janna & Clemens, Marius, 2010. "Zur Vertrauensökonomik: Der Interbankenmarkt in der Krise von 2007-2009 [Economics of trust: The interbank market during the crisis 2007-2009]," MPRA Paper 20357, University Library of Munich, Germany.
    6. Morgunov, V.I. (Моргунов, В.И.), 2016. "The Liquidity Management of the Banking Sector and the Short-Term Money Market Interest Rates [Управление Ликвидностью Банковского Сектора И Краткосрочной Процентной Ставкой Денежного Рынка]," Working Papers 21311, Russian Presidential Academy of National Economy and Public Administration.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Persistence and Cyclical Dependence in the Monthly Euribor Rate," CESifo Working Paper Series 3653, CESifo.
    8. Abbassi, Puriya & Nautz, Dieter, 2012. "Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 54-69.
    9. Cipollini, Andrea & Lo Cascio, Iolanda & Muzzioli, Silvia, 2018. "Risk aversion connectedness in five European countries," Economic Modelling, Elsevier, vol. 71(C), pages 68-79.
    10. Nautz, Dieter & Scheithauer, Jan, 2010. "Monetary policy implementation and overnight rate persistence," Discussion Papers 2010/26, Free University Berlin, School of Business & Economics.
    11. Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
    12. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.

  28. Claudio Morana, 2007. "Factor demand modelling: the theory and the practice," ICER Working Papers 9-2007, ICER - International Centre for Economic Research.

    Cited by:

    1. Khayyat, Nabaz T. & Lee, Jongsu & Lee, Jeong-Dong, 2014. "How ICT Investment Influences Energy Demand in South Korea and Japan?," MPRA Paper 55454, University Library of Munich, Germany.

  29. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.

    Cited by:

    1. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
    2. Guglielmo Maria Caporale & Alessandro Girardi, 2013. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," NCID Working Papers 06/2013, Navarra Center for International Development, University of Navarra.
    3. Österholm, Pär & Stockhammar, Pär, 2014. "The Euro Crisis and Swedish GDP Growth — A Study of Spillovers," Working Papers 134, National Institute of Economic Research.
    4. Michaelides, Panayotis G. & Papageorgiou, Theofanis, 2012. "On the transmission of economic fluctuations from the USA to EU-15 (1960–2011)," Journal of Economics and Business, Elsevier, vol. 64(6), pages 427-438.
    5. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
    6. Pär Stockhammar & Pär Österholm, 2016. "Effects of US policy uncertainty on Swedish GDP growth," Empirical Economics, Springer, vol. 50(2), pages 443-462, March.
    7. Wang, Miao & Wong, M.C. Sunny & Granato, Jim, 2015. "International Comovement of Economic Fluctuations: A Spatial Analysis," World Development, Elsevier, vol. 67(C), pages 186-201.
    8. Cao, Zheng & Li, Gang & Song, Haiyan, 2017. "Modelling the interdependence of tourism demand: The global vector autoregressive approach," Annals of Tourism Research, Elsevier, vol. 67(C), pages 1-13.
    9. Wanping Yang & Bingyu Zhao, 2021. "The Transmission Mechanism of China-Japan Economic Co-Movement and Stabilizing Measures for China’s Economy," SAGE Open, , vol. 11(1), pages 21582440211, March.
    10. Apergis, Nicholas & Payne, James E., 2014. "The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration," Energy Economics, Elsevier, vol. 46(C), pages 1-9.
    11. Stockhammar, Pär & Österholm, Pär, 2016. "The Impact of US Uncertainty Shocks on Small Open Economies," Working Papers 2016:5, Örebro University, School of Business.
    12. Leif Anders Thorsrud, 2013. "Global and regional business cycles. Shocks and propagations," Working Paper 2013/08, Norges Bank.
    13. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.

  30. Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.

    Cited by:

    1. Chi, Tsung-Li & Liu, Hung-Tsen & Chang, Chia-Chien, 2023. "Hedging performance using google Trends–Evidence from the indian forex options market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 107-123.
    2. Holger Fink & Andreas Fuest & Henry Port, 2018. "The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates," Risks, MDPI, vol. 6(3), pages 1-19, August.
    3. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
    4. Taoufik Bouraoui, 2019. "External debts, current account balance and exchange rates in emerging countries," Economics Bulletin, AccessEcon, vol. 39(4), pages 2333-2342.
    5. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    6. Salem Boubakri & Cyriac Guillaumin & Alexandre Silanine, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Post-Print halshs-02157574, HAL.
    7. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    8. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    9. Munazza Jabeen & Saud Ahmad Khan, 2014. "Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 58-76, September.
    10. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 548-557.
    11. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    12. Trust R. Mpofu, 2021. "The determinants of real exchange rate volatility in South Africa," The World Economy, Wiley Blackwell, vol. 44(5), pages 1380-1401, May.
    13. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    14. Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
    15. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    16. Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
    17. Bogdan Andrei Dumitrescu & Carmen Obreja & Ionel Leonida & Dănuț Georgian Mihai & Ludovic Cosmin Trifu, 2023. "The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies," JRFM, MDPI, vol. 16(4), pages 1-12, April.
    18. Idoko Ahmed Itodo & Ojonugwa Usman & Michael Maju Abu, 2017. "The Asymmetric Effect in the Volatility of the South African Rand," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 47-53, September.
    19. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 914-927.
    20. Fizza Malik, 2016. "Modeling Dynamics of Exchange Rates Volatility: A Case of Pakistan from 1980-2010," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 5(3), pages 144-161, September.
    21. You, Yu & Liu, Xiaochun, 2020. "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach," Journal of Banking & Finance, Elsevier, vol. 116(C).
    22. Sevcan Uzun & Ahmet Sensoy & Duc Khuong Nguyen, 2023. "Jump forecasting in foreign exchange markets: A high‐frequency analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 578-624, April.
    23. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Nominal Exchange Rate Volatility? Evidence from the Latin American Countries," Discussion Paper Series 2010_10, Department of Economics, University of Macedonia, revised Jul 2010.
    24. Maryam Hosseinzadeh & Saeed Daei-Karimzadeh, 2017. "Investigate the Effect of Exchange Rate Volatility on the Demand for Life Insurance in Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 166-174.
    25. Lal, Madan & Kumar, Satish & Pandey, Dharen Kumar & Rai, Varun Kumar & Lim, Weng Marc, 2023. "Exchange rate volatility and international trade," Journal of Business Research, Elsevier, vol. 167(C).
    26. Grossmann, Axel & Orlov, Alexei G., 2012. "Exchange rate misalignments in frequency domain," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 185-199.
    27. Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
    28. Perekunah B. Eregha & Festus O. Egwaikhide & Emeka Osuji, 2020. "Modeling Exchange Rate Volatility in Selected WAMZ Countries: Evidence from Symmetric and Asymmetric GARCH Models," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 58-80, January-J.
    29. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.

  31. Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series 793, European Central Bank.

    Cited by:

    1. Cassola, N. & Ewerhart , C. & Valla, N., 2006. "Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations," Working papers 151, Banque de France.

  32. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research.

    Cited by:

    1. Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk, 2012. "Valuation of power options under Heston's stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1796-1813.
    2. Conrad, Christian, 2010. "Non-negativity conditions for the hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 157(2), pages 441-457, August.
    3. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
    4. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
    5. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
    6. Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
    7. Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
    8. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
    9. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
    10. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014. "TVICA—Time varying independent component analysis and its application to financial data," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 95-109.
    11. David Hendry & Andrew B. Martinez, 2016. "Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations," Economics Series Working Papers 784, University of Oxford, Department of Economics.
    12. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
    13. Yanlin Shi & Yang Yang, 2018. "Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model," Risks, MDPI, vol. 6(2), pages 1-28, March.
    14. Gao, Guangyuan & Ho, Kin-Yip & Shi, Yanlin, 2020. "Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    15. Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    16. Cevik, Emrah Ismail & Topaloğlu, Gültekin, 2014. "Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği [Long memory and structural breaks on volatility: evidence from Borsa Istanbul]," MPRA Paper 71485, University Library of Munich, Germany, revised 2014.
    17. Onder Buberkoku, 2019. "Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 199-215.
    18. Morana, Claudio & Sbrana, Giacomo, 2018. "Some Financial Implications of Global Warming: an Empirical Assessment," CSI: Climate and Sustainable Innovation 268728, Fondazione Eni Enrico Mattei (FEEM).
    19. Ying Chen & Bo Li, 2011. "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 237-259, December.
    20. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
    21. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
    22. Claudio Morana & Giacomo Sbrana, 2017. "Temperature anomalies, radiative forcing and ENSO," Working Paper series 17-06, Rimini Centre for Economic Analysis.
    23. Luis A. Gil-Alana & Zeynel Abidin Ozdemir & Aysit Tansel, 2017. "Long Memory in Turkish Unemployment Rates," Koç University-TUSIAD Economic Research Forum Working Papers 1715, Koc University-TUSIAD Economic Research Forum.
    24. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    25. Luo, Shikong & Yan, Xinyan & Yang, Haoyi, 2021. "Let’s take a smooth break: Stock return predictability revisited," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 300-314.
    26. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    27. Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009. "Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model," Working Paper 1207, Economics Department, Queen's University.
    28. Vafiadis Nikolaos, 2015. "Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 181-216, July.
    29. Theo Berger & Ramazan Gençay, 2020. "Short‐run wavelet‐based covariance regimes for applied portfolio management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 642-660, July.
    30. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    31. Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 22-36.
    32. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," LIDAM Discussion Papers CORE 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    33. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    34. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
    35. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    36. Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 01 Aug 2007.
    37. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    38. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    39. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    40. Jonathan Dark, 2021. "The lead of oil price rises on US equity market beliefs and preferences," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1861-1887, November.
    41. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    42. Shi, Yanlin & Ho, Kin-Yip, 2021. "News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models," Finance Research Letters, Elsevier, vol. 38(C).
    43. Yuanhua Feng & Chen Zhou, 2013. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE 59, Paderborn University, CIE Center for International Economics.
    44. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    45. Chen, Xuehui & Zhu, Hongli & Zhang, Xinru & Zhao, Lutao, 2022. "A novel time-varying FIGARCH model for improving volatility predictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    46. Sang Hoon Kang & Seong-Min Yoon, 2010. "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, vol. 26, pages 431-451.
    47. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.
    48. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    49. Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
    50. Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
    51. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
    52. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    53. Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
    54. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
    55. Nsofor Ebele Sabina & Takon Samuel Manyo & Ugwuegbe Sebastine Ugochukwu, 2017. "Modeling Exchange Rate Volatility and Economic Growth in Nigeria," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 2(6), pages 88-97, June.
    56. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    57. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    58. Richard T. Baillie & Young Wook Han, 2019. "Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets," Korean Economic Review, Korean Economic Association, vol. 35, pages 183-203.
    59. Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 838-851, December.
    60. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    61. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
    62. Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.
    63. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    64. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
    65. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
    66. Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
    67. Ivelina Pavlova & Jang Hyung Cho & A.M. Parhizgari & William G. Hardin, 2014. "Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 315-332, December.
    68. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen, 2013. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," Working Papers hal-00798033, HAL.
    69. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    70. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
    71. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2022. "Long-memory and volatility spillovers across petroleum futures," Energy, Elsevier, vol. 243(C).
    72. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
    73. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    74. Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
    75. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
    76. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
    77. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    78. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    79. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
    80. Feng, Lingbing & Fu, Tong & Shi, Yanlin, 2022. "How does news sentiment affect the states of Japanese stock return volatility?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    81. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    82. Chan, Kam C. & Chan, Leo H. & Nguyen, Chi M., 2020. "Forecasting oil futures market volatility in a financialized world: Why speculative activities matter," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    83. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
    84. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    85. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 368-378, March.
    86. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
    87. James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    88. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
    89. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.
    90. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    91. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research.
    92. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    93. Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
    94. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    95. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
    96. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 282-291.
    97. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
    98. Cevik, Emrah Ismail & Gunay, Samet & Dibooglu, Sel & Yıldırım, Durmuş Çağrı, 2023. "The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    99. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
    100. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    101. Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021. "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE 141, Paderborn University, CIE Center for International Economics.
    102. Bala A. Dahiru & Pam W. Jim & Kalu N. Nwonyuku, 2017. "Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach," Economics Bulletin, AccessEcon, vol. 37(4), pages 2394-2412.
    103. Dark, Jonathan, 2018. "Multivariate models with long memory dependence in conditional correlation and volatility," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 162-180.
    104. Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.

  33. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

    Cited by:

    1. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).

  34. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.

    Cited by:

    1. Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
    2. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
    4. Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.
    5. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    6. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    7. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
    8. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    9. Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    10. Lehkonen, Heikki & Heimonen, Kari, 2014. "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 90-103.
    11. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012. "No contagion, only globalization and flight to quality," Post-Print hal-01494525, HAL.
    12. Manel Youssef & Khaled Mokni & Ahdi Noomen Ajmi, 2021. "Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    13. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2007. "The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries," Working Papers 05, Development and Policies Research Center (DEPOCEN), Vietnam.
    14. Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
    15. Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
    16. Marfatia, Hardik A., 2020. "Investors’ risk perceptions in the US and global stock market integration," Research in International Business and Finance, Elsevier, vol. 52(C).
    17. Kentaro Iwatsubo & Clinton Watkins, 2021. "The Changing Role of Foreign Investors in Tokyo Stock Price Formation," Discussion Papers 2106, Graduate School of Economics, Kobe University.
    18. Mukherjee, Kedar nath & Mishra, Ram Kumar, 2010. "Stock market integration and volatility spillover: India and its major Asian counterparts," Research in International Business and Finance, Elsevier, vol. 24(2), pages 235-251, June.
    19. Tiwari, Aviral Kumar & Cunado, Juncal & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility spillovers across global asset classes: Evidence from time and frequency domains," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 194-202.
    20. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
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    22. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
    23. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    24. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    25. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    26. Chulwoo Han & Soosung Hwang & Doojin Ryu, 2015. "Market overreaction and investment strategies," Applied Economics, Taylor & Francis Journals, vol. 47(54), pages 5868-5885, November.
    27. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank.
    28. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
    29. Muhammad Ali Nasir & Muhammad Shahbaz & Trinh Thi Mai & Moade Shubita, 2021. "Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1435-1458, January.
    30. Su, Xianfang, 2020. "Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    31. Mori Kogid & Jaratin Lily & Rozilee Asid & James M. Alin & Dullah Mulok, 2022. "Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(1), pages 131-148, February.
    32. Maya Jalloul & Mirela Miescu, 2021. "Equity Market Connectedness across Regimes of Geopolitical Risks," Working Papers 324219805, Lancaster University Management School, Economics Department.
    33. Gottschalk, Sylvia, 2017. "Entropy measure of credit risk in highly correlated markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 11-19.
    34. Mukherjee, Dr. Kedar nath & Mishra, Dr. R. K., 2008. "Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts," MPRA Paper 12788, University Library of Munich, Germany.
    35. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    36. Rothonis, Stephanie & Tran, Duy & Wu, Eliza, 2016. "Does national culture affect the intensity of volatility linkages in international equity markets?," Research in International Business and Finance, Elsevier, vol. 36(C), pages 85-95.
    37. Ülkü, Numan & Demirci, Ebru, 2012. "Joint dynamics of foreign exchange and stock markets in emerging Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 55-86.
    38. Nuhiu Artor & Peci Bedri & Aliu Florin, 2022. "Assessing the diversification risk of a single equity market: evidence from the largest European stock indexes," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(1), pages 3-16, March.
    39. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7.
    40. Lupu, Radu, 2011. "Shock transmission among the European Stock markets - Conferinta CRESTERE ECONOMICA SI SUSTENABILITATE SOCIALA. PROVOCARI SI PERSPECTIVE EUROPENE>," Institute for Economic Forecasting Conference Proceedings 101101, Institute for Economic Forecasting.
    41. Aidi, Wafa, 2013. "Optima exchange crisis regression and twin crisis: Evidences for some MENA countries," Economic Modelling, Elsevier, vol. 33(C), pages 306-311.
    42. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    43. Kyriaki Begiazi & Dimitrios Asteriou & Keith Pilbeam, 2016. "A multivariate analysis of United States and global real estate investment trusts," International Economics and Economic Policy, Springer, vol. 13(3), pages 467-482, July.
    44. Andrew S. Duncan & Alain Kabundi, 2014. "Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 531-550, December.
    45. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 319-344, September.
    46. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    47. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2015. "Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach," Post-Print hal-01376756, HAL.
    48. Chen, Peng, 2018. "Understanding international stock market comovements: A comparison of developed and emerging markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 451-464.
    49. Gerasimos G Rompotis, 2010. "Investing overseas from home: The case of Asian iShares," Journal of Asset Management, Palgrave Macmillan, vol. 11(1), pages 1-18, April.
    50. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    51. McMillan, David G. & Ziadat, Salem Adel & Herbst, Patrick, 2021. "The role of oil as a determinant of stock market interdependence: The case of the USA and GCC," Energy Economics, Elsevier, vol. 95(C).
    52. Liu, Hsiang-Hsi & Wang, Teng-Kun & Li, Weny, 2019. "Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 381-396.
    53. Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
    54. Apanard Penny Angkinand & James R. Barth & Hyeongwoo Kim, 2010. "Spillover Effects from the US Financial Crises: Some Time-Series Evidence from National Stock Returns," Chapters, in: Benton E. Gup (ed.), The Financial and Economic Crises, chapter 2, Edward Elgar Publishing.
    55. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    56. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.
    57. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, August.
    58. Bekhet, Hussain Ali & Matar, Ali, 2013. "Co-integration and causality analysis between stock market prices and their determinates in Jordan," Economic Modelling, Elsevier, vol. 35(C), pages 508-514.
    59. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    60. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
    61. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    62. Ziadat, Salem Adel & Herbst, Patrick & McMillan, David G., 2020. "Inter- and intra-regional stock market relations for the GCC bloc," Research in International Business and Finance, Elsevier, vol. 54(C).
    63. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
    64. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
    65. Jozef Barunik & Lukas Vacha, 2013. "Contagion among Central and Eastern European stock markets during the financial crisis," Papers 1309.0491, arXiv.org, revised Sep 2013.
    66. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
    67. Alain Kabundi & Andrew S. Duncan, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
    68. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    69. Abdul Wahid & Muhammad Zubair Mumtaz, 2018. "The Paradigm Shift in the Pakistan Stock Exchange’s Financial Integration Post-FTA and CPEC," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 21-50, Jan-June.
    70. Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege, 2017. "Detecting capital market convergence clubs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-14, June.
    71. Alok Pandey & Surya Bhushan Kumar, 2011. "Volatility Transmission from Global Stock Exchanges to India," Vision, , vol. 15(4), pages 347-360, December.
    72. Claudio Morana, 2008. "Realized portfolio selection in the euro area," ICER Working Papers - Applied Mathematics Series 10-2008, ICER - International Centre for Economic Research.

  35. Cassola, Nuno & Morana, Claudio, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank.

    Cited by:

    1. Alain Durré & Stefano Nardelli, 2008. "Volatility in the Euro area money market: effects from the monetary policy operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 307-322.
    2. Gilles de Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Post-Print hal-01549713, HAL.
    3. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
    4. Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission," International Finance, Wiley Blackwell, vol. 12(2), pages 151-170, August.
    5. Gilles de Truchis & Benjamin Keddad, 2014. "On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates," AMSE Working Papers 1421, Aix-Marseille School of Economics, France, revised May 2014.
    6. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Persistence and Long Memory in Monetary Policy Spreads," CESifo Working Paper Series 8664, CESifo.
    7. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    8. Gilles de Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
    9. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
    10. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.
    11. Shimotsu, Katsumi, 2012. "Exact local Whittle estimation of fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 169(2), pages 266-278.
    12. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    13. Brämer, Patrick & Gischer, Horst & Richter, Toni & Weiß, Mirko, 2013. "Competition in banks’ lending business and its interference with ECB monetary policy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 144-162.
    14. Saurabh Ghosh & Indranil Bhattacharyya, 2009. "Spread, volatility and monetary policy: empirical evidence from the Indian overnight money market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 2(2), pages 257-277.
    15. Linzert, Tobias & Schmidt, Sandra, 2008. "What explains the spread between the euro overnight rate and the ECB's policy rate?," Working Paper Series 983, European Central Bank.
    16. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  36. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.

    Cited by:

    1. Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
    2. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    3. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    4. Huh, Hyeon-seung & Kim, David & Kim, Won Joong & Park, Cyn-Young, 2015. "A factor-augmented VAR analysis of business cycle synchronization in east Asia and implications for a regional currency union," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 449-468.
    5. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    6. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    7. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    8. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 548-557.
    9. Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working papers 02, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    10. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    11. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    12. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    13. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    14. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    15. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    16. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
    17. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    18. Marczak, Martyna & Gómez, Víctor, 2015. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," Economic Modelling, Elsevier, vol. 47(C), pages 40-52.
    19. Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
    20. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.
    21. Dark, Jonathan, 2018. "Multivariate models with long memory dependence in conditional correlation and volatility," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 162-180.

  37. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks 32, Collegio Carlo Alberto.

    Cited by:

    1. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
    2. Carlos Medel & Michael Pedersen & Pablo Pincheira, 2014. "The Elusive Predictive Ability of Global Inflation," Working Papers Central Bank of Chile 725, Central Bank of Chile.
    3. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
    4. Huh, Hyeon-seung & Kim, David & Kim, Won Joong & Park, Cyn-Young, 2015. "A factor-augmented VAR analysis of business cycle synchronization in east Asia and implications for a regional currency union," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 449-468.
    5. Sigal Ribon, 2011. "The Effect of Monetary Policy on Inflation: A Factor Augmented VAR Approach using disaggregated data," Bank of Israel Working Papers 2011.12, Bank of Israel.
    6. Carlos Medel, 2016. "Un Análisis de la Capacidad Predictiva del Precio del Cobre sobre la Inflación Global," Working Papers Central Bank of Chile 786, Central Bank of Chile.
    7. Arango-Castillo, Lenin & Orraca, María José & Molina, G. Stefano, 2023. "The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance," Economic Modelling, Elsevier, vol. 120(C).
    8. ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
    9. Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers 25-2006, ICER - International Centre for Economic Research.
    10. Takeshi Yagihashi & David D. Selover, 2017. "How Do the Trans-Pacific Economies Affect the USA? An Industrial Sector Approach," The World Economy, Wiley Blackwell, vol. 40(10), pages 2097-2124, October.
    11. Fabio C. Bagliano & Claudio Morana, 2011. "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 7, Edward Elgar Publishing.
    12. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    13. De, Kuhelika & Sun, Wei, 2020. "Is the exchange rate a shock absorber or a source of shocks? Evidence from the U.S," Economic Modelling, Elsevier, vol. 89(C), pages 1-9.
    14. Assadi, Marzieh, 2017. "The Implication of Monetary and Fiscal Policy Interactions for the Price Levels: the Fiscal Theory of the Price Level Revisited," MPRA Paper 84851, University Library of Munich, Germany.
    15. Harry Aginta & Masakazu Someya, 2022. "Regional economic structure and heterogeneous effects of monetary policy: evidence from Indonesian provinces," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-25, December.
    16. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    17. Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
    18. Fabio C. Bagliano & Claudio Morana, 2011. "Macro-finance interactions in the US: A global perspective," Working papers 23, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    19. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    20. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 15-23, June.
    21. Ansgar Belke & Andreas Rees, 2009. "The Importance of Global Shocks for National Policymakers: Rising Challenges for Central Banks," Discussion Papers of DIW Berlin 922, DIW Berlin, German Institute for Economic Research.
    22. João Martins, 2022. "Bond Yields Movement Similarities and Synchronization in the G7: A Time–Frequency Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 189-214, July.
    23. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    24. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    25. Selover, David D. & Yagihashi, Takeshi, 2015. "Examining industrial interdependence between Japan and South Korea: A FAVAR approach," Japan and the World Economy, Elsevier, vol. 36(C), pages 67-87.
    26. Huh, Hyeon-seung & Kim, David & Kim, Won Joong & Park, Cyn-Young, 2013. "A Factor-Augmented Vector Autoregression Analysis of Business Cycle Synchronization in East Asia and Implications for a Regional Currency Union," ADB Economics Working Paper Series 385, Asian Development Bank.

  38. Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers 25-2006, ICER - International Centre for Economic Research.

    Cited by:

    1. Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    2. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
    3. Peng, Yu-Tung & Au Yong, Hue Hwa & Treepongkaruna, Sirimon, 2014. "Contagion And Flight-To-Quality: Evidences From The Asia-Pacific Economic Cooperation (Apec) Region," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.
    4. Shusheng Ding & Zhipan Yuan & Fan Chen & Xihan Xiong & Zheng Lu & Tianxiang Cui, 2021. "Impact persistence of stock market risks in commodity markets: Evidence from China," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-22, November.
    5. Hu, Haoshen & Kaspereit, Thomas & Prokop, Jörg, 2016. "The information content of issuer rating changes: Evidence for the G7 stock markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 99-108.
    6. Salisu, Afees A. & Isah, Kazeem & Akanni, Lateef O., 2019. "Improving the predictability of stock returns with Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 857-867.
    7. Mamatzakis, Emmanuel & Bermpei, Theodora, 2014. "What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 102-117.
    8. Su, Xianfang, 2020. "Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    9. Huijian Dong, 2017. "Asynchronous Signaling in Global Equity Markets：Based on Opening Times," International Business Research, Canadian Center of Science and Education, vol. 10(8), pages 173-191, August.
    10. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014. "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 118-127.
    12. Hu, Yitong & Li, Xiao & Shen, Dehua, 2020. "Attention allocation and international stock return comovement: Evidence from the Bitcoin market," Research in International Business and Finance, Elsevier, vol. 54(C).
    13. Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege, 2017. "Detecting capital market convergence clubs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-14, June.

  39. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.

    Cited by:

    1. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research.

  40. Morana, Claudio, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series 321, European Central Bank.

    Cited by:

    1. Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
    2. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    3. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    4. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    5. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    6. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    7. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    8. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    9. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    10. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
    11. Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
    12. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    13. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    14. Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.

  41. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research.

    Cited by:

    1. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    2. Claudio Morana, 2006. "The End of the Japanese Stagnation: an Assessment of the Policy Solutions," ICER Working Papers 27-2006, ICER - International Centre for Economic Research.
    3. Fabio C. Bagliano & Claudio Morana, 2011. "Macro-finance interactions in the US: A global perspective," Working papers 23, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    4. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    5. Shimasawa, Manabu & Sadahiro, Akira, 2009. "Policy reform and optimal inflation rate for Japan in computable OLG economy," Economic Modelling, Elsevier, vol. 26(2), pages 379-384, March.

  42. Morana, Claudio, 2004. "A structural common factor approach to core inflation estimation and forecasting," Working Paper Series 305, European Central Bank.

    Cited by:

    1. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
    2. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    3. Cavallero, Alessandro, 2011. "The convergence of inflation rates in the EU-12 area: A distribution dynamics approach," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 341-357, June.
    4. Franz Ruch & Mehmet Balcilar & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 201543, University of Pretoria, Department of Economics.
    5. Ascari, Guido & Rankin, Neil, 2007. "Perpetual youth and endogenous labor supply: A problem and a possible solution," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.
    6. Wojciech Charemza & Imran Husssain Shah, 2013. "Stability price index, core inflation and output volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 737-741, May.
    7. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.

  43. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.

    Cited by:

    1. Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2023. "Aggregate Insider Trading and Stock Market Volatility in the UK," CESifo Working Paper Series 10511, CESifo.
    2. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
    3. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    4. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
    5. Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
    6. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    8. Claudio Morana, 2013. "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers 264, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    9. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    10. Fabio C. Bagliano & Claudio Morana, 2015. "It ain'?t over till it'?s over: A global perspective on the Great Moderation-Great Recession interconnection," Carlo Alberto Notebooks 424, Collegio Carlo Alberto.
    11. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
    12. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    13. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    14. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
    15. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    16. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    17. Chen, Qiang & Gong, Yuting, 2019. "The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 102-121.
    18. Cho, Jaeho & Yoo, Byoung Hark, 2011. "The Korean stock market volatility during the currency crisis and the credit crisis," Japan and the World Economy, Elsevier, vol. 23(4), pages 246-252.
    19. Ke Yang & Langnan Chen, 2014. "Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect," International Review of Finance, International Review of Finance Ltd., vol. 14(3), pages 345-392, September.
    20. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
    21. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland Institute for Emerging Economies (BOFIT).
    22. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    23. L. Arturo Bernal Ponce & Humberto Valencia Herrera, 2010. "Relación entre inflación y volatilidad de derivados financieros: el caso de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(1), pages 18-28.
    24. Ali Umar Ahmad & Adam Abdullah & Zunaidah Sulong & Ahmad Tijjani Abdullahi, 2015. "The Review of Stock Returns and Macroeconomic Variables," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 5(5), pages 154-181, May.
    25. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    26. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    27. Christian Urom & Gideon Ndubuisi & Jude Ozor, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, CEPII research center, issue 165, pages 51-66.
    28. Urom, Christian & Ndubuisi, Gideon & Ozor, Jude, 2021. "Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes," International Economics, Elsevier, vol. 165(C), pages 51-66.
    29. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
    30. L. Arturo Bernal Ponce & Francisco Venegas Martínez, 2011. "Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 26(2), pages 187-216.
    31. Díaz, Fernando & Henríquez, Pablo A. & Winkelried, Diego, 2022. "Stock market volatility and the COVID-19 reproductive number," Research in International Business and Finance, Elsevier, vol. 59(C).
    32. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
    33. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research.
    34. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
    35. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    36. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    37. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
    38. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    39. David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
    40. Cosset, Jean-Claude & Somé, Hyacinthe Y. & Valéry, Pascale, 2016. "Credible reforms and stock return volatility: Evidence from privatization," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 99-120.
    41. Islami, Mevlud & Kurz-Kim, Jeong-Ryeol, 2013. "A single composite financial stress indicator and its real impact in the euro area," Discussion Papers 31/2013, Deutsche Bundesbank.
    42. Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
    43. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    44. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    45. Ye Fan & Zhicheng Zhang & Xiaoli Zhao & Haitao Yin, 2018. "Interaction between Industrial Policy and Stock Price Volatility: Evidence from China’s Power Market Reform," Sustainability, MDPI, vol. 10(6), pages 1-19, May.
    46. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
    47. Javed Pervaiz & Teng Jian-Zhou & Junaid Masih, 2018. "Long Run Relationship between Selected Macroeconomic Indicators and Banking Sector in Pakistan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 67-81, February.
    48. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
    49. Bevilacqua, Mattia & Morelli, David & Tunaru, Radu, 2019. "The determinants of the model-free positive and negative volatilities," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 1-24.
    50. Silva-Correa, María de los Ángeles & Martínez-Marca, José Luís & Venegas-Martínez, Francisco, 2016. "Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica [Impact of the Derivatives Market on Monetary Policy: A Stochastic Volatility Model]," MPRA Paper 75705, University Library of Munich, Germany.
    51. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
    52. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    53. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
    54. Bekhet, Hussain Ali & Matar, Ali, 2013. "Co-integration and causality analysis between stock market prices and their determinates in Jordan," Economic Modelling, Elsevier, vol. 35(C), pages 508-514.
    55. Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "How do financial and commodity markets volatility react to real economic activity?," Finance Research Letters, Elsevier, vol. 47(PB).
    56. Siab Mamipour & Mahshid Sepahi, 2015. "Analysis of the Behavior of Amateur and Professional Investors’ Impact on the Formation of Bubbles in Tehran Stock Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(3), pages 341-358, Autumn.
    57. Hartwell, Christopher A., 2018. "The impact of institutional volatility on financial volatility in transition economies," Journal of Comparative Economics, Elsevier, vol. 46(2), pages 598-615.
    58. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
    59. Ihsan Erdem Kayral & Semra Karacaer, 2017. "Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies’ Stock Market Volatilities," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-5.
    60. Albaity, Mohamed Shikh, 2011. "Impact of the monetary policy instruments on Islamic stock market index return," Economics Discussion Papers 2011-26, Kiel Institute for the World Economy (IfW Kiel).
    61. Bala A. Dahiru & Pam W. Jim & Kalu N. Nwonyuku, 2017. "Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach," Economics Bulletin, AccessEcon, vol. 37(4), pages 2394-2412.
    62. Mordecai Kurz, 2007. "Rational Diverse Beliefs and Economic Volatility," Discussion Papers 06-045, Stanford Institute for Economic Policy Research.
    63. Syed Kamran Ali Haider & Shujahat Haider Hashmi & Ishtiaq Ahmed, 2017. "Systematic Risk Factors And Stock Return Volatility," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 11(1-2), September.
    64. Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    65. Fehmi Özsoy & Nükhet Doðan, 2022. "Deterministic Effects of Volatility on Mixed Frequency GARCH in Means MIDAS Model: Evidence from Turkey," International Econometric Review (IER), Econometric Research Association, vol. 14(1), pages 1-20, March.
    66. Andy Wui Wing Cheng & Iris Wing Han Yip, 2017. "China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-57, June.
    67. Amira Akl Ahmed & Rania Ihab Naguib, 2018. "DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(1), pages 14-28, January.
    68. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  44. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.

    Cited by:

    1. Alain Durré & Stefano Nardelli, 2008. "Volatility in the Euro area money market: effects from the monetary policy operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 307-322.
    2. Moschitz, Julius, 2004. "The determinants of the overnight interest rate in the euro area," Working Paper Series 393, European Central Bank.
    3. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    4. Vitor Gaspar & Gabriel Pérez Quir? & Hugo Rodr?uez Mendiz?al, 2004. "Interest Rate Determination in the Interbank Market," UFAE and IAE Working Papers 603.04, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    5. Caroline Jardet & Gaelle Le Fol, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
    6. Julius Moschitz, 2004. "Monetary Policy Implementation and Volatility in the Euro Area Money Market," Money Macro and Finance (MMF) Research Group Conference 2004 95, Money Macro and Finance Research Group.
    7. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
    8. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    9. Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2008. "Interest rate dispersion and volatility in the market for daily funds," European Economic Review, Elsevier, vol. 52(3), pages 413-440, April.
    10. Ascari, Guido & Rankin, Neil, 2007. "Perpetual youth and endogenous labor supply: A problem and a possible solution," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.
    11. Francisco Alonso & Roberto Blanco, 2005. "Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?," Working Papers 0541, Banco de España.
    12. Benito, Francis & Leon, Angel & Nave, Juan, 2007. "Modeling the Euro overnight rate," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 756-782, December.
    13. Asif Mahmood, 2016. "Transmission of Volatility of Money Market Overnight Repo Rate along the Yield Curve in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 12, pages 1-18.
    14. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
    15. Ángel León & Francis Benito & Juan Nave, 2006. "Modeling The Euro Overnight Rate," Working Papers. Serie AD 2006-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    16. Zagaglia, Paolo, 2010. "Informed trading in the Euro money market for term lending," MPRA Paper 20415, University Library of Munich, Germany.

  45. Cassola, Nuno & Morana, Claudio, 2002. "Monetary policy and the stock market in the euro area," Working Paper Series 119, European Central Bank.

    Cited by:

    1. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    2. Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
    3. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    4. Mr. Papa M N'Diaye, 2003. "Determinants of Deflation in Hong Kong SAR," IMF Working Papers 2003/250, International Monetary Fund.
    5. Strauch, Rolf & Paesani, Paolo & Kremer, Manfred, 2006. "Public debt and long-term interest rates: the case of Germany, Italy and the USA," Working Paper Series 656, European Central Bank.
    6. Carstensen, Kai, 2006. "Stock Market Downswing and the Stability of European Monetary Union Money Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 395-402, October.
    7. Céline Gauthier & Fuchun Li, 2005. "Linking real activity and financial markets: the first steps towards a small estimated model for Canada," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 253-72, Bank for International Settlements.
    8. Christos Ioannidis & Alexandros Kontonikas, 2006. "Monetary Policy and the Stock Market: Some International evidence," Working Papers 2006_12, Business School - Economics, University of Glasgow.
    9. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
    10. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
    11. Belke, Ansgar & Wiedmann, Marcel, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 435, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
    13. Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Working Papers hal-00507821, HAL.
    14. Giuseppe Ferrero & Andrea Nobili & Patrizia Passiglia, 2007. "The sectoral distribution of money supply in the Euro area," Temi di discussione (Economic working papers) 627, Bank of Italy, Economic Research and International Relations Area.
    15. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    16. Majumdar, Raju, 2013. "On the alternative proxies for estimating firm growth in empirical corporate finance literature: Evidence from Indian manufacturing sector," MPRA Paper 44874, University Library of Munich, Germany.
    17. Ansgar Belke & Marcel Wiedmann, 2018. "Dissecting long-run and short-run causalities between monetary policy and stock prices," International Economics and Economic Policy, Springer, vol. 15(4), pages 761-786, October.
    18. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
    19. Rakesh K. Bissoondeeal & Barry E. Jones & Jane M. Binner & Andrew W. Mullineux, 2010. "Household‐Sector Money Demand For The Uk," Manchester School, University of Manchester, vol. 78(s1), pages 90-113, September.
    20. Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P., 2019. "Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 142-160.
    21. Abdul Qayyum & Saba Anwa, 2010. "Impact of monetary policy on the volatility of stock market in pakistan," Economics Bulletin, AccessEcon, vol. 30(4), pages 1-28.
    22. Bruggeman, Annick & Donnay, Marie, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank.
    23. Singh, Vikkram & Roca, Eduardo & Li, Bin, 2021. "Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 253-277.
    24. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    25. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, vol. 63(2), pages 121-138.
    26. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(2), pages 228-255, February.
    27. de Bondt, Gabe, 2009. "Euro area money demand: empirical evidence on the role of equity and labour markets," Working Paper Series 1086, European Central Bank.
    28. Cassola, Nuno & Morana, Claudio, 2004. "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 387-399, April.
    29. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
    30. Morana, Claudio, 2004. "The Japanese stagnation: an assessment of the productivity slowdown hypothesis," Japan and the World Economy, Elsevier, vol. 16(2), pages 193-211, April.
    31. Raghavan, Mala & Dungey, Mardi, 2014. "Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?," Working Papers 2014-04, University of Tasmania, Tasmanian School of Business and Economics, revised 2014.
    32. Yuanyuan Hao & Mengyuan Kong, 2022. "Economic effect of the golf simulation industry in Korea: an analysis based on the SVAR model," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-11, December.
    33. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
    34. Cologni, Alessandro & Manera, Matteo, 2005. "Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries," International Energy Markets Working Papers 12110, Fondazione Eni Enrico Mattei (FEEM).
    35. Mr. Zenon Kontolemis, 2002. "Money Demand in the Euro Area: Where Do We Stand (Today)?," IMF Working Papers 2002/185, International Monetary Fund.
    36. Helmut Lütkepohl & Aleksei Netsunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Discussion Papers of DIW Berlin 1729, DIW Berlin, German Institute for Economic Research.
    37. Nuno Alves, 2007. "Is the euro area M3 abandoning us?," Working Papers w200720, Banco de Portugal, Economics and Research Department.
    38. Anton, Roman, 2015. "Monetary Development and Transmission in the Eurosystem," MPRA Paper 67323, University Library of Munich, Germany, revised 08 Oct 2015.
    39. Salvatore Perdichizzi, 2017. "The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns," DISCE - Working Papers del Dipartimento di Economia e Finanza def059, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    40. Sanvi Avouyi-Dovi & Françoise Drumetz & Jean-Guillaume Sahuc, 2007. "The money demand function for the Euro area: one step beyond," Documents de recherche 07-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    41. Céline Gauthier & Fuchun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Staff Working Papers 06-42, Bank of Canada.
    42. Isabel Carrillo-Hidalgo & Juan Ignacio Pulido-Fernández & José Luis Durán-Román & Jairo Casado-Montilla, 2023. "COVID-19 and tourism sector stock price in Spain: medium-term relationship through dynamic regression models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    43. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    44. Giuseppe Ferrero & Andrea Nobili & Patrizia Passiglia, 2011. "Assessing excess liquidity in the euro area: the role of sectoral distribution of money," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3213-3230.
    45. Yang, Sheng-Ping, 2017. "Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 337-354.
    46. Litsios, Ioannis, 2013. "Exchange rate determination and equity prices: Evidence from the UK," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 115-128.
    47. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    48. Beyer, Andreas, 2009. "A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth," Working Paper Series 1111, European Central Bank.
    49. Marján, Attila, 2003. "A monetáris unió hatása az európai tőkepiacokra [The effect of monetary union on European capital markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 800-818.
    50. Opoku Adabor & Emmanuel Buabeng, 2020. "Does Monetary Policy and Foreign Direct Investment Have an Influence on the Performance of Stock Market: Further Empirical Evidence from Ghana," Economics Literature, WERI-World Economic Research Institute, vol. 2(2), pages 161-176, December.
    51. Sanvi Avouyi-Dovi & Françoise Drumetz & Jean-Guillaume Sahuc, 2012. "The Money Demand Function For The Euro Area: Some Empirical Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 64(3), pages 377-392, July.
    52. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
    53. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
    54. Bruggeman, Annick & Donati, Paola & Warne, Anders, 2003. "Is the demand for euro area M3 stable?," Working Paper Series 255, European Central Bank.
    55. Ioannidis, Christos & Kontonikas, Alexandros, 2008. "The impact of monetary policy on stock prices," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 33-53.
    56. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, vol. 63(2), pages 121-138, March.
    57. Gabe J. De Bondt, 2010. "New Evidence On The Motives For Holding Euro Area Money," Manchester School, University of Manchester, vol. 78(3), pages 259-278, June.

  46. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 36, European Central Bank.

    Cited by:

    1. Ariño, Miguel A. & Canela, Miguel A., 2002. "Evolución de la inflación en España," IESE Research Papers D/446, IESE Business School.
    2. Oğuz Atuk & Mustafa Utku Özmen, 2009. "Design and evaluation of core inflation measures for Turkey," IFC Working Papers 3, Bank for International Settlements.
    3. Ernest Gnan & Mar Gudmundsson & Klaus Liebscher & Dietrich Domanski & Alexandra Heath & Juan Delgado & Walter Boltz & Birger Vikoren & Vasily Astrov & Stephan Barisitz & Simon-Erik Ollus & Ulrich Kohl, 2008. "Commodities, Energy and Finance," SUERF Studies, SUERF - The European Money and Finance Forum, number 2008/2 edited by Ernest Gnan & Mar Gudmundsson & Morten Balling, May.
    4. Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana [A simple model for the short term forecasting of Italian inflation]," MPRA Paper 7714, University Library of Munich, Germany.

Articles

  1. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is Climate Change Time-Reversible?," Econometrics, MDPI, vol. 10(4), pages 1-18, December.
    See citations under working paper version above.
  2. Baiardi, Donatella & Morana, Claudio, 2021. "Climate change awareness: Empirical evidence for the European Union," Energy Economics, Elsevier, vol. 96(C).
    See citations under working paper version above.
  3. Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.

    Cited by:

    1. Donatella Baiardi & Claudio Morana, 2020. "Climate change awareness: Empirical evidence for the European Union," Working Papers 426, University of Milano-Bicocca, Department of Economics, revised Feb 2021.
    2. Kyungsik Nam, 2021. "Nonlinear Cointegrating Regression of the Earth’s Surface Mean Temperature Anomalies on Total Radiative Forcing," Econometrics, MDPI, vol. 9(1), pages 1-25, February.
    3. Ameur, Hachmi Ben & Han, Xuyuan & Liu, Zhenya & Peillex, Jonathan, 2022. "When did global warming start? A new baseline for carbon budgeting," Economic Modelling, Elsevier, vol. 116(C).
    4. Karl Demers-Bélanger & Van Son Lai, 2019. "Diversification Benefits of Cat Bonds: An In-Depth Examination," Working Papers 2019-008, Department of Research, Ipag Business School.
    5. Fernanda Valente & Márcio Laurini, 2020. "Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach," Econometrics, MDPI, vol. 8(2), pages 1-26, June.
    6. Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
    7. Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
    8. Xiaodong Zhu & Zijing Jin & Shunsuke Managi & XiRong Xun, 2021. "How meteorological disasters affect the labor market? The moderating effect of government emergency response policy," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(3), pages 2625-2640, July.
    9. Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
    10. Braga, Joao Paulo & Semmler, Willi & Grass, Dieter, 2021. "De-risking of green investments through a green bond market – Empirics and a dynamic model," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    11. Irene Monasterolo, 2020. "Embedding Finance in the Macroeconomics of Climate Change: Research Challenges and Opportunities Ahead," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(04), pages 25-32, November.
    12. Reimund Schwarze & Oleksandr Sushchenko, 2022. "Climate Insurance for Agriculture in Europe: On the Merits of Smart Contracts and Distributed Ledger Technologies," JRFM, MDPI, vol. 15(5), pages 1-16, May.
    13. Curcio, Domenico & Gianfrancesco, Igor & Vioto, Davide, 2023. "Climate change and financial systemic risk: Evidence from US banks and insurers," Journal of Financial Stability, Elsevier, vol. 66(C).
    14. Manveer Kaur Mangat & Erhard Reschenhofer, 2020. "Frequency-Domain Evidence for Climate Change," Econometrics, MDPI, vol. 8(3), pages 1-15, July.
    15. Stefano Battiston & Petr Jakubik & Irene Monasterolo & Keywan Riahi & Bas van Ruijven, 2019. "Climate Risk Assessment of the Sovereign Bond Portfolio of European Insurers," EIOPA Financial Stability Report - Thematic Articles 15, EIOPA, Risks and Financial Stability Department.

  4. Morana, Claudio, 2019. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
    See citations under working paper version above.
  5. Baiardi, Donatella & Morana, Claudio, 2018. "Financial development and income distribution inequality in the euro area," Economic Modelling, Elsevier, vol. 70(C), pages 40-55.

    Cited by:

    1. Diogo Correia & Ricardo Barradas, 2021. "Financialisation and the slowdown of labour productivity in Portugal: A Post-Keynesian approach," PSL Quarterly Review, Economia civile, vol. 74(299), pages 325-346.
    2. Byron Quito & María de la Cruz del Río‐Rama & José Álvarez‐García & Ronny Correa‐Quezada, 2022. "Impact factors and space‐time characteristics of income inequality in a global sample," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(6), pages 1850-1868, December.
    3. Mduduzi Biyase & Carolyn Chisadza, 2023. "Symmetric and asymmetric effects of financial deepening on income inequality in South Africa," Development Southern Africa, Taylor & Francis Journals, vol. 40(5), pages 961-978, September.
    4. Ricardo Barradas, 2023. "Why Has Labor Productivity Slowed Down in the Era of Financialization?: Insights from the Post-Keynesians for the European Union Countries," Review of Radical Political Economics, Union for Radical Political Economics, vol. 55(3), pages 390-422, September.
    5. Yaya, OlaOluwa S. & Furuoka, Fumitaka & Pui, Kiew Ling & Jacob, Ray Ikechukwu & Ezeoke, Chinyere M., 2020. "Investigating Asian regional income convergence using Fourier Unit Root test with Break," International Economics, Elsevier, vol. 161(C), pages 120-129.
    6. Saha, Anjan K. & Mishra, Vinod, 2020. "Genetic distance, economic growth and top income shares: Evidence from OECD countries," Economic Modelling, Elsevier, vol. 92(C), pages 37-47.
    7. Onur Özdemir, 2019. "Rethinking the financial Kuznets curve in the framework of income inequality: Empirical evidence on advanced and developing economies," Economics and Business Letters, Oviedo University Press, vol. 8(4), pages 176-190.
    8. Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki & Shimizu, Sayoko, 2018. "The Impact of Monetary and Tax Policy on Income Inequality in Japan," ADBI Working Papers 837, Asian Development Bank Institute.
    9. Gravina, Antonio Francesco & Lanzafame, Matteo, 2020. "Nonlinearities and the Determinants of Inequality: New Panel Evidence," 2030 Agenda 308018, Fondazione Eni Enrico Mattei (FEEM).
    10. Henri Njangang & Luc Ndeffo Nembot & Joseph Pasky Ngameni, 2020. "Does financial development reduce the size of the informal economy in sub‐Saharan African countries?," African Development Review, African Development Bank, vol. 32(3), pages 375-391, September.
    11. Sofia Vale & Francisco Camões, 2023. "Households’ Exposure to the Financial Sector as a Driver of Inequality: An Analysis of Advanced and Emerging Economies," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(2), pages 362-402, June.
    12. Li, Xiang & Su, Dan, 2020. "Capital account liberalisation does worsen income inequality," IWH Discussion Papers 7/2020, Halle Institute for Economic Research (IWH).
    13. Yousef Makhlouf & Neil M. Kellard & Dmitri V. Vinogradov, 2020. "Finance‐Inequality Nexus: The Long And The Short Of It," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1977-1994, October.
    14. Hasan, Iftekhar & Hassan, Gazi & Kim, Suk-Joong & Wu, Eliza, 2021. "The impact of risk-based capital rules for international lending on income inequality: Global evidence," Economic Modelling, Elsevier, vol. 98(C), pages 136-153.
    15. Lee, Chien-Chiang & Lou, Runchi & Wang, Fuhao, 2023. "Digital financial inclusion and poverty alleviation: Evidence from the sustainable development of China," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 418-434.
    16. Antonio Francesco Gravina, 2020. "Nonlinearities and the Determinants of Inequality: New Panel Evidence," Working Papers 2020.22, Fondazione Eni Enrico Mattei.
    17. Samatas, Andreas & Makrominas, Michalis & Moro, Andrea, 2019. "Financial intermediation, capital composition and income stagnation: The case of Europe," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 273-289.
    18. Gravina, Antonio Francesco & Lanzafame, Matteo, 2021. "Finance, globalisation, technology and inequality: Do nonlinearities matter?," Economic Modelling, Elsevier, vol. 96(C), pages 96-110.
    19. Wang, Wei & Yang, Haoxi & Wang, Xi, 2023. "Financial development and wage income: Evidence from the global football market," Journal of Banking & Finance, Elsevier, vol. 149(C).
    20. Keneck-Massil, Joseph & Nomo-Beyala, Clery & Owoundi, Ferdinand, 2021. "The corruption and income inequality puzzle: Does political power distribution matter?," Economic Modelling, Elsevier, vol. 103(C).
    21. Onur zdemir, 2019. "Autoregressive Distributed Lag Approach to the Income Inequality and Financial Liberalization Nexus: Empirical Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 9(6), pages 1-15.
    22. Zhian Zhiow Augustinne Wong & Ramez Abubakr Badeeb & Abey P. Philip, 2023. "Financial Inclusion, Poverty, and Income Inequality in ASEAN Countries: Does Financial Innovation Matter?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 169(1), pages 471-503, September.
    23. Davtyan, Karen, 2023. "Unconventional monetary policy and economic inequality," Economic Modelling, Elsevier, vol. 126(C).
    24. Murat Cetin & Harun Demir & Selin Saygin, 2021. "Financial Development, Technological Innovation and Income Inequality: Time Series Evidence from Turkey," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 156(1), pages 47-69, July.
    25. Hongbo Zhao & Xiao Zheng & Lin Yang, 2022. "Does Digital Inclusive Finance Narrow the Urban-Rural Income Gap through Primary Distribution and Redistribution?," Sustainability, MDPI, vol. 14(4), pages 1-19, February.
    26. Ricci, Chiara Assunta & Scicchitano, Sergio, 2021. "The role of Great Recession on income polarization by population groups," GLO Discussion Paper Series 766, Global Labor Organization (GLO).
    27. Chi‐Yang Chu & Mingming Jiang, 2021. "Financial depth, income inequality, and economic transition," Southern Economic Journal, John Wiley & Sons, vol. 88(1), pages 199-244, July.
    28. Mohamed Chakroun, 2020. "Threshold effects in the relationship between financial development and income inequality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 365-387, July.
    29. Gislain Stéphane Gandjon Fankem & Marthe Dorelle Melingui, 2021. "Le développement financier affecte‐t‐il l'inégalité de revenus en Afrique subsaharienne?," African Development Review, African Development Bank, vol. 33(4), pages 620-633, December.
    30. Chiara Assunta Ricci & Sergio Scicchitano, 2021. "Decomposing changes in income polarization by population group: what happened during the crisis?," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(1), pages 235-259, April.
    31. Maosheng Ran & Liang Chen & Wanli Li, 2020. "Financial Deepening, Spatial Spillover, and Urban–Rural Income Disparity: Evidence from China," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    32. Xiang Li & Dan Su, 2021. "Does Capital Account Liberalization Affect Income Inequality?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 377-410, April.

  6. Morana, Claudio, 2017. "Macroeconomic and financial effects of oil price shocks: Evidence for the euro area," Economic Modelling, Elsevier, vol. 64(C), pages 82-96.
    See citations under working paper version above.
  7. Fabio C. Bagliano & Claudio Morana, 2017. "It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection," Applied Economics, Taylor & Francis Journals, vol. 49(49), pages 4946-4969, October.
    See citations under working paper version above.
  8. Claudio Morana, 2017. "The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 919-935, December.

    Cited by:

    1. Sushil Kumar Rai & Akhilesh Kumar Sharma, 2023. "Forecasting Exchange Rate Volatility In India Under Univariate And Multivariate Analysis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 175-190.
    2. Suripto & Supriyanto, 2021. "The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 155-162.

  9. Baiardi, Donatella & Morana, Claudio, 2016. "The financial Kuznets curve: Evidence for the euro area," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 265-269.

    Cited by:

    1. Peter Mikek, 2023. "Financial deepening and income inequality: is there a financial Kuznetz curve in Latin America?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 103-125, March.
    2. Gravina, Antonio Francesco & Lanzafame, Matteo, 2020. "Nonlinearities and the Determinants of Inequality: New Panel Evidence," 2030 Agenda 308018, Fondazione Eni Enrico Mattei (FEEM).
    3. Jan Libich & Liam Lenten, 2022. "Hero or villain? The financial system in the 21st century," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 3-40, February.
    4. Baiardi, Donatella & Morana, Claudio, 2018. "Financial development and income distribution inequality in the euro area," Economic Modelling, Elsevier, vol. 70(C), pages 40-55.
    5. Sofia Vale & Francisco Camões, 2023. "Households’ Exposure to the Financial Sector as a Driver of Inequality: An Analysis of Advanced and Emerging Economies," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(2), pages 362-402, June.
    6. Doytch, Nadia & Elheddad, Mohamed & Hammoudeh, Shawkat, 2023. "The financial Kuznets curve of energy consumption: Global evidence," Energy Policy, Elsevier, vol. 177(C).
    7. Antonio Francesco Gravina, 2020. "Nonlinearities and the Determinants of Inequality: New Panel Evidence," Working Papers 2020.22, Fondazione Eni Enrico Mattei.
    8. Samatas, Andreas & Makrominas, Michalis & Moro, Andrea, 2019. "Financial intermediation, capital composition and income stagnation: The case of Europe," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 273-289.
    9. Gravina, Antonio Francesco & Lanzafame, Matteo, 2021. "Finance, globalisation, technology and inequality: Do nonlinearities matter?," Economic Modelling, Elsevier, vol. 96(C), pages 96-110.

  10. Bagliano, Fabio C. & Morana, Claudio, 2014. "Determinants of US financial fragility conditions," Research in International Business and Finance, Elsevier, vol. 30(C), pages 377-392.
    See citations under working paper version above.
  11. Morana, Claudio, 2014. "Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
    See citations under working paper version above.
  12. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    See citations under working paper version above.
  13. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
    See citations under working paper version above.
  14. Bagliano, Fabio C. & Morana, Claudio, 2012. "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 1-13.
    See citations under working paper version above.
  15. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.

    Cited by:

    1. Karim M. Abadir & Gabriel Talmain & Giovanni Caggiano, 2008. "Nelson-Plosser revisited: the ACF approach," Working Paper series 18_08, Rimini Centre for Economic Analysis.
    2. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    3. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    4. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
    5. Claudio Morana, 2016. "The US$/€ exchange rate: Structural modeling and forecasting during the recent financial crises," CeRP Working Papers 155, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    6. Jonathan Dark, 2021. "The lead of oil price rises on US equity market beliefs and preferences," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1861-1887, November.
    7. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    8. Chen, Xuehui & Zhu, Hongli & Zhang, Xinru & Zhao, Lutao, 2022. "A novel time-varying FIGARCH model for improving volatility predictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    9. Chronis, George A., 2016. "Modelling the extreme variability of the US Consumer Price Index inflation with a stable non-symmetric distribution," Economic Modelling, Elsevier, vol. 59(C), pages 271-277.
    10. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
    11. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    12. Stefanos Kechagias & Vladas Pipiras, 2020. "Modeling bivariate long‐range dependence with general phase," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 268-292, March.
    13. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.
    14. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    15. Pami Dua & Deepika Goel, 2021. "Inflation Persistence in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 525-553, September.
    16. Baillie Richard T. & Kapetanios George, 2016. "On the estimation of short memory components in long memory time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 365-375, September.
    17. Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.

  16. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 548-557.
    See citations under working paper version above.
  17. Claudio Morana, 2012. "Real Oil Prices since the 1990s," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, January.

    Cited by:

    1. Claudio Morana, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers 158, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Matteo Manera, 2013. "Introduction to a Special issue on "Financial Speculation in the Oil Markets and the Determinants of the Price of Oil"," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    3. Morana, Claudio, 2012. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Conference papers 332210, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.

  18. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.

    Cited by:

    1. Imran Hussain Shah & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers 201710, University of Barcelona, Research Institute of Applied Economics, revised May 2017.
    2. Aurelien Leroy & Yannick Lucotte, 2019. "Competition and Credit Procyclicality in European Banking," Post-Print hal-03356035, HAL.
    3. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 119-166, National Bureau of Economic Research, Inc.
    4. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
    5. Miles, William, 2020. "House price convergence in the euro zone: A pairwise approach," Economic Systems, Elsevier, vol. 44(3).
    6. Laia Maynou & Bruce Morley & Mercedes Monfort & Javier Ordóñez, 2020. "House price convergence Across Europe," Working Papers 2020/07, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. Stanimira Milcheva, 2012. "Monetary policy, financial intermediation, current account and housing market - how do they fit together?," ERES eres2012_151, European Real Estate Society (ERES).
    8. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers 201302, University of Pretoria, Department of Economics.
    9. Cronin, David & McQuinn, Kieran, 2022. "The housing net worth channel and the public finances: Evidence from a European country panel," Papers WP730, Economic and Social Research Institute (ESRI).
    10. Joshua Aizenman & Yothin Jinjarak & Huanhuan Zheng, 2019. "Housing Bubbles, Economic Growth, and Institutions," Open Economies Review, Springer, vol. 30(4), pages 655-674, September.
    11. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
    12. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    13. Imran H. Shah & Simón Sosvilla‐Rivero, 2021. "Incorporating asset price stability in the European Central Bank's inflation targeting framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2022-2043, April.
    14. Yongsheng Jiang & Dong Zhao & Andrew Sanderford & Jing Du, 2018. "Effects of Bank Lending on Urban Housing Prices for Sustainable Development: A Panel Analysis of Chinese Cities," Sustainability, MDPI, vol. 10(3), pages 1-16, February.
    15. Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).
    16. Dimitris Anastasiou & Panayotis Kapopoulos & Kalliopi-Maria Zekente, 2023. "Sentimental Shocks and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 627-655, November.
    17. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
    18. Aurélien Leroy & Yannick Lucotte, 2017. "Competition and credit procyclicality in European banking," Bank of Estonia Working Papers wp2017-9, Bank of Estonia, revised 09 Nov 2017.
    19. Benedetto Manganelli & Francesco Tajani, 2015. "Macroeconomic Variables and Real Estate in Italy and in the usa," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(3), pages 31-48.
    20. Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis, 2014. "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics 10-2014, Democritus University of Thrace, Department of Economics.
    21. Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
    22. Goodness C. Aye & Rangan Gupta, 2013. "Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012," Working Papers 201362, University of Pretoria, Department of Economics.
    23. Fabio C. Bagliano & Claudio Morana, 2011. "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 7, Edward Elgar Publishing.
    24. Tsai, I-Chun, 2013. "The asymmetric impacts of monetary policy on housing prices: A viewpoint of housing price rigidity," Economic Modelling, Elsevier, vol. 31(C), pages 405-413.
    25. Gary John Rangel & Jason Wei Jian Ng, 2017. "Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 15-31.
    26. Iana Liadze & Ray Barrell & Professor E. Philip Davis, 2009. "Bank regulation, property prices and early warning systems for banking crises in OECD countries," National Institute of Economic and Social Research (NIESR) Discussion Papers 330, National Institute of Economic and Social Research.
    27. Juan Carlos Cuestas & Merike Kukk & Natalia Levenko, 2021. "Misalignments in house prices and economic growth in Europe," Working Papers 2021/07, Economics Department, Universitat Jaume I, Castellón (Spain).
    28. Daniel Lo & Yung Yau & Michael McCord & Martin Haran, 2022. "Dynamics between Direct Industrial Real Estate and the Macroeconomy: An Empirical Study of Hong Kong," Land, MDPI, vol. 11(10), pages 1-23, September.
    29. Vicente Esteve & María A. Prats, 2021. "Testing for rational bubbles in Australian housing market from a long-term perspective," Working Papers 2113, Department of Applied Economics II, Universidad de Valencia.
    30. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    31. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers 15/2010, NIPE - Universidade do Minho.
    32. Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2017. "Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data," Working Papers 201765, University of Pretoria, Department of Economics.
    33. Chen, Yi-Ling & Ting, Hsiu-I & Wang, Ming-Chun, 2021. "Government support and bank performance during the 2007–2008 financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    34. Tagkalakis, Athanasios, 2011. "Fiscal policy and financial market movements," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 231-251, January.
    35. N. Kundan Kishor & Hardik A. Marfatia, 2017. "The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 54(2), pages 237-268, February.
    36. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
    37. Pierre-Richard Agénor & Luiz Awazu Pereira da Silva, 2018. "Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination," BIS Papers, Bank for International Settlements, number 97.
    38. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2019. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Working Papers 201953, University of Pretoria, Department of Economics.
    39. Constantinescu, Mihnea & Lastauskas, Povilas, 2018. "The knotty interplay between credit and housing," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 241-266.
    40. Antonakakis, Nikolaos & Floros, Christos, 2016. "Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 111-122.
    41. Babajide Abiola Ayopo & Lawal Adedoyin Isola & Somoye Russel Olukayode, 2016. "Stock Market Volatility: Does Our Fundamentals Matter?," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 33-42.
    42. Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    43. Kun Duan & Tapas Mishra & Mamata Parhi & Simon Wolfe, 2019. "How Effective are Policy Interventions in a Spatially-Embedded International Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 596-637, May.
    44. Konstantin A. Kholodilin & Sebastian Kohl & Florian Müller, 2023. "Government-Made House Price Bubbles? Austerity, Homeownership, Rental, and Credit Liberalization Policies and the “Irrational Exuberance” on Housing Markets," Discussion Papers of DIW Berlin 2061, DIW Berlin, German Institute for Economic Research.
    45. Fabio C. Bagliano & Claudio Morana, 2011. "Macro-finance interactions in the US: A global perspective," Working papers 23, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    46. Bahmani-Oskooee, Mohsen & Wu, Tsung-Pao, 2018. "Housing prices and real effective exchange rates in 18 OECD countries: A bootstrap multivariate panel Granger causality," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 119-126.
    47. Joshua Aizenman & Yothin Jinjarak & Huanhuan Zheng, 2016. "House Valuations and Economic Growth: Some International Evidence," NBER Working Papers 22699, National Bureau of Economic Research, Inc.
    48. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    49. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries: A FAVAR Model Under Bayesian Framework," Working Papers hal-04141045, HAL.
    50. Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
    51. Tsai, I-Chun, 2018. "House price convergence in euro zone and non-euro zone countries," Economic Systems, Elsevier, vol. 42(2), pages 269-281.
    52. Bekhet, Hussain Ali & Matar, Ali, 2013. "Co-integration and causality analysis between stock market prices and their determinates in Jordan," Economic Modelling, Elsevier, vol. 35(C), pages 508-514.
    53. Sofoklis Vogiazas & Constantinos Alexiou, 2017. "Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 119-131, March.
    54. Paul Corrigan, 2017. "Terms-of-Trade and House Price Fluctuations: A Cross-Country Study," Staff Working Papers 17-1, Bank of Canada.
    55. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    56. Wen, Xing-Chun & He, Ling-Yun, 2015. "Housing demand or money supply? A new Keynesian dynamic stochastic general equilibrium model on China’s housing market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 257-268.
    57. Blanka ŠKRABIĆ PERIĆ & Ana RIMAC SMILJANIĆ & Petar SORIĆ, 2022. "Confidence vs. Uncertainty : An Explanation of Housing Prices In the Old EU Member States," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 31-45, October.
    58. Eli Beracha & Hilla Skiba, 2013. "Findings from a Cross-Sectional Housing Risk-Factor Model," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 289-309, August.
    59. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers 2012-40, University of Paris Nanterre, EconomiX.
    60. Musso, Alberto & Neri, Stefano & Stracca, Livio, 2011. "Housing, consumption and monetary policy: How different are the US and the euro area?," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3019-3041, November.
    61. Miles, William, 2017. "Has there actually been a sustained increase in the synchronization of house price (and business) cycles across countries?," Journal of Housing Economics, Elsevier, vol. 36(C), pages 25-43.
    62. Cellmer Radosław & Jasiński Janusz, 2016. "Analysis of Housing Development Activity in Poland from 2005-2014," Real Estate Management and Valuation, Sciendo, vol. 24(4), pages 47-58, December.
    63. Anastasiou, Dimitrios & Kapopoulos, Panayotis, 2021. "Dynamic linkages among financial stability, house prices and residential investment in Greece," MPRA Paper 107833, University Library of Munich, Germany.
    64. Shegorika Rajwani & Dilip Kumar, 2019. "Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach," Global Business Review, International Management Institute, vol. 20(4), pages 962-980, August.
    65. Nuri Hacıevliyagil & Krzysztof Drachal & Ibrahim Halil Eksi, 2022. "Predicting House Prices Using DMA Method: Evidence from Turkey," Economies, MDPI, vol. 10(3), pages 1-27, March.

  19. Fabio Bagliano & Claudio Morana, 2010. "Business cycle comovement in the G-7: common shocks or common transmission mechanisms?," Applied Economics, Taylor & Francis Journals, vol. 42(18), pages 2327-2345.
    See citations under working paper version above.
  20. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    See citations under working paper version above.
  21. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
    See citations under working paper version above.
  22. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    See citations under working paper version above.
  23. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
    See citations under working paper version above.
  24. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
    See citations under working paper version above.
  25. Nuno Cassola & Claudio Morana, 2008. "Modeling Short-Term Interest Rate Spreads in the Euro Money Market," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 1-37, December.
    See citations under working paper version above.
  26. Morana, Claudio & Beltratti, Andrea, 2008. "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 31-45, February.
    See citations under working paper version above.
  27. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 15-23, June.

    Cited by:

    1. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
    2. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    3. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    4. Ghassan, Hassan B. & Krichene, Noureddine, 2017. "Financial Stability of Conventional and Islamic Banks: A Survey," MPRA Paper 82372, University Library of Munich, Germany.
    5. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).

  28. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    See citations under working paper version above.
  29. Cassola, Nuno & Ewerhart, Christian & Morana, Claudio, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Journal of Financial Transformation, Capco Institute, vol. 19, pages 81-90.
    See citations under working paper version above.
  30. Andrea Beltratti & Claudio Morana, 2007. "Does the stock market affect income distribution? Some empirical evidence for the US," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 99-104.

    Cited by:

    1. Donatella, Baiardi & Claudio, Morana, 2015. "Financial deepening and income distribution inequality in the euro area," Working Papers 316, University of Milano-Bicocca, Department of Economics, revised 04 Dec 2015.
    2. Baiardi, Donatella & Morana, Claudio, 2018. "Financial development and income distribution inequality in the euro area," Economic Modelling, Elsevier, vol. 70(C), pages 40-55.
    3. Bahmani-Oskooee, Mohsen & Hasanzade, Mehrnoosh & Bahmani, Sahar, 2022. "Stock returns and income inequality: Asymmetric evidence from state level data in the U.S," Global Finance Journal, Elsevier, vol. 52(C).

  31. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    See citations under working paper version above.
  32. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.

    Cited by:

    1. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    2. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
    3. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
    4. David Bywaters & David Thomas, 2011. "Real money demand and supply meets Federal debt," Applied Economics Letters, Taylor & Francis Journals, vol. 18(12), pages 1189-1193.
    5. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    6. Giuseppe Ferrero & Andrea Nobili & Patrizia Passiglia, 2011. "Assessing excess liquidity in the euro area: the role of sectoral distribution of money," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3213-3230.
    7. Mohammad Mirbagherijam, 2014. "Survey the Dynamic of Inflation in Iran Since 1990," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(6), pages 210-224, June.
    8. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.

  33. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.

    Cited by:

    1. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
    2. Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
    3. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
    4. Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers 25-2006, ICER - International Centre for Economic Research.
    5. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    6. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    7. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    8. Maciej Ryczkowski, 2021. "Money and inflation in inflation-targeting regimes – new evidence from time–frequency analysis," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 17-44, January.
    9. Claudio Morana, 2006. "The End of the Japanese Stagnation: an Assessment of the Policy Solutions," ICER Working Papers 27-2006, ICER - International Centre for Economic Research.
    10. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
    11. Fabio Bagliano & Claudio Morana, 2010. "The Great Recession: US dynamics and spillovers to the world economy," CeRP Working Papers 103, Center for Research on Pensions and Welfare Policies, Turin (Italy).

  34. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
    See citations under working paper version above.
  35. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    See citations under working paper version above.
  36. Claudio Morana, 2005. "The Japanese deflation: has it had real effects? Could it have been avoided?," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1337-1352.
    See citations under working paper version above.
  37. Morana, Claudio, 2005. "Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 165-175.

    Cited by:

    1. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    2. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    3. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.

  38. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.

    Cited by:

    1. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
    2. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
    3. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
    5. Yanlin Shi & Yang Yang, 2018. "Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model," Risks, MDPI, vol. 6(2), pages 1-28, March.
    6. Sutthisit Jamdee & Cornelis A. Los, 2005. "Long Memory Options: LM Evidence and Simulations," Finance 0505003, University Library of Munich, Germany.
    7. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Other publications TiSEM a5a7b05f-5f1f-46ed-8ce8-5, Tilburg University, School of Economics and Management.
    8. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2015. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Tinbergen Institute Discussion Papers 15-125/III, Tinbergen Institute.
    10. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
    11. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
    12. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    13. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    14. Jiawen Xu & Pierre Perron, 2013. "Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion," Boston University - Department of Economics - Working Papers Series 2013-021, Boston University - Department of Economics.
    15. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    16. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    17. Chatzikonstanti, Vasiliki & Venetis, Ioannis A., 2015. "Long memory in log-range series: Do structural breaks matter?," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 104-113.
    18. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
    19. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
    20. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Discussion Papers of DIW Berlin 975, DIW Berlin, German Institute for Economic Research.
    21. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
    22. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
    23. Aouad Hadjer, Soumia & Taouli, Mustapha Kamel & Benbouziane, Mohamed, 2012. "Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA [Modeling of the Algerian Dinar Exchange Rate: An empirical investigation using t," MPRA Paper 38605, University Library of Munich, Germany.
    24. Ye Li & Pierre Perron & Jiawen Xu, 2017. "Modelling exchange rate volatility with random level shifts," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2579-2589, June.
    25. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
    26. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    27. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    28. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
    29. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    30. David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
    31. Ivelina Pavlova & Jang Hyung Cho & A.M. Parhizgari & William G. Hardin, 2014. "Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 315-332, December.
    32. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 594-616.
    33. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
    34. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    35. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    36. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
    37. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
    38. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    39. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
    40. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    41. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
    42. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    43. Gabriel Rodríguez & Junior A. Ojeda Cunya & José Carlos Gonzáles Tanaka, 2019. "An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 18(2), pages 107-123, June.
    44. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    45. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
    46. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    47. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    48. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
    49. Grossmann, Axel & Orlov, Alexei G., 2012. "Exchange rate misalignments in frequency domain," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 185-199.
    50. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
    51. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    52. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  39. Claudio Morana, 2004. "Some frequency domain properties of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 891-894.

    Cited by:

    1. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    2. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    3. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    4. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    5. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.

  40. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
    See citations under working paper version above.
  41. Claudio Morana & John W. Sawkins, 2004. "Stock market volatility of regulated industries: an empirical assessment," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 3(3), pages 189-204, December.

    Cited by:

    1. Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012. "Capital structure and abnormal returns," International Business Review, Elsevier, vol. 21(3), pages 328-341.
    2. Xiaoyue Chen & Bin Li & Andrew C. Worthington, 2022. "Realised volatility and industry momentum returns," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-12, December.
    3. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    4. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.

  42. Morana, Claudio, 2004. "The Japanese stagnation: an assessment of the productivity slowdown hypothesis," Japan and the World Economy, Elsevier, vol. 16(2), pages 193-211, April.

    Cited by:

    1. Tatsuyoshi Miyakoshi, 2010. "A Welfare Cost Of The Lost Decade In Japan," Australian Economic Papers, Wiley Blackwell, vol. 49(1), pages 28-43, March.
    2. Arne Bigsten, 2005. "Can Japan Make a Comeback?," The World Economy, Wiley Blackwell, vol. 28(4), pages 595-606, April.
    3. Nakatani, Takeshi & Skott, Peter, 2007. "Japanese growth and stagnation: A Keynesian perspective," Structural Change and Economic Dynamics, Elsevier, vol. 18(3), pages 306-332, September.
    4. Yusuf, Shahid & Nabeshima, Kaoru, 2005. "Japan's changing industrial landscape," Policy Research Working Paper Series 3758, The World Bank.
    5. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research.
    6. Rod Tyers & Ying Zhang, 2011. "Japan’s Economic Recovery: Insights from Multi-Region Dynamics," CAMA Working Papers 2011-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

  43. Cassola, Nuno & Morana, Claudio, 2004. "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 387-399, April.
    See citations under working paper version above.
  44. Claudio Morana, 2004. "Regional Convergence in Italy: 1951-2000," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 63(2), pages 139-160, November.

    Cited by:

    1. Giorgio Calcagnini & Germana Giombini & Francesco Perugini, 2016. "Bank Foundations, Social Capital, and the Growth of Italian Provinces," Working Papers 1603, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2016.
    2. Chiara DEL BO & Massimo FLORIO & Giancarlo MANZI, 2009. "Regional infrastructure and convergence: growth implications in a spatial framework," Departmental Working Papers 2009-34, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

  45. Fabio C. Bagliano & Claudio Morana, 2003. "A common trends model of UK core inflation," Empirical Economics, Springer, vol. 28(1), pages 157-172, January.

    Cited by:

    1. Juan José Echavarría & Enrique López Enciso & Martha Misas Arango, 2007. "La Tasa de Cambio Real de Equilibrio en Colombia y su Desalineamiento: Estimación a través de un modelo SVEC," Borradores de Economia 472, Banco de la Republica de Colombia.
    2. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    3. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," Borradores de Economia 3026, Banco de la Republica.
    4. Durai, S. Raja Sethu & Ramachandran, M., 2007. "Core inflation for India," Journal of Asian Economics, Elsevier, vol. 18(2), pages 365-383, April.
    5. Gamber, Edward N. & Smith, Julie K. & Eftimoiu, Raluca, 2015. "The dynamic relationship between core and headline inflation," Journal of Economics and Business, Elsevier, vol. 81(C), pages 38-53.
    6. Norberto Rodríguez-Niño & Alejandra Ramírez-Ramírez, 2018. "Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia," Borradores de Economia 1040, Banco de la Republica de Colombia.

  46. Bagliano, Fabio C. & Morana, Claudio, 2003. "Measuring US core inflation: A common trends approach," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 197-212, June.

    Cited by:

    1. Juan José Echavarría & Enrique López Enciso & Martha Misas Arango, 2007. "La Tasa de Cambio Real de Equilibrio en Colombia y su Desalineamiento: Estimación a través de un modelo SVEC," Borradores de Economia 472, Banco de la Republica de Colombia.
    2. Edward N. Gamber & Julie K. Smith, 2016. "Time-series measures of core inflation," Working Papers 2016-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    3. Peter Claeys, 2007. "Estimating the effects of fiscal policy under the budget constraint," IREA Working Papers 200715, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007.
    4. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
    5. Bhatt, Vipul & Kishor, N. Kundan, 2015. "Are all movements in food and energy prices transitory? Evidence from India," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 92-106.
    6. Alan K. Detmeister, 2011. "The usefulness of core PCE inflation measures," Finance and Economics Discussion Series 2011-56, Board of Governors of the Federal Reserve System (U.S.).
    7. Durai, S. Raja Sethu & Ramachandran, M., 2007. "Core inflation for India," Journal of Asian Economics, Elsevier, vol. 18(2), pages 365-383, April.
    8. Carlo Di Giorgio & Massimo Giannini, 2012. "A comparison of the Beveridge curve dynamics in Italy and USA," Empirical Economics, Springer, vol. 43(3), pages 945-983, December.
    9. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2016. "On the Methodology of Measuring Core Inflation," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(2), pages 271-282, July.
    10. Abdul Aleem & Amine Lahiani, 2011. "Estimation and evaluation of core inflation measures," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3619-3629.

  47. Fabio Bagliano & Roberto Golinelli & Claudio Morana, 2002. "Core inflation in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 353-357.

    Cited by:

    1. Juan José Echavarría & Enrique López Enciso & Martha Misas Arango, 2007. "La Tasa de Cambio Real de Equilibrio en Colombia y su Desalineamiento: Estimación a través de un modelo SVEC," Borradores de Economia 472, Banco de la Republica de Colombia.
    2. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    3. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
    4. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.
    5. Stefano SIVIERO & Giovanni VERONESE, 2010. "A Policy-Sensible Core-Inflation Measure for the Euro Area," EcoMod2004 330600130, EcoMod.
    6. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    7. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," Borradores de Economia 3026, Banco de la Republica.
    8. Maria Arrazola & Jose de Hevia, 2008. "A simple inflation indicator for the euro zone," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2387-2394.
    9. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
    10. José Fernando Escobar R. & Carlos Estaban Posada, 2004. "Dinero, Precios, Tasa De Interés Y Actividad Económica: Un Modelo Del Caso Colombiano (1984:I-2003:Iv)," Borradores de Economia 2366, Banco de la Republica.
    11. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.
    12. Eliana R. González-Molano & Ramón Hernández-Ortega & Edgar Caicedo-García & Nicolás Martínez-Cortés & Jose Vicente Romero & Anderson Grajales-Olarte, 2020. "Nueva Clasificación del BANREP de la Canasta del IPC y revisión de las medidas de Inflación Básica en Colombia," Borradores de Economia 1122, Banco de la Republica de Colombia.
    13. Stefano Siviero & Giovanni Veronese, 2011. "A policy-sensible benchmark core inflation measure," Oxford Economic Papers, Oxford University Press, vol. 63(4), pages 648-672, December.
    14. Mick Silver, 2006. "Core Inflation Measures and Statistical Issues in Choosing Among Them," IMF Working Papers 2006/097, International Monetary Fund.
    15. Melisso Boschi & Alessandro Girardi, 2005. "Euro Area inflation: long-run determinants and short-run dynamics," ISAE Working Papers 60, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    16. José Fernando Escobar R. & Carlos Esteban Posada P., 2004. "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia.
    17. Giuseppe Ferrero & Andrea Nobili & Patrizia Passiglia, 2011. "Assessing excess liquidity in the euro area: the role of sectoral distribution of money," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3213-3230.
    18. Nicholas Apergis & Stephen M. Miller & Alexandros Panethimitakis & Athanassios Vamvakidis, 2005. "Inflation Targeting and Output Growth: Evidence from Aggregate European Data," Working papers 2005-06, University of Connecticut, Department of Economics.
    19. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
    20. Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana [A simple model for the short term forecasting of Italian inflation]," MPRA Paper 7714, University Library of Munich, Germany.
    21. Norberto Rodríguez-Niño & Alejandra Ramírez-Ramírez, 2018. "Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia," Borradores de Economia 1040, Banco de la Republica de Colombia.
    22. International Monetary Fund, 2005. "Inflation Targeting and Output Growth: Empirical Evidence for the European Union," IMF Working Papers 2005/089, International Monetary Fund.
    23. Fabio DI DIO & Francesco FELICI, 2009. "Estimating Core Inflation In Norway," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(3(9)_Fall).

  48. C. Morana, 2002. "IGARCH effects: an interpretation," Applied Economics Letters, Taylor & Francis Journals, vol. 9(11), pages 745-748.

    Cited by:

    1. Jonathan Berrisch & Florian Ziel, 2022. "Distributional modeling and forecasting of natural gas prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1065-1086, September.
    2. Yanlin Shi & Yang Yang, 2018. "Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model," Risks, MDPI, vol. 6(2), pages 1-28, March.
    3. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, June.
    4. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    5. Guglielmo Maria Caporale & Nikitas Pittis & Nicola Spagnolo, 2003. "IGARCH models and structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 765-768.
    6. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    7. Paul Beaumont & Stefan Norrbin & F. Pinar Yigit, 2007. "Time series evidence on the linkage between the volatility and growth of output," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 45-48.
    8. Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008. "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-31, September.
    9. Thomas Lee & John Zyren, 2007. "Volatility Relationship between Crude Oil and Petroleum Products," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(1), pages 97-112, March.

  49. Morana, Claudio & Beltratti, Andrea, 2002. "The effects of the introduction of the euro on the volatility of European stock markets," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 2047-2064, October.

    Cited by:

    1. Mojisola Olugbode & Ahmed El-Masry & John Pointon, 2014. "Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach," Manchester School, University of Manchester, vol. 82(4), pages 409-464, July.
    2. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    3. Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2475-2502, October.
    4. Sohnke M. Bartram & G. Andrew Karolyi, 2002. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Finance 0207005, University Library of Munich, Germany, revised 29 Oct 2003.
    5. Zana Grigaliuniene & Dmitrij Celov & Christopher A. Hartwell, 2018. "The More the Merrier? The Reaction of Euro Area Stock Markets to New Members," BAFES Working Papers BAFES20, Department of Accounting, Finance & Economic, Bournemouth University.
    6. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
    7. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1507-1534, May.
    8. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working papers of CATT hal-01885142, HAL.
    9. Wahab, Mahmoud, 2012. "Asymmetric effects of U.S. stock returns on European equities," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 156-172.
    10. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
    11. Pavlo Dziuba & Olena Pryiatelchuk & Denys Rusak, 2021. "Equity Markets Risks And Returns: Implications For Global Portfolio Capital Flows During Pandemic And Crisis Periods," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 7(3).
    12. Stephen Paul Ferris & Min Yu Liao, 2018. "Relative Governance and the Global Cross-Listing Decision: Extending the Bonding Hypothesis," Accounting and Finance Research, Sciedu Press, vol. 7(1), pages 1-82, February.
    13. Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
    14. Fabio C. Bagliano & Claudio Morana, 2011. "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 7, Edward Elgar Publishing.
    15. Richard C. K. Burdekin & Pierre L. Siklos, 2018. "Quantifying the impact of the November 2014 Shanghai-Hong Kong stock connect," CAMA Working Papers 2018-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Green, Christopher J. & Bai, Ye, 2008. "The euro: Did the markets cheer or jeer?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 431-446.
    17. Dimitriou, Dimitrios & Simos, Theodore, 2011. "Monetary Union effects on European stock market integration: An international CAPM approach with currency risk," MPRA Paper 37477, University Library of Munich, Germany.
    18. Wang, Ping & Moore, Tomoe, 2009. "Sudden changes in volatility: The case of five central European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 33-46, February.
    19. Laopodis, Nikiforos T., 2005. "Portfolio diversification benefits within Europe: Implications for a US investor," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 455-476.
    20. Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014. "Euro conversion and return dynamics of European financial markets: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 1-26, January.
    21. Laopodis, Nikiforos T., 2011. "Equity prices and macroeconomic fundamentals: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 247-276, April.
    22. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    23. Moore, Tomoe & Wang, Ping, 2007. "Volatility in stock returns for new EU member states: Markov regime switching model," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 282-292.
    24. Nektarios Aslanidis & Christos S. Savva, 2011. "Are There Still Portfolio Diversification Benefits In Eastern Europe? Aggregate Versus Sectoral Stock Market Data," Manchester School, University of Manchester, vol. 79(6), pages 1323-1352, December.
    25. Wang, Ping & Theobald, Mike, 2008. "Regime-switching volatility of six East Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 267-283, September.
    26. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
    27. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
    28. Laopodis, Nikiforos T., 2009. "Are fundamentals still relevant for European economies in the post-Euro period?," Economic Modelling, Elsevier, vol. 26(5), pages 835-850, September.
    29. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
    30. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
    31. Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang, 2012. "The euro's impacts on the smooth transition dynamics of stock market volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 169-179, May.
    32. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-90, Department of Research, Ipag Business School.
    33. Smimou, K., 2011. "Transition to the Euro and its impact on country portfolio diversification," Research in International Business and Finance, Elsevier, vol. 25(1), pages 88-103, January.
    34. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    35. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    36. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.
    37. Lee, Hyunchul & Kim, Heeho, 2020. "Time varying integration of European stock markets and monetary drivers," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 369-385.
    38. Maher Asal, 2012. "Has the Euro Boosted Equity Markets in the Euro Area?," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 51-70, October.
    39. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.

  50. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.

    Cited by:

    1. Massmann, Michael, 2007. "Cobra: A package for co-breaking analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 663-679, October.
    2. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    3. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    4. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," Borradores de Economia 3026, Banco de la Republica.
    5. Morana, Claudio, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series 321, European Central Bank.
    6. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
    7. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research.
    8. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    9. Cavallero, Alessandro, 2011. "The convergence of inflation rates in the EU-12 area: A distribution dynamics approach," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 341-357, June.
    10. Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    12. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
    14. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    15. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    16. Mustafa Caglayan & Feng Jiang, 2006. "Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach," Working Papers 2006_8, Business School - Economics, University of Glasgow.
    17. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
    18. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.
    19. Luis A. Gil-Alana & Yadollah Dadgar & Rouhollah Nazari, 2019. "Iranian inflation: peristence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 398-408, April.

  51. Morana, Claudio, 2001. "A semiparametric approach to short-term oil price forecasting," Energy Economics, Elsevier, vol. 23(3), pages 325-338, May.

    Cited by:

    1. Naiming Xie & Alan Pearman, 2014. "Forecasting energy consumption in China following instigation of an energy-saving policy," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 74(2), pages 639-659, November.
    2. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
    3. Zhang, Xun & Lai, K.K. & Wang, Shou-Yang, 2008. "A new approach for crude oil price analysis based on Empirical Mode Decomposition," Energy Economics, Elsevier, vol. 30(3), pages 905-918, May.
    4. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.
    5. Matteo Manera & Chiara Longo & Anil Markandya & Elisa Scarpa, 2007. "Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting," Working Papers 2007.4, Fondazione Eni Enrico Mattei.
    6. Jiang Wu & Yu Chen & Tengfei Zhou & Taiyong Li, 2019. "An Adaptive Hybrid Learning Paradigm Integrating CEEMD, ARIMA and SBL for Crude Oil Price Forecasting," Energies, MDPI, vol. 12(7), pages 1-23, April.
    7. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.
    8. Mohammadi, Hassan & Su, Lixian, 2010. "International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models," Energy Economics, Elsevier, vol. 32(5), pages 1001-1008, September.
    9. Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 31(5), pages 779-788, September.
    10. Giulio Cifarelli & Paolo Paesani, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    11. Anthony Garratt & Shaun P. Vahey & Ynuyi Zhang, 2018. "Real-time Forecast Combinations for the Oil Price," National Institute of Economic and Social Research (NIESR) Discussion Papers 494, National Institute of Economic and Social Research.
    12. Murat, Atilim & Tokat, Ekin, 2009. "Forecasting oil price movements with crack spread futures," Energy Economics, Elsevier, vol. 31(1), pages 85-90, January.
    13. Mr. Aasim M. Husain & Chakriya Bowman, 2004. "Forecasting Commodity Prices: Futures Versus Judgment," IMF Working Papers 2004/041, International Monetary Fund.
    14. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
    15. Frankel, Jeffrey A. & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Scholarly Articles 4450126, Harvard Kennedy School of Government.
    16. Viviana Fernández, 2006. "Forecasting crude oil and natural gas spot prices by classification methods," Documentos de Trabajo 229, Centro de Economía Aplicada, Universidad de Chile.
    17. Marc Gronwald, 2009. "Jumps in Oil Prices- Evidence and Implications," ifo Working Paper Series 75, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    18. Aliyev, Fuzuli & Ajayi, Richard & Gasim, Nijat, 2020. "Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    19. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    20. Sanders, Dwight R. & Manfredo, Mark R. & Boris, Keith, 2009. "Evaluating information in multiple horizon forecasts: The DOE's energy price forecasts," Energy Economics, Elsevier, vol. 31(2), pages 189-196.
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    22. Mingming, Tang & Jinliang, Zhang, 2012. "A multiple adaptive wavelet recurrent neural network model to analyze crude oil prices," Journal of Economics and Business, Elsevier, vol. 64(4), pages 275-286.
    23. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2010. "Forecasting crude oil market volatility: Further evidence using GARCH-class models," Energy Economics, Elsevier, vol. 32(6), pages 1477-1484, November.
    24. Taiyong Li & Zhenda Hu & Yanchi Jia & Jiang Wu & Yingrui Zhou, 2018. "Forecasting Crude Oil Prices Using Ensemble Empirical Mode Decomposition and Sparse Bayesian Learning," Energies, MDPI, vol. 11(7), pages 1-23, July.
    25. Kim, Myung Suk, 2018. "Impacts of supply and demand factors on declining oil prices," Energy, Elsevier, vol. 155(C), pages 1059-1065.
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    27. Conejo, Antonio J. & Contreras, Javier & Espinola, Rosa & Plazas, Miguel A., 2005. "Forecasting electricity prices for a day-ahead pool-based electric energy market," International Journal of Forecasting, Elsevier, vol. 21(3), pages 435-462.
    28. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
    29. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
    30. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
    31. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
    32. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
    33. Olga Efimova & Apostolos Serletis, "undated". "Energy Markets Volatility Modelling using GARCH," Working Papers 2014-39, Department of Economics, University of Calgary, revised 24 Feb 2014.
    34. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    35. Hasnain Iftikhar & Aimel Zafar & Josue E. Turpo-Chaparro & Paulo Canas Rodrigues & Javier Linkolk López-Gonzales, 2023. "Forecasting Day-Ahead Brent Crude Oil Prices Using Hybrid Combinations of Time Series Models," Mathematics, MDPI, vol. 11(16), pages 1-19, August.
    36. Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
    37. Lin, Ling & Jiang, Yong & Xiao, Helu & Zhou, Zhongbao, 2020. "Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
    38. Viviana Fernandez, 2008. "Traditional versus novel forecasting techniques: how much do we gain?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 637-648.
    39. Shahid Ali & Junrui Zhang & Mazhar Abbas & Muhammad Umar Draz & Fayyaz Ahmad, 2019. "Symmetric and Asymmetric GARCH Estimations and Portfolio Optimization: Evidence From G7 Stock Markets," SAGE Open, , vol. 9(2), pages 21582440198, May.
    40. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
    41. Ghaffari, Ali & Zare, Samaneh, 2009. "A novel algorithm for prediction of crude oil price variation based on soft computing," Energy Economics, Elsevier, vol. 31(4), pages 531-536, July.
    42. Nademi, Arash & Nademi, Younes, 2018. "Forecasting crude oil prices by a semiparametric Markov switching model: OPEC, WTI, and Brent cases," Energy Economics, Elsevier, vol. 74(C), pages 757-766.
    43. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    44. Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño, 2015. "Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, March.
    45. Hongtao Chen & Lianghua Chen, 2015. "Multifractal spectrum analysis of Brent crude oil futures prices volatility in intercontinental exchange," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 93-108.
    46. Xie Haibin & Zhou Mo & Yu Mei & Hu Yi, 2014. "Forecasting the Crude Oil Price with Extreme Values," Journal of Systems Science and Information, De Gruyter, vol. 2(3), pages 193-205, June.
    47. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    48. Marcos Álvarez-Díaz, 2020. "Is it possible to accurately forecast the evolution of Brent crude oil prices? An answer based on parametric and nonparametric forecasting methods," Empirical Economics, Springer, vol. 59(3), pages 1285-1305, September.
    49. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    50. Sukanya Ghosh & P.P. Sengupta & Biman Maity, 2012. "Evidence On The Future Prospects Of Indian Thermal Power Sector In The Perspective Of Depleting Coal Reserve," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(1), pages 77-89.
    51. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
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    53. Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2008. "Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm," Energy Economics, Elsevier, vol. 30(5), pages 2623-2635, September.
    54. Theodore Syriopoulos & Michael Tsatsaronis & Ioannis Karamanos, 2021. "Support Vector Machine Algorithms: An Application to Ship Price Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 55-87, January.
    55. Loutia, Amine & Mellios, Constantin & Andriosopoulos, Kostas, 2016. "Do OPEC announcements influence oil prices?," Energy Policy, Elsevier, vol. 90(C), pages 262-272.
    56. Fernandez, Viviana, 2007. "Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry," Resources Policy, Elsevier, vol. 32(1-2), pages 80-89.
    57. Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
    58. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    59. Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn, 2018. "Asymmetric attention and volatility asymmetry," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 59-67.
    60. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 149-159.
    61. Özbek, Levent & Özlale, Ümit, 2010. "Analysis of real oil prices via trend-cycle decomposition," Energy Policy, Elsevier, vol. 38(7), pages 3676-3683, July.
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    66. Chul-Yong Lee & Sung-Yoon Huh, 2017. "Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors," Sustainability, MDPI, vol. 9(2), pages 1-15, January.
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    83. Manel Hamdi & Chaker Aloui, 2015. "Forecasting Crude Oil Price Using Artificial Neural Networks: A Literature Survey," Economics Bulletin, AccessEcon, vol. 35(2), pages 1339-1359.
    84. Taiyong Li & Min Zhou & Chaoqi Guo & Min Luo & Jiang Wu & Fan Pan & Quanyi Tao & Ting He, 2016. "Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels," Energies, MDPI, vol. 9(12), pages 1-21, December.
    85. Yingrui Zhou & Taiyong Li & Jiayi Shi & Zijie Qian, 2019. "A CEEMDAN and XGBOOST-Based Approach to Forecast Crude Oil Prices," Complexity, Hindawi, vol. 2019, pages 1-15, February.
    86. Arash Sioofy Khoojine & Mahboubeh Shadabfar & Yousef Edrisi Tabriz, 2022. "A Mutual Information-Based Network Autoregressive Model for Crude Oil Price Forecasting Using Open-High-Low-Close Prices," Mathematics, MDPI, vol. 10(17), pages 1-20, September.
    87. Yang, Tianle & Zhou, Fangxing & Du, Min & Du, Qunyang & Zhou, Shirong, 2023. "Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 377-387.
    88. Hou, Aijun & Suardi, Sandy, 2012. "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, vol. 34(2), pages 618-626.
    89. Wang, Minggang & Tian, Lixin & Zhou, Peng, 2018. "A novel approach for oil price forecasting based on data fluctuation network," Energy Economics, Elsevier, vol. 71(C), pages 201-212.
    90. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.

  52. Andrea Beltratti & Claudio Morana, 2001. "Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 205-234, July.

    Cited by:

    1. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
    2. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    3. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    4. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
    5. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
    6. Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu, 2015. "Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality," Econometrics, MDPI, vol. 3(4), pages 1-24, December.
    7. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.

  53. Morana, Claudio & Sawkins, John W, 2000. "Regulatory Uncertainty and Share Price Volatility: The English and Welsh Water Industry's Periodic Price Review," Journal of Regulatory Economics, Springer, vol. 17(1), pages 87-100, January.

    Cited by:

    1. Roger Buckland & Julian Williams & Janice Beecher, 2015. "Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM," Journal of Regulatory Economics, Springer, vol. 47(2), pages 117-145, April.
    2. Rajibur Reza & Gurudeo Anand Tularam & Xiyang Li & Bin Li, 2022. "Investments in the Asian water sector: an analysis based on the DCC-GARCH model," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
    3. Tobias Kretschmer & Hans-Ulrich Küpper & Burkhard Pedell, 2011. "Bedingungen und Prinzipien einer konsistenten Regulierung," Schmalenbach Journal of Business Research, Springer, vol. 63(64), pages 1-31, January.
    4. Stefano Paleari & Renato Redondi, 2005. "Regulation Effects on Company Beta Components," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 317-346, October.
    5. Huy Nguyen Anh Pham & Vikash Ramiah & Imad Moosa, 2020. "The effects of environmental regulation on the stock market: the French experience," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3279-3304, December.
    6. Haney, Aoife Brophy & Pollitt, Michael G., 2013. "International benchmarking of electricity transmission by regulators: A contrast between theory and practice?," Energy Policy, Elsevier, vol. 62(C), pages 267-281.
    7. Reza, Rajibur & Tularam, Gurudeo Anand & Li, Bin, 2021. "A review of global research on private investment in the water sector," Utilities Policy, Elsevier, vol. 72(C).
    8. Hoang, Trang Cam & Pham, Huy & Ramiah, Vikash & Moosa, Imad & Le, Danh Vinh, 2020. "The effects of information disclosure regulation on stock markets: Evidence from Vietnam," Research in International Business and Finance, Elsevier, vol. 51(C).
    9. David S Saal & David Parker, 2000. "The impact of privatization and regulation on the water and sewerage industry in England and Wales: a translog cost function model," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 21(6), pages 253-268.

  54. Claudio Morana, 2000. "Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market," Scottish Journal of Political Economy, Scottish Economic Society, vol. 47(1), pages 72-93, February.

    Cited by:

    1. Hunt, Lester C. & Judge, Guy & Ninomiya, Yasushi, 2003. "Underlying trends and seasonality in UK energy demand: a sectoral analysis," Energy Economics, Elsevier, vol. 25(1), pages 93-118, January.
    2. Mu, Jianhong E. & McCarl, Bruce A. & Bessler, David A., 2013. "Impacts of BSE and Avian Influenza on U.S. Meat Demand," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150392, Agricultural and Applied Economics Association.
    3. Rossella Bardazzi & Filippo Oropallo & Maria Grazia Pazienza, 2014. "Do manufacturing firms react to energy prices? Evidence from Italy," Working Papers - Economics wp2014_08.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    4. David I.Stern, 2009. "Interfuel Substitution: A Meta Analysis," Environmental Economics Research Hub Research Reports 0933, Environmental Economics Research Hub, Crawford School of Public Policy, The Australian National University.
    5. SHIRANI-FAKHR, Zohreh & KHOSHAKHLAGH, Rahman & SHARIFI, Alimorad, 2015. "Estimating Demand Function For Electricity In Industrial Sector Of Iran Using Structural Time Series Model (Stsm)," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 143-160.

  55. Morana, Claudio & Beltratti, Andrea, 2000. "Central bank interventions and exchange rates: an analysis with high frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 349-362, December.

    Cited by:

    1. Scalia, Antonio, 2008. "Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
    2. ABBUY, Kwami Edem, 2018. "An Empirical Test for the Effectiveness of Central Bank Interventions in Foreign Exchange Markets: An Application to the Canadian and Swiss Central Banks," MPRA Paper 89647, University Library of Munich, Germany.
    3. Bal??zs ??gert & Lubo?? Kom??rek, 2000. "Official Foreign Exchange Interventions in the Czech Republic: Did They Matter?," William Davidson Institute Working Papers Series wp760, William Davidson Institute at the University of Michigan.
    4. Georgios Chortareas & Ying Jiang & John C. Nankervis, 2013. "Volatility and Spillover Effects of Yen Interventions," Review of International Economics, Wiley Blackwell, vol. 21(4), pages 671-689, September.
    5. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    6. Balazs Egert & Lubos Komarek, 2005. "Foreign Exchange Interventions and Interest Rate Policy in the Czech Republic: Hand in Glove?," Working Papers 2005/07, Czech National Bank.
    7. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
    8. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
    9. Bal??zs ??gert & Maroje Lang, 2005. "Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?," William Davidson Institute Working Papers Series wp755, William Davidson Institute at the University of Michigan.

  56. Beltratti, Andrea & Morana, Claudio, 1999. "Computing value at risk with high frequency data," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 431-455, December.

    Cited by:

    1. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
    2. So, Mike K.P. & Yu, Philip L.H., 2006. "Empirical analysis of GARCH models in value at risk estimation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 180-197, April.
    3. VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," LIDAM Discussion Papers CORE 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    5. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    6. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    7. Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper 80431, University Library of Munich, Germany.
    8. Nekhili, Ramzi & Altay-Salih, Aslihan & Gençay, Ramazan, 2002. "Exploring exchange rate returns at different time horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 671-682.
    9. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
    10. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    11. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
    12. Coudert, Virginie & Gex, Mathieu, 2010. "Contagion inside the credit default swaps market: The case of the GM and Ford crisis in 2005," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 109-134, April.
    13. Miguel A. Ferreira & Jose A. Lopez, 2004. "Evaluating interest rate covariance models within a value-at-risk framework," Working Paper Series 2004-03, Federal Reserve Bank of San Francisco.
    14. Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006 79, Money Macro and Finance Research Group.
    15. Mike So & Rui Xu, 2013. "Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(1), pages 83-111, March.
    16. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    17. Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
    18. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
    19. GIOT, Pierre, 2000. "Intraday value-at-risk," LIDAM Discussion Papers CORE 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
    21. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
    22. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 235, European Central Bank.
    23. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    24. Morana, Claudio & Beltratti, Andrea, 2000. "Central bank interventions and exchange rates: an analysis with high frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 349-362, December.
    25. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
    26. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.

  57. Fabio C. Bagliano & Claudio Morana, 1999. "Measuring Core Inflation in Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 58(3-4), pages 301-328, December.

    Cited by:

    1. Juan José Echavarría & Enrique López Enciso & Martha Misas Arango, 2007. "La Tasa de Cambio Real de Equilibrio en Colombia y su Desalineamiento: Estimación a través de un modelo SVEC," Borradores de Economia 472, Banco de la Republica de Colombia.
    2. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    3. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," Borradores de Economia 3026, Banco de la Republica.
    4. Claudio Morana, 2003. "Long-Run Growth and Income Distribution: Evidence for Italy and the US," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 62(2), pages 171-210, October.

  58. Claudio Morana, 1998. "Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric Analysis," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 57(3-4), pages 325-358, December.

    Cited by:

    1. Valeria Costantini & Elena Paglialunga, 2014. "Elasticity of substitution in capital-energy relationships: how central is a sector-based panel estimation approach?," SEEDS Working Papers 1314, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2014.
    2. He, Yongda & Lin, Boqiang, 2019. "Heterogeneity and asymmetric effects in energy resources allocation of the manufacturing sectors in China," Energy, Elsevier, vol. 170(C), pages 1019-1035.
    3. Valeria Costantini & Francesco Crespi & Elena Paglialunga, 2019. "Capital–energy substitutability in manufacturing sectors: methodological and policy implications," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 157-182, June.

Chapters

  1. Fabio C. Bagliano & Claudio Morana, 2011. "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 7, Edward Elgar Publishing.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Morten Balling & David T. Llewellyn & Athanasios Orphanides & Luc Coene & Andy Haldane & Richard Davies & Dramane Coulibaly & Hubert Kempf & Nicola Brink & Michael Kock & Amund Holmsen & Øistein Røisl, 2012. "New Paradigms in Monetary Theory and Policy?," SUERF Studies, SUERF - The European Money and Finance Forum, number 2012/1 edited by Morten Balling & David T. Llewellyn, May.

    Cited by:

    1. Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
    2. Sarno, Lucio & Tsiakas, Ilias & Ulloa, Barbara, 2016. "What drives international portfolio flows?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 53-72.
    3. Ackah, Ishmael, 2015. "On the relationship between energy consumption, productivity and economic growth: Evidence from Algeria, Ghana, Nigeria and South Africa," MPRA Paper 64887, University Library of Munich, Germany.

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