← All authors Giovanni Urga City, University of London (per OpenAlex) · ORCID · OpenAlex
73 papers in scope · 72 published · 3 on the econ.EM arXiv · 2,133 citations · h-index 25 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Daniele Massacci Anlong Qin Matteo Barigozzi Zhongjun Qu Fa Wang Timo Dimitriadis Yannick Hoga Tobias Fissler Matteo Luciani Jiangtao Duan Xu Han Julie Schnaitmann Marius Puke Philipp Gersing Xiaochun Liu Jushan Bai Claudio Lissona Marc Hallin Markus Pelger Esther Ruiz Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 73)
working paper 2025 · arXiv
Optimal N-state endogenous Markov-switching model for currency liquidity timing
published 2025 · Journal of Economic Dynamics and Control
with Luqi Wang
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
published 2025 · Journal of Empirical Finance
Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets
published 2024 · Journal of Financial Stability
with Anna Coppola, Alessandro Varaldo
Price exuberance episodes in private real estate
published 2024 · Journal of Financial Stability · 6 citations
with Peter Cincinelli, Sotiris Tsolacos
Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe
published 2024 · International Review of Financial Analysis · 7 citations
with Peter Cincinelli, Elisabetta Pellini
published 2024 · Journal of Econometrics · 7 citations · first circulated 2022
with Fa Wang
A practical multivariate approach to testing volatility spillover
published 2023 · Journal of Economic Dynamics and Control · 3 citations
with Soon Heng Leong
Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings
published 2023 · Journal of Applied Econometrics · 8 citations
published 2023 · International Journal of Forecasting · 7 citations · first circulated 2020
The contribution of (shadow) banks and real estate to systemic risk in China
published 2022 · Journal of Financial Stability · 32 citations
with Carlo Bellavite Pellegrini, Peter Cincinelli, Michele Meoli
Systemic risk in the Chinese financial system: A panel Granger causality analysis
published 2022 · International Review of Financial Analysis · 52 citations
with Peter Cincinelli, Elisabetta Pellini
Combining p -values for Multivariate Predictive Ability Testing
published 2022 · Journal of Business and Economic Statistics · 2 citations
with Lars Spreng
The role of shadow banking in systemic risk in the European financial system
published 2022 · Journal of Banking & Finance · 54 citations · first circulated 2021
with Carlo Bellavite Pellegrini, Peter Cincinelli, Michele Meoli
Leverage and systemic risk pro-cyclicality in the Chinese financial system
published 2021 · International Review of Financial Analysis · 36 citations
with Peter Cincinelli, Elisabetta Pellini
Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators
published 2021 · Revue d économie politique · 3 citations
Multilevel and Tail Risk Management
published 2020 · Journal of Financial Econometrics · 5 citations
with Lynda Khalaf, Arturo Leccadito
A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
published 2020 · Journal of Financial Econometrics · 2 citations · first circulated 2014
with Simona Boffelli, Jan Novotný
The contribution of shadow insurance to systemic risk
published 2020 · Journal of Financial Stability · 17 citations
with Soon Heng Leong, Carlo Bellavite Pellegrini
Forecasting using heterogeneous panels with cross-sectional dependence
published 2020 · International Journal of Forecasting · 2 citations
Combining p-values to test for multiple structural breaks in cointegrated regressions
published 2019 · Journal of Econometrics · 15 citations
with Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf
Asymmetric jump beta estimation with implications for portfolio risk management
published 2019 · International Review of Economics & Finance · 12 citations
Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point
published 2018 · The Energy Journal · 10 citations
with Lilian M. de Menezes, Marianna Russo
Consistent estimation of time-varying loadings in high-dimensional factor models
published 2018 · Journal of Econometrics · 21 citations
On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States
published 2018 · Journal of money credit and banking · 13 citations
Testing for Co-jumps in Financial Markets
published 2017 · Journal of Financial Econometrics · 9 citations
with Jan Novotný
Testing for instability in covariance structures
published 2017 · Bernoulli · 28 citations · first circulated 2012
Money market funds, shadow banking and systemic risk in United Kingdom
published 2017 · Finance research letters · 25 citations
with Carlo Bellavite Pellegrini, Michele Meoli
Liquidity in the NBP forward market Marianna Russo
published 2016 · International Conference on the European Energy Market
with Lilian M. de Menezes
no link
Maximum Non-Extensive Entropy Block Bootstrap for Non-stationary Processes
published 2016 · L Actualité économique · 2 citations · first circulated 2015
with Michele Bergamelli, Jan Novotný
High-and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
published 2015 · Journal of Financial Econometrics · 20 citations · first circulated 2014
with Simona Boffelli, Vasiliki D. Skintzi
Trading strategies with implied forward credit default swap spreads
published 2015 · Journal of Banking & Finance · 6 citations
Trading price jump clusters in foreign exchange markets
published 2015 · Journal of Financial Markets · 21 citations
with Jan Novotný, Dmitri A. Petrov
Macroannouncements, bond auctions and rating actions in the European government bond spreads
published 2015 · Journal of International Money and Finance · 13 citations
with Simona Boffelli
Identification robust inference in cointegrating regressions
published 2014 · Journal of Econometrics · 9 citations
with Lynda Khalaf
True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
published 2014 · Econometric Reviews · 14 citations
with Arturo Leccadito, Omar Rachedi
Independent Factor Autoregressive Conditional Density Model
published 2013 · Econometric Reviews · 38 citations
Evaluating the accuracy of value-at-risk forecasts: New multilevel tests
published 2013 · International Journal of Forecasting · 34 citations
with Arturo Leccadito, Simona Boffelli
On the use of cross-sectional measures of forecast uncertainty
published 2013 · International Journal of Forecasting · 3 citations
Asymptotics for Panel Models with Common Shocks
published 2012 · Econometric Reviews · 24 citations · first circulated 2006
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
published 2012 · Journal of Business and Economic Statistics · 144 citations · first circulated 2011
with Ana-Maria Dumitru
Micro versus macro cointegration in heterogeneous panels
published 2009 · Journal of Econometrics · 10 citations · first circulated 2007
Optimal forecasting with heterogeneous panels: A Monte Carlo study
published 2009 · International Journal of Forecasting · 30 citations · first circulated 2006
Copula-based tests for cross-sectional independence in panel models
published 2008 · Economics Letters · 4 citations · first circulated 2007
with Hongming Huang, Chihwa Kao, Hong-Ming Huang
Methods of privatization and economic growth in transition economies 1
published 2007 · Economics of Transition · 68 citations · first circulated 2004
with John Bennett, Saul Estrin, James Maw
Real options — delay vs. pre-emption: Do industrial characteristics matter?
published 2007 · 19 citations
with Ciarán Driver, Paul Temple
COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS
published 2006 · Econometric Theory · 4 citations
Common Features in Economics and Finance
published 2006 · Journal of Business and Economic Statistics · 17 citations
Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory
published 2006 · Journal of Business and Economic Statistics · 22 citations
with Ciarán Driver, Paul Temple
Identifying externalities in UK manufacturing using direct estimation of an average cost function
published 2006 · Economics Letters · 1 citations · first circulated 2005
with Ciarán Driver, Paul Temple
Modelling structural breaks, long memory and stock market volatility: an overview
published 2004 · Journal of Econometrics · 223 citations
with Anindya Banerjee
Robust GMM tests for structural breaks
published 2004 · Journal of Econometrics · 40 citations · first circulated 2003
Testing Asset Pricing Models With Coskewness
published 2004 · Journal of Business and Economic Statistics · 114 citations
Transforming Qualitative Survey Data: Performance Comparisons for the UK*
published 2004 · Oxford Bulletin of Economics and Statistics · 5 citations
with Ciarán Driver
Cointegration versus Spurious Regression in Heterogeneous Panels
published 2004 · Econometric Society 2004 North American Summer Meetings · 2 citations
no link
The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators
published 2004 · Empirical Economics · 25 citations · first circulated 2002
with Ciarán Driver, Katsushi S. Imai, Paul Temple
The implications of tourism specialisation in the long run: an econometric analysis for 13 OECD economies
published 2003 · Tourism Management · 214 citations
with Alessandro Lanza, Paul Temple
Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand
published 2002 · Energy Economics · 128 citations
with Chris Walters
Are differences in firm size transitory or permanent?
published 2002 · Journal of Applied Econometrics · 91 citations · first circulated 1997
with Paul A. Geroski, Štěpána Lazarová, Christopher F. Walters
Testing for Ongoing Convergence in Transition Economies, 1970 to 1998
published 2001 · Journal of Comparative Economics · 53 citations
with Saul Estrin, Štěpána Lazarová
Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996
published 2001 · Economics of Planning · 6 citations
with Saul Estrin, Štěpána Lazarová
Efficiency, scale and scope economies in the Ukrainian banking sector in 1998
published 2001 · Emerging Markets Review · 64 citations
with Alexander Mertens
The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?
published 2001 · Scottish Journal of Political Economy · 29 citations
with Paul Temple, Ciarán Driver
Software Review: Theory and Practice of Econometric Modelling using PcGive10
published 2001 · Journal of Economic Surveys · 3 citations
The development of the GKO futures market in Russia
published 2001 · Emerging Markets Review · 3 citations
with Anatoly Peresetsky, G Turmuhambetova
A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies
published 2001 · Journal of Business and Economic Statistics · 33 citations · first circulated 1999
with Michael Rockinger
The Evolution of Stock Markets in Transition Economies
published 2000 · Journal of Comparative Economics · 109 citations
with Michael Rockinger
An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand
published 1999 · Economic Modelling · 29 citations
A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence
published 1999 · Oxford Bulletin of Economics and Statistics · 26 citations
with Stephen G. Hall, Štěpána Lazarová
Interrelated Factor Demands from Dynamic Cost Functions: An Application to the Non‐energy Business Sector of the UK Economy
published 1999 · Economica · 26 citations
with Chris Allen
The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates
published 1999 · Computing in Economics and Finance
with Claudia Panseri, Annalisa Cristini
no link
THE COMPETITIVENESS OF UK MANUFACTURING: EVIDENCE FROM IMPORTS
published 1997 · Oxford Economic Papers · 22 citations
with Paul Temple
On the identification problem in testing the dynamic specification of factor-demand equations
published 1996 · Economics Letters · 9 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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