← All authors Claudio Morana University of Milano-Bicocca (from arXiv:2205.07579, 2022) · ORCID · OpenAlex
77 papers in scope · 77 published · 1 on the econ.EM arXiv · 2,747 citations · h-index 27 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Francesco Giancaterini Joann Jasiak Alain Hecq Aryan Manafi Neyazi Gianluca Cubadda Christian Gouriéroux Elisa Voisin Sean Telg Tomás del Barrio Castro Stefano Grassi Daniel Velásquez-Gaviria Ivan Ricardo Ines Wilms Stephan Smeekes Luca Margaritella Barbara Guardabascio Quinlan Lee Marie Ternes Marina Friedrich Alexander Heinemann 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 (1 of 77)
Introduction to the special issue on macroeconomic regime changes: Theory, evidence, and policy challenges ahead
published 2025 · European Economic Review · 1 citations
with Pierpaolo Benigno, Patrizio Tirelli
Eurozone economic integration: Historical developments and new challenges ahead
published 2025 · European Economic Review · 2 citations · first circulated 2024
with Fabio C. Bagliano
Climate change risk pricing in the European stock market
published 2024 · Applied Economics · 5 citations
with Nuno Cassola, Elisa Ossola
Euro area inflation and a new measure of core inflation
published 2023 · 10 citations
published 2022 · Econometrics · 7 citations
The risks of exiting too early the policy responses to the COVID-19 recession
published 2021 · 6 citations
with Nuno Cassola, Paul De Grauwe, Patrizio Tirelli
A new macro-financial condition index for the euro area
published 2021 · Econometrics and Statistics · 12 citations
Climate change awareness: Empirical evidence for the European Union
published 2021 · Energy Economics · 27 citations · first circulated 2020
with Donatella Baiardi
Climate change implications for the catastrophe bonds market: An empirical analysis
published 2019 · Economic Modelling · 59 citations
with Giacomo Sbrana
Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
published 2019 · Econometrics and Statistics · 6 citations · first circulated 2018
Financial development and income distribution inequality in the euro area
published 2017 · Economic Modelling · 94 citations · first circulated 2015
with Donatella Baiardi
Macroeconomic and financial effects of oil price shocks: Evidence for the euro area
published 2017 · Economic Modelling · 31 citations · first circulated 2016
It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection
published 2017 · Applied Economics · 12 citations · first circulated 2015
with Fabio C. Bagliano
The financial Kuznets curve: Evidence for the euro area
published 2016 · Journal of Empirical Finance · 40 citations
with Donatella Baiardi
The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises
published 2016 · Journal of Forecasting · 12 citations · first circulated 2015
Semiparametric Estimation of Multivariate GARCH Models
published 2015 · Open Journal of Statistics · 10 citations
Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns
published 2014 · Journal of Empirical Finance · 17 citations · first circulated 2013
New insights on the US OIS spreads term structure during the recent financial turmoil
published 2014 · Applied Financial Economics · 7 citations · first circulated 2013
Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
published 2014 · Open Journal of Statistics · 14 citations · first circulated 2011
The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective
published 2013 · The Energy Journal · 31 citations · first circulated 2012
Oil price dynamics, macro-finance interactions and the role of financial speculation
published 2012 · Journal of Banking & Finance · 124 citations
Adaptive ARFIMA models with applications to inflation
published 2012 · Economic Modelling · 41 citations · first circulated 2011
Determinants of US financial fragility conditions
published 2012 · Research in International Business and Finance · 30 citations
with Fabio C. Bagliano
Euro money market spreads during the 2007–? financial crisis
published 2012 · Journal of Empirical Finance · 21 citations · first circulated 2011
with Nuno Cassola
PC-VAR Estimation of Vector Autoregressive Models
published 2012 · Open Journal of Statistics · 13 citations
The Great Recession: US dynamics and spillovers to the world economy
published 2011 · Journal of Banking & Finance · 129 citations · first circulated 2010
with Fabio C. Bagliano
Realized mean-variance efficient portfolio selection and euro area stock market integration
published 2010 · Applied Financial Economics · 1 citations · first circulated 2008
Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis
published 2009 · Applied Financial Economics · 4 citations
with Fabio C. Bagliano
International house prices and macroeconomic fluctuations
published 2009 · Journal of Banking & Finance · 199 citations · first circulated 2008
with Andrea Beltratti
Realized betas and the cross-section of expected returns
published 2009 · Applied Financial Economics · 9 citations · first circulated 2008
Business cycle comovement in the G-7: common shocks or common transmission mechanisms?
published 2009 · Applied Economics · 35 citations
with Fabio C. Bagliano
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
published 2009 · Journal of Economic Dynamics and Control · 216 citations · first circulated 2007
On the macroeconomic causes of exchange rate volatility
published 2009 · International Journal of Forecasting · 53 citations · first circulated 2007
Medium-term Macroeconomic Determinants of Exchange Rate Volatility
published 2009 · Journal of financial transformation
no link
An omnibus noise filter
published 2008 · Computational Statistics · 2 citations · first circulated 2007
International macroeconomic dynamics: A factor vector autoregressive approach
published 2008 · Economic Modelling · 40 citations · first circulated 2006
with Fabio C. Bagliano
Aggregate hedge funds’ flows and returns
published 2008 · Applied Financial Economics · 4 citations
with Andrea Beltratti
Factor vector autoregressive estimation: a new approach
published 2008 · Journal of Economic Interaction and Coordination · 6 citations · first circulated 2006
with Fabio C. Bagliano
International stock markets comovements: the role of economic and financial integration
published 2007 · Empirical Economics · 27 citations · first circulated 2006
Does the stock market affect income distribution? Some empirical evidence for the US
published 2007 · Applied Economics Letters · 9 citations · first circulated 2005
with Andrea Beltratti
A structural common factor approach to core inflation estimation and forecasting
published 2007 · Applied Economics Letters · 10 citations · first circulated 2004
Multivariate modelling of long memory processes with common components
published 2007 · Computational Statistics & Data Analysis · 40 citations · first circulated 2006
Inflation and monetary dynamics in the USA: a quantity-theory approach
published 2006 · Applied Economics · 21 citations · first circulated 2005
with Fabio C. Bagliano
Estimating long memory in the mark–dollar exchange rate with high frequency data
published 2006 · Applied Financial Economics Letters · 2 citations
with Andrea Beltratti
Structural breaks and common factors in the volatility of the Fama–French factor portfolios
published 2006 · Applied Financial Economics · 5 citations · first circulated 2005
with Andrea Beltratti
The price stability oriented monetary policy of the ECB: an assessment
published 2006 · Applied Economics · 2 citations
Comovements in international stock markets
published 2006 · Journal of International Financial Markets Institutions and Money · 159 citations
with Andrea Beltratti
Volatility of interest rates in the euro area: Evidence from high frequency data
published 2006 · European Journal of Finance · 20 citations · first circulated 2003
with Nuno Cassola
A small scale macroeconometric model for the Euro-12 area
published 2006 · Economic Modelling · 17 citations · first circulated 2005
Comovements in Volatility in the Euro Money Market
published 2006 · Journal of International Money and Finance · 16 citations
with Nuno Cassola, N. Cassola
A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling
published 2006 · Carlo Alberto Notebooks · 41 citations
with Fabio C. Bagliano
no link
The Japanese deflation: has it had real effects? Could it have been avoided?
published 2005 · Applied Economics · 10 citations · first circulated 2004
Statistical benefits of value-at-risk with long memory
published 2005 · The Journal of Risk · 3 citations
with Andrea Beltratti
Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility
published 2005 · Physica A Statistical Mechanics and its Applications · 6 citations · first circulated 2004
Breaks and persistency: macroeconomic causes of stock market volatility
published 2005 · Journal of Econometrics · 174 citations · first circulated 2004
with Andrea Beltratti
Stock market volatility of regulated industries: an empirical assessment
published 2004 · Portuguese Economic Journal · 6 citations
with John W Sawkins
Some frequency domain properties of fractionally cointegrated processes
published 2004 · Applied Economics Letters · 6 citations
Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
published 2004 · Journal of Empirical Finance · 116 citations
with Andrea Beltratti
Monetary policy and the stock market in the euro area
published 2004 · Journal of Policy Modeling · 88 citations · first circulated 2002
with Nuno Cassola
The Japanese stagnation: an assessment of the productivity slowdown hypothesis
published 2003 · Japan and the World Economy · 18 citations
Measuring US core inflation: A common trends approach
published 2003 · Journal of Macroeconomics · 28 citations
with Fabio C. Bagliano
Erratum
published 2003 · Studies in Nonlinear Dynamics and Econometrics
A common trends model of UK core inflation
published 2003 · Empirical Economics · 13 citations · first circulated 2002
with Fabio C. Bagliano
The effects of the introduction of the euro on the volatility of European stock markets
published 2002 · Journal of Banking & Finance · 80 citations
with Andrea Beltratti
IGARCH effects: an interpretation
published 2002 · Applied Economics Letters · 21 citations
Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry
published 2002 · Journal of Regulatory Economics · 2 citations
with John W Sawkins
Core inflation in the Euro area
published 2002 · Applied Economics Letters · 29 citations · first circulated 2000
with Fabio C. Bagliano, Roberto Golinelli
An empirical investigation of long-run growth in the UK
published 2002 · Structural Change and Economic Dynamics · 1 citations
Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
published 2002 · Studies in Nonlinear Dynamics and Econometrics · 24 citations
Long-Run Growth and Income Distribution: Evidence for Italy and the US
published 2002 · Giornale degli Economisti · 3 citations
no link
Deterministic and Stochastic Methods for Estimation of Intra‐day Seasonal Components with High Frequency Data
published 2001 · Economic Notes · 15 citations
with Andrea Beltratti
A semiparametric approach to short-term oil price forecasting
published 2001 · Energy Economics · 254 citations
Central bank interventions and exchange rates: an analysis with high frequency data
published 2000 · Journal of International Financial Markets Institutions and Money · 14 citations
with Andrea Beltratti
Regulatory Uncertainty and Share Price Volatility: the English and Welsh Water Industry’s Periodic Price Review
published 2000 · Journal of Regulatory Economics · 36 citations
with John W Sawkins
Modelling Evolving Long‐run Relationships: An Application to the Italian Energy Market
published 2000 · Scottish Journal of Political Economy · 11 citations
Measuring Core Inflation in Italy
published 2000 · Giornale degli economisti e annali di economia · 9 citations
with Fabio C. Bagliano
no link
Computing value at risk with high frequency data
published 1999 · Journal of Empirical Finance · 81 citations
with Andrea Beltratti
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