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Giovanni Urga

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.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters, 2003. "Are differences in firm size transitory or permanent?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 47-59.

    Mentioned in:

    1. Are differences in firm size transitory or permanent? (Journal of Applied Econometrics 2003) in ReplicationWiki ()

Working papers

  1. Giovanni Urga & Fa Wang, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," Papers 2205.12126, arXiv.org, revised Apr 2023.

    Cited by:

    1. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.

  2. Oguzhan Akgun & Alain Pirotte & Giovanni Urga & Zhenlin Yang, 2020. "Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts," Papers 2003.02803, arXiv.org, revised Feb 2023.

    Cited by:

    1. Christophe BOUCHER & Wassim LE LANN & Stéphane MATTON & Sessi TOKPAVI, 2021. "Backtesting ESG Ratings," LEO Working Papers / DR LEO 2883, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2024. "Comparing forecasting performance with panel data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 918-941.
    3. Ryan Greenaway-McGrevy & Kade Sorensen, 2021. "A spatial model averaging approach to measuring house prices," Journal of Spatial Econometrics, Springer, vol. 2(1), pages 1-32, December.

  3. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Eric Hillebrand & Jakob Guldbæk Mikkelsen & Lars Spreng & Giovanni Urga, 2023. "Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 857-877, September.

  4. de Menezes, Lilian M. & Russo, Marianna & Urga, Giovanni, 2019. "Measuring liquidity in gas markets: The case of the UK National Balancing Point," Papers RB201906, Economic and Social Research Institute (ESRI).

    Cited by:

    1. Chyong, C K. & Reiner, D & Aggarwal, D., 2021. "Market power and long-term gas contracts: the case of Gazprom in Central and Eastern European Gas Markets," Cambridge Working Papers in Economics 2144, Faculty of Economics, University of Cambridge.

  5. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.

    Cited by:

    1. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    2. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).

  6. Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015. "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers 2015-61, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
    2. Kutateladze, Varlam, 2022. "The kernel trick for nonlinear factor modeling," International Journal of Forecasting, Elsevier, vol. 38(1), pages 165-177.
    3. Varlam Kutateladze, 2021. "The Kernel Trick for Nonlinear Factor Modeling," Papers 2103.01266, arXiv.org.
    4. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-switching three-pass regression filter," Working Papers 1748, Banco de España.
    5. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.

  7. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.

    Cited by:

    1. Hanousek, Jan & Antoch, Jaromir & Huskova, Marie & Horvath, Lajos & Wang, Shixuan, 2017. "Structural breaks in panel data: Large number of panels and short length time series," CEPR Discussion Papers 11891, C.E.P.R. Discussion Papers.
    2. Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
    3. Lorenzo Trapani, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 283-286, June.

  8. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.

    Cited by:

    1. Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
    2. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    3. Esparcia, Carlos & Díaz, Antonio, 2024. "The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study," Research in International Business and Finance, Elsevier, vol. 71(C).
    4. Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Adekoya, Oluwasegun B. & Oteng-Abayie, Eric Fosu, 2023. "An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    5. Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
    6. Sarwar, Suleman & Khalfaoui, Rabeh & Waheed, Rida & Dastgerdi, Hamidreza Ghorbani, 2019. "Volatility spillovers and hedging: Evidence from Asian oil-importing countries," Resources Policy, Elsevier, vol. 61(C), pages 479-488.
    7. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
    8. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    9. Yue, Wei & Wang, Yuping, 2017. "A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 124-140.
    10. Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
    11. Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
    12. Umar, Zaghum & Hussain Shahzad, Syed Jawad & Kenourgios, Dimitris, 2019. "Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    13. Kris Boudt & Dries Cornilly & Tim Verdonck, 2019. "Nearest Comoment Estimation With Unobserved Factors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/970, Ghent University, Faculty of Economics and Business Administration.
    14. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    15. Lassance, Nathan & Vrins, Frédéric, 2020. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2020003, Université catholique de Louvain, Louvain Finance (LFIN).
    16. Boudt, Kris & Lu, Wanbo & Peeters, Benedict, 2015. "Higher order comoments of multifactor models and asset allocation," Finance Research Letters, Elsevier, vol. 13(C), pages 225-233.
    17. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    18. Díaz, Antonio & Escribano, Ana & Esparcia, Carlos, 2024. "Sustainable risk preferences on asset allocation: a higher order optimal portfolio study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).

  9. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Instability in Covariance Structures," Center for Policy Research Working Papers 131, Center for Policy Research, Maxwell School, Syracuse University.

    Cited by:

    1. Michal Pešta, 2021. "Changepoint in Error-Prone Relations," Mathematics, MDPI, vol. 9(1), pages 1-25, January.
    2. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    3. Lorenzo Trapani, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 283-286, June.
    4. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
    5. Marco R. Barassi & Nicola Spagnolo & Yuqian Zhao, 2018. "Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(4), pages 923-968, December.

  10. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2011. "Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends," Center for Policy Research Working Papers 129, Center for Policy Research, Maxwell School, Syracuse University.

    Cited by:

    1. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.

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

    Cited by:

    1. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
    2. Georgina M. Gómez, 2019. "Money as an Institution: Rule versus Evolved Practice? Analysis of Multiple Currencies in Argentina," JRFM, MDPI, vol. 12(2), pages 1-14, May.
    3. Rodolfo E. Manuelli & Juan I. Vizcaino, 2017. "Monetary Policy with Declining Deficits: Theory and an Application to Recent Argentine Monetary Policy," Review, Federal Reserve Bank of St. Louis, vol. 99(4), pages 351-375.

  12. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia," Working Papers 0808, Department of Management, Information and Production Engineering, University of Bergamo.

    Cited by:

    1. Matteucci, Nicola, 2019. "The EU State aid policy for broadband: An evaluation of the Italian experience with first generation networks," Telecommunications Policy, Elsevier, vol. 43(9).
    2. Matteucci, Nicola, 2021. "Procuring NGA infrastructure: The performance of EMAT auctions in Italy," Telecommunications Policy, Elsevier, vol. 45(1).

  13. Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Management, Information and Production Engineering, University of Bergamo.

    Cited by:

    1. Basher, Syed Abul & Elsamadisy, Elsayed Mousa, 2010. "Country Heterogeneity and Long-Run Determinants of Inflation in the Gulf Arab States," MPRA Paper 27348, University Library of Munich, Germany.
    2. Pesaran, M. Hashem & Chudik, Alexander, 2011. "Aggregation in Large Dynamic Panels," IZA Discussion Papers 5478, Institute of Labor Economics (IZA).
    3. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
    4. Fauceglia, Dario & Shingal, Anirudh & Wermelinger, Martin, 2012. ""Natural hedging" of exchange rate risk: The role of imported input prices," MPRA Paper 39438, University Library of Munich, Germany.

  14. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends," Working Papers 0708, Department of Management, Information and Production Engineering, University of Bergamo.

    Cited by:

    1. Félix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Stability tests for heterogeneous panel data," Working Papers halshs-00589114, HAL.
    2. Eberhardt, Markus & Teal, Francis, 2009. "A Common Factor Approach to Spatial Heterogeneity in Agricultural Productivity Analysis," MPRA Paper 15810, University Library of Munich, Germany.
    3. Kim, Dukpa, 2011. "Estimating a common deterministic time trend break in large panels with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 164(2), pages 310-330, October.

  15. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "Asymptotics for panel models with common shocks," Working Papers 0615, Department of Management, Information and Production Engineering, University of Bergamo.

    Cited by:

    1. Arturas Juodis & Simon Reese, 2018. "The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation," Papers 1810.03715, arXiv.org, revised Feb 2021.
    2. G. Forchini & Bin Jiang & Bin Peng, 2015. "Common Shocks in panels with Endogenous Regressors," Monash Econometrics and Business Statistics Working Papers 8/15, Monash University, Department of Econometrics and Business Statistics.
    3. Manoel Bittencourt, 2008. "Inflation and Financial Development: Evidence from Brazil," WIDER Working Paper Series RP2008-14, World Institute for Development Economic Research (UNU-WIDER).
    4. Hanousek, Jan & Antoch, Jaromir & Huskova, Marie & Horvath, Lajos & Wang, Shixuan, 2017. "Structural breaks in panel data: Large number of panels and short length time series," CEPR Discussion Papers 11891, C.E.P.R. Discussion Papers.
    5. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    6. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2017. "Testing for Panel Cointegration Using Common Correlated Effects Estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 610-636, July.
    7. Jaromír Antoch & Jan Hanousek & Marie Hušková & Jiří Trešl, 2019. "Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize [Detection of Changes in Panel Data: Change in Fama-French Model Parameters," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 3-19.
    8. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
    9. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
    10. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
    11. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends," Working Papers 0708, Department of Management, Information and Production Engineering, University of Bergamo.
    12. Giovanni Forchini & Bin Peng, 2016. "A Conditional Approach to Panel Data Models with Common Shocks," Econometrics, MDPI, vol. 4(1), pages 1-12, January.
    13. Shahnaz Parsaeian, 2024. "Stein-like Common Correlated Effects Estimation under Structural Breaks," Econometrics, MDPI, vol. 12(2), pages 1-23, April.
    14. In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).

  16. Lorenzo Trapani & Giovanni Urga, 2006. "Optimal forecasting with heterogeneous panels: a Monte Carlo study," Working Papers 0616, Department of Management, Information and Production Engineering, University of Bergamo.

    Cited by:

    1. Ken Imanak Sagynbekov, 2014. "A tale of six states: How similar are the Gulf Cooperation Council countries?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(4), pages 476-490, June.
    2. Thomas Jobert & Alexandru Monahov & Anna Tykhonenko, 2015. "Domestic Credit in Times of Supervision: an Empirical Investigation of European Countries," Working Papers halshs-01295606, HAL.
    3. Thomas Jobert & Fatih Karanfil & Anna Tykhonenko, 2012. "Trade and Environment: Further Empirical Evidence from Heterogeneous Panels Using Aggregate Data," GREDEG Working Papers 2012-15, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    4. Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2011. "Estimating and Forecasting with a Dynamic Spatial Panel Data Model," SERC Discussion Papers 0095, Centre for Economic Performance, LSE.
    5. Anna Tykhonenko & Donnat Grégory, 2023. "Debt Relief: The Day After, Financing Low-Income Countries," Working Papers hal-04298784, HAL.
    6. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
    7. Akgun, Oguzhan & Pirotte, Alain & Urga, Giovanni, 2020. "Forecasting using heterogeneous panels with cross-sectional dependence," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1211-1227.
    8. Massimiliano Mazzanti & Antonio Musolesi, 2012. "The heterogeneity of Carbon Kuznets Curves for advanced countries. Comparing homogeneous, heterogeneous and shrinkage/Bayesian estimators," Working Papers 201206, University of Ferrara, Department of Economics.
    9. Trapani, Lorenzo, 2012. "On the asymptotic t-test for large nonstationary panel models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3286-3306.
    10. Ernesto Aguayo-T鬬ez & Jos頍art󹑺-Navarro, 2013. "Internal and international migration in Mexico: 1995--2000," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1647-1661, May.
    11. Thomas Jobert & Fatih Karanfil & Anna Tykhonenko, 2014. "Estimating country-specific environmental Kuznets curves from panel data: a Bayesian shrinkage approach," Applied Economics, Taylor & Francis Journals, vol. 46(13), pages 1449-1464, May.
    12. Grégory Donnat & Anna Tykhonenko, 2023. "Debt Relief: The Day After, Financing Developing Countries," GREDEG Working Papers 2023-07, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, revised Dec 2024.
    13. David Schröder & Andrew Yim, 2018. "Industry Effects in Firm and Segment Profitability Forecasting," Contemporary Accounting Research, John Wiley & Sons, vol. 35(4), pages 2106-2130, December.
    14. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
    15. Reibling, Nadine, 2013. "The international performance of healthcare systems in population health: Capabilities of pooled cross-sectional time series methods," Health Policy, Elsevier, vol. 112(1), pages 122-132.
    16. Morales-Arias, Leonardo & Dross, Alexander, 2010. "Adaptive forecasting of exchange rates with panel data," Kiel Working Papers 1656, Kiel Institute for the World Economy (IfW Kiel).

  17. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function," School of Economics Discussion Papers 1005, School of Economics, University of Surrey.

    Cited by:

    1. Gianluca Benigno & Luca Fornaro, 2014. "The Financial Resource Curse," Scandinavian Journal of Economics, Wiley Blackwell, vol. 116(1), pages 58-86, January.

  18. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.

    Cited by:

    1. Vivek Ghosal, 2004. "Endemic Volatility Of Firms And Establishments: Are Real Options Effects Important?," Royal Economic Society Annual Conference 2004 4, Royal Economic Society.
    2. von Kalckreuth, Ulf, 2000. "Exploring the role of uncertainty for corporate investment decisions in Germany," Discussion Paper Series 1: Economic Studies 2000,05, Deutsche Bundesbank.

  19. Estrin, Saul & Bennett, John & Maw, James & Urga, Giovanni, 2004. "Privatization Methods and Economic Growth in Transition Economies," CEPR Discussion Papers 4291, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ichiro Iwasaki & Kazuhiro Kumo, 2016. "Decline and Growth in Transition Economies: A Meta-Analysis," KIER Working Papers 951, Kyoto University, Institute of Economic Research.
    2. Fungáčová, Zuzana & Hanousek, Jan, 2006. "A castle built on sand: the effects of mass privatization on stock market creation in transition economies," BOFIT Discussion Papers 14/2006, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Gouret, Fabian, 2007. "Privatization and output behavior during the transition: Methods matter!," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 3-34, March.
    4. Denisova, Irina & Zhuravskaya, Ekaterina & Frye, Timothy & Eller, Markus, 2007. "Who Wants to Revise Privatization and Why? Evidence from 28 Post-Communist Countries," CEPR Discussion Papers 6603, C.E.P.R. Discussion Papers.
    5. Zuzana Fungacova, 2005. "Building a Castle on Sand: Effects of Mass Privatization on Capital Market Creation in Transition Economies," CERGE-EI Working Papers wp256, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    6. Apostolov, Mico, 2011. "Governance and enterprise restructuring - the case of Macedonia," MPRA Paper 30812, University Library of Munich, Germany.
    7. Elena Yusupova, 2006. "Information Asymmetry, Share Mispricing and the Coordination Problem: Investor Portfolio Choice in Czech Voucher Privatization," CERGE-EI Working Papers wp301, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Ahrend, Rüdiger, 2012. "Understanding Russian regions’ economic performance during periods of decline and growth—An extreme bound analysis approach," Economic Systems, Elsevier, vol. 36(3), pages 426-443.
    9. Campos, Nauro & Kinoshita, Yuko, 2008. "Foreign Direct Investment and Structural Reforms: Evidence from Eastern Europe and Latin America," CEPR Discussion Papers 6690, C.E.P.R. Discussion Papers.
    10. Bakanova, Marina & Estrin, Saul & Pelipas, Igor & Pukovich, Sergei, 2006. "Enterprise Restructuring in Belarus," IZA Discussion Papers 2148, Institute of Labor Economics (IZA).
    11. Irena Grosfeld & Iraj Hashi, 2004. "The emergence of large shareholders in mass privatized firms: Evidence from Poland and the Czech Republic," William Davidson Institute Working Papers Series 2004-718, William Davidson Institute at the University of Michigan.
    12. Apostolov, Mico, 2010. "Governance and Enterprise Restructuring in Southeast Europe," MPRA Paper 27634, University Library of Munich, Germany.
    13. Crivelli, Ernesto, 2013. "Fiscal impact of privatization revisited: The role of tax revenues in transition economies," Economic Systems, Elsevier, vol. 37(2), pages 217-232.
    14. Marina Bakanova, & Saul Estrin & Igor Pelipas & Sergei Pukovic, 2006. "Enterprise Restructuring in Belarus," William Davidson Institute Working Papers Series 823, William Davidson Institute at the University of Michigan.
    15. Emanuele Bacchiocchi & Massimo Florio, 2008. "Privatisation and aggregate output: testing for macroeconomic transmission channels," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(5), pages 525-545, December.
    16. Anis Chowdhury, 2012. "Structural Adjustment and Crises –Which Way Now?," Institutions and Economies (formerly known as International Journal of Institutions and Economies), Faculty of Economics and Administration, University of Malaya, vol. 4(1), pages 85-118, April.
    17. Iga Magda & David Marsden & Simone Moriconi, 2012. "Collective Agreements, Wages, and Firms' Cohorts: Evidence from Central Europe," ILR Review, Cornell University, ILR School, vol. 65(3), pages 607-629, July.
    18. Armand Krasniqi, 2016. "The issue of the liquidation process of social enterprises during privatization process in Kosovo," Juridical Tribune - Review of Comparative and International Law, Bucharest Academy of Economic Studies, vol. 6(Special), pages 186-195, October.
    19. Jorge Saba Arbache, 2004. "Do Structural Reforms always Succeed?: Lessons from Brazil," WIDER Working Paper Series RP2004-58, World Institute for Development Economic Research (UNU-WIDER).

  20. Ciaran Driver & Lorenzo Trapani & Giovanni Urga, 2004. "Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data," Royal Economic Society Annual Conference 2004 96, Royal Economic Society.

    Cited by:

    1. Mario Quagliariello, 2006. "Macroeconomics Uncertainty and Banks' Lending Decisions: The Case of Italy," Discussion Papers 06/02, Department of Economics, University of York.

  21. Giovanni Urga & Christian de Peretti, 2004. "Stopping Tests in the Sequential Estimation for Multiple Structural Breaks," Econometric Society 2004 Latin American Meetings 320, Econometric Society.

    Cited by:

    1. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
    2. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, vol. 3(2), pages 1-25, April.
    3. Dany Lang & Christian de Peretti, 2009. "A strong hysteretic model of Okun's Law: Theory and a preliminary investigation," Post-Print hal-02877983, HAL.
    4. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
    5. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    6. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  22. Driver, Ciaran & Paul Temple & Giovanni Urga, 2002. "Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment," Royal Economic Society Annual Conference 2002 66, Royal Economic Society.

    Cited by:

    1. Christopher F. Baum & Atreya Chakraborty & Boyan Liu, 2010. "The impact of macroeconomic uncertainty on firms' changes in financial leverage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 22-30.
    2. Christopher F. Baum & Dorothea Schäfer & Oleksandr Talavera, 2006. "The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany," Boston College Working Papers in Economics 637, Boston College Department of Economics, revised 05 Aug 2006.
    3. Oleksandr Talavera & Andriy Tsapin & Oleksandr Zholud, 2006. "Macroeconomic Uncertainty and Bank Lending: The Case of Ukraine," Discussion Papers of DIW Berlin 637, DIW Berlin, German Institute for Economic Research.
    4. Christopher F. Baum & Atreya Chakraborty & Liyan Han & Boyan Liu, 2012. "The effects of uncertainty and corporate governance on firms’ demand for liquidity," Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 515-525, February.

  23. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2002. "Contrasts between classes of assets in fixed investment panel equations as a way of testing real option theory," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B3-3, International Conferences on Panel Data.

    Cited by:

    1. Konstantinos Drakos, 2006. "A note on uncertainty and investment across the spectrum of irreversibility," Applied Economics Letters, Taylor & Francis Journals, vol. 13(13), pages 873-876.

  24. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2002. "The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B3-4, International Conferences on Panel Data.

    Cited by:

    1. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.

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

    Cited by:

    1. Alistair DIEPPE & Alberto GONZÁLEZ PANDIELLA & Stephen HALL & Alpo WILLMAN, 2010. "MEMBER: Multi-Country Euro Area Model with Boundedly Estimated Rationality," EcoMod2010 259600046, EcoMod.
    2. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    3. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.
    4. Willman, Alpo & Dieppe, Alistair & Baumann, Ursel & González Pandiella, Alberto, 2014. "Model of the United States economy with learning MUSEL," Working Paper Series 1745, European Central Bank.
    5. Medvedev, Alexei, 2001. "International investors, contagion and the Russian crisis," BOFIT Discussion Papers 6/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    6. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    7. Wang, Yuenan & Iorio, Amalia Di, 2007. "Are the China-related stock markets segmented with both world and regional stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 277-290, July.
    8. André Ricardo de Pinho Ronzani & Osvaldo Candido & Wilfredo Fernando Leiva Maldonado, 2017. "Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market," IJFS, MDPI, vol. 5(4), pages 1-21, December.
    9. Barry Harrison & Winston Moore, 2010. "Nonlinearities in Stock Returns for Some Recent Entrants to the EU," NBS Discussion Papers in Economics 2010/1, Economics, Nottingham Business School, Nottingham Trent University.
    10. Erginbay UGURLU, 2014. "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 1(1), pages 302-310, December.
    11. Pierdzioch, Christian, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers 1213, Kiel Institute for the World Economy (IfW Kiel).
    12. Harrison, Barry & Moore, Winston, 2009. "Stock Market Como Vement In The European Union And Transition Countries," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 13(3), pages 124-151.
    13. Michael Rockinger & Eric Jondeau, 2002. "Asset Allocation in Transition Economies," Working Papers hal-00597773, HAL.
    14. Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS.
    15. Florin Aliu & Besnik Krasniqi & Adriana Knapkova & Fisnik Aliu, 2019. "Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 69(2), pages 273-287, June.
    16. Hooy, Chee-Wooi & Lim, Kian-Ping, 2013. "Is market integration associated with informational efficiency of stock markets?," Journal of Policy Modeling, Elsevier, vol. 35(1), pages 29-44.
    17. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
    18. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    19. K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
    20. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
    21. Maurizio Michael Habib, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," International Finance 0209004, University Library of Munich, Germany.
    22. Pierdzioch, Christian & Schertler, Andrea, 2005. "Sources of Predictability of European Stock Markets for High-Technology Firms," Kiel Working Papers 1235, Kiel Institute for the World Economy (IfW Kiel).
    23. Schotman, Peter C. & Zalewska, Anna, 2006. "Non-synchronous trading and testing for market integration in Central European emerging markets," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 462-494, October.
    24. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    25. Cuadro-Sáez, Lucía & Moreno, Manuel, 2007. "GARCH modeling of robust market returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy (IfW Kiel).
    26. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    27. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
    28. Kizys, Renatas & Pierdzioch, Christian, 2004. "Business Cycle Fluctuations and International Financial Integration," Kiel Working Papers 1197, Kiel Institute for the World Economy (IfW Kiel).
    29. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    30. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
    31. Barry Harrison & Winston Moore, 2011. "Nonlinearities in central and eastern European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1363-1366.
    32. Aymen Ben Rejeb & Adel Boughrara, 2014. "Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 230-245, September.
    33. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
    34. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
    35. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Extreme movements of the Russian stock market and their consequences for management and economic modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 75-92.
    36. Schotman, Peter C & Zalewska, Ania, 2005. "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers 5352, C.E.P.R. Discussion Papers.
    37. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
    38. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
    39. Randall K. Filer & Jan Hanousek, 2001. "Data Watch: Research Data from Transition Economies," William Davidson Institute Working Papers Series 416, William Davidson Institute at the University of Michigan.
    40. Michael Rockinger & Eric Jondeau, 2001. "Portfolio allocation in transition economies," Working Papers hal-00601482, HAL.
    41. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
    42. Jochem, Axel & Herrmann, Sabine, 2003. "The international integration of money markets in the central and east European accession countries: deviations from covered interest parity, capital controls and inefficiencies in the financial secto," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    43. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
    44. Camelia Oprean, 2012. "Testing the financial market informational efficiency in emerging states," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 181-190, Decembre.
    45. Habib, Maurizio Michael, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," BOFIT Discussion Papers 7/2002, Bank of Finland Institute for Emerging Economies (BOFIT).
    46. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
    47. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
    48. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.
    49. Dieppe, Alistair & Pandiella, Alberto González & Hall, Stephen & Willman, Alpo, 2013. "Limited information minimal state variable learning in a medium-scale multi-country model," Economic Modelling, Elsevier, vol. 33(C), pages 808-825.
    50. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
    51. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
    52. Bohl, Martin T. & Gottschalk, Katrin & Henke, Harald & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," Working Paper Series 2006,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    53. Junji Shimada & Toyoharu Takahashi & Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda, 2010. "Japanese Interest Rate Swap Pricing," TERG Discussion Papers 253, Graduate School of Economics and Management, Tohoku University.
    54. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    55. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    56. Barry Harrison & Winston Moore, 2009. "Spillover effects from London and Frankfurt to Central and Eastern European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1509-1521.
    57. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    58. Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
    59. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
    60. Omay, Nazli C. & Karadagli, Ece C., 2010. "Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach," MPRA Paper 27312, University Library of Munich, Germany.
    61. Buch, Claudia M. & Döpke, Jörg, 1999. "Real and Financial Integration in Europe - Evidence for the Accession States and for the Pre-Ins," Kiel Working Papers 917, Kiel Institute for the World Economy (IfW Kiel).
    62. Dorofeev Evgeny, 2001. "Economic Factors Influence on the Russian Capital Market Behavior," EERC Working Paper Series 2k/03e, EERC Research Network, Russia and CIS.
    63. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    64. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    65. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
    66. Galin Todorov & Prasad Bidarkota, 2014. "Time-varying financial spillovers from the US to frontier markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 246-283, September.
    67. Ajaya Kumar Panda & Swagatika Nanda, 2018. "A GARCH Modelling of Volatility and M-GARCH Approach of Stock Market Linkages of North America," Global Business Review, International Management Institute, vol. 19(6), pages 1538-1553, December.
    68. Ewa Feder-Sempach & Piotr Szczepocki & Wiesław Dębski, 2023. "What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 25-44.
    69. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
    70. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Heavy tails and asymmetry of returns in the Russian stock market," Emerging Markets Review, Elsevier, vol. 32(C), pages 200-219.
    71. Kizys, Renatas & Pierdzioch, Christian, 2009. "Changes in the international comovement of stock returns and asymmetric macroeconomic shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 289-305, April.
    72. Jan Hájek, 2007. "Czech Capital Market Weak-Form Efficiency, Selected Issues," Prague Economic Papers, Prague University of Economics and Business, vol. 2007(4), pages 303-318.
    73. Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan.
    74. Li, Hong & Majerowska, Ewa, 2008. "Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 22(3), pages 247-266, September.

  26. Geroski, Paul A & Samiei, Hossein & Urga, Giovanni, 1997. "Are Differences in Firm Size Transitory or Permanent?," CEPR Discussion Papers 1691, C.E.P.R. Discussion Papers.

    Cited by:

    1. Rabah Amir & Filomena Garcia & Malgorzata Knauff, 2006. "Endogenous Heterogeneity in Strategic Models: Symmetry-breaking via Strategic Substitutes and Nonconcavities," Working Papers Department of Economics 2006/29, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    2. Münter, Markus Thomas, 2017. "Endogenous number of firms, horizontal concentration and heterogeneity of firms—A note," Economics Letters, Elsevier, vol. 154(C), pages 74-76.
    3. Younsuk Park & Jaeun Shin & Taejong Kim, 2010. "Firm size, age, industrial networking, and growth: a case of the Korean manufacturing industry," Small Business Economics, Springer, vol. 35(2), pages 153-168, September.
    4. Marco Corsino, 2008. "Product Innovation and Growth: The Case of Integrated Circuits," LEM Papers Series 2008/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Alex Coad, 2007. "Firm growth: a survey," Documents de travail du Centre d'Economie de la Sorbonne r07024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    6. Domenico Delli Gatti & Edoardo Gaffeo & Mauro Gallegati, 2008. "A look at the relationship between industrial dynamics and aggregate fluctuations," Department of Economics Working Papers 0803, Department of Economics, University of Trento, Italia.
    7. Saripalle, Madhuri, 2006. "Learning across policy regimes: The impact of protection vis-à-vis competition in the Indian automotive industry," MPRA Paper 1701, University Library of Munich, Germany.
    8. Bayer, Christian, 2006. "Investment dynamics with fixed capital adjustment cost and capital market imperfections," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1909-1947, November.
    9. Aslan, Alper, 2008. "Testing Gibrat’s law: empirical evidence from panel unit root tests of turkish firms," MPRA Paper 10594, University Library of Munich, Germany.
    10. Luis Fernando Lanaspa Santolaria & Irene Olloqui Cuartero & Fernando Sanz Garcia, 2012. "Common Trends and Linkages in the US Manufacturing Sector, 1969–2000," International Journal of Urban and Regional Research, Wiley Blackwell, vol. 36(5), pages 1093-1111, September.
    11. Blandina Oliveira & Adelino Fortunato, 2008. "The dynamics of the growth of firms: evidence from the services sector," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 293-312, July.
    12. Matteo Richiardi, 2004. "Generalizing Gibrat: Reasonable Multiplicative Models of Firm Dynamics," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 7(1), pages 1-2.
    13. James Foreman-Peck & Leslie Hannah, 2023. "Business Forms and Business Performance in UK Manufacturing 1871-81," CIRJE F-Series CIRJE-F-1222, CIRJE, Faculty of Economics, University of Tokyo.
    14. D.B. Audretsch & L. Klomp & E. Santarelli & A.R. Thurik, 2004. "Gibrat's Law: Are the Services Different?," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 24(3), pages 301-324, May.
    15. Christian Bayer, 2001. "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Discussion Papers in Economics 01_13, University of Dortmund, Department of Economics.
    16. Matteo Richiardi, 2003. "Generalizing Gibrat Reasonable Stochastic Multiplicative Models of Firm Dynamics with Entry and Exit," LABORatorio R. Revelli Working Papers Series 21, LABORatorio R. Revelli, Centre for Employment Studies.
    17. Jaraitė, Jūratė & Kažukauskas, Andrius, 2013. "The profitability of electricity generating firms and policies promoting renewable energy," Energy Economics, Elsevier, vol. 40(C), pages 858-865.
    18. Giorgio Canarella & Stephen M. Miller, 2017. "The Determinants of Growth in the Information and Communication Technology (ICT) Industry: A Firm-Level Analysis," Working papers 2017-12, University of Connecticut, Department of Economics.
    19. E. Cefis & M. Ciccarelli & L. Orsenigo, 2005. "Testing Gibrat's Legacy: A Bayesian Approach to Study the Growth of Firms," Working Papers 05-02, Utrecht School of Economics.
    20. Arauzo Carod, Josep Maria & Segarra Blasco, Agustí, 2004. "The Determinants of Entry are not Independent of Start-up Size: Some evidence from Spanish manufacturing," Working Papers 2072/1775, Universitat Rovira i Virgili, Department of Economics.
    21. Renáta Kosová & Francine Lafontaine, 2010. "Survival And Growth In Retail And Service Industries: Evidence From Franchised Chains," Journal of Industrial Economics, Wiley Blackwell, vol. 58(3), pages 542-578, September.
    22. Lee, Chang-Yang, 2010. "A theory of firm growth: Learning capability, knowledge threshold, and patterns of growth," Research Policy, Elsevier, vol. 39(2), pages 278-289, March.
    23. Paul Geroski & Tobias Kretschmer & Chris Walters, 2009. "Corporate Productivity Growth: Champions, Leaders, And Laggards," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 1-17, January.
    24. Bottazzi, Giulio & Dosi, Giovanni & Lippi, Marco & Pammolli, Fabio & Riccaboni, Massimo, 2001. "Innovation and corporate growth in the evolution of the drug industry," International Journal of Industrial Organization, Elsevier, vol. 19(7), pages 1161-1187, July.
    25. G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters, 2003. "Are differences in firm size transitory or permanent?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 47-59.
    26. Distante, Roberta & Petrella, Ivan & Santoro, Emiliano, 2018. "Gibrat’s law and quantile regressions: An application to firm growth," Economics Letters, Elsevier, vol. 164(C), pages 5-9.
    27. Elena Cefis & Matteo Ciccarelli & Luigi Orsenigo, 2002. "From Gibrat’s legacy to Gibrat’s fallacy. A Bayesian approach to study the growth of firms," Working Papers (-2012) 0206, University of Bergamo, Department of Economics.
    28. Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020. "Exploiting ergodicity in forecasts of corporate profitability," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    29. Blandina Oliveira & Adelino Fortunato, 2003. "Testing Gibrat’s Law: Empirical Evidence from a Panel of Portuguese Manufacturing Firms," GEMF Working Papers 2003-07, GEMF, Faculty of Economics, University of Coimbra.
    30. Kažukauskas, Andrius & Jaraite, Jurate, 2011. "The Profitability of Power Generating Firms and Policies Promoting Renewable Energy," CERE Working Papers 2011:14, CERE - the Center for Environmental and Resource Economics.
    31. Goddard, John & Tavakoli, Manouche & Wilson, John O.S., 2009. "Sources of variation in firm profitability and growth," Journal of Business Research, Elsevier, vol. 62(4), pages 495-508, April.
    32. Emiliano Santoro, 2006. "Macroeconomic fluctuations and the firms' rate of growth distribution: evidence from UK and US quoted companies," Department of Economics Working Papers 0606, Department of Economics, University of Trento, Italia.
    33. Ioannis Kessides & Li Tang, 2010. "Sunk Costs, Market Contestability, and the Size Distribution of Firms," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 37(3), pages 215-236, November.
    34. Cristiano Antonelli & Francesco Crespi & Giuseppe Scellato, 2018. "Productivity growth persistence: firm strategies, size and system properties," Chapters, in: The Evolutionary Complexity of Endogenous Innovation, chapter 8, pages 176-202, Edward Elgar Publishing.
    35. John Goddard & David McMillan & John Wilson, 2006. "Do firm sizes and profit rates converge? Evidence on Gibrat's Law and the persistence of profits in the long run," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 267-278.
    36. Geroski, Paul A & Gugler, Klaus Peter, 2001. "Corporate Growth Convergence in Europe," CEPR Discussion Papers 2838, C.E.P.R. Discussion Papers.
    37. Markus Thomas Münter, 2023. "Endogenous Entry and Growth of Firms with Heterogeneous Firms," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 63(1), pages 21-39, August.
    38. Giorgia Giovannetti & Margherita Velucchi, 2022. "Gender discrimination and firm survival: a multilevel approach for EU textile companies," SN Business & Economics, Springer, vol. 2(9), pages 1-19, September.
    39. Antonelli, Cristiano & Crespi, Francesco & Scellato, Giuseppe, 2013. "Path Dependent Patterns of Persistence in Productivity Growth," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201323, University of Turin.
    40. P. Hart, 2000. "Theories of Firms' Growth and the Generation of Jobs," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 17(3), pages 229-248, November.
    41. Michael Böheim & Michael Pfaffermayr & Klaus Gugler, 2000. "Do Growth Rates Differ in European Manufacturing Industries?," Austrian Economic Quarterly, WIFO, vol. 5(2), pages 93-104, May.
    42. A. Arrighetti & A. Ninni, 2009. "Firm size and growth opportunities: a survey," Economics Department Working Papers 2009-EP05, Department of Economics, Parma University (Italy).

  27. Estrin, Saul & Urga, Giovanni, 1997. "Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995," CEPR Discussion Papers 1616, C.E.P.R. Discussion Papers.

    Cited by:

    1. Seamus Mcguinness & Maura Sheehan, 1998. "Regional convergence in the UK, 1970-1995," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 653-658.
    2. Fidrmuc, Jan & Horvath, Julius & Fidrmuc, Jarko, 1999. "Stability of Monetary Unions: Lessons from the Break-up of Czechoslovakia," Transition Economics Series 10, Institute for Advanced Studies.
    3. Jarko Fidrmuc, 2004. "The Endogeneity of the Optimum Currency Area Criteria, Intra‐industry Trade, and EMU Enlargement," Contemporary Economic Policy, Western Economic Association International, vol. 22(1), pages 1-12, January.
    4. Fidrmuc, Jarko & Korhonen, Iikka, 2003. "The euro goes East: Implications of the 2000-2002 economic slowdown for synchronisation of business cycles between the euro area and CEECs," BOFIT Discussion Papers 6/2003, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. Malinen Tuomas & Nyberg Peter & Koskenkylä Heikki & Berghäll Elina & Mellin Ilkka & Miettinen Sami & Ala-Peijari Jukka & Törnqvist Stefan, 2018. "How to Leave the Eurozone: The Case of Finland," The Economists' Voice, De Gruyter, vol. 15(1), pages 1-16, December.
    6. Ivo Bićanić & Vladimir Gligorov & Ivan Krastev, 2003. "State, Public Goods and Reform," wiiw Balkan Observatory Working Papers 29, The Vienna Institute for International Economic Studies, wiiw.
    7. Walsh, Patrick Paul & Whelan, Ciara, 2001. "Firm performance and the political economy of corporate governance: survey evidence for Bulgaria, Hungary, Slovakia and Slovenia," Economic Systems, Elsevier, vol. 25(2), pages 85-112, June.
    8. Jarko Fidrmuc & Iikka Korhonen, 2004. "A Meta-Analysis of Business Cycle Correlations between the Euro Area, CEECs and SEECs – What Do We Know?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 76-94.
    9. Wagner, Martin & Hlouskova, Jaroslava, 2002. "The CEEC10's Real Convergence Prospects," CEPR Discussion Papers 3318, C.E.P.R. Discussion Papers.
    10. Yutaka Kurihara, 2006. "Is Apec Suitable For Currency Union?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 325-334.
    11. Joan Costa Font & Joan Batalla Bejerano, 1998. "Eastern European Countries and the EMU: departure situation and transition strategies," ERSA conference papers ersa98p192, European Regional Science Association.
    12. Fidrmuc, Jarko & Korhonen, Iikka, 2004. "A meta-analysis of business cycle correlation between the euro area and CEECs: What do we know - and who cares?," BOFIT Discussion Papers 20/2004, Bank of Finland Institute for Emerging Economies (BOFIT).

  28. Saul Estrin & Geovanni Urga, 1997. "Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995," William Davidson Institute Working Papers Series 30, William Davidson Institute at the University of Michigan.

    Cited by:

    1. Seamus Mcguinness & Maura Sheehan, 1998. "Regional convergence in the UK, 1970-1995," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 653-658.
    2. Martin Wagner & Jaroslava Hlouskova, 2004. "CEEC Growth Projections: Certainly Necessary and Necessarily Uncertain," Diskussionsschriften dp0403, Universitaet Bern, Departement Volkswirtschaft.
    3. Fidrmuc, Jan & Horvath, Julius & Fidrmuc, Jarko, 1999. "Stability of Monetary Unions: Lessons from the Break-up of Czechoslovakia," Transition Economics Series 10, Institute for Advanced Studies.
    4. Jarko Fidrmuc, 2004. "The Endogeneity of the Optimum Currency Area Criteria, Intra‐industry Trade, and EMU Enlargement," Contemporary Economic Policy, Western Economic Association International, vol. 22(1), pages 1-12, January.
    5. Fidrmuc, Jarko & Korhonen, Iikka, 2003. "The euro goes East: Implications of the 2000-2002 economic slowdown for synchronisation of business cycles between the euro area and CEECs," BOFIT Discussion Papers 6/2003, Bank of Finland Institute for Emerging Economies (BOFIT).
    6. Malinen Tuomas & Nyberg Peter & Koskenkylä Heikki & Berghäll Elina & Mellin Ilkka & Miettinen Sami & Ala-Peijari Jukka & Törnqvist Stefan, 2018. "How to Leave the Eurozone: The Case of Finland," The Economists' Voice, De Gruyter, vol. 15(1), pages 1-16, December.
    7. Ivo Bićanić & Vladimir Gligorov & Ivan Krastev, 2003. "State, Public Goods and Reform," wiiw Balkan Observatory Working Papers 29, The Vienna Institute for International Economic Studies, wiiw.
    8. Jarko Fidrmuc & Iikka Korhonen, 2004. "A Meta-Analysis of Business Cycle Correlations between the Euro Area, CEECs and SEECs – What Do We Know?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 76-94.
    9. Wagner, Martin & Hlouskova, Jaroslava, 2002. "The CEEC10's Real Convergence Prospects," CEPR Discussion Papers 3318, C.E.P.R. Discussion Papers.
    10. Yutaka Kurihara, 2006. "Is Apec Suitable For Currency Union?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 325-334.
    11. Joan Costa Font & Joan Batalla Bejerano, 1998. "Eastern European Countries and the EMU: departure situation and transition strategies," ERSA conference papers ersa98p192, European Regional Science Association.
    12. Fidrmuc, Jarko & Korhonen, Iikka, 2004. "A meta-analysis of business cycle correlation between the euro area and CEECs: What do we know - and who cares?," BOFIT Discussion Papers 20/2004, Bank of Finland Institute for Emerging Economies (BOFIT).

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

    Cited by:

    1. Robert S. Chirinko & Steven M. Fazzari & Andrew P. Meyer, 1996. "What Do Micro Data Reveal About the User Cost Elasticity?: New Evidence on the Responsiveness of Business Capital Formation," Economics Working Paper Archive wp_175, Levy Economics Institute.
    2. Chirinko, Robert S. & Fazzari, Steven M. & Meyer, Andrew P., 1999. "How responsive is business capital formation to its user cost?: An exploration with micro data," Journal of Public Economics, Elsevier, vol. 74(1), pages 53-80, October.

  30. URGA, Giovanni, 1991. "Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data," CELPE Discussion Papers 3, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.

    Cited by:

    1. Maria Rosaria, Garofalo & Nese, Annamaria, 2009. "Social Preferences and the Third Sector: Looking for a Microeconomic Foundation of the Local Development Path," CELPE Discussion Papers 110, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
    2. Celo, Giuseppe & Sportelli, Mario, 2007. "Harrod's Dynamics and the Kaldor-Thirlwall Export-led Growth," CELPE Discussion Papers 104, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.

Articles

  1. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The contribution of (shadow) banks and real estate to systemic risk in China," Journal of Financial Stability, Elsevier, vol. 60(C).

    Cited by:

    1. Wang, Jiaxin & Liu, Jiemei & Wang, Jiawei & Huang, Xiang & Liu, Yu, 2023. "The puzzle of household wealth preservation and corporate innovation," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2024. "Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe," International Review of Financial Analysis, Elsevier, vol. 94(C).
    3. Fengyun Liu & Honghao Ren & Chuanzhe Liu & Dejun Tan, 2022. "Formation of Financial Real Estate Risks and Spatial Interactions: Evidence from 35 Cities in China," JRFM, MDPI, vol. 15(12), pages 1-21, December.
    4. Li, Xiao-Lin & Li, Haofei & Ge, Xinyu & Si, Deng-Kui, 2023. "Capital market liberalization and systemic risk of non-financial firms: Evidence from Chinese Stock Connect scheme," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    5. Wan, Xiaoli & Margaritis, Dimitris, 2024. "Shadow banking and loan pricing of commercial banks: Evidence from China," Emerging Markets Review, Elsevier, vol. 60(C).
    6. Mengkai Chen & Ting Chen & Debao Ruan & Xiaowei Wang, 2023. "Land Finance, Real Estate Market, and Local Government Debt Risk: Evidence from China," Land, MDPI, vol. 12(8), pages 1-18, August.
    7. Armanious, Amir, 2024. "Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system," Journal of Financial Stability, Elsevier, vol. 73(C).

  2. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The role of shadow banking in systemic risk in the European financial system," Journal of Banking & Finance, Elsevier, vol. 138(C).

    Cited by:

    1. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2024. "Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    3. Foglia, Matteo & Di Tommaso, Caterina & Wang, Gang-Jin & Pacelli, Vincenzo, 2024. "Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    4. Krenz, Johanna & Verma, Akhilesh K, 2023. "A leaky pipeline: Macroprudential policy shocks, non-bank financial intermediation and systemic risk in Europe," WiSo-HH Working Paper Series 79, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
    5. Li, Xiao-Lin & Wang, Lijuan & Kong, Dongmin, 2023. "Macro-prudential policy and systemic risk of real estate firms: Evidence from China," Finance Research Letters, Elsevier, vol. 58(PC).
    6. Silvia Bressan, 2024. "Environmental, Social, and Governance Scores and Loan Composition Inside United States Banks," Sustainability, MDPI, vol. 16(18), pages 1-11, September.
    7. Liu, Huan & Tao, Yunqing & Zeng, Lin & Chen, Dong, 2023. "Investor-enterprise interactions and shadow banking of non-financial enterprises in China," Finance Research Letters, Elsevier, vol. 55(PB).
    8. Lei, Ningze & Huang, Liqiang, 2023. "Corporate financing from shadow banking and bond credit spreads," Finance Research Letters, Elsevier, vol. 58(PB).
    9. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The contribution of (shadow) banks and real estate to systemic risk in China," Journal of Financial Stability, Elsevier, vol. 60(C).

  3. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).

    Cited by:

    1. Mikhail Stolbov & Maria Shchepeleva, 2023. "Sentiment-based indicators of real estate market stress and systemic risk: international evidence," Annals of Finance, Springer, vol. 19(3), pages 355-382, September.
    2. Deev, Oleg & Lyócsa, Štefan & Výrost, Tomáš, 2022. "The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande," Finance Research Letters, Elsevier, vol. 49(C).
    3. Wu, Feng-lin & Zhou, Jia-qi & Wang, Ming-hui, 2024. "The writing on the wall: A connectedness-based analysis of ownership structure and bank risk in China," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    4. Md Kamal Hossain & Md Shamim Hossain, 2023. "Causal Interaction between Foreign Direct Investment Inflows and China’s Economic Growth," Sustainability, MDPI, vol. 15(10), pages 1-18, May.
    5. Omid Farkhondeh Rouz & Hossein Sohrabi Vafa & Arash Sioofy Khoojine & Sajjad Pashay Amiri, 2024. "Interconnectedness of systemic risk in the Chinese economy: the Granger causality and CISS indicator approach," Risk Management, Palgrave Macmillan, vol. 26(2), pages 1-24, May.
    6. Song, Xiaoni & Fang, Tong, 2023. "Temperature shocks and bank systemic risk: Evidence from China," Finance Research Letters, Elsevier, vol. 51(C).
    7. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The contribution of (shadow) banks and real estate to systemic risk in China," Journal of Financial Stability, Elsevier, vol. 60(C).
    8. Zhiyuan Gao & Lianqing Li & Yu Hao, 2024. "Financial risk under the shock of global warming: Evidence from China," Business Strategy and the Environment, Wiley Blackwell, vol. 33(2), pages 335-351, February.

  4. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).

    Cited by:

    1. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2024. "Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Mikhail Stolbov & Maria Shchepeleva, 2023. "Sentiment-based indicators of real estate market stress and systemic risk: international evidence," Annals of Finance, Springer, vol. 19(3), pages 355-382, September.
    3. Gao, Jingyi, 2022. "Global value chain and firms’ leverage: The mediator role of foreign ownership," Finance Research Letters, Elsevier, vol. 48(C).
    4. Wu, Feng-lin & Zhou, Jia-qi & Wang, Ming-hui, 2024. "The writing on the wall: A connectedness-based analysis of ownership structure and bank risk in China," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    5. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    6. Kurter, Zeynep O., 2024. "How macroeconomic conditions affect systemic risk in the short and long-run?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    7. Bellavite Pellegrini, Carlo & Cincinelli, Peter & Meoli, Michele & Urga, Giovanni, 2022. "The contribution of (shadow) banks and real estate to systemic risk in China," Journal of Financial Stability, Elsevier, vol. 60(C).
    8. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).

  5. Leong, Soon Heng & Pellegrini, Carlo Bellavite & Urga, Giovanni, 2020. "The contribution of shadow insurance to systemic risk," Journal of Financial Stability, Elsevier, vol. 51(C).

    Cited by:

    1. Liu, Yulin & Wang, Junbo & Wen, Fenghua & Wu, Chunchi, 2024. "Climate policy uncertainty and bank systemic risk: A creative destruction perspective," Journal of Financial Stability, Elsevier, vol. 73(C).
    2. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Post-Print hal-03740283, HAL.
    3. Armanious, Amir, 2024. "Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system," Journal of Financial Stability, Elsevier, vol. 73(C).

  6. Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019. "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, vol. 211(2), pages 461-482.

    Cited by:

    1. Jiti Gao & Bin Peng & Yayi Yan, 2021. "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers 11/21, Monash University, Department of Econometrics and Business Statistics.
    2. Castle, Jennifer L. & Kurita, Takamitsu, 2024. "Stability between cryptocurrency prices and the term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
    3. Yicong Lin & Hanno Reuvers, 2020. "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers 2009.02262, arXiv.org, revised Dec 2021.
    4. Ollech, Daniel & Webel, Karsten, 2020. "A random forest-based approach to identifying the most informative seasonality tests," Discussion Papers 55/2020, Deutsche Bundesbank.
    5. Jiti Gao & Bin Peng & Yayi Yan, 2023. "Time-Varying Vector Error-Correction Models: Estimation and Inference," Papers 2305.17829, arXiv.org.
    6. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).

  7. Alexeev, Vitali & Urga, Giovanni & Yao, Wenying, 2019. "Asymmetric jump beta estimation with implications for portfolio risk management," International Review of Economics & Finance, Elsevier, vol. 62(C), pages 20-40.

    Cited by:

    1. Reis, Pedro Nogueira & Pinto, António Pedro Soares, 2024. "Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    2. Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
    3. Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    4. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    5. Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
    6. Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
    7. Srivastava, Pranjal & Jacob, Joshy, 2022. "Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment," IIMA Working Papers WP 2022-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.

  8. Lilian M. de Menezes, Marianna Russo, and Giovanni Urga, 2019. "Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).

    Cited by:

    1. Chyong, C K. & Reiner, D & Aggarwal, D., 2021. "Market power and long-term gas contracts: the case of Gazprom in Central and Eastern European Gas Markets," Cambridge Working Papers in Economics 2144, Faculty of Economics, University of Cambridge.
    2. Roberto Cardinale, 2023. "Liberalization and the volatility of gas prices: Exploring their relation in times of abundance and scarcity," Competition and Regulation in Network Industries, , vol. 24(2-3), pages 72-96, June.

  9. Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni, 2019. "Consistent estimation of time-varying loadings in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 208(2), pages 535-562.

    Cited by:

    1. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    3. 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.
    4. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
    5. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
    6. Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
    7. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
    8. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
    9. Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024. "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers 2412.01367, arXiv.org.

  10. Jan Novotný & Giovanni Urga, 2018. "Testing for Co-jumps in Financial Markets," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 118-128.

    Cited by:

    1. Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021. "Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks," LIDAM Reprints LFIN 2021016, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.

  11. Matteo Mogliani & Giovanni Urga, 2018. "On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1645-1660, October.

    Cited by:

    1. Tsutomu Watanabe & Tomoyoshi Yabu, 2018. "The Demand for Money at the Zero Interest Rate Bound," CARF F-Series CARF-F-444, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Mohitosh Kejriwal & Pierre Perron & Xuewen Yu, 2020. "A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2020-011, Boston University - Department of Economics.
    3. Serletis, Apostolos & Xu, Libo, 2021. "The welfare cost of inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    4. Curran, Michael & Dressler, Scott J., 2020. "Preferences, inflation, and welfare," European Economic Review, Elsevier, vol. 130(C).
    5. Aleksander Berentsen, 2016. "Limited Commitment and the Demand for Money," 2016 Meeting Papers 104, Society for Economic Dynamics.
    6. Karsten Schweikert, 2020. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Papers 2001.07949, arXiv.org, revised Apr 2021.
    7. Karsten Schweikert, 2022. "Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 83-104, January.
    8. Apostolos Serletis & Wei Dai, "undated". "On the Markov Switching Welfare Cost of Inflation," Working Papers 2019-12, Department of Economics, University of Calgary, revised 30 Aug 2019.
    9. Serletis, Apostolos & Xu, Libo, 2023. "Consumer preferences, the demand for Divisia money, and the welfare costs of inflation," Journal of Macroeconomics, Elsevier, vol. 75(C).
    10. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.
    11. Tsutomu Watanabe & Tomoyoshi Yabu, 2021. "Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data," Working Papers on Central Bank Communication 034, University of Tokyo, Graduate School of Economics.
    12. Amir Kia, 2024. "Demand for Money in the United States: Stability and Forward-Looking Tests," Economies, MDPI, vol. 12(2), pages 1-18, February.

  12. Bellavite Pellegrini, Carlo & Meoli, Michele & Urga, Giovanni, 2017. "Money market funds, shadow banking and systemic risk in United Kingdom," Finance Research Letters, Elsevier, vol. 21(C), pages 163-171.

    Cited by:

    1. Syed Jawad Hussain Shahzad & Thi Hong Van Hoang & Jose Arreola-Hernandez, 2019. "Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe," Post-Print hal-02129104, HAL.
    2. Du Jianguo & Rauf Ibrahim & Peter Lartey Yao & Rupa Jaladi Santosh & Amponsah Clinton Kwabena, 2019. "The Effectiveness of Internal Controls in Rural Community Banks: Evidence from Ghana," Business Management and Strategy, Macrothink Institute, vol. 10(1), pages 202-218, December.
    3. Yusheng Kong & Peter Yao Lartey & Fatoumata Binta Maci Bah & Nirmalya B. Biswas, 2018. "The Value of Public Sector Risk Management: An Empirical Assessment of Ghana," Administrative Sciences, MDPI, vol. 8(3), pages 1-18, July.
    4. Hodula, Martin & Škrabić Perić, Blanka & Sorić, Petar, 2023. "Economic uncertainty and non-bank financial intermediation: Evidence from a European panel," Finance Research Letters, Elsevier, vol. 53(C).
    5. Matteo Foglia & Eliana Angelini, 2019. "An explorative analysis of Italy banking financial stability," Economics Bulletin, AccessEcon, vol. 39(2), pages 1294-1308.
    6. Bua, Giovanna & Dunne, Peter G. & Sorbo, Jacopo, 2019. "Money Market Funds and Unconventional Monetary Policy," Research Technical Papers 7/RT/19, Central Bank of Ireland.
    7. Lukasz Prorokowski, 2020. "Macroprudential due-diligence framework for shadow banking entities," Bank i Kredyt, Narodowy Bank Polski, vol. 51(6), pages 587-612.
    8. Lawrence Haar & Andros Gregoriou, 2023. "Regulation and De-Risking: Theoretical and Empirical Insights," Risks, MDPI, vol. 11(6), pages 1-23, June.
    9. Fang, Libing & Chen, Baizhu & Yu, Honghai & Qian, Yichuo, 2018. "Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution," Finance Research Letters, Elsevier, vol. 24(C), pages 137-144.
    10. Ridoy Deb Nath & Mohammad Ashraful Ferdous Chowdhury, 2021. "Shadow banking: a bibliometric and content analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-29, December.
    11. Liu, Huan & Tao, Yunqing & Zeng, Lin & Chen, Dong, 2023. "Investor-enterprise interactions and shadow banking of non-financial enterprises in China," Finance Research Letters, Elsevier, vol. 55(PB).

  13. Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017. "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 62-105.

    Cited by:

    1. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    2. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
    3. Hasan Isomitdinov & Vladimir Arčabić & Junsoo Lee & Youngjin Yun & James E. Payne, 2024. "International comovements of public debt," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 722-747, April.
    4. Akyildirim, Erdinc & Corbet, Shaen & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework," International Review of Law and Economics, Elsevier, vol. 63(C).

  14. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.

    Cited by:

    1. Chandrinos, Spyros K. & Lagaros, Nikos D., 2018. "Construction of currency portfolios by means of an optimized investment strategy," Operations Research Perspectives, Elsevier, vol. 5(C), pages 32-44.
    2. Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
    3. Milan Fičura, 2019. "Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(4), pages 385-401.
    4. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    5. Kam Fong Chan & Phil Gray & Zheyao Pan, 2021. "The profitability of trading on large Lévy jumps," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 627-635, June.
    6. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    7. Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021. "Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks," LIDAM Reprints LFIN 2021016, Université catholique de Louvain, Louvain Finance (LFIN).
    8. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    9. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
    10. Gkillas Konstantinos & Gupta Rangan & Vortelinos Dimitrios I., 2023. "Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(1), pages 25-47, February.
    11. Naeyoung Kang & Jungmu Kim, 2019. "An Empirical Analysis of Bitcoin Price Jump Risk," Sustainability, MDPI, vol. 11(7), pages 1-11, April.
    12. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).

  15. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    See citations under working paper version above.
  16. Arturo Leccadito & Omar Rachedi & Giovanni Urga, 2015. "True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 452-479, April.

    Cited by:

    1. 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.
    2. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers 2015-30, Department of Economics and Business Economics, Aarhus University.
    3. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
    4. Kruse, Robinson, 2015. "A modified test against spurious long memory," Economics Letters, Elsevier, vol. 135(C), pages 34-38.
    5. 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.
    6. 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.
    7. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Gil-Alana, Luis A. & Huijbens, Edward H., 2018. "Tourism in Iceland: Persistence and seasonality," Annals of Tourism Research, Elsevier, vol. 68(C), pages 20-29.

  17. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.

    Cited by:

    1. de Haan, Leo & Vermeulen, Robert, 2021. "Sovereign debt ratings and the country composition of cross-border holdings of euro area sovereign debt," Journal of International Money and Finance, Elsevier, vol. 119(C).
    2. Lars Winkelmann & Wenying Yao, 2024. "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
    3. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.

  18. Leccadito, Arturo & Boffelli, Simona & Urga, Giovanni, 2014. "Evaluating the accuracy of value-at-risk forecasts: New multilevel tests," International Journal of Forecasting, Elsevier, vol. 30(2), pages 206-216.

    Cited by:

    1. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    2. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
    3. Marta Małecka, 2024. "New runs‐based approach to testing value at risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2021-2041, September.
    4. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
    5. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    6. Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2016. "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia 14263, Banco de la Republica.
    7. Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
    8. Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
    9. Zhi-Fu Mi & Yi-Ming Wei & Bao-Jun Tang & Rong-Gang Cong & Hao Yu & Hong Cao & Dabo Guan, 2017. "Risk assessment of oil price from static and dynamic modelling approaches," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 929-939, February.
    10. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
    11. Argyropoulos, Christos & Panopoulou, Ekaterini, 2019. "Backtesting VaR and ES under the magnifying glass," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 22-37.
    12. Małecka Marta, 2021. "Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model," Statistics in Transition New Series, Statistics Poland, vol. 22(1), pages 145-162, March.
    13. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    14. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
    15. Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.
    16. Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2014. "Modelación de la asimetría y curtosis condicionales: una aplicación VaR para series colombianas," Borradores de Economia 834, Banco de la Republica de Colombia.
    17. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.

  19. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.

    Cited by:

    1. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
    2. David H. Bernstein & Bent Nielsen, 2019. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient," Econometrics, MDPI, vol. 7(1), pages 1-24, January.

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

    Cited by:

    1. Atalla, Tarek & Joutz, Fred & Pierru, Axel, 2016. "Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1178-1192.
    2. Constantin Bürgi & Tara M. Sinclair, 2020. "What Does Forecaster Disagreement Tell Us about the State of the Economy?," Working Papers 2020-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    3. Constantin Burgi, 2016. "What Do We Lose When We Average Expectations?," Working Papers 2016-013, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.

  21. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Asymptotics for Panel Models with Common Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 390-439.
    See citations under working paper version above.
  22. Ana-Maria Dumitru & Giovanni Urga, 2011. "Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 242-255, October.

    Cited by:

    1. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
    2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    3. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
    4. Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
    5. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
    6. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    7. Kuo-Shing Chen & Yu-Chuan Huang, 2021. "Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging," Mathematics, MDPI, vol. 9(20), pages 1-24, October.
    8. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
    9. , 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
    10. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
    11. John Elder, Hong Miao, and Sanjay Ramchander, 2013. "Jumps in Oil Prices: The Role of Economic News," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    12. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
    13. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "High-Frequency Jump Tests: Which Test Should We Use?," Papers 1708.09520, arXiv.org, revised Jan 2020.
    14. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
    15. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    16. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
    17. Mohamed Arouri & Oussama M’saddek & Kuntara Pukthuanthong, 2017. "Jump risk premia across major international equity markets," Post-Print hal-02083723, HAL.
    18. Aitor Ciarreta & Peru Muniain & Ainhoa Zarraga, 2020. "Realized volatility and jump testing in the Japanese electricity spot market," Empirical Economics, Springer, vol. 58(3), pages 1143-1166, March.
    19. Aitor Ciarreta & Peru Muniainy & Ainhoa Zarraga, 2017. "Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market," ISER Discussion Paper 0991, Institute of Social and Economic Research, Osaka University.
    20. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
    21. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
    22. Winkelmann, Lars, 2013. "Quantitative forward guidance and the predictability of monetary policy: A wavelet based jump detection approach," SFB 649 Discussion Papers 2013-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Xuguang Sheng & Lan Cheng, 2012. "Combination of "Combinations of P-values," Working Papers 2012-11, American University, Department of Economics.
    24. Lars Winkelmann & Wenying Yao, 2024. "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
    25. Mingmian Cheng & Norman R. Swanson, 2019. "Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence," Econometrics, MDPI, vol. 7(1), pages 1-32, March.
    26. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    27. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, vol. 9(4), pages 231-237.
    28. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
    29. Bin Wu & Pengzhan Chen & Wuyi Ye, 2021. "Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1055-1073, July.
    30. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
    31. Jiqian Wang & Feng Ma & M.I.M. Wahab & Dengshi Huang, 2021. "Forecasting China's Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 921-941, August.
    32. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
    33. Jérôme Lahaye & Christopher Neely, 2020. "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
    34. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
    35. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
    36. Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
    37. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
    38. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
    39. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2015. "Modelling systemic price cojumps with Hawkes factor models," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1137-1156, July.
    40. Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
      • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
    41. Jan Hanousek & Jan Novotný, 2014. "Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě [Price Jumps during Financial Crisis: From Intuition to Financial Regulation]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 32-48.
    42. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.
    43. Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019. "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 471-502, December.
    44. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
    45. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
    46. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.
    47. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
    48. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
    49. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
    50. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.

  23. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    See citations under working paper version above.
  24. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, vol. 25(3), pages 567-586, July.
    See citations under working paper version above.
  25. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 532-545, March.

    Cited by:

    1. Bruno Versaevel, 2009. "Cumulative Leadership and Entry Dynamics," Post-Print halshs-00371847, HAL.
    2. Bruno Versaevel, 2015. "Alertness, Leadership, and Nascent Market Dynamics," Dynamic Games and Applications, Springer, vol. 5(4), pages 440-466, December.
    3. Michi Nishihara, 2017. "Valuation of an R&D project with three types of uncertainty," Discussion Papers in Economics and Business 17-15, Osaka University, Graduate School of Economics.
    4. Ciaran Driver & Katsushi Imai, 2011. "Testing the uncertainty-investment relationship using survey data on capital stock disequilibrium," Applied Economics Letters, Taylor & Francis Journals, vol. 18(4), pages 305-310.
    5. Kevin Lee & Paul Mizen & Michael Mahony, 2022. "Investment and Capacity Utilisation in a Putty-Clay Framework," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-03, Economic Statistics Centre of Excellence (ESCoE).
    6. Xu, Zhaoxia, 2020. "Economic policy uncertainty, cost of capital, and corporate innovation," Journal of Banking & Finance, Elsevier, vol. 111(C).
    7. Huberts, Nick F.D. & Rossi Silveira, Rafael, 2023. "How economic depreciation shapes the relationship of uncertainty with investments’ size & timing," International Journal of Production Economics, Elsevier, vol. 260(C).
    8. Michi Nishihara, 2018. "Valuation of an R&D project with three types of uncertainty," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 93-113, June.
    9. Sarkar, Sudipto, 2021. "The uncertainty-investment relationship with endogenous capacity," Omega, Elsevier, vol. 98(C).
    10. Michi Nishihara, 2014. "Valuation of sequential R&D investment under technological, market, and rival preemption uncertainty," Discussion Papers in Economics and Business 14-13, Osaka University, Graduate School of Economics.
    11. Huang, Hsing-Hua & Chuang, Wei-Liang, 2013. "Real options game over the business cycle," Economic Modelling, Elsevier, vol. 35(C), pages 715-721.
    12. Driver, Ciaran & Guedes, Maria João Coelho, 2012. "Research and development, cash flow, agency and governance: UK large companies," Research Policy, Elsevier, vol. 41(9), pages 1565-1577.

  26. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Changes in ownership and minority protection," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 4(4), pages 323-342, September.

    Cited by:

    1. Matteucci, Nicola, 2019. "The EU State aid policy for broadband: An evaluation of the Italian experience with first generation networks," Telecommunications Policy, Elsevier, vol. 43(9).
    2. Hue Hwa Au Yong & Christine Brown & Choy Yeing (Chloe) Ho & Chander Shekhar, 2021. "Rights issues: Retail shareholders and their participation decisions," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 917-944, September.
    3. Michele Meoli & Stefano Paleari & Giovanni Urga, 2008. "Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia," Working Papers 0808, Department of Management, Information and Production Engineering, University of Bergamo.
    4. Matteucci, Nicola, 2021. "Procuring NGA infrastructure: The performance of EMAT auctions in Italy," Telecommunications Policy, Elsevier, vol. 45(1).

  27. Urga, Giovanni, 2007. "Common Features in Economics and Finance: An Overview of Recent Developments," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 2-11, January.

    Cited by:

    1. Nannette Lindenberg & Frank Westermann, 2009. "How Strong is the Case for Dollarization in Costa Rica? A Note on the Business Cycle Comovements with the United States," CESifo Working Paper Series 2785, CESifo.
    2. Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
    3. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
    4. Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
    5. Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," IEER Working Papers 77, Institute of Empirical Economic Research, Osnabrueck University.
    6. Cardinali Alessandro & Nason Guy P, 2011. "Costationarity of Locally Stationary Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-35, January.
    7. Nannette Lindenberg & Frank Westermann, 2012. "How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 147-166, April.
    8. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.

  28. John Bennett & Saul Estrin & Giovanni Urga, 2007. "Methods of privatization and economic growth in transition economies1," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 15(4), pages 661-683, October.

    Cited by:

    1. Andrzej Cieślik & Łukasz Goczek, 2018. "Corruption, Privatisation and Economic Growth in Post-communist Countries," Europe-Asia Studies, Taylor & Francis Journals, vol. 70(8), pages 1303-1325, September.
    2. Abdul Aleem Qureshi & Syed Faizan Iftikhar & Mohsin Hasnain Ahmed, 2017. "The Fiscal Impacts of Privatization Reforms in Pakistan: A Dynamic Analysis," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), vol. 4(1), pages 17-32.
    3. Horaček Jan & Nikolić Helena, 2021. "Privatization in Croatia: Standpoint of Croatian Citizens in 1998 and 2018," Business Systems Research, Sciendo, vol. 12(1), pages 1-16, May.
    4. Hu, Jinshuai & Jiang, Haiyan & Wu, Yibing, 2023. "How does privatization affect cash dividends? Quasi-experimental evidence from China," Emerging Markets Review, Elsevier, vol. 57(C).
    5. Li, Renyu & Ma, Zhongxin & Chen, Xirong, 2020. "Historical market genes, marketization and economic growth in China," Economic Modelling, Elsevier, vol. 86(C), pages 327-333.
    6. Oye Abioye, 2022. "A Literature Review of Privatization Models, Theoretical Framework for Nigerian Railway Corporation Privatization," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(8), pages 1-36, August.

  29. Lazarová, štěpána & Trapani, Lorenzo & Urga, Giovanni, 2007. "Common Stochastic Trends And Aggregation In Heterogeneous Panels," Econometric Theory, Cambridge University Press, vol. 23(1), pages 89-105, February.

    Cited by:

    1. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    2. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society.

  30. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2006. "Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 432-443, October.

    Cited by:

    1. Konstantinos Drakos, 2006. "A note on uncertainty and investment across the spectrum of irreversibility," Applied Economics Letters, Taylor & Francis Journals, vol. 13(13), pages 873-876.
    2. Konstantinos Drakos, 2011. "Extent and Intensity of Investment with Multiple Capital Goods," Post-Print hal-00724615, HAL.
    3. Konstantinos Drakos & Dimitris Tsouknidis, 2024. "Investment under uncertainty and irreversibility: Evidence from the shipping markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2139-2154, April.
    4. Maria Elena Bontempi, 2016. "Investment--uncertainty relationship: differences between intangible and physical capital," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 25(3), pages 240-268, April.

  31. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2006. "Identifying externalities in UK manufacturing using direct estimation of an average cost function," Economics Letters, Elsevier, vol. 92(2), pages 228-233, August.
    See citations under working paper version above.
  32. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.

    Cited by:

    1. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
    2. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
    3. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
    4. Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
    5. Čίžek, Pavel & Härdle, Wolfgang Karl, 2006. "Robust econometrics," SFB 649 Discussion Papers 2006-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
    7. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
    8. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
    9. Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
    10. Marilena Furno, 2012. "Tests for structural break in quantile regressions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 493-515, October.
    11. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  33. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

    Cited by:

    1. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
    2. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    3. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015. "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 465-483, May.
    5. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    6. Vasily E. Tarasov, 2024. "General Fractional Economic Dynamics with Memory," Mathematics, MDPI, vol. 12(15), pages 1-24, August.
    7. 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.
    8. Salvatore Fasola & Vito M. R. Muggeo & Helmut Küchenhoff, 2018. "A heuristic, iterative algorithm for change-point detection in abrupt change models," Computational Statistics, Springer, vol. 33(2), pages 997-1015, June.
    9. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    10. 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.
    11. Russell, Bill, 2011. "Non-stationary inflation and panel estimates of United States short and long-run Phillips curves," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 406-419, September.
    12. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
    13. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    14. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    15. Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
    16. Kashif Islam & Ahmad Raza Bilal & Syed Anees Haider Zaidi, 2022. "Symmetric and asymmetric nexus between economic freedom and stock market development in Pakistan," Economic Change and Restructuring, Springer, vol. 55(4), pages 2391-2421, November.
    17. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
    18. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    19. 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.
    20. Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
    21. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    22. Bhattacharya, Sharad Nath & Bhattacharya, Mousumi, 2013. "Long memory in return structures from developed markets," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    23. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    24. Vasily E. Tarasov, 2020. "Non-Linear Macroeconomic Models of Growth with Memory," Mathematics, MDPI, vol. 8(11), pages 1-22, November.
    25. Leonardo Chaves Borges Cardoso & Maurício Vaz Lobo Bittencourt, 2016. "Price Volatility Transmission From Oil To Energy And Non-Energy Agricultural Commodities," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 181, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    26. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    27. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
    28. Juhro, Solikin M. & Narayan, Paresh Kumar & Iyke, Bernard Njindan & Trisnanto, Budi, 2020. "Is there a role for Islamic finance and R&D in endogenous growth models in the case of Indonesia?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    29. Hanousek, Jan & Antoch, Jaromir & Huskova, Marie & Horvath, Lajos & Wang, Shixuan, 2017. "Structural breaks in panel data: Large number of panels and short length time series," CEPR Discussion Papers 11891, C.E.P.R. Discussion Papers.
    30. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
    31. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
    32. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
    33. 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.
    34. Jirak, Moritz, 2012. "Change-point analysis in increasing dimension," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 136-159.
    35. 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.
    36. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
    37. 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.
    38. Luo, Yi & Li, Xiaoming & Yu, Wei & Huang, Kun & Yang, Yihe & Huang, Yao, 2024. "Research on human dynamics characteristics under large-scale stock data perturbation," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    39. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
    40. 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.
    41. Vasily E. Tarasov & Valentina V. Tarasova, 2016. "Long and Short Memory in Economics: Fractional-Order Difference and Differentiation," Papers 1612.07903, arXiv.org, revised Aug 2017.
    42. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
    43. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    44. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
    45. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    46. S. AL Wadi & Ghassan Obeidat, 2018. "Detecting the Fluctuations in Large Samples Using Wavelet Transform," Modern Applied Science, Canadian Center of Science and Education, vol. 12(12), pages 245-245, December.
    47. Yudong Wang & Zhiyuan Pan & Chongfeng Wu, 2017. "Time‐Varying Parameter Realized Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 566-580, August.
    48. Song, Junmo & Baek, Changryong, 2019. "Detecting structural breaks in realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 134(C), pages 58-75.
    49. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Concept of dynamic memory in economics," Papers 1712.09088, arXiv.org.
    50. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    51. de Menezes, Lilian M. & Houllier, Melanie A., 2015. "Germany's nuclear power plant closures and the integration of electricity markets in Europe," Energy Policy, Elsevier, vol. 85(C), pages 357-368.
    52. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Logistic map with memory from economic model," Papers 1712.09092, arXiv.org.
    53. 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.
    54. 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.
    55. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
    56. Liu, Yuanyuan & Niu, Zibo & Suleman, Muhammad Tahir & Yin, Libo & Zhang, Hongwei, 2022. "Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework," Energy, Elsevier, vol. 238(PA).
    57. Tarasova, Valentina V. & Tarasov, Vasily E., 2017. "Logistic map with memory from economic model," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 84-91.
    58. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    59. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
    60. Robert A. Connolly & Z. Nuray Güner & Kenneth N. Hightower, 2007. "Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 689-702, March.
    61. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends," Working Papers 0708, Department of Management, Information and Production Engineering, University of Bergamo.
    62. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    63. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
    64. Les Oxley & Chris Price & William Rea & Marco Reale, 2008. "A New Procedure to Test for H Self-Similarity," Working Papers in Economics 08/16, University of Canterbury, Department of Economics and Finance.
    65. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
    66. Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
    67. Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
    68. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
    69. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
    70. Shailesh Rastogi & Chaitaly Athaley, 2019. "Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective," JRFM, MDPI, vol. 12(2), pages 1-15, June.
    71. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
    72. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    73. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
    74. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
    75. Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari, 2022. "Forecasting variance swap payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2135-2164, December.
    76. Ma, Feng & Wahab, M.I.M. & Huang, Dengshi & Xu, Weiju, 2017. "Forecasting the realized volatility of the oil futures market: A regime switching approach," Energy Economics, Elsevier, vol. 67(C), pages 136-145.
    77. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
    78. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, University of Reading.
    79. Kang, Sang Hoon & Cho, Hwan-Gue & Yoon, Seong-Min, 2009. "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3543-3550.
    80. Wen-Chi Liao & Daxuan Zhao & Li Ping Lim & Grace Khei Mie Wong, 2015. "Foreign liquidity to real estate market: Ripple effect and housing price dynamics," Urban Studies, Urban Studies Journal Limited, vol. 52(1), pages 138-158, January.
    81. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    82. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
    83. Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.

  34. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Profitability, capacity, and uncertainty: a model of UK manufacturing investment," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 120-141, January.

    Cited by:

    1. Vivek Ghosal & Yang Ye, 2015. "Uncertainty and the employment dynamics of small and large businesses," Small Business Economics, Springer, vol. 44(3), pages 529-558, March.
    2. Driver, Ciaran & Muñoz-Bugarin, Jair, 2019. "Financial constraints on investment: Effects of firm size and the financial crisis," Research in International Business and Finance, Elsevier, vol. 47(C), pages 441-457.
    3. Mustafa Caglayan & Abdul Rashid, 2014. "The Response Of Firms' Leverage To Risk: Evidence From Uk Public Versus Nonpublic Manufacturing Firms," Economic Inquiry, Western Economic Association International, vol. 52(1), pages 341-363, January.
    4. Christopher F. Baum & Atreya Chakraborty & Boyan Liu, 2010. "The impact of macroeconomic uncertainty on firms' changes in financial leverage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 22-30.
    5. Ghosal, Vivek & Ye, Yang, 2019. "The impact of uncertainty on the number of businesses," Journal of Economics and Business, Elsevier, vol. 105(C).
    6. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
    7. Caglayan, Mustafa & Demir, Firat, 2014. "Firm Productivity, Exchange Rate Movements, Sources of Finance, and Export Orientation," World Development, Elsevier, vol. 54(C), pages 204-219.
    8. Wang, Yong & Xiang, Erwei & Cheung, Adrian (Wai Kong) & Ruan, Wenjuan & Hu, Wei, 2017. "International oil price uncertainty and corporate investment: Evidence from China's emerging and transition economy," Energy Economics, Elsevier, vol. 61(C), pages 330-339.
    9. Christopher F. Baum & Andreas Stephan & Oleksandr Talavera, 2004. "The Effects of Uncertainty on the Leverage of Non-Financial Firms," Boston College Working Papers in Economics 602, Boston College Department of Economics, revised 27 Jul 2007.
    10. Mustafa Caglayan & Firat Demir, 2011. "Firm productivity, exchange rate movements, sources of finance and export orientationInventories and sales uncertainty," Working Papers 2011004, The University of Sheffield, Department of Economics, revised Feb 2011.
    11. Christopher F. Baum & Dorothea Schäfer & Oleksandr Talavera, 2006. "The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany," Boston College Working Papers in Economics 637, Boston College Department of Economics, revised 05 Aug 2006.
    12. Bo, Hong & Driver, Ciaran & Lin, Hsiang-Chun Michael, 2014. "Corporate investment during the financial crisis: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 1-12.
    13. Thomas, Sebastian, 2014. "Blue carbon: Knowledge gaps, critical issues, and novel approaches," Ecological Economics, Elsevier, vol. 107(C), pages 22-38.
    14. Oleksandr Talavera & Andriy Tsapin & Oleksandr Zholud, 2006. "Macroeconomic Uncertainty and Bank Lending: The Case of Ukraine," Discussion Papers of DIW Berlin 637, DIW Berlin, German Institute for Economic Research.
    15. Christopher F. Baum & Atreya Chakraborty & Liyan Han & Boyan Liu, 2012. "The effects of uncertainty and corporate governance on firms’ demand for liquidity," Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 515-525, February.
    16. Mustafa Caglayan & Abdul Rashid, 2010. "The response of firms' leverage to uncertainty: Evidence from UK public versus non-public firms," Working Papers 2010019, The University of Sheffield, Department of Economics, revised Oct 2010.
    17. Atreya Chakraborty & Christopher F. Baum & Boyan Liu, 2017. "Corporate financial policy and the value of cash under uncertainty," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 13(2), pages 149-164, April.
    18. Christopher F. Baum & Mustafa Caglayan & Andreas Stephan & Oleksandr Talavera, 2005. "Uncertainty Determinants of Corporate Liquidity," Boston College Working Papers in Economics 634, Boston College Department of Economics, revised 09 Oct 2006.
    19. Kamel Helali & Maha Kalai & Thouraya Boujelbene, 2016. "Short-run decomposition of profit efficiency and its relationship with the Tunisian manufacturing capacity utilisation," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 8(1), pages 38-51.
    20. Danso, Albert & Lartey, Theophilus & Amankwah-Amoah, Joseph & Adomako, Samuel & Lu, Qinye & Uddin, Moshfique, 2019. "Market sentiment and firm investment decision-making," International Review of Financial Analysis, Elsevier, vol. 66(C).
    21. Driver, Ciaran & Guedes, Maria João Coelho, 2012. "Research and development, cash flow, agency and governance: UK large companies," Research Policy, Elsevier, vol. 41(9), pages 1565-1577.
    22. Abdul Rashid, 2017. "Security issuance decisions, idiosyncratic risk, and macroeconomic dynamics," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 659-678, October.
    23. Xiaoqing Fu & Matthew C. Li & Philip Molyneux, 2021. "Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis," Empirical Economics, Springer, vol. 60(5), pages 2203-2225, May.
    24. Haeng-Sun Kim, 2019. "Differential Impact of Uncertainty on Exporting Decision in Risk-averse and Risk-taking Firms," Working Papers hal-02128335, HAL.
    25. Vivek Ghosal & Yang Ye, 2013. "Business Decision-Making under Uncertainty: Evidence from Employment and Number of Businesses," CESifo Working Paper Series 4312, CESifo.

  35. Giovanni Barone Adesi & Patrick Gagliardini & Giovanni Urga, 2004. "Testing Asset Pricing Models With Coskewness," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 474-485, October.

    Cited by:

    1. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    2. Kim, Woohwan & Kim, Young Min & Kim, Tae-Hwan & Bang, Seungbeom, 2018. "Multi-dimensional portfolio risk and its diversification: A note," Global Finance Journal, Elsevier, vol. 35(C), pages 147-156.
    3. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
    4. Marco Taboga, 2009. "The riskiness of corporate bonds," Temi di discussione (Economic working papers) 730, Bank of Italy, Economic Research and International Relations Area.
    5. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
    6. Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España.
    7. Toan Huynh Luu Duc & Sang Phu Nguyen, 2018. "Higher co-moments and asset pricing on emerging stock markets by quantile regression approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(1), pages 132-142, January.
    8. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
    9. Woohwan Kim & Young Min Kim & Tae-Hwan Kim & Seungbeom Bang, 2015. "Multi-dimensional Risk and its Diversification," Working papers 2015rwp-81, Yonsei University, Yonsei Economics Research Institute.
    10. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    11. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
    12. Diego Ferreira & Andreza A. Palma, 2022. "On the subprime crisis and the Latin American financial markets: A regime switching skew‐normal approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3300-3314, July.
    13. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    14. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
    15. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers 05-2, Bank of Canada.
    16. I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
    17. Pascal François & Stephanie Heck & Georges Hübner & Thomas Lejeune, 2022. "Comoment risk in corporate bond yields and returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 471-512, September.
    18. Lambert, M. & Hübner, G., 2013. "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 191-205.
    19. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.
    20. Chris Brooks & Alešs Černý & Joëlle Miffre, 2012. "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(10), pages 909-944, October.
    21. Chiang, I-Hsuan Ethan & Liao, Yin & Zhou, Qing, 2021. "Modeling the cross-section of stock returns using sensible models in a model pool," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 56-73.
    22. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
    23. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
    24. Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
    25. Moreno, David & Rodríguez, Rosa, 2009. "The value of coskewness in mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1664-1676, September.
    26. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    27. J. Benson Durham, 2015. "Betting against beta (and gamma) using government bonds," Staff Reports 708, Federal Reserve Bank of New York.
    28. Şahin, Baki Cem & Danışoğlu, Seza, 2022. "Ambiguity and asset pricing: An empirical investigation for an emerging market," International Review of Financial Analysis, Elsevier, vol. 84(C).
    29. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
    30. Zhang, Qun & Zhang, Zhendong & Luo, Jiawen, 2024. "Asymmetric and high-order risk transmission across VIX and Chinese futures markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    31. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
    32. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    33. Moreno, David, 2008. "The value of coskewness in evaluating mutual funds," DEE - Working Papers. Business Economics. WB wb087616, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

  36. Ciaran Driver & Katsushi Imai & Paul Temple & Giovanni Urga, 2004. "The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators," Empirical Economics, Springer, vol. 29(1), pages 115-128, January.

    Cited by:

    1. Trinks, Arjan & Mulder, Machiel & Scholtens, Bert, 2022. "External carbon costs and internal carbon pricing," Renewable and Sustainable Energy Reviews, Elsevier, vol. 168(C).
    2. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 532-545, March.
    3. Bettina Becker & Stephen Hall, 2013. "Do R&D strategies in high-tech sectors differ from those in low-tech sectors? An alternative approach to testing the pooling assumption," Economic Change and Restructuring, Springer, vol. 46(2), pages 183-202, May.
    4. Afees A. Salisu & Elias A. Udeaja & Silva Opuala-Charles, 2022. "Central Bank Independence And Price Stability Under Alternative Political Regimes: A Global Evidence," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(2), pages 155-172, August.
    5. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "Firm-specific news and the predictability of Consumer stocks in Vietnam," Finance Research Letters, Elsevier, vol. 41(C).
    6. Aytekin GÜVEN & Arzu AKKOYUNLU-WIGLEY, 2018. "The Effects of Market Structure on Uncertainty-Investment Relationship: Evidence from Turkish Manufacturing Industry," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(37).
    7. Catherine Fuss & Philip Vermeulen, 2008. "Firms' investment decisions in response to demand and price uncertainty," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2337-2351.
    8. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.
    9. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
    10. Andrey V. Polbin & Andrey V. Shumilov, 2022. "Forecasting Output Growth of Russian Manufacturing Industries Using Panel Data Models [Об Использовании Моделей Панельных Данных Для Прогнозирования Темпов Роста Отраслей Российской Обрабатывающей ," Russian Economic Development, Gaidar Institute for Economic Policy, issue 2, pages 15-19, February.
    11. Marina Riem, 2016. "Corporate investment decisions under political uncertainty," ifo Working Paper Series 221, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    12. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
    13. Binding, Garret & Dibiasi, Andreas, 2017. "Exchange rate uncertainty and firm investment plans evidence from Swiss survey data," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 1-27.
    14. Kang, Wensheng & Lee, Kiseok & Ratti, Ronald A., 2014. "Economic policy uncertainty and firm-level investment," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 42-53.
    15. Badi H. Baltagi, 2013. "Dynamic panel data models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 10, pages 229-248, Edward Elgar Publishing.
    16. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    17. Andrey V. Polbin & Andrey V. Shumilov, 2022. "Об Использовании Моделей Панельных Данных Для Прогнозирования Темпов Роста Отраслей Российской Обрабатывающей Промышленности," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 2, pages 15-19, February.

  37. Ciaran Driver & Giovanni Urga, 2004. "Transforming Qualitative Survey Data: Performance Comparisons for the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 71-89, February.

    Cited by:

    1. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Identifying Externalities in UK Manufacturing Using Direct Estimation of an Average Cost Function," School of Economics Discussion Papers 1005, School of Economics, University of Surrey.
    2. Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 14, pages 715-776, Elsevier.
    3. Dr Silvia Lui & Dr Martin Weale & Dr. James Mitchell, 2009. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," National Institute of Economic and Social Research (NIESR) Discussion Papers 343, National Institute of Economic and Social Research.
    4. Driver, Ciaran & Muñoz-Bugarin, Jair, 2019. "Financial constraints on investment: Effects of firm size and the financial crisis," Research in International Business and Finance, Elsevier, vol. 47(C), pages 441-457.
    5. Heinisch, Katja & Lindner, Axel, 2021. "Economic sentiment: Disentangling private information from public knowledge," IWH Discussion Papers 15/2021, Halle Institute for Economic Research (IWH).
    6. Bob McNabb & Karl Taylor, 2002. "Business Cycles and the Role of Confidence: Evidence from Europe," Discussion Papers in Economics 02/3, Division of Economics, School of Business, University of Leicester.
    7. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 532-545, March.
    8. Kevin Lee & Michael Mahony & Paul Mizen, 2020. "The CBI Suite of Business Surveys," Economic Statistics Centre of Excellence (ESCoE) Technical Reports ESCOE-TR-08, Economic Statistics Centre of Excellence (ESCoE).
    9. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”," IREA Working Papers 201801, University of Barcelona, Research Institute of Applied Economics, revised Jan 2018.
    10. Francisco Dias & Cláudia Duarte & António Rua, 2010. "Inflation expectations in the euro area: are consumers rational?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 591-607, September.
    11. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
    12. Oscar Claveria & Enric Monte & Salvador Torra, 2018. "A Data-Driven Approach to Construct Survey-Based Indicators by Means of Evolutionary Algorithms," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(1), pages 1-14, January.
    13. Raffaele Mattera & Michelangelo Misuraca & Maria Spano & Germana Scepi, 2023. "Mixed frequency composite indicators for measuring public sentiment in the EU," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2357-2382, June.
    14. Maurizio Bovi, 2016. "The tale of two expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(6), pages 2677-2705, November.
    15. Ciccarelli, Matteo & Maddaloni, Angela & Peydró, José-Luis, 2010. "Trusting the bankers: a new look at the credit channel of monetary policy," Working Paper Series 1228, European Central Bank.
    16. Troy D. Matheson & James Mitchell & Brian Silverstone, 2010. "Nowcasting and predicting data revisions using panel survey data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(3), pages 313-330.
    17. James Mitchell & Richard J. Smith & Martin R. Weale, 2005. "Forecasting Manufacturing Output Growth Using Firm‐Level Survey Data," Manchester School, University of Manchester, vol. 73(4), pages 479-499, July.
    18. Ciaran Driver, 2019. "Trade liberalization and South African manufacturing: Looking back with data," WIDER Working Paper Series wp-2019-30, World Institute for Development Economic Research (UNU-WIDER).
    19. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.
    20. Ciaran Driver & Katsushi Imai, 2011. "Testing the uncertainty-investment relationship using survey data on capital stock disequilibrium," Applied Economics Letters, Taylor & Francis Journals, vol. 18(4), pages 305-310.
    21. Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Evolutionary Computation for Macroeconomic Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 833-849, February.
    22. Francisco Dias & Cláudia Duarte & António Rua, 2010. "Inflation (mis)perceptions in the euro area," Empirical Economics, Springer, vol. 39(2), pages 353-369, October.
    23. Oscar Claveria & Enric Monte & Salvador Torra, 2019. "Empirical modelling of survey-based expectations for the design of economic indicators in five European regions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 205-227, May.
    24. Enrico D’Elia, 2005. "Using the results of qualitative surveys in quantitative analysis," ISAE Working Papers 56, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    25. Trapani, Lorenzo & Urga, Giovanni, 2009. "Optimal forecasting with heterogeneous panels: A Monte Carlo study," International Journal of Forecasting, Elsevier, vol. 25(3), pages 567-586, July.
    26. Troy Matheson & James Mitchell & Brian Silverstone, 2007. "Nowcasting and predicting data revisions in real time using qualitative panel survey data," Reserve Bank of New Zealand Discussion Paper Series DP2007/02, Reserve Bank of New Zealand.
    27. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory," School of Economics Discussion Papers 0805, School of Economics, University of Surrey.
    28. Sarah Gelper & Christophe Croux, 2010. "On the Construction of the European Economic Sentiment Indicator," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 47-62, February.
    29. Oscar Claveria & Enric Monte & Salvador Torra, 2017. "A new approach for the quantification of qualitative measures of economic expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(6), pages 2685-2706, November.
    30. David Bywaters & Gareth Thomas, 2008. "Output Expectations and Forecasting of UK Manufacturing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(2), pages 125-137, June.
    31. Maurizio Bovi, 2006. "Consumers Sentiment and Cognitive Macroeconometrics Paradoxes and Explanations," ISAE Working Papers 66, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    32. François Hild, 2006. "Un nouvel indicateur synthétique prenant en compte la dynamique des réponses individuelles à l'enquête Industrie," Économie et Statistique, Programme National Persée, vol. 395(1), pages 65-89.
    33. Luboš Marek & Stanislava Hronová & Richard Hindls, 2019. "Možnosti odhadů krátkodobých makroekonomických agregátů na základě výsledků konjunkturních průzkumů [Possibilities of Estimations of Short-term Macroeconomic Aggregates Based on Business Survey Res," Politická ekonomie, Prague University of Economics and Business, vol. 2019(4), pages 347-370.
    34. Olivier Biau & Hélène Erkel-Rousse & Nicolas Ferrari, 2006. "Réponses individuelles aux enquêtes de conjoncture et prévision de la production manufacturière," Économie et Statistique, Programme National Persée, vol. 395(1), pages 91-116.

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

    Cited by:

    1. K. Narayanan & Santosh Kumar Sahu, 2010. "Labour and Energy Intensity: A Study of Pulp & Paper Industries in India," Working Papers id:3101, eSocialSciences.
    2. Ibrahim Abada & Vincent Briat & Olivier Massol, 2011. "Construction of a fuel demand function portraying interfuel substitution, a system dynamics approach," Working Papers hal-04141001, HAL.
    3. Hossein Mirshojaeian Hosseini & Shinji Kaneko, 2013. "Fuel Conservation Effect of Energy Subsidy Reform in Iran," Working Papers 3-1, Faculty of Economics,University of Tehran.Tehran,Iran.
    4. Azam Chaudhry, 2010. "A Panel Data Analysis of Electricity Demand in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 15(Special E), pages 75-106, September.
    5. Thompson, Henry, 2006. "The applied theory of energy substitution in production," Energy Economics, Elsevier, vol. 28(4), pages 410-425, July.
    6. Considine, Timothy & Manderson, Edward, 2014. "The role of energy conservation and natural gas prices in the costs of achieving California's renewable energy goals," Energy Economics, Elsevier, vol. 44(C), pages 291-301.
    7. Laura Spierdijk & Sherrill Shaffer & Tim Considine, 2016. "Adapting to changing input prices in response to the crisis: The case of US commercial banks," CAMA Working Papers 2016-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Zachlod-Jelec, Magdalena & Boratynski, Jakub, 2016. "How large and uncertain are costs of 2030 GHG emissions reduction target for the European countries? Sensitivity analysis in a global CGE model," MF Working Papers 26, Ministry of Finance in Poland.
    9. Suh, Dong Hee, 2021. "Exploring the U.S. mining industry's demand system for production factors: Implications for economic sustainability," Resources Policy, Elsevier, vol. 74(C).
    10. Considine, Timothy J. & Manderson, Edward J.M., 2015. "The cost of solar-centric renewable portfolio standards and reducing coal power generation using Arizona as a case study," Energy Economics, Elsevier, vol. 49(C), pages 402-419.
    11. Kalim Hyder & Stephen G. Hall, 2020. "Estimates of the New Keynesian Phillips Curve for Pakistan," Empirical Economics, Springer, vol. 59(2), pages 871-886, August.
    12. Suh, Dong Hee & Moss, Charles B., 2014. "Dynamic Adjustment of Demand for Distiller's Grain: Implications for Feed and Livestock Markets," 2014 Annual Meeting, February 1-4, 2014, Dallas, Texas 162454, Southern Agricultural Economics Association.
    13. Zhang, Yi & Ji, Qiang & Fan, Ying, 2018. "The price and income elasticity of China's natural gas demand: A multi-sectoral perspective," Energy Policy, Elsevier, vol. 113(C), pages 332-341.
    14. Jevgenijs Steinbuks, 2012. "Interfuel Substitution and Energy Use in the U.K. Manufacturing Sector," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    15. Kurt Kratena & Michael Wüger, 2003. "The Role of Technology in Interfuel Substitution: A Combined Cross-Section and Time Series Approach," WIFO Working Papers 204, WIFO.
    16. 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.
    17. Bertoldi, Paolo & Mosconi, Rocco, 2020. "Do energy efficiency policies save energy? A new approach based on energy policy indicators (in the EU Member States)," Energy Policy, Elsevier, vol. 139(C).
    18. Spierdijk, Laura & Shaffer, Sherrill & Considine, Tim, 2017. "How do banks adjust to changing input prices? A dynamic analysis of U.S. commercial banks before and after the crisis," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 1-14.
    19. Jones, Clifton T., 2014. "The role of biomass in US industrial interfuel substitution," Energy Policy, Elsevier, vol. 69(C), pages 122-126.
    20. Agnolucci, Paolo & De Lipsis, Vincenzo & Arvanitopoulos, Theodoros, 2017. "Modelling UK sub-sector industrial energy demand," Energy Economics, Elsevier, vol. 67(C), pages 366-374.
    21. Henriksson, Eva & Söderholm, Patrik & Wårell, Linda, 2012. "Industrial electricity demand and energy efficiency policy: The role of price changes and private R&D in the Swedish pulp and paper industry," Energy Policy, Elsevier, vol. 47(C), pages 437-446.
    22. Haitao Yin & Hui Zhou & Kai Zhu, 2016. "Long- and short-run elasticities of residential electricity consumption in China: a partial adjustment model with panel data," Applied Economics, Taylor & Francis Journals, vol. 48(28), pages 2587-2599, June.
    23. Serletis, Apostolos & Timilsina, Govinda & Vasetsky, Olexandr, 2009. "On interfuel substitution : some international evidence," Policy Research Working Paper Series 5026, The World Bank.
    24. Considine, Timothy J., 2018. "Estimating concave substitution possibilities with non-stationary data using the dynamic linear logit demand model," Economic Modelling, Elsevier, vol. 72(C), pages 22-30.
    25. Hoy, Kyle A. & Wrenn, Douglas H., 2018. "Unconventional energy, taxation, and interstate welfare: An analysis of Pennsylvania's severance tax policy," Energy Economics, Elsevier, vol. 73(C), pages 53-65.
    26. Steinbuks, Jevgenijs & Narayanan, Badri G., 2015. "Fossil fuel producing economies have greater potential for industrial interfuel substitution," Energy Economics, Elsevier, vol. 47(C), pages 168-177.
    27. Peñasco, Cristina & del Río, Pablo & Romero-Jordán, Desiderio, 2017. "Gas and electricity demand in Spanish manufacturing industries: An analysis using homogeneous and heterogeneous estimators," Utilities Policy, Elsevier, vol. 45(C), pages 45-60.
    28. Terje Skjerpen, 2004. "The dynamic factor model revisited: the identification problem remains," Discussion Papers 369, Statistics Norway, Research Department.
    29. Rigoberto Ariel Yepez-Garcia & Todd M. Johnson & Luis Alberto Andres, 2011. "Meeting the Balance of Electricity Supply and Demand in Latin America and the Caribbean," World Bank Publications - Books, The World Bank Group, number 2334.
    30. Khayyat, Nabaz T. & Heshmati, Almas, 2014. "Production Risk, Energy Use Efficiency and Productivity of Korean Industries," IZA Discussion Papers 8081, Institute of Labor Economics (IZA).
    31. Andersen, Trude Berg & Nilsen, Odd Bjarte & Tveteras, Ragnar, 2011. "How is demand for natural gas determined across European industrial sectors?," Energy Policy, Elsevier, vol. 39(9), pages 5499-5508, September.
    32. Csereklyei, Zsuzsanna, 2020. "Price and income elasticities of residential and industrial electricity demand in the European Union," Energy Policy, Elsevier, vol. 137(C).
    33. Long, Mallory & Withey, Patrick & Risk, Dave & Lantz, Van & Sharma, Chinmay, 2024. "Economic impacts of reducing methane emissions in British Columbia’s oil and natural gas sectors: Taxes vs technology standards," Resource and Energy Economics, Elsevier, vol. 76(C).
    34. Serletis, Apostolos & Shahmoradi, Asghar, 2008. "Semi-nonparametric estimates of interfuel substitution in U.S. energy demand," Energy Economics, Elsevier, vol. 30(5), pages 2123-2133, September.
    35. Suthep Buranakunaporn & Edward Oczkowski, 2007. "A dynamic econometric model of Thailand manufacturing energy demand," Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2261-2267.
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    37. Apostolos Serletis, 2012. "Interfuel Substitution in the United States," World Scientific Book Chapters, in: Interfuel Substitution, chapter 2, pages 11-35, World Scientific Publishing Co. Pte. Ltd..
    38. Bölük, Gülden & Koç, A. Ali, 2010. "Electricity demand of manufacturing sector in Turkey: A translog cost approach," Energy Economics, Elsevier, vol. 32(3), pages 609-615, May.
    39. Wesseh, Presley K. & Lin, Boqiang, 2018. "Energy consumption, fuel substitution, technical change, and economic growth: Implications for CO2 mitigation in Egypt," Energy Policy, Elsevier, vol. 117(C), pages 340-347.
    40. Bashmakov, Igor, 2007. "Three laws of energy transitions," Energy Policy, Elsevier, vol. 35(7), pages 3583-3594, July.
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    44. Liu, Weisheng & Lin, Boqiang, 2021. "Electrification of rails in China: Its impact on energy conservation and emission reduction," Energy, Elsevier, vol. 226(C).
    45. Thompson, Henry, 2016. "A physical production function for the US economy," Energy Economics, Elsevier, vol. 56(C), pages 185-189.
    46. Magdalena Zachlod-Jelec & Jakub Boratyński, 2016. "How large and uncertain are costs of 2030 emission reduction target for the European countries? Sensitivity analysis in a global CGE model," EcoMod2016 9449, EcoMod.
    47. Wang, Banban & Wei, Jie & Tan, Xiujie & Su, Bin, 2021. "The sectorally heterogeneous and time-varying price elasticities of energy demand in China," Energy Economics, Elsevier, vol. 102(C).
    48. Li, Jianglong & Lin, Boqiang, 2016. "Inter-factor/inter-fuel substitution, carbon intensity, and energy-related CO2 reduction: Empirical evidence from China," Energy Economics, Elsevier, vol. 56(C), pages 483-494.
    49. Timothy J. Considine & Edward J. M. Manderson, 2013. "The Cost of Solar-Centric Renewable Portfolio Standards," Economics Discussion Paper Series 1323, Economics, The University of Manchester.
    50. Mikael Linden, Matti Makela, and Jussi Uusivuori, 2013. "Fuel Input Substitution under Tradable Carbon Permits System: Evidence from Finnish Energy Plants 2005-2008," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    51. Mirshojaeian Hosseini , Hossein & Majed , Vahid & Kaneko , Shinji, 2015. "The Effects of Energy Subsidy Reform on Fuel Demand in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(2), pages 23-47, January.
    52. Li, Jianglong & Sun, Chuanwang, 2018. "Towards a low carbon economy by removing fossil fuel subsidies?," China Economic Review, Elsevier, vol. 50(C), pages 17-33.
    53. Bello, Mufutau Opeyemi & Solarin, Sakiru Adebola & Yen, Yuen Yee, 2018. "Hydropower and potential for interfuel substitution: The case of electricity sector in Malaysia," Energy, Elsevier, vol. 151(C), pages 966-983.
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    56. Dong Hee Suh & Charles B. Moss, 2017. "Dynamic adjustment of ethanol demand to crude oil prices: implications for mandated ethanol usage," Empirical Economics, Springer, vol. 52(4), pages 1587-1607, June.
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    58. Dixon, Peter B. & Rimmer, Maureen T., 2009. "Simulating the U.S. recession," Conference papers 331862, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
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    60. Jianglong Li & Zhi Li, 2018. "Understanding the role of economic transition in enlarging energy price elasticity," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 26(2), pages 253-281, April.
    61. He, Y.X. & Yang, L.F. & He, H.Y. & Luo, T. & Wang, Y.J., 2011. "Electricity demand price elasticity in China based on computable general equilibrium model analysis," Energy, Elsevier, vol. 36(2), pages 1115-1123.
    62. Haishu Qiao & Ying Li & Julien Chevallier & Bangzhu Zhu, 2016. "Capital–energy substitution in China: regional differences and dynamic evolution," Post-Communist Economies, Taylor & Francis Journals, vol. 28(4), pages 421-435, October.
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    64. Banda, Benjamin M. & Hassan, Rashid M., 2011. "Inter-fuel substitution and dynamic adjustment in input demand: Implications for deforestation and carbon emission in Malawi," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 6(1), pages 1-16, March.
    65. Mc Quinn, Kieran, 2003. "Dynamic Factor Demands in a Changing Economy: An Irish Application," Research Technical Papers 3/RT/03, Central Bank of Ireland.
    66. Liu, Boying & Shumway, C. Richard & Yoder, Jonathan K., 2017. "Lifecycle economic analysis of biofuels: Accounting for economic substitution in policy assessment," Energy Economics, Elsevier, vol. 67(C), pages 146-158.

  40. Giovanni Urga, 2001. "Software Review: Theory and Practice of Econometric Modelling using PcGive10," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 571-588, September.

    Cited by:

    1. P. Dorian Owen, 2003. "General‐to‐Specific Modelling Using PcGets," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 609-628, September.

  41. Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
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  42. Mertens, Alexander & Urga, Giovanni, 2001. "Efficiency, scale and scope economies in the Ukrainian banking sector in 1998," Emerging Markets Review, Elsevier, vol. 2(3), pages 292-308, September.

    Cited by:

    1. Zuzana Irsova, 2010. "Bank Efficiency in Transitional Countries: Sensitivity to Stochastic Frontier Design," William Davidson Institute Working Papers Series wp998, William Davidson Institute at the University of Michigan.
    2. Ihsan Isik & Larissa Kyj & Ihsan Kulali, 2016. "The anatomy of bank performance during transition: A separate efficient frontier analysis of Ukrainian banks," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 01-31, April.
    3. Peter Wanke & Andrew Maredza & Rangan Gupta, 2016. "Merger and Acquisitions in South African Banking: A Network DEA Model," Working Papers 201665, University of Pretoria, Department of Economics.
    4. Kiril Tochkov & Nikolay Nenovsk, 2010. "Institutional Reforms, EU Accession, and Bank Efficiency: Evidence from Bulgaria," Working Papers 201005, Texas Christian University, Department of Economics.
    5. Harry Xia & Kevin Lei & Jiaochen Liang, 2019. "Bank Competition, Efficiency, and Stability in Macau," Accounting and Finance Research, Sciedu Press, vol. 8(4), pages 157-157, November.
    6. Mamatzakis, Emmanuel & Staikouras, Christos & Koutsomanoli-Filippaki, Anastasia, 2008. "Bank efficiency in the new European Union member states: Is there convergence?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1156-1172, December.
    7. Staub, Roberta B. & da Silva e Souza, Geraldo & Tabak, Benjamin M., 2010. "Evolution of bank efficiency in Brazil: A DEA approach," European Journal of Operational Research, Elsevier, vol. 202(1), pages 204-213, April.
    8. Fotios Pasiouras & Aggeliki Liadaki & Constantin Zopounidis, 2008. "Bank efficiency and share performance: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1121-1130.
    9. Havrylchyk, Olena, 2006. "Efficiency of the Polish banking industry: Foreign versus domestic banks," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1975-1996, July.
    10. Xiaoqing Fu & Shelagh Heffernan, 2008. "Economies of scale and scope in China's banking sector," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 345-356.
    11. Anastasia Koutsomanoli-Filippaki & Dimitris Margaritis & Christos Staikouras, 2012. "Profit efficiency in the European Union banking industry: a directional technology distance function approach," Journal of Productivity Analysis, Springer, vol. 37(3), pages 277-293, June.
    12. Sõrg, Mart & Tuusis, Danel, 2008. "Foreign banks increase the social orientation of Estonian financial sector," Wirtschaftswissenschaftliche Diskussionspapiere 01/2008, University of Greifswald, Faculty of Law and Economics.
    13. Adnan Kasman & Kamila Mekenbayeva, 2016. "Technical Efficiency and Total Factor Productivity in the Kazakh Banking Industry," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 66(4), pages 685-709, December.
    14. Oleksandr Talavera & Andriy Tsapin & Oleksandr Zholud, 2006. "Macroeconomic Uncertainty and Bank Lending: The Case of Ukraine," Discussion Papers of DIW Berlin 637, DIW Berlin, German Institute for Economic Research.
    15. Christopher J. Green & Victor Murinde & Ivaylo Nikolov, 2004. "The Efficiency of Foreign and Domestic Banks in Central and Eastern Europe: Evidence on Economies of Scale and Scope," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(2), pages 175-205, August.
    16. Olson, Dennis & Zoubi, Taisier A., 2011. "Efficiency and bank profitability in MENA countries," Emerging Markets Review, Elsevier, vol. 12(2), pages 94-110, June.
    17. Staikouras, Christos & Mamatzakis, Emmanuel & Koutsomanoli-Filippaki, Anastasia, 2008. "Cost efficiency of the banking industry in the South Eastern European region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 483-497, December.
    18. Kyj, Larissa & Isik, Ihsan, 2008. "Bank x-efficiency in Ukraine: An analysis of service characteristics and ownership," Journal of Economics and Business, Elsevier, vol. 60(4), pages 369-393.
    19. Jun Du & Sourafel Girma, 2011. "Cost economies, efficiency and productivity growth in the Chinese banking industry: evidence from a quarterly panel dataset," Empirical Economics, Springer, vol. 41(1), pages 199-226, August.
    20. Kiril Tochkov & Nikolay Nenovsky, 2009. "Efficiency of commercial banks in Bulgaria in the wake of EU accession," ICER Working Papers 21-2009, ICER - International Centre for Economic Research.
    21. Karan S. Thagunna & Shashank Poudel, 2013. "Measuring Bank Performance of Nepali Banks: A Data Envelopment Analysis (DEA) Perspective," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 54-65.
    22. Mariani Abdul-Majid & M. Kabir Hassan, 2011. "The Impact of Foreign-Owned Islamic Banks and Islamic Bank Subsidiaries on the Efficiency and Productivity Change of Malaysian Banks تأثير البنوك الإسلامية المملوكة لأجانب والبنوك الإسلامية الفرعية عل," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 24(2), pages 147-174, July.

  43. Peresetsky, A. & Turmuhambetova, G. & Urga, G., 2001. "The development of the GKO futures market in Russia," Emerging Markets Review, Elsevier, vol. 2(1), pages 1-16, March.

    Cited by:

    1. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, September.
    2. Peresetsky, A. A., 2011. "What determines the behavior of the Russian stock market," MPRA Paper 41508, University Library of Munich, Germany.

  44. Saul Estrin & Stepana Lazarova & Giovanni Urga, 2001. "Convergence in Transition Countries – Focus on Investment: Central and Eastern Europe, 1970–1996," Economic Change and Restructuring, Springer, vol. 34(3), pages 215-230, October.

    Cited by:

    1. Roland-Holst, David & Sugiyarto, Guntur, 2014. "Growth Horizons for a Changing Asian Regional Economy," ADB Economics Working Paper Series 392, Asian Development Bank.

  45. Estrin, Saul & Urga, Giovanni & Lazarova, Stepana, 2001. "Testing for Ongoing Convergence in Transition Economies, 1970 to 1998," Journal of Comparative Economics, Elsevier, vol. 29(4), pages 677-691, December.

    Cited by:

    1. Fumitaka Furuoka & Kiew Ling Pui & Chinyere Ezeoke & Ray I. Jacob & Olaoluwa S. Yaya, 2024. "Growth Slowdowns And Middle-Income Trap: Evidence From New Unit Root Framework," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(01), pages 461-477, March.
    2. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2002. "Real and monetary convergence within the European Union and between the European Union and candidate countries: A rolling cointegration approach," ZEI Working Papers B 05-2002, University of Bonn, ZEI - Center for European Integration Studies.
    3. Giovanni Andrea Cornia, 2010. "Transition, Structural Divergence, and Performance: Eastern Europe and the former Soviet Union over 2000-2007," WIDER Working Paper Series wp-2010-032, World Institute for Development Economic Research (UNU-WIDER).
    4. Gökhan KONAT & Mustafa Gökçe & Fatma Kızılkaya, 2019. "AB Ülkelerinin Yakınsaması: Suradf ve Surkss Birim Kök Testi," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 31(0), pages 63-75, December.
    5. Cieślik, Andrzej & Wciślik, Dominika Róża, 2020. "Convergence among the CEE-8 economies and their catch-up towards the EU-15," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 39-48.
    6. E.Tsanana & C. Katrakilidis, 2016. "The issue of convergence: New empirical evidence for the Central Eastern Europe area," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1), pages 53-62.
    7. Mirjana Gligoric, 2014. "Paths Of Income Convergence Between Country Pairs Within Europe," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 59(201), pages 123-156, April – J.
    8. Johnson, Paul & Papageorgiou, Chris, 2018. "What Remains of Cross-Country Convergence?," MPRA Paper 89355, University Library of Munich, Germany.
    9. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2005. "Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 249-270, January.
    10. Kutan, Ali M. & Yigit, Taner M., 2004. "Nominal and real stochastic convergence of transition economies," Journal of Comparative Economics, Elsevier, vol. 32(1), pages 23-36, March.
    11. Spruk, Rok, 2011. "Productivity and income convergence in transition: theory and evidence from Central Europe," MPRA Paper 33389, University Library of Munich, Germany.
    12. Sels, A.T.H., 2006. "Foreign direct investment as an entry mode. An application in emerging economies," Other publications TiSEM 583ca9b5-1691-425d-8f77-0, Tilburg University, School of Economics and Management.

  46. Paul Temple & Giovanni Urga & Ciaran Driver, 2001. "The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(4), pages 361-382, September.

    Cited by:

    1. Byrne, Joseph P & Davis, E Philip, 2002. "Investment and Uncertainty in the G7," MPRA Paper 78956, University Library of Munich, Germany.
    2. Robert S. Chirinko & Huntley Schaller, 2008. "The Irreversibility Premium," CESifo Working Paper Series 2265, CESifo.
    3. Sarantis Kalyvitis, 2006. "Another look at the linear q model: an empirical analysis of aggregate business capital spending with maintenance expenditures," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(4), pages 1282-1315, November.
    4. Mellati, Ali, 2008. "Uncertainty and investment in private sector: An analytical argument and a review of the economy of Iran," MPRA Paper 26655, University Library of Munich, Germany.
    5. Aytekin GÜVEN & Arzu AKKOYUNLU-WIGLEY, 2018. "The Effects of Market Structure on Uncertainty-Investment Relationship: Evidence from Turkish Manufacturing Industry," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(37).
    6. Catherine Fuss & Philip Vermeulen, 2008. "Firms' investment decisions in response to demand and price uncertainty," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2337-2351.
    7. Mitchell, James & Mouratidis, Kostas & Weale, Martin, 2007. "Uncertainty in UK manufacturing: Evidence from qualitative survey data," Economics Letters, Elsevier, vol. 94(2), pages 245-252, February.
    8. Marina Riem, 2016. "Corporate investment decisions under political uncertainty," ifo Working Paper Series 221, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    9. Mark J. Koetse & Henri L.F. de Groot & Raymond J.G.M. Florax, 2006. "The Impact of Uncertainty on Investment: A Meta-Analysis," Tinbergen Institute Discussion Papers 06-060/3, Tinbergen Institute.
    10. Chuanzhen Li & Liang Zhao & Yiwen Zhang, 2024. "Economic policy uncertainty and cash dividend policy: evidence from China," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
    11. Mohey-ud-din, Ghulam & Siddiqi, Muhammad Wasif, 2013. "GDP Fluctuations and Private Investment: A Macro Panel Analysis of Selected South Asian Countries," MPRA Paper 60231, University Library of Munich, Germany, revised 15 Jun 2014.
    12. Binding, Garret & Dibiasi, Andreas, 2017. "Exchange rate uncertainty and firm investment plans evidence from Swiss survey data," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 1-27.
    13. Driver, Ciaran & Guedes, Maria João Coelho, 2012. "Research and development, cash flow, agency and governance: UK large companies," Research Policy, Elsevier, vol. 41(9), pages 1565-1577.
    14. Kang, Wensheng & Lee, Kiseok & Ratti, Ronald A., 2014. "Economic policy uncertainty and firm-level investment," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 42-53.
    15. Lay Lian Chuah & Wai Ching Poon & Balachandher Krishnan Guru, 2018. "Uncertainty and Private Investment Decision in Malaysia," Modern Applied Science, Canadian Center of Science and Education, vol. 12(9), pages 1-71, September.
    16. Ahsan Abbas & Eatzaz Ahmed & Fazal Husain, 2019. "Political and Economic Uncertainty and Investment Behaviour in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(3), pages 307-331.

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

    Cited by:

    1. Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
    2. Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
    3. Christophe J. Godlewski & Zuzana Fungáčová & Laurent Weill, 2011. "Stock Market Reaction to Debt Financing Arrangements in Russia," Post-Print hal-03047770, HAL.
    4. Judy Day & Peter Taylor, 2004. "Institutional Change and Debt-based Corporate Governance: A Comparative Analysis of Four Transition Economies," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 8(1), pages 73-115, March.
    5. Willman, Alpo & Dieppe, Alistair & Baumann, Ursel & González Pandiella, Alberto, 2014. "Model of the United States economy with learning MUSEL," Working Paper Series 1745, European Central Bank.
    6. 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.
    7. Mohamed El Hedi Arouri & Duc Khuong Nguyen & Thanh Huong Dinh, 2010. "Time-varying Predictability in Crude Oil Markets: The Case of GCC Countries," Working Papers hal-00507822, HAL.
    8. Pierdzioch, Christian, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913," Kiel Working Papers 1213, Kiel Institute for the World Economy (IfW Kiel).
    9. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
    10. Hanousek, Jan & Podpiera, Richard, 2004. "Czech experience with market maker trading system," Economic Systems, Elsevier, vol. 28(2), pages 177-191, June.
    11. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
    12. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
    13. Kaie Kerem & Enn Listra & Katrin Rahu, 2004. "Market Efficiency and Rational Expectations," Working Papers 112, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
    14. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    15. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
    16. Pierdzioch, Christian & Schertler, Andrea, 2005. "Sources of Predictability of European Stock Markets for High-Technology Firms," Kiel Working Papers 1235, Kiel Institute for the World Economy (IfW Kiel).
    17. Kryukovskaya Olga, "undated". "Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998," EERC Working Paper Series 03-07e, EERC Research Network, Russia and CIS.
    18. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
    19. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    20. Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel, 2011. "Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets," Greenwich Papers in Political Economy 7275, University of Greenwich, Greenwich Political Economy Research Centre.
    21. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    22. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
    23. Julian Fennema, 2006. "An Alternative Estimation Framework for Firm-Level Capital Investment," CERT Discussion Papers 0602, Centre for Economic Reform and Transformation, Heriot Watt University.
    24. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
    25. Xiao‐Ming Li, 2003. "China: Further Evidence on the Evolution of Stock Markets in Transition Economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 341-358, August.
    26. Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, University Library of Munich, Germany.
    27. B Harrison & D Paton, 2007. "Do fat tails matter in GARCH estimation: testing market efficiency in two transition economies," Economic Issues Journal Articles, Economic Issues, vol. 12(2), pages 15-26, September.
    28. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 169-190, July.
    29. Radosław Cholewiński, 2009. "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(3), pages 261-284, November.
    30. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
    31. Anatolyev, Stanislav, 2008. "A 10-year retrospective on the determinants of Russian stock returns," Research in International Business and Finance, Elsevier, vol. 22(1), pages 56-67, January.
    32. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
    33. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
    34. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
    35. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
    36. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
    37. Girardin, Eric & Liu, Zhenya, 2005. "Bank credit and seasonal anomalies in China's stock markets," China Economic Review, Elsevier, vol. 16(4), pages 465-483.
    38. Hayo, Bernd & Kutan, Ali M., 2002. "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers B 20-2002, University of Bonn, ZEI - Center for European Integration Studies.
    39. Junji Shimada & Toyoharu Takahashi & Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda, 2010. "Japanese Interest Rate Swap Pricing," TERG Discussion Papers 253, Graduate School of Economics and Management, Tohoku University.
    40. Regep Horatiu Dan, 2015. "Weak Form Of Market Efficiency - European Capital Market," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 202-211, August.
    41. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
    42. Aneta Dyakova & Graham Smith, 2013. "The evolution of stock market predictability in Bulgaria," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 805-816, May.
    43. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
    44. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
    45. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, September.
    46. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
    47. Christian Aubin & Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Quelle convergence financière pour les pecos ?. Une analyse économétrique de l'évolution des marchés d'actions (1998-2003)," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 147-169.
    48. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
    49. Vít Pošta, 2008. "Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 248-260, August.
    50. Jozef Konings & Hylke Vandenbussche, 2004. "The adjustment of financial ratios in the presence of soft budget constraints: evidence from Bulgaria," European Accounting Review, Taylor & Francis Journals, vol. 13(1), pages 131-159.

  48. Stephen Hall & Stepana Lazarova & Giovanni Urga, 1999. "A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 749-767, November.

    Cited by:

    1. Hall, Stephen G. & Heilemann, Ullrich & Pauly, Peter (ed.), 2004. "Macroeconometric Models and European Monetary Union," RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung, volume 73, number 73.
    2. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
    3. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research.
    4. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society.
    5. Panagiotis Reppas & Efthymios Tsionas & Dimitris Christopoulos, 2001. "European common stochastic long-run trends," Journal of Economics, Springer, vol. 74(2), pages 119-130, June.
    6. Mark J. Holmes & Arthur Grimes, 2008. "Is There Long-run Convergence among Regional House Prices in the UK?," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1531-1544, July.
    7. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
    8. Mark J. Holmes, 2005. "Is Long-Run Output Convergence Associated With International Cooperation? Some New Evidence For Selected African Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 30(2), pages 67-85, December.
    9. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University.

  49. Urga, Giovanni, 1999. "An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand," Economic Modelling, Elsevier, vol. 16(4), pages 503-513, December.

    Cited by:

    1. Fei, Rilong & Wang, Haolin & Wen, Zihao & Yuan, Zhen & Yuan, Kaihua & Chunga, Joseph, 2021. "Tracking factor substitution and the rebound effect of China’s agricultural energy consumption: A new research perspective from asymmetric response," Energy, Elsevier, vol. 216(C).
    2. Eva Samakovlis, 2003. "The Relationship between Waste Paper and Other Inputs in the Swedish Paper Industry," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 25(2), pages 191-212, June.
    3. Stern, David I., 2009. "Interfuel Substitution: A Meta-Analysis," MPRA Paper 13734, University Library of Munich, Germany.
    4. Yang, Lisha & Li, Jianglong, 2017. "Rebound effect in China: Evidence from the power generation sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 71(C), pages 53-62.
    5. Spierdijk, Laura & Shaffer, Sherrill & Considine, Tim, 2017. "How do banks adjust to changing input prices? A dynamic analysis of U.S. commercial banks before and after the crisis," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 1-14.
    6. Considine, Timothy J., 2018. "Estimating concave substitution possibilities with non-stationary data using the dynamic linear logit demand model," Economic Modelling, Elsevier, vol. 72(C), pages 22-30.
    7. Bentzen, Jan, 2004. "Estimating the rebound effect in US manufacturing energy consumption," Energy Economics, Elsevier, vol. 26(1), pages 123-134, January.
    8. Lila J. Truett & Dale B. Truett, 2009. "Challenges For France In The Emerging International Environment: A Dynamic Analysis," Contemporary Economic Policy, Western Economic Association International, vol. 27(4), pages 566-573, October.
    9. Peñasco, Cristina & del Río, Pablo & Romero-Jordán, Desiderio, 2017. "Gas and electricity demand in Spanish manufacturing industries: An analysis using homogeneous and heterogeneous estimators," Utilities Policy, Elsevier, vol. 45(C), pages 45-60.
    10. Terje Skjerpen, 2004. "The dynamic factor model revisited: the identification problem remains," Discussion Papers 369, Statistics Norway, Research Department.
    11. Andersen, Trude Berg & Nilsen, Odd Bjarte & Tveteras, Ragnar, 2011. "How is demand for natural gas determined across European industrial sectors?," Energy Policy, Elsevier, vol. 39(9), pages 5499-5508, September.
    12. Polemis, Michael. L., 2007. "Modeling industrial energy demand in Greece using cointegration techniques," Energy Policy, Elsevier, vol. 35(8), pages 4039-4050, August.
    13. Beckman, Jayson & Hertel, Thomas & Tyner, Wallace, 2011. "Validating energy-oriented CGE models," Energy Economics, Elsevier, vol. 33(5), pages 799-806, September.
    14. Skjerpen, Terje, 2005. "The dynamic factor demand model revisited: The identification problem remains," Economics Letters, Elsevier, vol. 89(2), pages 157-166, November.

  50. Temple, Paul & Urga, Giovanni, 1997. "The Competitiveness of UK Manufacturing: Evidence from Imports," Oxford Economic Papers, Oxford University Press, vol. 49(2), pages 207-227, April.

    Cited by:

    1. Natalie Chen & Dennis Novy, 2012. "On the Measurement of Trade Costs: Direct vs. Indirect Approaches to Quantifying Standards and Technical Regulations," CEP Discussion Papers dp1164, Centre for Economic Performance, LSE.
    2. Isabel Maria Bodas Freitas & Michiko Iizuka, 2008. "Standards compliance as an alternative learning opportunity under globalization in Latin America," SPRU Working Paper Series 172, SPRU - Science Policy Research Unit, University of Sussex Business School.
    3. Isabel Maria Bodas Freitas & Michiko Iizuka, 2012. "A multi-level analysis of the diffusion of standards compliance in Latin America," Grenoble Ecole de Management (Post-Print) hal-01487512, HAL.
    4. Benjamin Jung, 2016. "Trade creating oder Trade diverting - Ökonomische Perspektiven auf den Abbau technischer Handelshemmnisse in multilateralem oder regionalem Rahmen," IAW Discussion Papers 127, Institut für Angewandte Wirtschaftsforschung (IAW).
    5. Bodas Freitas, Isabel Maria & Iizuka, Michiko, 2012. "Openness to international markets and the diffusion of standards compliance in Latin America. A multi level analysis," Research Policy, Elsevier, vol. 41(1), pages 201-215.
    6. Ederington,Josh & Ruta,Michele, 2016. "Non-tariff measures and the world trading system," Policy Research Working Paper Series 7661, The World Bank.

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

    Cited by:

    1. Urga, Giovanni & Walters, Chris, 2003. "Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand," Energy Economics, Elsevier, vol. 25(1), pages 1-21, January.
    2. Lila J. Truett & Dale B. Truett, 2009. "Challenges For France In The Emerging International Environment: A Dynamic Analysis," Contemporary Economic Policy, Western Economic Association International, vol. 27(4), pages 566-573, October.
    3. Terje Skjerpen, 2004. "The dynamic factor model revisited: the identification problem remains," Discussion Papers 369, Statistics Norway, Research Department.
    4. Everaert, Gerdie & Heylen, Freddy, 2004. "Public capital and long-term labour market performance in Belgium," Journal of Policy Modeling, Elsevier, vol. 26(1), pages 95-112, January.
    5. Skjerpen, Terje, 2005. "The dynamic factor demand model revisited: The identification problem remains," Economics Letters, Elsevier, vol. 89(2), pages 157-166, November.
    6. Urga, Giovanni, 1999. "An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand," Economic Modelling, Elsevier, vol. 16(4), pages 503-513, December.
    7. Truett, Lila J. & Truett, Dale B., 2002. "The demand for imports in Italy: A production analysis," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 393-409.

Chapters

  1. Martin Belvisi & Riccardo Pianeti & Giovanni Urga, 2016. "Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 317-360, Emerald Group Publishing Limited.

    Cited by:

    1. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
    2. Javier Maldonado & Esther Ruiz, 2021. "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1432-1453, December.
    3. Carlos Correa & David Alarcón & Ignacio Cepeda, 2021. "“I am Delighted!”: The Effect of Perceived Customer Value on Repurchase and Advocacy Intention in B2B Express Delivery Services," Sustainability, MDPI, vol. 13(11), pages 1-19, May.

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