Claudio Morana

Università di Milano Bicocca

Professor

Dip Economia Metodi Quantitativi Strategie Impresa

Piazza dell'Ateneno Nuovo 1

Milano, 20126

Italy

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)

Piazza dell'Ateneo Nuovo, 1

Milan, 20126

Italy

Center for Economic Research on Pensions and Welfare Policies (CeRP)

Moncalieri, Turin

Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3

Rimini (RN), RN 47900

Italy

  • Università di Milano Bicocca

    • Email
    • Tel: +39 0264483091

  • Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS)

  • Center for Economic Research on Pensions and Welfare Policies (CeRP)

  • University of Bologna - Rimini Center for Economic Analysis (RCEA)

SCHOLARLY PAPERS

84

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2,698

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Top 12,539

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22

CROSSREF CITATIONS

53

Scholarly Papers (84)

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1.

Monetary Policy and the Stock Market in the Euro Area

Downloads 374 ( 81,289)

Monetary Policy and the Stock Market in the Euro Area

ECB Working Paper No. 119
Number of pages: 85 Posted: 14 Jan 2003
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 374 (80,588)

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Monetary policy transmission mechanism; price stability; financial stability

Monetary Policy and the Stock Market in the Euro Area

Journal of Policy Modeling, Vol. 26, No. 3, pp. 387-99, 2004
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

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monetary policy transmission mechanism, price stability, financial stability

2.

Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

Downloads 196 (159,692)

Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

FEEM Working Paper No. 23.2016
Number of pages: 33 Posted: 19 Mar 2016 Last Revised: 23 Mar 2016
Claudio Morana
Università di Milano Bicocca
Downloads 116 (247,641)

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Oil Price Shocks, Oil Price-macroeconomy Relationship, Risk Factors, Semiparametric Dynamic Conditional Correlation Model, Time-varying Parameter Models

Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 330
Number of pages: 31 Posted: 27 Feb 2016
Claudio Morana
Università di Milano Bicocca
Downloads 80 (317,577)

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oil price shocks, oil price-macroeconomy relationship, risk factors, semiparametric dynamic conditional correlation model, time-varying parameter models

3.

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

Downloads 188 (165,770)
Citation 2

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

ECB Working Paper No. 982
Number of pages: 41 Posted: 23 Dec 2008
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 188 (165,726)
Citation 2

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional co-integration, co-breaking, fractionally integrated factor vector autoregressive model

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

International Journal of Central Banking, 4, 2008
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional cointegration, cobreaking, fractionally integrated factor vector autoregressive model

4.

Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data

ECB Working Paper No. 235
Number of pages: 74 Posted: 02 Dec 2003
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 180 (172,494)
Citation 1

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Money market microstructure; money market interest rates; liquidity effect; stochastic volatility; fractional integration and cointegration

5.

Measuring Core Inflation in the Euro Area

ECB Working Paper No. 36
Number of pages: 53 Posted: 12 Dec 2002
Claudio Morana
Università di Milano Bicocca
Downloads 154 (197,358)

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ARFIMA, Core Inflation, Euro Area, Markov Switching

6.

A Structural Common Factor Approach to Core Inflation Estimation and Forecasting

Downloads 135 (219,692)

A Structural Common Factor Approach to Core Inflation Estimation and Forecasting

ECB Working Paper No. 305
Number of pages: 73 Posted: 18 May 2004
Claudio Morana
Università di Milano Bicocca
Downloads 135 (220,350)

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Long memory, common factors, fractional cointegration, Markov switching, core inflation, euro area

A Structural Common Factor Approach to Core Inflation Estimation and Forecasting

Applied Economics Letters, Vol. 14, pp. 163-169, 2007
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

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Fractional cointegration, cobreaking, core inflation, euro area

7.

Climate Change Implications for the Catastrophe Bonds Market: An Empirical Analysis

Downloads 130 (226,290)
Citation 5

Climate Change Implications for the Catastrophe Bonds Market: An Empirical Analysis

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 377
Number of pages: 26 Posted: 27 Dec 2017 Last Revised: 29 Apr 2019
Claudio Morana and Giacomo Sbrana
Università di Milano Bicocca and Neoma Business School
Downloads 98 (278,944)
Citation 2

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Catastrophe (cat) bonds and insurance-linked securities (ILS), multiples, global warming, climate change, El Niño Southern Oscillation, Atlantic hurricanes, semiparametric dynamic conditional correlation model.

Some Financial Implications of Global Warming: An Empirical Assessment

FEEM Working Paper No. 01.2018
Number of pages: 54 Posted: 20 Mar 2018
Claudio Morana and Giacomo Sbrana
Università di Milano Bicocca and Neoma Business School
Downloads 32 (484,178)
Citation 3

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Cat Bonds, Risk Premia/Multiples, Temperature Anomalies, Global Warming, Radiative Forcing, ENSO, El Niño, Atlantic Hurricanes, Dynamic Conditional Correlation Model

8.

The Oil Price-Macroeconomy Relationship Since the Mid- 1980s: A Global Perspective

Downloads 128 (229,011)

The Oil Price-Macroeconomy Relationship Since the Mid- 1980s: A Global Perspective

FEEM Working Paper No. 28.2012
Number of pages: 44 Posted: 05 Jun 2012
Claudio Morana
Università di Milano Bicocca
Downloads 128 (229,826)

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oil price, oil price-macroeconomy relationship, macro-finance interface, international business cycle, factor vector autoregressive models

The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective

Energy Journal, 2013, 34, 153-189
Posted: 18 Apr 2012 Last Revised: 28 Jul 2013
Claudio Morana
Università di Milano Bicocca

Abstract:

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oil price, oil price-macroeconomy relationship, macro-finance interface, international business cycle, factor vector autoregressive models

9.

Comovements in Volatility in the Euro Money Market

Downloads 118 (243,423)

Comovements in Volatility in the Euro Money Market

ECB Working Paper No. 703
Number of pages: 54 Posted: 28 Dec 2006
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 118 (244,505)

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Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

Comovements in Volatility in the Euro Money Market

Journal of International Money and Finance, Vol. 29, 2010
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

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Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

10.

Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes

Downloads 106 (262,643)
Citation 1

Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes

ECB Working Paper No. 321
Number of pages: 63 Posted: 13 May 2004
Claudio Morana
Università di Milano Bicocca
Downloads 106 (264,151)
Citation 1

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Fractional cointegration, long memory, frequency domain analysis

Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes

Applied Economics Letters, Vol. 11, pp. 837-42, 2004
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Fractional cointegration, long memory, frequency domain analysis

11.

Real Oil Prices Since the 1990s

FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), January 2012
Number of pages: 13 Posted: 28 Mar 2012
Claudio Morana
Università di Milano Bicocca
Downloads 97 (278,901)

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Oil price, Macro-finance Interface, International Business Cycle, Factor Vector Autoregressive Models

12.

The US$/€ Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 321
Number of pages: 44 Posted: 27 Dec 2015 Last Revised: 28 Dec 2015
Claudio Morana
Università di Milano Bicocca
Downloads 93 (286,653)
Citation 4

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US$/€ exchange rate, asset pricing theory of exchange rate determination, macroeconomic and financial determinants, risk factors, subprime mortgage financial crisis, sovereign debt crisis, early warning indicators of macroeconomic and financial stress, forecasting, multivariate GARCH model

13.

Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

Downloads 88 (296,765)
Citation 9

Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

FEEM Working Paper No. 7.2012
Number of pages: 64 Posted: 19 Mar 2012 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca
Downloads 88 (299,217)
Citation 9

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Oil Price, Financial speculation, Macro-finance Interface, International Business Cycle, Factor Vector Autoregressive Models

Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

Journal of Banking and Finance, 2013, 37, 206-226
Posted: 12 Feb 2012 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

Abstract:

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Oil price, financial speculation, macro-finance interface, international business cycle, factor vector autoregressive models

14.

Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 264
Number of pages: 74 Posted: 02 Jan 2014
Claudio Morana
Università di Milano Bicocca
Downloads 76 (324,096)
Citation 4

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macro-…finance interface; risk factors; size, value, momentum, liquidity, and leverage effects, factor vector autoregressive model

15.

Semiparametric Estimation of Multivariate GARCH Models

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 317
Number of pages: 9 Posted: 10 Dec 2015
Claudio Morana
Università di Milano Bicocca
Downloads 71 (336,812)
Citation 2

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Multivariate GARCH model, dynamic conditional correlation, semiparametric estimation

16.

Financial Deepening and Income Distribution Inequality in the Euro Area

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 316
Number of pages: 34 Posted: 01 Dec 2015
Donatella Baiardi and Claudio Morana
University of Pavia and Università di Milano Bicocca
Downloads 71 (336,812)
Citation 2

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Euro area; financial development; financial stability; income distribution inequality; Kuznets curve; real convergence; subprime mortgage and sovereign debt crisis.

17.

Model Averaging by Stacking

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 310
Number of pages: 14 Posted: 26 Sep 2015
Claudio Morana
Università di Milano Bicocca
Downloads 66 (350,277)

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Model Averaging, Model Uncertainty

18.

New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil

Applied Financial Economics, Vol. 24, No. 5, 2014
Number of pages: 49 Posted: 06 Apr 2013 Last Revised: 28 May 2014
Claudio Morana
Università di Milano Bicocca
Downloads 64 (355,927)
Citation 2

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subprime crisis, euro area sovereign debt crisis, US OIS spreads, risk barometer

19.

Euro Money Market Spreads During the 2007-? Financial Crisis

ECB Working Paper No. 1437
Number of pages: 26 Posted: 09 Jul 2012
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 64 (355,927)
Citation 1

Abstract:

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Money market interest rates, credit/liquidity risk, fractionally integrated heteroskedastic factor vector autoregressive model

20.

Temperature Anomalies, Radiative Forcing and ENSO

Downloads 60 (367,786)
Citation 1

Temperature Anomalies, Radiative Forcing and ENSO

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 361
Number of pages: 38 Posted: 10 Feb 2017
Claudio Morana and Giacomo Sbrana
Università di Milano Bicocca and Neoma Business School
Downloads 51 (403,472)
Citation 1

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temperature anomaly, global warming, warming hiatus, radiative forcing, ENSO, El Niño, conditional heteroskedasticity, semiparametric dynamic conditional correlation model

Temperature Anomalies, Radiative Forcing and ENSO

FEEM Working Paper No. 9.2017
Number of pages: 40 Posted: 28 Feb 2017
Claudio Morana and Giacomo Sbrana
Università di Milano Bicocca and Neoma Business School
Downloads 9 (633,208)
Citation 1

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Temperature Anomaly, Global Warming, Warming Hiatus, Radiative Forcing, ENSO, El Niño, Conditional Heteroskedasticity, Semiparametric Dynamic Conditional Correlation Model

21.

It Ain't Over Till it's Over: A Global Perspective on the Great Moderation-Great Recession Interconnection

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 303
Number of pages: 76 Posted: 25 Jul 2015
Fabio C. Bagliano and Claudio Morana
University of Turin - Department of Economics and Statistics and Università di Milano Bicocca
Downloads 60 (367,786)
Citation 6

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Great Moderation, Great Recession, risk factors, early warning system, macro-financial instability; FAVAR models.

22.

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS Spreads Term Structure

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 233
Number of pages: 76 Posted: 22 Jul 2013 Last Revised: 28 May 2014
Claudio Morana
Università di Milano Bicocca
Downloads 56 (380,323)
Citation 1

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long and short memory, structural breaks, common factors, principal components analysis, fractionally integrated heteroskedastic factor vector autoregressive model, subprime crisis, euro area sovereign debt crisis

23.

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Downloads 45 (418,076)

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

ECB Working Paper No. 793
Number of pages: 33 Posted: 17 Aug 2007
Christian Ewerhart, Nuno Cassola and Claudio Morana
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 45 (426,047)

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Repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Journal of Financial Transformation, Vol. 19, pp. 81-90, 2007
Posted: 03 Oct 2006
Claudio Morana, Christian Ewerhart and Nuno Cassola
Università di Milano Bicocca, University of Zurich, Department of Economics and University of Milan Bicocca - CefES

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repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

24.

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 273
Number of pages: 56 Posted: 28 May 2014
Claudio Morana
Università di Milano Bicocca
Downloads 29 (486,914)

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long and short memory, structural breaks, common factors, principal components analysis, fractionally integrated heteroskedastic factor vector autoregressive model.

25.

Climate Change Awareness: Empirical Evidence for the European Union

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 426, January 2020
Number of pages: 33 Posted: 03 Jan 2020
Donatella Baiardi and Claudio Morana
University of Pavia and Università di Milano Bicocca
Downloads 27 (497,419)

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climate change, environmental attitude, green bonds, mitigation policy, EU

26.

Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 382
Number of pages: 58 Posted: 05 Jun 2018 Last Revised: 29 Apr 2019
Claudio Morana
Università di Milano Bicocca
Downloads 22 (526,034)

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Conditional covariance, Dynamic conditional correlation model, Semiparametric dynamic conditional correlation model, Multivariate GARCH

27.

PC-VAR Estimation of Vector Autoregressive Models

Open Journal of Statistics, 2012, 2, 251-259
Posted: 18 Feb 2012 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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vector autoregressive model, principal components analysis, statistical reduction techniques

28.

Determinants of US Financial Fragility Conditions

Research in International Business and Finance 30 (2014) 377–392
Posted: 12 Feb 2012 Last Revised: 29 May 2014
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

Abstract:

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financial fragility, US, macro-finance interface, international business cycle, factor vector autoregressive models, financial crisis, Great Recession

29.

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

Posted: 07 Feb 2011 Last Revised: 28 May 2014
Claudio Morana
Università di Milano Bicocca

Abstract:

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long and short memory, structural breaks, common factors, principal components analysis, fractionally integrated heteroskedastic factor vector autoregressive model

30.

The Great Recession: US Dynamics and Spillovers to the World Economy

Journal of Banking and Finance, Vol. 36, No. 1, 2012
Posted: 18 Dec 2010 Last Revised: 09 Jun 2013
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

Abstract:

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Great Recession, financial crisis, economic crisis, boom-bust, credit cycle, international business cycle, factor vector autoregressive models

31.

Euro Money Market Spreads During the 2007-? Financial Crisis

Journal of Empirical Finance, 2012, 19, 548-557.
Posted: 12 May 2010 Last Revised: 09 Jun 2013
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

Abstract:

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractionally integrated heteroskedastic factor vector autoregressive model

32.

Permanent and Transitory Dynamics in House Prices and Consumption: Some Implications for the Real Effects of the Financial Crisis

Applied Financial Economics, Vol. 20, pp. 151-170, 2010
Posted: 29 Apr 2009 Last Revised: 09 Jun 2013
Fabio C. Bagliano and Claudio Morana
University of Turin - Department of Economics and Statistics and Università di Milano Bicocca

Abstract:

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house prices, business cycle, sub-prime crisis

33.

Aggregate Hedge Funds Flows and Returns

Applied Financial Economics, Vol. 18, 2008
Posted: 29 Apr 2009
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

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Hedge funds, performance, asset pricing models, unobserved components models

34.

Adaptive ARFIMA Models with Applications to Inflation

Economic Modelling, Vol. 29, 2012
Posted: 03 Mar 2009 Last Revised: 09 Jun 2013
Claudio Morana and Richard Baillie
Università di Milano Bicocca and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

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ARFIMA, FIGARCH, long memory, structural change, inflation, G7

35.

International House Prices and Macroeconomic Fluctuations

Journal of Banking and Finance, Vol. 34, 2009
Posted: 18 Sep 2008 Last Revised: 09 Jun 2013
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

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G-7, house prices, international business cycle, factor vector autoregressive models, common factors

36.

Realized Mean-Variance Efficient Portfolio Selection and Euro Area Stock Market Integration

Applied Financial Economics, Vol. 20, 2010
Posted: 08 Nov 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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asset allocation, portfolio choice, stock market integration, international diversification, euro area, realized regression

37.

Realized Betas and the Cross-Section of Expected Returns

Applied Financial Economics, Vol. 19, 2009
Posted: 08 Nov 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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realized regression, time-varying beta, conditional CAPM

38.

Estimating, Filtering and Forecasting Realized Betas

Journal of Financial Forecasting, Vol. 1, pp. 83-111, 2007
Posted: 05 Apr 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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realized regression, factor betas, long memory, structural change, forecasting, noise filtering

39.

On the Macroeconomic Causes of Exchange Rate Volatility

International Journal of Forecasting, Vol. 25, pp. 328-350, 2009
Posted: 27 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

Abstract:

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exchange rates volatility, macroeconomic volatility, long memory, structural change, fractional cointegration, cobreaking, fractionally integrated factor vector autoregressive model, G-7 area

40.

Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach

Journal of Economic Dynamics and Control, 33, 2009
Posted: 27 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana and Richard Baillie
Università di Milano Bicocca and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

Abstract:

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FIGARCH, long memory, structural change, stock market volatility

41.

Estimating Long Memory in the Mark-Dollar Exchange Rate With High Frequency Data

Applied Financial Economics Letters, pp. 361-364, 2006
Posted: 27 Mar 2007
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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FIGARCH, IGARCH, Volatility, high frequency data, long memory

42.

Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?

Applied Economics, Forthcoming
Posted: 27 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

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business cycle comovement, factor vector autoregressive model, transmission mechanisms.

43.

An Omnibus Noise Filter

Computational Statistics, Vol. 24, 2009
Posted: 27 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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signal - noise, long memory, structural breaks, flexible least squares, exchange rates volatility

44.

Factor Demand Modelling: The Theory and the Practice

Applied Mathematical Sciences, Vol. 1, No. 31, pp. 1519-1549, 2007
Posted: 22 Mar 2007 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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Factor demand, flexible functional forms, error correction model, cointegration

45.

Multivariate Modelling of Long Memory Processes With Common Components

Journal of Computational Statistics and Data Analysis, Vol. 52, pp. 919-934, 2007
Posted: 10 Dec 2006 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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long memory, factor model, principal components analysis, permanent-transitory decomposition

46.

Factor Vector Autoregressive Estimation: A New Approach

Journal of Economic Interaction and Coordination, Vol. 3, pp. 15-23, 2008
Posted: 10 Dec 2006 Last Revised: 09 Jun 2013
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

Abstract:

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factor vector autoregressive models, large scale macroeconometric models

47.

International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach

Economic Modelling, Vol. 26, pp. 232-244, 2009
Posted: 20 Nov 2006 Last Revised: 09 Jun 2013
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

Abstract:

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G7, international business cycle, factor vector autoregressive models, common factors

48.

The Price Stability Oriented Monetary Policy of the ECB: An Assessment

Applied Economics, Vol. 38, 2006
Posted: 01 Nov 2006
Claudio Morana
Università di Milano Bicocca

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monetary policy, price stability, business cycle

49.

The End of the Japanese Stagnation: An Assessment of the Policy Solutions

Quantitative and Qualitative Analysis in Social Sciences, No. 1, Vol. 1, pp. 43-62, 2007
Posted: 03 Oct 2006
Claudio Morana
Università di Milano Bicocca

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factor vector autoregression, large scale macroeconometric model, Japan, monetary policy

50.

Net Inflows and Time-Varying Alphas: The Case of Hedge Funds

Quantitative and Qualitative Analysis in Social Sciences, Vol. 2, No. 3, pp. 67-94, 2008
Posted: 03 Oct 2006 Last Revised: 09 Jun 2013
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

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Hedge funds, performance, asset pricing models, unobserved components models

51.

International Stock Markets Comovements: The Role of Economic and Financial Integration

Empirical Economics, Vol. 35, pp. 333-359, 2008
Posted: 03 Oct 2006 Last Revised: 09 Jun 2013
Claudio Morana
Università di Milano Bicocca

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stock markets, financial integration, economic integration

52.

Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios

Applied Financial Economics, Vol. 16, pp. 1-15, 2006
Posted: 07 Jun 2006
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

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risk factors, structural change, long memory, fractional cointegration, portfolio allocation

53.

Comovements in International Stock Markets

Journal of International Financial Markets Institutions and Money, Vol. 18, pp. 31-45, 2008
Posted: 12 Apr 2006 Last Revised: 09 Jun 2013
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

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realized volatility, realized correlation, stock markets, financial integration, economic integration

54.

Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility

Journal of Econometrics, Vol. 131, No. 2, pp. 151-177, April 2006
Posted: 09 Mar 2006
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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Stock market volatility, macroeconomic volatility, long memory, fractional cointegration, structural change

55.

A Small Scale Macroeconometric Model for the Euro-12 Area

Economic Modelling, Vol. 23, No. 3, pp. 391-426, 2006
Posted: 19 Dec 2005
Claudio Morana
Università di Milano Bicocca

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long memory, structural change, fractional cointegration, cobreaking, time-varying parameter VECM, core inflation, monetary policy, Euro area

56.

Statistical Benefits of Value-at-Risk with Long Memory

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Andrea Beltratti and Claudio Morana
Bocconi University - Department of Finance and Università di Milano Bicocca

Abstract:

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long memory models , value-at-risk, VAR, GARCH, ARFIMA, high-frequency data, multi-step point forecasting, ARFIMA-FIGARCH model

57.

The Japanese Stagnation: An Assessment of the Productivity Slowdown Hypothesis

Japan and the World Economy, Vol. 16, pp. 193-211, 2004
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Japan, common trends, economic growth

58.

Stock Market Volatility of Regulated Industries: An Empirical Assessment

Portuguese Economic Journal, Vol. 3, No. 3, pp. 189-204, 2004
Posted: 02 Nov 2005
Claudio Morana and John W. Sawkins
Università di Milano Bicocca and Heriot-Watt University - Economics

Abstract:

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Regulation, Utility, Volatility, Fractional Cointegration, Long Memory Processes

59.

Some Frequency Domain Properties of Fractionally Cointegrated Processes

Applied Economics Letters, Vol. 11, pp. 891-94, 2004
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Fractional cointegration, long memory, frequency domain analysis

60.

Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility

Physica A: Statistical Mechanics and its Applications, pp. 165-175, 2005
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Fractional cointegration, long memory, frequency domain analysis, stock market volatility

61.

Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation

Studies in Non Linear Dynamics and Econometrics, Vol. 6, No. 3, 2002
Posted: 02 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Long memory, common factors, fractional cointegration, Markov switching, core inflation, euro area

62.

The Japanese Deflation: Has it Had Real Effects? Could it Have Been Avoided?

Applied Economics, Vol. 37, pp. 1337-52, 2005
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Deflation, monetary policy, Friedman's rule, Japan, generalised flexible least squares, time-varying parameter VAR, thick modelling

63.

Does the Stock Market Affect Income Distribution? Some Empirical Evidence for the Us

Applied Economics Letters, Vol. 14, pp. 99-104, 2007
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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Common trends model, economic growth, stock market, income distribution

64.

Super Exogeneity and Forecasting Energy Demand with High and Low Frequency Data

Rivista Internazionale di Scienze Sociali, , Vol. 4, pp. 361-87, 2002
Posted: 01 Nov 2005
Claudio Morana and Ian Mcavinchey
Università di Milano Bicocca and University of Aberdeen

Abstract:

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forecasting, super exogeneity, energy demand

65.

Regional Convergence in Italy: 1951-2000

Giornale degli Economisti, Vol. 63, No. 2, pp. 139-60, 2004
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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convergence, economic growth

66.

Long-Run Growth and Income Distribution: Evidence for Italy and the Us

Giornale degli Economisti, Vol. 62, No. 2, pp. 171-210, 2003
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Markov switching, common trends, economic growth

67.

Igarch Effects: An Interpretation

Applied Economics Letters, Vol. 9, pp. 745-78, 2002
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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IGARCH, Markov switching

68.

The Effects of the Introduction of the Euro on the Volatility of European Stock Markets

Journal of Banking and Finance, Vol. 26, No. 10, pp. 2047-64, 2002
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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present discounted value model, Markov switching model, stock markets, euro

69.

Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric Analysis

Giornale degli Economisti, pp. 325-58, 1998
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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cointegration, energy substitution, super exogeneity

70.

Stock Market Reaction to Regulatory Price Reviews in the English and Welsh Water Industry

Journal of Regulatory Economics, Vol. 22, No. 2, pp. 177-96, 2002
Posted: 01 Nov 2005
Claudio Morana and John W. Sawkins
Università di Milano Bicocca and Heriot-Watt University - Economics

Abstract:

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realised volatility, Markov switching regimes, water industry

71.

Regulatory Uncertainty and Share Price Volatility: The English and Welsh Water Industry's Periodic Price Review

Journal of Regulatory Economics, Vol. 17, No. 1, pp. 87-100, 2000
Posted: 01 Nov 2005
Claudio Morana and John W. Sawkins
Università di Milano Bicocca and Heriot-Watt University - Economics

Abstract:

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GARCH, volatility, water industry, price cap

72.

Measuring Core Inflation in Italy

Giornale degli Economisti, Vol. 58, pp. 301-28, 1999
Posted: 01 Nov 2005
Claudio Morana and Fabio C. Bagliano
Università di Milano Bicocca and University of Turin - Department of Economics and Statistics

Abstract:

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core inflation, common trends model, monetary policy, Italy

73.

Interventions and Exchange Rates: An Analysis with High Frequency Data

Journal of International Financial Markets, Institutions and Money, Vol. 10, pp. 49-62, 2000
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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high frequency data, realised volatility, exchange rates interventions

74.

Deterministic and Stochastic Methods for Estimation of Intra-Day Seasonal Components with High Frequency Data

Economic Notes, Vol. 30, No. 2, pp. 349-62, 2001
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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high frequency data, seasonality, unobserved components models

75.

Computing Value at Risk with High Frequency Data

Journal of Empirical Finance, Vol. 6, pp. 431-55, 1999
Posted: 01 Nov 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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value at risk, GARCH, IGARCH, high frequency data

76.

An Empirical Investigation of Long-Run Growth in the UK

Structural Change and Economic Dynamics, Vol. 13, No. 1, pp. 49-70, 2002
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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Markov switching, common trends, economic growth

77.

A Semiparametric Approach to Short-Term Oil Price Forecasting

Energy Economics, Vol. 23, No. 3, pp. 325-38, 2001
Posted: 01 Nov 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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oil price, GARCH, forecasting

78.

Structural Change and Long Range Dependence in Volatility of Exchange Rates: Either, Neither or Both?

Journal of Empirical Finance, Vol. 11, pp. 629-58, 2004
Posted: 22 Oct 2005
Claudio Morana and Andrea Beltratti
Università di Milano Bicocca and Bocconi University - Department of Finance

Abstract:

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Long memory, structural change, forecasting

79.

Modelling Evolutionary Long-Run Relationships: An Application to the Italian Energy Market

Scottish Journal of Political Economy, Vol. 47, No. 1, pp. 72-93, 2000
Posted: 22 Oct 2005
Claudio Morana
Università di Milano Bicocca

Abstract:

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80.

Inflation and Monetary Dynamics in the Us: a Quantity-Theory Approach

Applied Economics, Vol. 39, pp. 229-244, 2007
Posted: 18 Oct 2005
Fabio C. Bagliano and Claudio Morana
University of Turin - Department of Economics and Statistics and Università di Milano Bicocca

Abstract:

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Inflation, money growth, quantity theory, long memory, fractional cointegration

81.

Measuring Us Core Inflation: A Common Trends Approach

Journal of Macroeconomics, Vol. 25, pp. 197-212, 2003
Posted: 08 May 2003
Fabio C. Bagliano and Claudio Morana
University of Turin - Department of Economics and Statistics and Università di Milano Bicocca

Abstract:

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Core inflation, common trends, US

82.

Inflation Modelling in the Euro Area

University of Turin, Department of Economics and Public Finance WP No. 62
Posted: 05 Jul 2002
Fabio C. Bagliano, Roberto Golinelli and Claudio Morana
University of Turin - Department of Economics and Statistics, University of Bologna - Department of Economics and Università di Milano Bicocca

Abstract:

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83.

A Common Trends Model of UK Core Inflation

Empirical Economics, Vol. 28, pp. 157-72, 2003
Posted: 13 May 2002
Fabio C. Bagliano and Claudio Morana
University of Turin - Department of Economics and Statistics and Università di Milano Bicocca

Abstract:

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Core inflation, common trends, monetary policy

84.

Core Inflation in the Euro Area

Applied Economics Letters, Vol. 9, pp. 353-357, 2002
Posted: 18 Dec 2001
Fabio C. Bagliano, Roberto Golinelli and Claudio Morana
University of Turin - Department of Economics and Statistics, University of Bologna - Department of Economics and Università di Milano Bicocca

Abstract:

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Core inflation, common trend, European Central Bank, monetary policy