Giovanni Urga

Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

Professor

108 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.cass.city.ac.uk/faculty/g.urga

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 16,339

in Total Papers Downloads

3,001

SSRN CITATIONS
Rank 14,293

SSRN RANKINGS

Top 14,293

in Total Papers Citations

11

CROSSREF CITATIONS

51

Scholarly Papers (27)

1.

Privatisation Methods and Economic Growth in Transition Economies

FEEM Working Paper No. 105.04, Cass Business School Research Paper
Number of pages: 60 Posted: 10 Sep 2004
Saul Estrin, John Bennett, Giovanni Urga and James W. Maw
London School of Economics & Political Science (LSE), Brunel University London - Economics and Finance, Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy and Swansea University - Department of Economics
Downloads 653 (40,130)
Citation 5

Abstract:

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Privatization, Method, Economic Growth, Transition

2.

Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests [Extended Version]

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 44 Posted: 15 Oct 2011
Ana-Maria H. Dumitru and Giovanni Urga
University of Surrey, School of Economics and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 355 (85,479)
Citation 4

Abstract:

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jumps, nonparametric tests, high frequency data, stochastic volatility, Monte Carlo simulations

3.

When Controlling Shareholders Live Like Kings. The Case of Telecom Italia

Number of pages: 56 Posted: 17 Feb 2006
Michele Meoli, Stefano Paleari and Giovanni Urga
University of Bergamo, University of Bergamo - SIGE Sezione di Ingegneria Gestionale and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 328 (93,433)
Citation 5

Abstract:

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Ownership structure, Minority protection, Wealth transfer, Business Groups, Voting premium

4.

Homogeneity Hypothesis in the Context of Asset Pricing Models: The Quadratic Market Model

Cass Business School Research Paper
Number of pages: 14 Posted: 14 Mar 2001
University of Lugano, USI Università della Svizzera italiana and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 310 (99,543)
Citation 4

Abstract:

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Asset pricing models, panel

5.

Robust GMM Tests for Structural Breaks

Cass Business School Research Paper
Number of pages: 61 Posted: 12 Apr 2004
Patrick Gagliardini, Fabio Trojani and Giovanni Urga
USI Università della Svizzera italiana, Swiss Finance Institute and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 281 (110,596)
Citation 2

Abstract:

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Robust Tests, Generalized Method of Moment, Structural Breaks, Monte Carlo, Bootstrap

6.

Do Rights Issues Really Protect Minorities? Empirical Evidence on the Italian Case

Number of pages: 36 Posted: 27 Feb 2007
Michele Meoli, Stefano Paleari and Giovanni Urga
University of Bergamo, University of Bergamo - SIGE Sezione di Ingegneria Gestionale and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 243 (128,678)

Abstract:

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Equity Issues, Rights Issues, Private Benefits, Minority Protection

7.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 15 Jul 2009
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Kent - Kent Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 206 (150,968)

Abstract:

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Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis

8.

High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers

Number of pages: 51 Posted: 02 Jul 2014
Simona Boffelli and Giovanni Urga
University of Bergamo and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 96 (278,265)
Citation 1

Abstract:

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9.

Testing for Spurious Long Memory: A Monte Carlo Comparison with an Application to Credit Default Swaps

Number of pages: 36 Posted: 17 Mar 2010
Arturo Leccadito, Omar Rachedi and Giovanni Urga
Università degli Studi della Calabria, Universidad Carlos III de Madrid and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 96 (278,265)

Abstract:

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Fractional integration, Structural Break, Regime Switching

10.

Jumps and Information Asymmetry in the US Treasury Market

Number of pages: 44 Posted: 05 Apr 2016
Ana-Maria H. Dumitru and Giovanni Urga
University of Surrey, School of Economics and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 77 (318,874)

Abstract:

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Jumps, Nonparametric Tests, High Frequency Data, US Treasury Market, Macroeconomic News, Information Asymmetry

11.

Interconnectedness and Systemic Risk of European Banks Over the Recent Crises

Number of pages: 50 Posted: 12 Nov 2015
Catholic University of Milan, University of Bergamo, Catholic University of the Sacred Heart of Milan and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 64 (352,843)

Abstract:

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Systemic Risk, Financial Crises, Sovereign Debt Crisis, Value at Risk, CoVar

12.

Asymptotics for Panel Models with Common Shocks - Extended Version

Number of pages: 78 Posted: 30 Oct 2010
Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Syracuse University, City University London - Sir John Cass Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 42 (425,778)
Citation 2

Abstract:

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Panel data, common shocks, cross-sectional dependence, asymptotics, joint limit, martingale difference sequence

13.

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Number of pages: 62 Posted: 16 Aug 2014
Simona Boffelli, Jan Novotny and Giovanni Urga
University of Bergamo, City University London - Faculty of Finance and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 39 (437,845)
Citation 1

Abstract:

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Arrivals, Jumps, Co-arrivals, Co-jumps, European government yields, Bond auctions, Macro-announcements, Macrofactors.

14.

Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes

Number of pages: 28 Posted: 03 Apr 2015
Michele Bergamelli, Jan Novotny and Giovanni Urga
City University London - Sir John Cass Business School, City University London - Faculty of Finance and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 36 (450,311)

Abstract:

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Maximum Entropy, Bootstrap, Monte Carlo Simulations

15.

Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend

Center for Policy Research Working Paper No. 92
Number of pages: 48 Posted: 20 Apr 2011
Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Syracuse University, City University London - Sir John Cass Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 33 (463,412)
Citation 2

Abstract:

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Panel cointegration, Common and idiosyncratic stochastic trends, testing for structural changes

16.

Privatization Methods and Economic Growth in Transition Economies

CEPR Discussion Paper No. 4291
Number of pages: 33 Posted: 07 Apr 2004
John Bennett, Saul Estrin, James W. Maw and Giovanni Urga
Brunel University London - Economics and Finance, London School of Economics & Political Science (LSE), Swansea University - Department of Economics and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 29 (482,564)
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Privatization methods, economic growth, transition

17.

Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Syracuse University Center for Policy Research Working Paper No. 129
Number of pages: 49 Posted: 09 Apr 2011
Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Syracuse University, City University London - Sir John Cass Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 28 (487,894)
Citation 1

Abstract:

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Structural change, Panel cointegration, Common stochastic trends, Functional Central Limit Theorem

18.

The Asymptotics for Panel Models with Common Shocks

Syracuse University Center for Policy Research Working Paper No. 77
Number of pages: 57 Posted: 20 Apr 2011
Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Syracuse University, City University London - Sir John Cass Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 22 (521,428)

Abstract:

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Cross-sectional dependence, Common shocks, Nonstationary panel

19.

Methods of Privatization and Economic Growth in Transition Economies

Economics of Transition, Vol. 15, No. 4, pp. 661-683, October 2007
Number of pages: 23 Posted: 26 Sep 2007
John Bennett, Saul Estrin and Giovanni Urga
Brunel University London - Economics and Finance, London School of Economics & Political Science (LSE) and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 20 (533,167)
Citation 1
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20.

Transforming Qualitative Survey Data: Performance Comparisons for the UK

Oxford Bulletin of Economics & Statistics, Vol. 66, No. 1-iv, pp. 71-89, February 2004
Number of pages: 19 Posted: 07 Apr 2004
Ciaran Driver and Giovanni Urga
SOAS University of London School of Finance and Management and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 19 (539,208)
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21.

Copula-Based Tests for Cross-Sectional Independence in Panel Models

Syracuse University – Maxwell School of Citizenship and Public Affairs Center for Policy Research Working Paper No. 99
Number of pages: 14 Posted: 17 Apr 2011
Hong-Ming Huang, Chihwa Kao and Giovanni Urga
affiliation not provided to SSRN, Syracuse University and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 16 (557,104)

Abstract:

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Copulas, Panel Data, Cross-Sectional Independence

22.

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, V., Urga, G., & Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics & Finance, 62, 20–40. doi:10.1016/j.iref.2019.02.014
Number of pages: 47 Posted: 05 Aug 2019
Vitali Alexeev, Giovanni Urga and Wenying Yao
University of Technology Sydney, Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy and Deakin University - Department of Economics
Downloads 8 (608,292)

Abstract:

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Asymmetric jumps, Systematic risk, Portfolio diversification, Value-at-Risk

23.

Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads

Journal of International Money and Finance, Forthcoming
Posted: 02 Feb 2015
Simona Boffelli and Giovanni Urga
University of Bergamo and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

Abstract:

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Jumps; Cojumps; Government Bond Spreads; Macroannouncements; Government Bond Auctions; Rating Actions

24.

Profitability, Capacity, and Uncertainty: A Model of UK Manufacturing Investment

Oxford Economic Papers, Vol. 57, Issue 1, pp. 120-141, 2005
Posted: 29 Feb 2008
Ciaran Driver, Paul Temple and Giovanni Urga
SOAS University of London School of Finance and Management, affiliation not provided to SSRN and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

Abstract:

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25.

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economics

Cass Business School Research Paper
Posted: 08 Feb 1999
Michael Rockinger and Giovanni Urga
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

Abstract:

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26.

Are Differences in Firm Size Transitory or Permanent?

CEPR Discussion Paper No. 1691, Cass Business School Research Paper
Posted: 18 Nov 1997
Paul A. Geroski, Giovanni Urga and Chris F. Walters
London Business School, Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy and London Business School

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27.

Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-95

CEPR Discussion Paper No. 1616, Cass Business School Research Paper
Posted: 08 Aug 1997
Saul Estrin and Giovanni Urga
London School of Economics & Political Science (LSE) and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

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