Giovanni Urga

Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

Professor

108 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.bayes.city.ac.uk/faculties-and-research/experts/giovanni-urga

SCHOLARLY PAPERS

41

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5,439

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49

CROSSREF CITATIONS

38

Scholarly Papers (41)

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
London School of Economics & Political Science (LSE)Centre for Economic Policy Research (CEPR), Brunel University London - Economics and Finance, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Swansea University - Department of Economics
Downloads 832 (56,619)
Citation 7

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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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 469 (117,082)
Citation 23

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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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 412 (136,246)
Citation 6

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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, University of Lugano and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 338 (169,703)
Citation 5

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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
University of Lugano, University of Geneva and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 314 (183,548)
Citation 3

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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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 297 (195,439)

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Equity Issues, Rights Issues, Private Benefits, Minority Protection

7.

The Role of Shadow Banking and the Systemic Risk in the European Financial System

Journal of Banking and Finance
Number of pages: 71 Posted: 14 Sep 2021 Last Revised: 25 Apr 2022
Catholic University of Milan, Department of Management, University of Bergamo, Italy, University of Bergamo and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 245 (236,449)
Citation 3

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Systemic Risk, Shadow Banking, Financial Crisis, CoVaR, Panel Data

8.

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: 01 Oct 2020
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Sussex and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 240 (241,271)

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

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

Journal of Financial Econometrics, 2020
Number of pages: 54 Posted: 30 Nov 2020
Simona Boffelli, Jan Novotny and Giovanni Urga
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 126 (423,166)

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Co-arrivals, Co-jumps, European Government Yields, Macro-factors, Macro-announcements, Auctions, Unconventional Monetary Policy Announcements

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

Number of pages: 62 Posted: 16 Aug 2014
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK, Charles University in Prague - CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Czech Academy of SciencesCity University London - Faculty of FinanceCity University London - Faculty of Finance and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 71 (623,643)
Citation 1

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

10.

Combining p-values for Multivariate Predictive Ability Testing

Journal of Business and Economic Statistics (forthcoming)
Number of pages: 55 Posted: 18 Apr 2022
Lars Spreng and Giovanni Urga
Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 137 (395,198)

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Forecasting Evaluation; Predictive Accuracy; Intersection-Union Tests; Exchange Rates

11.

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, ESADE Business School and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 132 (406,990)

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Fractional integration, Structural Break, Regime Switching

12.

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
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 123 (429,469)
Citation 2

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13.

The Contribution of Shadow Insurance to Systemic Risk

Number of pages: 31 Posted: 17 Sep 2020
ESCP Business School, Catholic University of Milan and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 122 (432,212)
Citation 2

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Financial Stability; Interconnectedness; Shadow Banking Activity; Size

14.

Multilevel and Tail Risk Management

Journal of Financial Econometrics
Number of pages: 35 Posted: 01 Dec 2020
Lynda Khalaf, Arturo Leccadito and Giovanni Urga
Université Laval - Département d'Économique, affiliation not provided to SSRN and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 121 (434,890)

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Value-at-Risk, Expected Shortfall, Backtesting, CaViaR, Exchange-Traded Funds, Multiple Testing

15.

Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System

International Review of Financial Analysis, Volume 78, November 2021
Number of pages: 65 Posted: 24 Sep 2021 Last Revised: 25 Apr 2022
Department of Management, University of Bergamo, Italy, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London (UK) and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 117 (445,954)

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Leverage and systemic risk pro-cyclicality; Bank and non bank financial institutions; Panel data regression.

16.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 112 (460,765)

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

17.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 102 (492,769)
Citation 1

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

18.

Systemic Risk in the Chinese Financial System: A Panel Granger Causality Analysis

International Review of Financial Analysis, 82 (2022) 102179
Number of pages: 42 Posted: 10 May 2022 Last Revised: 28 Mar 2023
Department of Management, University of Bergamo, Italy, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London (UK) and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 95 (516,611)
Citation 2

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Systemic Risk, Systemic risk measures, Granger-non causality, Panel data

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Number of pages: 77 Posted: 19 Apr 2023
Giovanni Urga and Fa Wang
Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Peking University - School of Economics
Downloads 50 (744,605)

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Factor model, Regime switching, Maximum likelihood, High dimension, EM algorithm, Turning points

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Number of pages: 70 Posted: 01 Jun 2022
Giovanni Urga and Fa Wang
Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Peking University - School of Economics
Downloads 43 (794,332)

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Factor model, Regime switching, Maximum likelihood, High dimension, EM algorithm, Turning points

20.

Market and Portfolio Liquidity Risk Indicators

Number of pages: 55 Posted: 06 Dec 2022
ANNA COPPOLA, Giovanni Urga and Alessandro Varaldo
Banco BPM, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and University of Turin - Faculty of Economics
Downloads 92 (527,348)

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Market and Portfolio Liquidity Risk Indicators, financial stress, Aggregation and Dynamic Threshold, Markov-Switching Models.

21.

Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings

Journal of Applied Econometrics (forthcoming), CEA@Bayes Working Paper Series WP–CEA–04-2023
Number of pages: 66 Posted: 11 Apr 2023
Aarhus University, Danmarks Nationalbank (The Central Bank of Denmark), Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 90 (534,717)

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Foreign exchange rates, Macroeconomic factors, Time-varying loadings, High dimensional factor models, Exchange rate forecasting

22.

Asset Price Bubbles and Systemic Risk: Evidence from Money Market Funds

Number of pages: 35 Posted: 19 Feb 2024
Matteo Aquilina, Peter Cincinelli and Giovanni Urga
Bank for International Settlements, Department of Management, University of Bergamo, Italy and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 87 (546,095)

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Financial Crises, Financial Bubbles, Systemic risk measures, Panel data.

23.

Price Bubbles in Private Real Estate

Number of pages: 42 Posted: 23 Feb 2023 Last Revised: 27 Jul 2023
Peter Cincinelli, Sotiris Tsolacos and Giovanni Urga
Department of Management, University of Bergamo, Italy, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 77 (587,224)

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Bubbles, Commercial Real Estate, Explosive Behaviour, Real Estate Price Index.

24.

The Contribution of (Shadow) Banks and Real Estate to Systemic Risk in China

Journal of Financial Stability
Number of pages: 43 Posted: 23 May 2022 Last Revised: 06 Feb 2023
Catholic University of Milan, Department of Management, University of Bergamo, Italy, University of Bergamo and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 76 (591,545)

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Systemic Risk, Traditional Banks, Shadow Banking Entities, Real Estate, Financial Crises, Financial Stability, Panel Data.

25.

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 - The Business School, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 65 (643,489)

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Maximum Entropy, Bootstrap, Monte Carlo Simulations

26.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 64 (648,690)
Citation 3

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

27.

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, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and University of Melbourne - Melbourne Business School
Downloads 60 (669,715)
Citation 2

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

28.

Is There an Optimal Level of Leverage? The Case of Banks and Non-Bank Institutions in Europe

Number of pages: 41 Posted: 15 Feb 2024
Department of Management, University of Bergamo, Italy, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London (UK) and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 56 (692,024)

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Leverage, Systemic risk, Threshold Model, Panel Data. J.E.L. Classification: C23, E3, G01, G15

29.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 53 (709,399)
Citation 3

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

30.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 47 (747,325)
Citation 1

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

31.

Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts

International Journal of Forecasting, Forthcoming
Number of pages: 62 Posted: 08 Feb 2023
Université de Bourgogne - Laboratoire d'Economie de Dijon (LEDI), ERMES (CNRS), Université Panthéon-Assas Paris II, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and Singapore Management University
Downloads 45 (760,810)

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Cross-Sectional Dependence, Forecast Evaluation, Hypothesis Testing

32.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 44 (767,691)

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Cross-sectional dependence, Common shocks, Nonstationary panel

33.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 30 (876,756)

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Copulas, Panel Data, Cross-Sectional Independence

34.

Privatization Methods and Economic Growth in Transition Economies

Number of pages: 33 Posted: 07 Apr 2004
Brunel University London - Economics and Finance, London School of Economics & Political Science (LSE)Centre for Economic Policy Research (CEPR), Swansea University - Department of Economics and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 29 (885,600)
Citation 2
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Privatization methods, economic growth, transition

35.

A Practical Multivariate Approach to Testing Volatility Spillover

Journal of Economic Dynamics and Control (Forthcoming)
Number of pages: 64 Posted: 19 Jun 2023
Soon Leong and Giovanni Urga
ESCP Business School and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 24 (931,891)
Citation 1

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Granger Causality in Variance; Infinite Autoregression; Multivariate Analysis; Risk Management; Volatility Spillover.

36.

Macroeconomic Announcements, Confidence and Economic Activity Through the Business Cycles

Number of pages: 49 Posted: 16 Jul 2024
Stefano Di Colli, Barbara Casu and Giovanni Urga
Confindustria, City University London - The Business School and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 2 (1,151,414)

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Announcements, Surprises, Economic Confidence, International Business Cycles

37.

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
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

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

38.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

Abstract:

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39.

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 Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

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40.

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, Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK and London Business School

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41.

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, Saul Estrin and Giovanni Urga
London School of Economics & Political Science (LSE)Centre for Economic Policy Research (CEPR) and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK

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