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

31

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3,522

SSRN CITATIONS
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Top 15,081

in Total Papers Citations

24

CROSSREF CITATIONS

52

Scholarly Papers (31)

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 719 (45,697)
Citation 5

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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 391 (97,199)
Citation 14

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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 360 (106,783)
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 316 (123,226)
Citation 5

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
University of Lugano, Swiss Finance Institute and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 289 (135,472)
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 254 (154,517)

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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: 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 211 (184,601)

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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 75 (405,559)

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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 (Center for Economic Research and Graduate Education - Economics Institute)City 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 44 (522,182)
Citation 1

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

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, ESADE Business School and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 99 (336,386)

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Fractional integration, Structural Break, Regime Switching

10.

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 98 (338,554)
Citation 2

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11.

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 90 (357,375)

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

12.

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 84 (372,839)

Abstract:

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

13.

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 70 (413,450)

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

14.

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

Number of pages: 71 Posted: 14 Sep 2021
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 60 (447,452)

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

15.

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, 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 47 (498,916)

Abstract:

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Maximum Entropy, Bootstrap, Monte Carlo Simulations

16.

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 45 (507,691)
Citation 3

Abstract:

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

17.

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 38 (540,901)
Citation 3

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

18.

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

International Review of Financial Analysis, Forthcoming
Number of pages: 65 Posted: 24 Sep 2021
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 36 (551,164)

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

19.

The Contribution of Shadow Insurance to Systemic Risk

Number of pages: 31 Posted: 17 Sep 2020
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK, Catholic University of Milan and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 35 (556,409)

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Financial Stability; Interconnectedness; Shadow Banking Activity; Size

20.

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 30 (584,109)
Citation 1

Abstract:

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

21.

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 (590,117)
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Privatization methods, economic growth, transition

22.

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 24 (622,568)

Abstract:

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Cross-sectional dependence, Common shocks, Nonstationary panel

23.

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 Deakin University - Department of Economics
Downloads 21 (643,521)

Abstract:

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

24.

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, Saul Estrin and Giovanni Urga
Brunel University London - Economics and Finance, 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
Downloads 20 (650,588)
Citation 1
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25.

Transforming Qualitative Survey Data: Performance Comparisons for the UK

Number of pages: 19 Posted: 07 Apr 2004
Ciaran Driver and Giovanni Urga
SOAS University of London School of Finance and Management and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 19 (657,822)
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26.

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 18 (664,952)

Abstract:

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Copulas, Panel Data, Cross-Sectional Independence

27.

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

Abstract:

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

28.

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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29.

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

Abstract:

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30.

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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31.

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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