Professor Giovanni Urga

Professor of Econometrics and Finance and Director of the Centre for Econometric Analysis

Bayes Business School , Finance

Contact

About

Overview

Giovanni Urga joined Bayes Business School in July 1999 as Senior Lecturer in Financial Econometrics. He was promoted to Reader in May 2001 and to Full Professor in May 2002. He was Director of the PhD Programme and Co-ordinator of the Marie Curie Training Site in "Corporate Finance, Capital Markets and Banking" from 2002-2005. From 1 October 1992 to 10 February 2021 (under review), he was Visiting Professor (1992-2007) and Full Professor (part-time) of Econometrics (2007-10 February 2021), Economics Department of Bergamo University (Italy). His teaching includes Foundations of Econometrics, Advanced Stats, Advanced Financial Econometrics, Advanced Financial Modelling and Forecasting, Econometrics of Financial Markets, and Stationary and Non-Stationary Panel Data Econometrics. Formerly, he was Research Fellow at London Business School (1994-1999), Visiting Lecturer at New Economic School in Moscow (1996-1999), Lecturer at Queen Mary and Westfield College in London (1992-1994), and Research Officer at the Institute of Economics and Statistics in Oxford (1991-1992). Professor Urga is referee for the Journal of Applied Econometrics, International Journal of Forecasting, The Economic Journal, Journal of Economics, Economics of Innovation and New Technology, Oxford Bulletin of Economics and Statistics, Oxford Economic Papers, Economic Modelling, Economic Systems, Journal of Comparative Economics, The Econometrics Journal, International Review of Economics and Finance, the Scandinavian Journal of Economics, Journal of Economic Dynamics and Control, Journal of International Money and Finance, Journal Money Credit and Banking, Journal of Business and Economic Statistics. GUEST EDITOR (1) Special Annals Issue of the Journal of Econometrics (2005) on "Modelling Structural Breaks, Long Memory and Stock Market Volatility"; (2) Special Issue of the Journal of Business and Economic Statistics (2007) on "Common Features in London". ASSOCIATE EDITOR: Empirical Economics

Qualifications

  • PhD in Economics, University of Oxford, United Kingdom, October 1987 - May 1992
  • BSc in Economics, University of Pavia, Italy, September 1980 - March 1985
  • High School Diploma, Liceo Classico Q. O. Flacco, Potenza, Italy, September 1975 - July 1980

Employment

  • Professor of Econometrics and Finance, Bayes Business School (formerly Cass), United Kingdom, July 1999 - present
  • Professor of Econometrics and Finance, Bayes Business School, United Kingdom, July 1999 - present

Visiting appointments

  • Professor in Econometrics, Université Panthéon Assas - Paris II CRED 12 Place du Panthéon 75 230 PARIS CEDEX 05, April 2015 - present

Memberships of committees

  • Organizer and presenter, Scientific and Organizing Committee, OxMetrics User Conferences/Dynamic Econometrics Conferences, September 2013 - present
  • Member, Scientific and Organizing Committee, International Panel Data Conference series, July 2013 - present

Memberships of professional organisations

  • Perpetual, Society for Financial Econometrics, 2010 - present
  • Regular, American Economic Association, October 2000 - present
  • Regular, American Statistical Association, 2000 - present
  • Regular, Econometrics Society, October 1992 - present
  • Regular, Royal Economic Society, October 1992 - present

Languages

English (can read, write, understand spoken, peer review), French (can read, understand spoken) and Italian (can read, write, speak, understand spoken, peer review)

Expertise

Primary topics

  • Capital Markets
  • Econometrics
  • Financial Econometrics
  • Fixed-Income Investments
  • Risk Management

Additional topics

  • Asset Pricing
  • Economics
  • International Financial Markets
  • Monetary Economics

Industries

  • banking

Geographic Areas

  • Americas - North
  • Asia
  • Europe - Eastern
  • Europe - Western

Research

MODELLING AND TESTING FOR JUMPS IN FINANCIAL ASSETS.

We use high frequency data (BrokerTec US Treasury data on the 2-, 5-, 10- and 30- year bonds) to examine and compare the results of alternative univariate jump tests recently proposed in the literature, as a first step to evaluate the performance of these tests. The following tests are considered: Aϊt-Sahalia and Jacod (2008), Andersen, Bollerslev and Dobrev (2007), Barndorff-Nielsen and Shephard (2005), Jiang and Oomen (2006), Lee and Mykland (2007) and Mancini (2001). We are interested in identifying which tests are likely to exhibit more power, as well as in determining how the sampling frequency affects the jump identification for different tests. Moreover, we investigate how bond prices react to different types of (scheduled/ non-scheduled) information releases.
(*) Dumitru, A. and G. URGA (2012) “Identifying Jumps in Financial Assets: A Comparison between non Parametric Jump Tests”, Journal of Business and Economic Statistics 30, 242-255.
(*) Novotny, J., Petrov, D. and G. URGA (2015) “Trading Price Jump Clusters in Foreign Exchange Markets”, Journal of Financial Markets 24, 66-92.

ASYMPTOTICS AND STRUCTURAL BREAKS IN PANEL MODELS.
We develop a novel asymptotic theory for panel models with common shocks. We also propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point which is possibly unknown. We derive the limiting distributions of the proposed test statistics. Monte Carlo simulations examine size and power of the proposed tests.
(*) Kao, C., Trapani, L. and G. URGA (2012) “The Asymptotic for Panel Models with Common Shocks”, Econometric Reviews 31, 390-439.
(*) Kao, C., Trapani, L. and G. URGA (2016) “Testing for Instability in Covariance Structures”. Revise and Resubmit (3rd round) in Bernoulli Journal.

IDENTIFICATION ROBUST INFERENCE IN COINTEGRATING REGRESSIONS
In cointegrating regressions, available estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective with focus on set estimation of the long-run coefficient (denoted β). We propose to invert LR-type statistics that test a specified value for β against an unrestricted or a cointegration-restricted alternative. Tests in implicit form as in Phillips (1994) are also inverted. Allowing for weak identification, we propose three methods to adequately size the considered tests: a bounds-based critical value based on Dufour (1989, 1997) and Dufour and Khalaf (2002), a data-dependent "Type 2 Robust" critical value based on Andrews and Cheng (2013), and a simulation-based method based on Dufour (2006). For two empirically relevant special cases, we provide analytical solutions to the test inversion problem using the mathematics of quadrics as in Dufour and Taamouti (2005). We conduct a simulation study to assess the properties of our proposed inference methods. In addition, we also check whether and to what degree popular estimation methods, specifically the standard Maximum Likelihood of Johansen (1995), the Fully Modified OLS (Phillips and Hansen, 1990; Phillips, 1991, 1995), the Dynamic OLS of Stock and Watson (1993), and the stationarity-test based method from Wright (2000), suffer from this problem, imposing and relaxing strong exogeneity. Simulation results can be summarized as follows. The size of DOLS and FMOLS based t-tests exceeds 90% at the identification boundary. Failure of weak-exogeneity causes severe distortions for DOLS as well as for FMOLS even when β is identified. The test from Wright (2000) is also oversized at the boundary. In contrast, even when weak exogeneity fails, all our proposed LR-based corrections have good size regardless of the identification status, and good power when β is identified.
(*) Khalaf, L. and G. URGA (2014) “Identification Robust Inference in Cointegrating Regressions”, Journal of Econometrics 182, 385-396.

THE IMPACT OF MACRO NEWS ON THE TERM STRUCTURE OF INTEREST RATES.
The evaluation of the impact of the news effects is one of the key questions in financial economics and a hot topic in recent studies of macroeconomic analysis. It may not be the act of releasing information to the market which is important, nor the (gross) information embodied in the estimate itself, rather, it is the extent to which the actual announcement differs from the expected which determines the response of the market to the new information (Kim et al. 2004). The aim of this project is to increase the knowledge of the impact of macro news, coming from scheduled macro announcements, on the US interest rates term structure.
(*) Boffelli, S. and G. URGA (2014), “Evaluating Correlations in European Government Bond Spreads”, in (eds) Perna, C. and M., Sibillo), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Spring.
(*) Boffelli, S. and G. URGA (2015), “Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads”, Journal of International Money and Finance 53, 148-173.
(*) Boffelli, S., Skintzi, V. D. and G. URGA (2016)“High and Low Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers”, Journal of Financial Econometrics (Forthcoming).

BREAKS AND LONG MEMORY PROCESSES IN ECONOMICS AND FINANCE.
We propose a fractional version of two well-known credit risk pricing structural models: the Merton and Black and Cox models. We assume that the value of the firm obeys to a Geometric Fractional Brownian Motion. Prices for the equity, the bond and credit spreads are derived and a sensitivity analysis is performed. To provide a justification for these models, an empirical analysis is carried out, which employs two different datasets: Constant Maturity Yields and Moody’s Long-Term for the period December 1992–November 2003 Corporate Bond Yield Averages and Lehman Brothers Eurodollar Indices covering the period June 1996–July 2006. Long memory properties of Treasury and corporate bond yields as well as credit spreads are thus investigated.
(*) Leccadito, a., O. Rachedi, and G. URGA (2015) “Testing for True vs. Spurious Long Memory. Some Theoretical Results and a Monte Carlo Comparison”. Econometric Reviews 34, 452-479.

Research topics

MONTE CARLO COMBINED TESTS WITH NUISANCE PARAMETERS (with A. Bianchi, J.M. Dufour, L. Khalaf)

The main of this project is to expand Monte Carlo tests to the case of non-identifiable parameters relevant in modelling economic and financial relationships. We plan to adopt the approach of Redner (1981), where the problem is framed in the theory of topological quotient spaces. Mainly for our reference and to clarify precisely the objects we deal with, first we introduce some notions on topological spaces and quotient topological spaces, and convergence of random variables on topological spaces. Next, we define the quotient parameter space as in Redner (1981) and formulate our setting in this context. Then, we will generalize Dufour (2006) results on Monte Carlo tests based on consistent point estimate to the case of non-identifiable parameters. Finally, we will produce the relevant proofs of the validity of the test and interesting applications of relevance to economics and finance.

EUROPEAN SHADOW BANKING AND SYSTEMIC RISK (with C. Bellavite Pellegrini, P. Cincinelli, S. Leong, M. Meoli)

Shadow banking entities have been repeatedly charged with the breaking up of the recent financial crises, as they may have contributed to increase the systemic risk and thus jeopardise the stability of the whole financial system. This project examines the features of the shadow banking system in United Kingdom first and then the whole European banking system and estimate, by using the CoVaR methodology (Adrian and Brunnermeier, 2011, 2014), the contribution of the money market funds, an important part of the shadow banking entities, to the systemic risk in United Kingdom. We plan to investigate the impact of institutional corporate variables on the measure of systemic risk taking into account different financial crises since the sub-prime crisis originated in USA in 2007-2008.

TIME-VARYING LOADINGS IN HIGH-DIMENTIONAL FACTOR MODELS (with R. Borghi, Eric Hillebrand, J. G. Mikkelsen)

The main of this project is to develop a maximum likelihood estimator of time-varying loadings in high-dimensional factor models. We specify the loadings to evolve as stationary vector autoregressions (VAR) and show that consistent estimates of the loadings parameters can be obtained by a two-step maximum likelihood estimation procedure. In the first step, principal components are extracted from the data to form factor estimates. In the second step, the parameters of the loadings VARs are estimated as a set of univariate regression models with time-varying coefficients. We document the finite-sample properties of the maximum likelihood estimator through an extensive simulation study and illustrate the empirical relevance of the time-varying loadings structure using a large quarterly dataset for the US economy. Further empirical applications will be conducted using foreign exchange rates. In addition, this framework will be implemented for portfolios analysis: portfolio managers often use factor models to facilitate the estimation of the covariance matrix for large N portfolios of stocks and this practice helps portfolio optimisation, risk analysis and comovement analysis.

BACK-TESTING ES TECHNIQUES FOR RISK BASED REGULATORY CAPITAL (A. Leccadito and L. Khalaf)

The main aim of this project is to develop finite sample parametric and non-parametric methods, via power-enhancing statistical combinations aiming to harvest the size-correct power advantage of various new and existing tests. Combining information on the number and dynamic evolution of violations holds promise. In fact, when clustering is severe, the number of exceptions have also been observed to typically increase. Incremental information can also be expected by simultaneously testing several VaR probability levels. The project thus will generalize the multilevel tests of Perignon and Smith (2008) and Leccadito et al. (2014). An extensive simulation study will be reported and various empirical applications will be considered.

COMBINING P-VALUES TO TEST FOR MULTIPLE BREAKS IN THE VECM WITH AND WITHOUT THE PRESENCE OF WEAK-EXOGENEITY (with A. Bianchi, M. Bergamelli, L. Khalaf)

The main aim of the project is to develop limiting theory to detect and test for multiple structural breaks in the VECM framework. First, we show that breaks in the long run matrix BETA imply breaks in the short run impact matrix ALPHA, unless weak exogeneity is imposed, and breaks in BETA imply also breaks in the covariance matrix of the error term. Second, we extend the likelihood ratio test proposed in Hansen (2003) to the case of unknown break dates through the specification of several scenarios regarding the number and the location of the breaks. We define a minimum p-value statistic with critical values approximated by bootstrapping. Monte Carlo simulations show that the proposed statistic has optimal finite sample properties when imposing and relaxing weak exogeneity as well as when exploring the impact of weak identification of the cointegrating relationship. A series of applications will illustrate the empirical validity of the framework.

JUMPS AND COJUMPS IN HIGH FREQUENCY DATA (with S. Boffelli, J. Novotny)

We propose to use a combination of univariate tests for jumps to construct a cojump testing procedure robust to microstructure noise and spurious detection. The proposed test allows us to distinguish between transitory-permanent and endogenous-exogenous co-jumps and determine a causality effect between price and liquidity. In the empirical application, we plan to apply the co-jump testing framework to evaluate the relationship the price and the available liquidity of EUR/USD FX spot during the week from May 3 to May 7, 2010. We also evaluate the impact of extreme market shifts on equity portfolios. Assuming that investors care differently about downside losses as opposed to upside gains, we estimate jump sensitivities for the negative and positive market shifts. We study the implications of the difference in negative and positive sensitivities to market jumps for portfolio risk management by contrasting the results for individual stocks with the results for portfolios with varying number of holdings. In the context of a portfolio, we investigate to what extent the downside and upside jump risks can be diversified away. Varying the jump identification threshold, we show that the asymmetry is more prominent for more extreme events and that the number of holdings required to stabilise portfolios’ sensitivities to negative jumps is higher than under positive jumps. Ignoring this asymmetry results in under-diversification of portfolios and increased exposure to extreme negative market shifts.

Research students

Luqi Wang

Attendance: September 2020 - present, full-time

Thesis title: Topics in Financial Econometrics (TBC)

Role: 1st Supervisor

Stefano Di Colli

Attendance: September 2020 - present, part-time

Thesis title: Macroeconomic Announcements, Economic Uncertainty and Confidence (TBC)

Role: 1st Supervisor

Aysel Bandad

Attendance: September 2020 - present, part-time

Thesis title: Managing the Natural Wealth: Diversification and Policy Implications (TBC)

Role: 1st Supervisor

Lars Spreng

Attendance: September 2019 - present, full-time

Thesis title: The Econometrics of Foreign Exchange Rates

Role: 1st Supervisor

Alberto Ciampini

Attendance: September 2018 - present, full-time

Thesis title: Modelling Instabilities in Multi-Factor Asset Pricing Models

Role: 1st Supervisor

Soon Heng Leong

Attendance: September 2017 - September 2021, full-time

Thesis title: Modelling and Testing Financial Risk

Role: 1st Supervisor

Filippo Umberto Andrini

Attendance: September 2016 - October 2020, full-time

Thesis title: Topics in (G)VAR Econometrics

Role: 1st Supervisor

Riccardo Borghi

Attendance: September 2013 - May 2018, full-time

Thesis title: The Econometrics of Trading Strategies

Role: 1st Supervisor

Marianna Russo

Attendance: September 2012 - August 2017, full-time

Thesis title: Topics in the European Natural Gas Markets

Role: 2nd Supervisor

Michele Bergamelli

Attendance: October 2011 - March 2015, full-time

Thesis title: Structural Breaks and Outliers Detection in Time-series Econometrics: Methods and Applications

Role: 1st Supervisor

Simona Boffelli

Attendance: October 2010 - October 2013, full-time

Thesis title: European Government Bond Spreads: Modelling Jumps, Cojumps, Macro Drivers, Synchronization and Integrated Covariance Estimators

Role: 1st Supervisor

Riccardo Pianeti

Attendance: October 2010 - October 2013, full-time

Thesis title: Essays in Systemic Risk and Contagion

Role: 1st Supervisor

Antonio Frenda

Attendance: January 2009 - March 2012, full-time

Thesis title: Estimating Business Cycles: from Bandpass Filters to Eurocoin

Role: 1st Supervisor

Vincenzo Maini

Attendance: January 2009 - June 2012, full-time

Thesis title: Price and Liquidity Discovery, Jumps and Co-Jumps using High Frequency Data from the Foreign Exchange Markets

Role: 1st Supervisor

Matteo Mogliani

Attendance: October 2008 - February 2011, full-time

Thesis title: Dynamiques Monétaires, Politiques de Stabilisation

Role: 1st Supervisor

Ana-Maria Dumitru

Attendance: January 2007 - January 2010, full-time

Thesis title: Modeling and Testing for Jumps in the Prices of Financial Assets

Role: 1st Supervisor

Dennis Philip

Attendance: October 2005 - July 2008, full-time

Thesis title: Estimation and Testing of Latent Factors in Term Structure of Interest Rates

Role: 1st Supervisor

Arturo Leccadito (Marie Curie Fellow and CEA@Cass Fellow)

Attendance: January 2004 - January 2007, full-time

Thesis title: On the Markovian Behavior of Asset Pricing

Role: 1st Supervisor

Daniel Braberman

Attendance: October 2003 - September 2007, part-time

Thesis title: The Impact of Macro News on the Term Structure of Interest Rates

Role: 1st Supervisor

Juan Cajigas

Attendance: October 2003 - September 2006, full-time

Thesis title: A Multivariate GARCH Model for the Non-Normal Behaviour of Financial Assets

Role: 1st Supervisor

Michele Meoli

Attendance: January 2003 - January 2006, full-time

Thesis title: Does Ownership Structure Matter? The Case of Big European Groups

Role: 2nd Supervisor

Lorenzo Trapani

Attendance: January 2002 - January 2005, full-time

Thesis title: Essays on Panel Data Econometrics

Role: 1st Supervisor

Lucio Della Ratta

Attendance: October 2001 - September 2006, part-time

Thesis title: Credit Spread, Fractional Integration and the Pricing of Credit Risk

Role: 1st Supervisor

1stsupervisor

  • Riccardo Borghi, Research Student
  • Dr Stefano Di Colli, Research Student
  • Soon Leong, Research Student

Publications

Book

  1. Boffelli, S. and Urga, G. (2016). Financial Econometrics Using Stata. Stata Press. ISBN 9781597182140.

Chapters (6)

  1. Urga, G. and Boffelli, S. (2014). Evaluating Correlations in European Government Bond Spreads. Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 35-39). Springer International Publishing. ISBN 9783319050133.
  2. Adesi, G.B., Gagliardini, P. and Urga, G. (2006). A Test of the Homogeneity of Asset Pricing Models. In Maillet, B. and Jurczenko, E. (Eds.), Multi-moment Asset Allocation and Pricing Models (pp. 223-230). John Wiley & Sons. ISBN 9780470034156.
  3. Hall, S. and Urga, G. (2000). New Developments in the Analysis of Panel Data Sets. In Dahiya, S.B. (Ed.), THE CURRENT STATE OF BUSINESS DISCIPLINES, (Business Economics) (pp. 537-564).
  4. Henry, B., Sentance, A. and Urga, G. (1999). Finance, Profitability, and Investment in Manufacturing. In Driver, C. and Temple, P. (Eds.), Investment, Growth and Employment : Perspectives for Policy (pp. 29-50). Routledge. ISBN 9780415197809.
  5. Nixon, J. and Urga, G. (1999). Unemployment and Capital Stock: Modelling the Supply Side of the UK Economy. In Driver, C. and Temple, P. (Eds.), Investment, Growth and Employment: Perspectives for Policy (pp. 221-248). Routledge. ISBN 9780415197809.
  6. Banerjee, A. and Urga, G. (1996). Investigating Structural Breaks in UK Manufacturing Trade. In Allen, C. and Hall, S. (Eds.), Macroeconomic Modelling in a Changing World John Wiley & Sons. ISBN 9780471957911.

Conference papers and proceedings (152)

  1. De Menezes, L.M. and Urga, G. Liquidity in the NBP forward market Marianna Russo. .doi:10.1109/EEM.2016.7521358
  2. de Menezes, L.M., Russo, M. and Urga, G. (2016). Identifying Drivers of Liquidity in the NBP Month-ahead Market. EcoMod2016 6-8 July, Lisbon, Portugal.
  3. Belvisi, M., Pianeti, R. and Urga, G. (2014). Modelling financial markets comovements during crises: A dynamic multi-factor approach. Advances in Econometrics - Conference on Dynamic Factor Models 14-16 November, CREATES, Aarhus University, Denmark.doi:10.1108/S0731-905320150000035008
  4. Urga, G., Bergamelli, M. and Novotny, J. (2013). Co-Features in Finance: Co-Arrivals and Co-Jumps + Detecting Multiple Structural Breaks: Dummy Saturation vs Sequential Bootstrapping. 13th OxMetrics User Conference 5-6 September, CREATES, Aarhus University.
  5. Urga, G. and Khalaf, L. (2012). Identification Robust Inference in Cointegrating Regressions. 23rd (EC)2 Conference: Hypothesis Testing 14-15 December, Maastricht, Netherlands.
  6. Urga, G., Consigli, G. and Pianeti, R. (2012). A Systemic Risk Indicator and its Interactions with Monetary Policy. Global Linkages and Financial Crises. Emerging Market Group, Cass Business Schoo, London, UK.
  7. Urga, G., Consigli, G. and Pianeti, R. (2012). A Systemic Risk Indicator and its Interactions with Monetary Policy. Economics Seminar at the Federal Reserve Bank Federal Reserve Bank, Wasghington DC, USA.
  8. Urga, G. and Maini, V.L. (2012). Moving from Price to Liquidity Discovery: A Microstructural Approach Based on Ultra High Frequency Data. Microstructure of Financial Markets Emerging Market Group, Cass Business Schoo, London, UK.
  9. Urga, G. and Maini, V.L. (2012). The Liquidity to Price Transmission Mechanism: A Combination of Nonparametric Tests for Co-Jumps. 11th OxMetricsTM User Conference. George Washington University, Washington, DC, USA.
  10. Urga, G. and Khalaf, L. (2012). Identification Robust Inference in Cointegrating Regressions. New York Camp Econometrics VII Syracuse University's at the Otesaga Resort Hotel in Cooperstown, NY, USA.
  11. Urga, G. (2011). Discussant of the paper entitled �Stock Returns and Monetary Policy: Are There Any Ties� (by Bouakez, Essid and Normadin, HEC Montreal, Canada). Finance Conference 2011: The Role of Finance in Stabilizing the Past, Present and Future Real Economy. German Institute for Economic Research �DIW- Berlin, Germany.
  12. Urga, G., Cajigas, J. and Ghalanos, A. (2011). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. Center for Economic Research & Graduate Education, CERGE-EI, Charles University, Prague CERGE-EI, Charles University, Prague, Czech Republic.
  13. Urga, G., Ghalanos, A. and Rossi, E. (2011). Presentation of the paper �Independent Factor Autoregressive Conditional Density Model�. Fourth Italian Congress of the Econometrics and Empirical Economics (ICEEE 2011). Faculty of Economics, University of Pisa, Italy.
  14. Urga, G., Mogliani, M. and Winograd, C. (2011). Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900�2006. Department of Economics Seminar Series, European University Institute, Florence European Institute, Florence.
  15. Urga, G., Mogliani, M. and Winograd, C. (2011). Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900�2006. Dipartimento di Scienze Economiche �Marco Fanno� Seminar Series. Department of Economics, University of Padua, Italy.
  16. Urga, G., Mogliani, M. and Winograd, C. (2011). Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900�2006. DiSES Seminar Series. Dip. di Scienze Economiche e Statistiche, Salerno University, Italy.
  17. Urga, G., Kao, C. and Trapani, L. (2011). Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends. 17th International Panel Data Conference..
  18. Urga, G., Leccadito, A. and Rachedi, O. (2011). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. Meeting of the Midwest Finance Association (MFA). Chicago, Illinois, USA.
  19. Urga, G., Ghalanos, A. and Rossi, E. (2011). Independent Factor Autoregressive Conditional Density Model. 2011 North American Summer Meeting of the Econometric Society..
  20. Urga, G. (2010). �A Research Day on IPOs�, discussant of the paper by Francois Degeorge �Auction IPOs: The US Evidence� (with F. Derrien and K. Womak). PhD Programme in Economics and Management Technology, Faculty of Engineering, University of Bergamo Faculty of Engineering, University of Bergamo, Italy.
  21. Urga, G. (2010). Andrew Smithers (Smithers & Co. Ltd.). �Imperfect Markets and Inept Central Bankers�. ESRC-CEA Seminar Series 2 Centre for Econometric Analysis, Cass (UK).
  22. Urga, G. (2010). Andy Haldane (Executive Director, Financial Stability, Bank of England) �XXX�. ESRC-CEA Seminar Series 2 Centre for Econometric Analysis, Cass, UK.
  23. Urga, G. and Dumitru, A.M. (2010). Identifying Jumps in Financial Assets: A Comparison between non Parametric Jump Tests. Thematic Program on Quantitative Finance, Workshop on Financial Econometrics The Fields Institute for Research in Mathematical Sciences in Toronto (Canada).
  24. Urga, G., Mogliani, M. and Winograd, C. (2010). Monetary Disorder and Financial Regimes: the Money Demand in Argentina, 1900-2006. 8th OxMetricsTM User Conference. George Washington University, Washington, DC (U.S.A).
  25. Urga, G., Leccadito, A. and Rachedi, O. (2010). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. MAF 2010 - Mathematical and Statistical Methods for Actuarial Sciences and Finance Villa Rufolo - Ravello, Italy.
  26. Urga, G. (2009). (Organizer and Presenter). Chicago/London Conference Series on Financial Markets on �Financial Markets: How Real?� University of Illinois at Chicago (USA), 1-2 May.
  27. Urga, G. (2009). (Organiser). 7th OxMetrics User Conference Cass Business School, London (UK).
  28. Urga, G. (2009). (Organizer). A Week of Microeconometrics Department of Economics, H.P. Minsky, University of Bergamo (Italy).
  29. Urga, G. (2009). �Microeconometric using STATA�. Speaker: David Drukker (Director of Econometrics, STATA Corporation). �Microeconometric using STATA�. Department of Economics, H.P. Minsky, University of Bergamo (Italy).
  30. Urga, G. (2009). �Microeconometric using STATA�. Speaker: David Drukker (Director of Econometrics, STATA Corporation). CEA Econometrics Occasional Seminar (Centre for Econometric Analysis, Cass Business School, London (UK).
  31. Urga, G., Leccadito, A. and Tunaru, R. (2009). CMCDS Data Exploration and Trading Strategies. International Symposium on Risk Management and Derivatives 2009 Wang Yanan Institute for Studies in Economics, Xiamen University, China.
  32. Urga, G., Leccadito, A. and Tunaru, R. (2009). CMCDS Data Exploration and Trading Strategies. The Asian Financial Association International Conference 2009 Brisbane, Australia.
  33. Urga, G. (2009). International Conference on �Factor Models in Economics and Finance�. Chicago/London Conference Series on Financial Markets (Part 3) Cass Business School, London (UK).
  34. Urga, G. (2009). Member of the Advisory Committee. Discussant and Chair. Financial systems, efficiency and stimulation of sustainable growth (FINESS) German Institute for Economic Research, DIW, Berlin, Germany.
  35. Urga, G. and Centre for Econometric Analysis, C. (2009). Michael J. Fleming (Federal Reserve Bank of New York, USA) Repo Market Effects of the Term Securities Lending Facility (with W.B. Hrung and F.M. Keane). ESRC-CEA Seminar Series 2 Centre for Econometric Analysis, Cass (UK).
  36. Urga, G. and Trapani, L. (2009). Micro versus Macro Cointegration in Heterogeneous Panels. Workshop of Applied Econometrics and Econometrics Universidad Carlos III de Madrid, Spain.
  37. Urga, G., Mogliani, M. and Winograd, C. (2009). Monetary Disorder and Financial Regimes: the Money Demand in Argentina, 1900-2006. 24th Meeting of the European Economic Association Barcelona Graduate School of Economics, Barcelona (Spain).
  38. Urga, G. (2009). Ravi Jagannathan (Kellog School of Management, Northwestern University, USA). ESRC-CEA Seminar Series 2. Centre for Econometric Analysis, Cass (UK).
  39. Urga, G., Kao, C. and Philip, D. (2009). Testing for Instability in Factor Structure of Yield Curve. 3rd Italian Congress of Econometrics and Empirical Economics (ICEEE). Universita� delle Marche, Ancona (Italy).
  40. Urga, G. (2009). The Econometrics of Stationary and Nonstationary Panel Data�. Econometric Courses for PhD Students CIDE-University Palermo (Italy).
  41. Urga, G., Leccadito, A. and Tunaru, R. (2009). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. 2009 Far East and South Asia Meeting of the Econometric Society University of Tokyo, Faculty of Economics, Tokyo (Japan).
  42. Urga, G., Leccadito, A. and Rachedi, O. (2009). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. London-Oxbridge Conference Series (Centre for International Macroeconomics and Finance, University of Cambridge (UK).
  43. Urga, G., Leccadito, A. and Rachedi, O. (2009). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. New York Camp Econometrics IV The Mirror Inn, Lake Placid, NY, USA.
  44. Urga, G., Leccadito, A. and Rachedi, O. (2009). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. The Econometric Society 2009 North American Summer Meeting Boston University, USA.
  45. Urga, G., Leccadito, A. and Rached, O. (2009). True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data. The Society for Computational Economics. 15th International Conference Computing in Economics and Finance University of Technology, Sydney, Australia.
  46. Urga, G., Meoli, M. and Paleari, S. (2009). Use and Abuse of Rights Issues. Do They Really Protect Minorities? The Asian Financial Association International Conference 2009 Brisbane, Australia.
  47. Urga, G. (2009). Various Presentations. The 2009 Summer School on Econometrics and Finance Wang Yanan Institute for Studies in Economics, Xiamen University, China.
  48. Urga, G., Kao, C. and Philip, D. (2008). Testing for Instability in Factor Structure of Yield Curve. 2008 Far Eastern and South Asian meeting of the Econometric Society 16-18 July, School of Economics of Singapore Management University, Singapore.
  49. Urga, G. (2008). (Organizer and Presenter). Chicago/London Conference Series on Financial Markets on �What Went Wrong? Financial Engineering, Financial Econometrics, and the Current Stress�. Cass Business School, London (UK), 5-6 December.
  50. Urga, G. (2008). (Organizer and Presenter). 6th OxMetrics User Conference Cass Business Schoo, London (UK).
  51. Urga, G., Kao, C. and Philip, D. (2008). (Organizer and Presenter). Presentation of the paper �Testing for Instability in Factor Structure of Yield Curve�. First International Conference in Memory of Carlo Giannini entitled �Recent Developments in Econometric Methodology�. Department of Economics, University of Bergamo (Italy), 25-26 January.
  52. Urga, G., Mogliani, M. and Winograd, C. (2008). A Long-Run Analysis of the Money Demand in Argentina: 1900-2006. Latin American Meeting of the Econometric Society Rio de Janerio, Brazil (20-22 November).
  53. Urga, G. (2008). Attendance only, by invitation. Conference in Honour of Peter C. B. Phillips School of Economics of Singapore Management University (Singapore), 14-15 July.
  54. Urga, G., Leccadito, A. and Tunaru, R. (2008). CMCDS Data Exploration and Trading Strategies. 2008 Far Eastern and South Asian meeting of the Econometric Society School of Economics of Singapore Management University (Singapore), 16-18 July.
  55. Urga, G., Leccadito, A. and Tunaru, R. (2008). CMCDS Data Exploration and Trading Strategies. International Conference on Price, Liquidity, and Credit Risks Universitat Konstanz, Germany.
  56. Urga, G., Leccadito, A. and Tunaru, R. (2008). CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads. Paris Finance International Meeting Maison de la Mutualite, Paris (18-19 December).
  57. Urga, G. and Trapani, L. (2008). Micro versus Macro Cointegration in Heterogeneous Panels. ECARES Econometrics and Statistics Seminar Series ECARES, Bruxelles (Belgium), 20 March.
  58. Urga, G. and Trapani, L. (2008). Micro versus Macro Cointegration in Heterogeneous Panels. Econometrics Workshops Department of Economics, Michigan State University (USA), 3 April.
  59. Urga, G., Leccadito, A. and Tunaru, R. (2008). Statistical Arbitrage between CDS and CMCDS Markets. 2nd International Workshop on Computational and Financial Econometrics (CEF 2008) Neuchatel (Switzerland), 19-21 June.
  60. Urga, G., Kao, C. and Philip, D. (2008). Testing for Instability in Factor Structure of Yield Curve. 2008 ASSA Meeting, North American Winter Meeting of the Econometric Society New Orleans (USA), 4-6 January.
  61. Urga, G., Kao, C. and Philip, D. (2008). Testing for Instability in Factor Structure of Yield Curve. Institute for Quantitative Investment Research (Inquire UK), Autumn Seminar. Randolph Hotel (Oxford), 21-23 September.
  62. Urga, G., Kao, C. and Philip, D. (2008). Testing for Instability in Factor Structure of Yield Curve. Warwick Business School seminar series Warwick (UK), 15 October.
  63. Urga, G. (2008). The Econometrics of Stationary and Nonstationary Panel Data. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians University of Palermo (Italy), 1-3 September.
  64. Urga, G., Della Ratta, L. and Leccadito, A. (2008). The Fractional Merton Model: A new Approach to Credit Risk Pricing. 2008 Asian Finance Association (AsianFA) and the Nippon Finance Association (NFA). (Pacifico Yokohama Convention Centre, Yokohama (Japan), 6-9 July.
  65. Urga, G., Della Ratta, L. and Leccadito, A. (2008). The Fractional Merton Model: A new Approach to Credit Risk Pricing. 2008 Financial Engineering and Risk Management International Symposium. Department of Statistics, Shanghai University of Finance and Economics, Shanghai (China), 8-10 June.
  66. Urga, G., Della Ratta, L. and Leccadito, A. (2008). The Fractional Merton Model: A new Approach to Credit Risk Pricing. 2nd International Workshop on Computational and Financial Econometrics (CEF 2008) Neuchatel (Switzerland), 19-21 June.
  67. Urga, G. and Della Ratta, L. (2008). The Fractional Merton Model: A new Approach to Credit Risk Pricing. New York Camp Econometrics III. La Tourelle Resort and Spa, Ithaca, NY (USA), 4-6 April.
  68. Urga, G., Leccadito, A. and Tunaru, R. (2008). The Fractional Merton Model: A new Approach to Credit Risk Pricing�. International Conference on Price, Liquidity, and Credit Risk Universitat Konstanz, Germany.
  69. Urga, G. and Braberman, D. The Impact of News on Fed Funds Futures' Implicit Interest Rates. .
  70. Urga, G. (2007). (Organizer and Presenter). CEA@Cass/ESRC International Conference in Financial Econometrics on �Measuring Dependence in Finance� Cass Business School, London (UK), 7-8 December.
  71. Urga, G. (2007). Discussant of the paper "Long-Run Estimates of the Elasticity of Substitution Using UK Firm-Level Data" by Prices and Barnes. ASSA (AEA) Chicago (USA), 5-January.
  72. Urga, G. (2007). Discussant of the paper "Panel Cointegration with Global Stochastic Trends� by Bai, Kao and NG. ASSA (AEA/CEANA) Chicago (USA) 5-7 January.
  73. Urga, G., Meoli, M. and Paleari, S. (2007). Do Rights Issues Protect Minorities? Empirical Evidence on the Italian Case. 2007 Asian Finance Association Conference The Chinese University of Hong Kong(China), 4-7 July.
  74. Urga, G., Meoli, M. and Paleari, S. (2007). Do Rights Issues really Protect Minorities? Empirical Evidence on the Italian case. II International Conference on Corporate Governance and Corporate Social Responsibility The State University � Higher School of Economics, Moscow (Russia), 28-29 November.
  75. Urga, G. and Cajigas, J. (2007). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovation. 2007 North American Summer Meeting of the Econometric Society Duke University (USA), 21-24 June.
  76. Urga, G. and Cajigas, J. (2007). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. 2007 Far Eastern Meeting of the Econometroc Society Institute of Economics, Academia Sinica, Taipei (Taiwan), 11-13 July.
  77. Urga, G. and Cajigas, J. (2007). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations�. "Stochastic Volatility and Persistence" Brunel Univ. (UK), 5 June.
  78. Urga, G. and Trapani, L. (2007). Micro versus Macro Cointegration in Heterogeneous Panels. Money, Macro and Finance workshop. Department of Economcis, Leicester University (UK), 14 December.
  79. Urga, G. (2007). Organizer and Presenter. 5th OxMetrics User Conference Cass Business School, London (UK), 20-21 September.
  80. Urga, G., Kao, C. and Philip, D. (2007). Testing for Instability in Factor Structure of Yield Curve. Organizer and Presenter Crowne Plaza Hotel (Cambridge), 23-25 September.
  81. Urga, G., Kao, C. and Philip, D. (2007). Testing for Instability in Factor Structure of Yield Curves. 2007 Finance International Meeting AFFI � EUROFIDAI Paris (France), 20-21 December.
  82. Urga, G., Kao, C. and Philip, D. (2007). Testing for instability in factor structure of yields curves. VII International Conference �New Directions in Term Structure Modelling� University of Verona (Italy), 25-26 June.
  83. Urga, G. (2007). The Econometrics of Stationary and Nonstationary Panel Data. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians University of Palermo (Italy), 3-5 September.
  84. Urga, G., Meoli, M. and Paleari, S. (2007). When Controlling Shareholders live like Kings: The case of Telecom Italia. II International Conference on Corporate Governance and Corporate Social Responsibility The State University � Higher School of Economics, Moscow (Russia), 28-29 November.
  85. Urga, G. and Trapani, L. (2006). Cointegration vs Spurious Regression in Heterogeneous Panels. Econometrics and Statistics Colloquium Graduate School of Business, Chicago University, 26 April.
  86. Urga, G. (2006). Discussant of the paper �Stock Market Volatility around National Elections� J. Bialkowski, K. Gottschalk, T. P. Wisniewski. European Financial Association Zurich, CH, 23-26 August.
  87. Urga, G. and Cajigas, J. (2006). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. Bag Lunch Seminar at Kellogg Management School. Northwestern University, Evanston, Chicago, 28 April.
  88. Urga, G. and Cajigas, J. (2006). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. Far Eastern Meeting of the Econometric Society. Beijing, China, 9-12 July.
  89. Urga, G. and Cajigas, J. (2006). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. Finance Department of Tilburg University. Tilburg (NL), 20 March.
  90. Urga, G. and Ratta, L.D. (2006). Modelling Credit Spread: A Fractional Integration Approach. 2006 North American Summer Meeting of the Econometric Society Minneapolis, USA, 22-25 April.
  91. Urga, G. (2006). Organizer. 4th OxMetrics User Conference. Cass Business School, UK, 14-15 September.
  92. Urga, G. (2006). Organizer. International Conference on �The Econometrics of Structural Breaks Cass Business School, UK, 11-12 December.
  93. Urga, G. and Trapani, L. (2006). The Asymptotic for Panel Models with Common Shocks. 2006 North American Summer Meeting of the Econometric Society Minneapolis, USA, 22-25 June.
  94. Urga, G., Kao, C. and Trapani, L. (2006). The Asymptotics for Panel Models with Common Shocks. 61st European Meeting of the Econometric Society (ESEM) 2006 Vienna, Austria, 24-28 August.
  95. Urga, G., Kao, C. and Trapani, L. (2006). The Asymptotics for Panel Models with Common Shocks. 13th International Conference on� Panel Data" Cambridge, UK, 7-9 July.
  96. Urga, G. (2006). The Econometrics of Panel Data. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians Palermo, Italy, 4-6 September.
  97. Urga, G. (2005). (..various co-presentation..). International Conference on "Corporate Finance, Banking and Capital Markets" Cass Business School, 12-13 December.
  98. Kao, C., Trapani, L. and Urga, G. (2005). A Unified Asymptotic Framework for Panel Factor Models. Econometric Society World Congress 2005 , University College London, 19 - 24 August.
  99. Urga, G. (2005). Cointegration versus Spurious Regression in Heretogenous Panels. Econometrics Seminar Series, New York University (USA), 28 October.
  100. Driver, C., Trapani, L. and Urga, G. (2005). Cross-Section vs Time Series Measures of Uncertainty. Using UK Survey Data. Ifo Conference on �Survey Datat in Economics" Munich, 26-29 October.
  101. Cajigas, J. and Urga, G. (2005). Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations. Simulation Based and Finite Sample Inference in Finance II Conference 29-30 April, Qu�bec City Canada..
  102. Ratta, L.D. and Urga, G. (2005). Modelling Credit Spread: A Fractional Integration Approach. 3rd OxMetrics Conference. Cass Business School (Organizer).
  103. Urga, G. (2005). Modelling Credit Spread: A Fractional Integration Approach. Recent Development in Financial Econometrics. First Symposium on Econometric Theory and Applications (SETA). 18-20 May, Academica Sinica, Taipei (Taiwan).
  104. Urga, G. (2005). Non-Normal Elliptical Distributions and Dynamic Conditional Correlation Models. First Italian Congress of Econometrics and Empirical Economics, CIDE 24-25 January, Venice.
  105. Urga, G. (2005). Stopping Tests in the Sequential Estimation for Multiple Structural Breaks. International Conference on �Unit Root and Cointegration University of Algarve, Faro (Portugal), 29-1 October.
  106. Urga, G. (2005). Stopping Tests in the Sequential Estimation of Multiple Structural Breaks. ASSA International Meeting (ESEM) 9-11 January, Philadelphia, USA.
  107. Meoli, M., Paleari, S. and Urga, G. (2005). When Controlling Shareholders Live Like Kings: The Case of Telecom Italia. �The Inaugural Asia-Pacific Corporate Governance Conference�, Hong Kong, 24-26 August.
  108. Meoli, M., Paleari, S. and Urga, G. (2005). When Controlling Shareholders Live Like Kings: The Case of Telecom Italia. CONSOB Rome, 16 December.
  109. Meoli, M., Paleari, S. and Urga, G. (2005). When Controlling Shareholders Live Like Kings: The Case of Telecom Italia. Integrate Corporate Governance Conference Prato (Italy) 26-29 October.
  110. Barone Adesi, G., Gagliardini, P. and Urga, G. (2004). Coskewness and its Implication for Testing Asset Pricing Models. North American Winter Meeting of the Econometric Society UCSD, San Diego, 3-5 January, 2004.
  111. Cajigas, J. and Urga, G. (2004). Non-Normal Elliptical Distributions and Dynamic Conditional Correlation Models. Common Features in London (Organizer) 16-17 December, Cass Business School.
  112. Urga, G. (2004). Organiser. 2nd OxMetrics User Conference Cass, 26-27 August 2004.
  113. Trapani, L., Driver, C. and Urga, G. (2004). Paper 1: Cointegration vs Spurious Regression in Heteregenous Panels. Paper 2: Assessing the Predicting Accuracy of Alternative Estimators in Heteregenous Panels. Paper 3: Cross-Section vs Time Series Measures of Uncertainty. Royal Economic Society 2004 Swansea, UK, 5-7 April 2004.
  114. Trapani, L. and Urga, G. (2004). Paper 1: Cointegration vs Spurious Regression in Hetereogeneous Panels; Paper 2: Cross-Section vs Time Series Measures of Uncertainty. North American Summer Meeting of the Econometric Society Providence, Boston, 17-20 June 2004.
  115. Trapani, L. and Urga, G. (2004). Paper 1: Cointegration vs Spurious Regression in Heterogenous Panels. Paper 2: Assessing the Predicting Accuracy of Alternative Estimators in Heteregenous Panels. 11th International Conference on Panel Data Texas A&M, 4-6 June 2004.
  116. Urga, G. (2003). Boostrapping Sequential Test for Multiple Structural Breaks. Ente Einaudi-Bank of Italy Research Seminar Series Rome, 9 May 2003.
  117. Trapani, L. and Urga, G. (2003). Cointegration versus Spurious Regression in Heterogenous Panels. ESRC Econometric Study Group Conference Bristol, July 10-12, 2003.
  118. Urga, G. (2003). Organiser/Programme Committee (Co-Chair). 1st OxMetrics User Conference Cass Business School, 1-2 September 2003.
  119. Estrin, S., Bennett, J. and Urga, G. (2003). Privatisation Methods and Economic Growth in Transition Economies. Association of Comparative Economics Society Washington, D.C., 3-5 January, 2003.
  120. Barone Adesi, G., Gagliardini, P. and Urga, G. (2003). Testing Asset Pricing Models with Coskewness. North American Summer Meeting of the Econometric Society Kellogg School of Management, Northwestern University, Evanston, Illinois, 26-29 June, 2003.
  121. Banerjee, A., Lazarova, S. and Urga, G. (2002). Bootstrapping Sequential Tests for Multiple Structural Breaks. Modelling Structural Breaks, Long Memory and Stock Markets Volatility Faculty of Finance, Cass Business School.
  122. Barone Adesi, G., Gagliardini, P. and Urga, G. (2002). Coskewness and its Implication for Testing Asset Pricing Models. Inquiry UK 14th Annual Seminar on "Beyond Mean-Variance: Do Higher Moments Matters" Royal Bath Hotel, Bournemouth.
  123. Driver, C., Temple, P. and Urga, G. (2002). Explaining the Diversity of Industry Investment Responses to Uncertainty using Long Run Panel Survey Data. American Economic Association Atlanta, Georgia (USA).
  124. Driver, C., Temple, P. and Urga, G. (2002). Profitability, Capacity and Uncertainty: A Robust Model of the UK Manufacturing Investment. Royal Economic Society Conference University of Warwick.
  125. Bruno, R. and Urga, G. (2002). The Effects of Macro Announcements on the Term Structure and the Exchange Rates. 6th International Conference on Macroeconomic Analysis and International Finance University of Crete, Rethymno, Greece.
  126. Driver, C., Temple, P. and Urga, G. (2002). The Effects of Uncertainty on UK Investment Autorisation: Homogenous vs Heterogenous Estimators. 10th International Conference on Panel Data Berlin.
  127. Urga, G. (2001). Testing for Predictability and Integration in Latin American Stock Markets: A Time-Varying Parameter Approach. Latin American Meeting of the Econometric Society Buenos Aires (Argentina).
  128. Urga, G. (2001). Theory and Practice of Econometric Modelling using PcGive10. Royal Economic Society Conference Durham.
  129. Barone Adesi, G., Gagliardini, P. and Urga, G. (2001). Testing the Homogeneity of Asset Pricing Models. EFMA (European Financial Management Association) Conference Universita� della Svizzera Italiana, Lugano (CH).
  130. Lazarova, S. and Urga, G. (2000). Common Stochastic Trends and Aggregation in Heterogenous Panels. 9th International Conference on Panel Data Geneva (Switzerland).
  131. Lazarova, S. and Urga, G. (2000). Common Stochastic Trends and Aggregation in Heterogenous Panels. Meeting of the Society for Economic Dynamics San Jose' (Costa Rica).
  132. Rockinger, M. and Urga, G. (1999). A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies. The XVII Latin American Meeting of the Econometric Society Cancun, Mexico.
  133. Estrin, S., Lazarova, S. and Urga, G. (1999). Growth and Convergence in Transition Countries. Focus on Investment. XX meeting of the 1999 Society of Economic Dynamics Sardinia, Italy.
  134. Temple, P., Driver, C. and Urga, G. (1999). The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon? Uncertainty and Factor Demands.
  135. Rockinger, M. and Urga, G. (1998). A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies. The Inaugural International Conference on Money, Investment and Risk The Nottingham Trent University.
  136. Geroski, P., Walters, C. and Urga, G. (1998). Are There Persistent Differences in Corporate Growth Rates? The Eighth International Conference on Panel Data G�teborg.
  137. Banerjee, A., Lazarova, S. and Urga, G. (1998). Bootstrapping Sequential Tests for Multiple Structural Breaks. The EEA98 Berlin.
  138. Urga, G. (1998). Presentation of the two papers on convergence. The ACE-CEPR-WDI-CERGE-EI conference Prague.
  139. Banerjee, A., Lazarova, S. and Urga, G. (1997). Bootstrapping Sequential Tests for Multiple Structural Breaks. The EC2 conference on Finite Sample and Asymptotic Methods in Econometrics Amsterdam.
  140. Urga, G. (1997). Convergence in Output and Investment in Transition Economies: Central and Eastern Europe: 1970-1995. Seminars on Endogenous Growth and International Trade Nuffield College, Oxford..
  141. Banerjee, A. and Urga, G. (1996). Looking for Structural Breaks in Co-Integrated Systems. The ESEM 1996, Instanbul.
  142. Banerjee, A. and Urga, G. (1996). Modelling U.K. Trade: An Exercise in Sequential Structural Break Procedures. The Royal Economic Society Conference 1996 University of Wales, Swansea.
  143. Winograd, C. and Urga, G. (1996). Money Demand and Regime Shifts: An Analysis of the M1 Aggregate for Argentina. The 28th Annual Conference on Money, Macroeconomics and Finance Research Group London.
  144. Winograd, C. and Urga, G. (1996). Money Demand Under Regime Shifts: An Analysis of the M1 Aggregate for Argentina. 1900-1992. The XIV Latin American Meeting of the Econometric Society Rio de Janeiro, Brasil.
  145. Hall, S. and Urga, G. (1996). Stochastic Common Trends and Long-Run Relationship in Heterogeneous Panels. The Sixth Biennial International Conference on Panel Data Amsterdam.
  146. Hall, S. and Urga, G. (1996). Stochastic Common Trends and Long-Run Relationships in Heterogenous Panels. The Royal Economic Society Conference 1996 University of Wales, Swansea.
  147. Hall, S., Whitley, J. and Urga, G. (1996). Structural Change and Economic Behaviour: The Case of UK Exports. ESRC Macroeconomic Modelling Seminar Warwick.
  148. Temple, P. and Urga, G. (1996). The Competitiveness of UK Manufacturing: Evidence from Imports. ESRC Macroeconomic Modelling Seminar Warwick.
  149. Urga, G. (1995). A Note on the Identification Problem in Testing Dynamic Specification of Factor Demand Equations. ESRC Macroeconomic Modelling Seminar University of Warwick.
  150. Banerjee, A. and Urga, G. (1995). Looking for Structural Breaks in Co-Integrated System. The Tenth Annual Congress, European Economic Association Prague, The Czech Republic.
  151. Urga, G. and Trapani, L. Cointegration Versus Spurious Regression In Heterogeneous Panels. .
  152. Urga, G. The second workshop of the series Investment and Public Policy on Investment decisions: evidence from macro data. .

Journal articles (81)

  1. Wang, L. and Urga, G. (2025). Optimal N-state endogenous Markov-switching model for currency liquidity timing. Journal of Economic Dynamics and Control, 177, pp. 105137-105137. doi:10.1016/j.jedc.2025.105137

    [publisher’s website]

  2. Hizmeri, R., Izzeldin, M. and Urga, G. (2025). Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. Journal of Empirical Finance, 81, pp. 101594-101594. doi:10.1016/j.jempfin.2025.101594

    [publisher’s website]

  3. Coppola, A., Urga, G. and Varaldo, A. (2025). Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets. Journal of Financial Stability, 76, pp. 101369-101369. doi:10.1016/j.jfs.2024.101369

    [publisher’s website]

  4. Cincinelli, P., Tsolacos, S. and Urga, G. (2024). Price exuberance episodes in private real estate. Journal of Financial Stability, 74, pp. 101300-101300. doi:10.1016/j.jfs.2024.101300

    [publisher’s website]

  5. Cincinelli, P., Pellini, E. and Urga, G. (2024). Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. International Review of Financial Analysis, 94, pp. 103323-103323. doi:10.1016/j.irfa.2024.103323

    [publisher’s website]

  6. Urga, G. and Wang, F. (2024). Estimation and inference for high dimensional factor model with regime switching. Journal of Econometrics, 241(2), pp. 105752-105752. doi:10.1016/j.jeconom.2024.105752

    [publisher’s website]

  7. Akgun, O., Pirotte, A., Urga, G. and Yang, Z. (2024). Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts. International Journal of Forecasting, 40(1), pp. 202-228. doi:10.1016/j.ijforecast.2023.02.001

    [publisher’s website]

  8. Hillebrand, E., Mikkelsen, J.G., Spreng, L. and Urga, G. (2023). Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings. Journal of Applied Econometrics, 38(6), pp. 857-877. doi:10.1002/jae.2984

    [publisher’s website]

  9. Leong, S.H. and Urga, G. (2023). A practical multivariate approach to testing volatility spillover. Journal of Economic Dynamics and Control, 153, pp. 104694-104694. doi:10.1016/j.jedc.2023.104694

    [publisher’s website]

  10. Spreng, L. and Urga, G. (2023). Combining p-values for Multivariate Predictive Ability Testing. Journal of Business & Economic Statistics, 41(3), pp. 765-777. doi:10.1080/07350015.2022.2067545

    [publisher’s website]

  11. Khalaf, L., Leccadito, A. and Urga, G. (2022). Multilevel and Tail Risk Management. Journal of Financial Econometrics, 20(5), pp. 839-874. doi:10.1093/jjfinec/nbaa044

    [publisher’s website]

  12. Boffelli, S., Novotny, J. and Urga, G. (2022). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets. Journal of Financial Econometrics, 20(4), pp. 681-715. doi:10.1093/jjfinec/nbaa039

    [publisher’s website]

  13. Cincinelli, P., Pellini, E. and Urga, G. (2022). Systemic risk in the Chinese financial system: A panel Granger causality analysis. International Review of Financial Analysis, 82, pp. 102179-102179. doi:10.1016/j.irfa.2022.102179

    [publisher’s website]

  14. Bellavite Pellegrini, C., Cincinelli, P., Meoli, M. and Urga, G. (2022). The contribution of (shadow) banks and real estate to systemic risk in China. Journal of Financial Stability, 60, pp. 101018-101018. doi:10.1016/j.jfs.2022.101018

    [publisher’s website]

  15. Bellavite Pellegrini, C., Cincinelli, P., Meoli, M. and Urga, G. (2022). The Role of Shadow Banking in Systemic Risk in the European Financial System. Journal of Banking and Finance. doi:10.1016/j.jbankfin.2022.106422

    [publisher’s website]

  16. Cincinelli, P., Pellini, E. and Urga, G. (2021). Leverage and systemic risk pro-cyclicality in the Chinese financial system. International Review of Financial Analysis, 78, pp. 101895-101895. doi:10.1016/j.irfa.2021.101895

    [publisher’s website]

  17. Akgun, O., Pirotte, A. and Urga, G. (2021). Heterogeneity and cross-sectional dependence in panels: Heterogeneous vs. homogeneous estimators. Revue d'Economie Politique, 131(1), pp. 19-55. doi:10.3917/redp.311.0025

    [publisher’s website]

  18. Leong, S.H., Pellegrini, C.B. and Urga, G. (2020). The contribution of shadow insurance to systemic risk. Journal of Financial Stability, 51, pp. 100778-100778. doi:10.1016/j.jfs.2020.100778

    [publisher’s website]

  19. Akgun, O., Pirotte, A. and Urga, G. (2020). Forecasting using heterogeneous panels with cross-sectional dependence. International Journal of Forecasting, 36(4), pp. 1211-1227. doi:10.1016/j.ijforecast.2019.11.007

    [publisher’s website]

  20. Bergamelli, M., Bianchi, A., Khalaf, L. and Urga, G. (2019). Combining p-values to test for multiple structural breaks in cointegrated regressions. Journal of Econometrics, 211(2), pp. 461-482. doi:10.1016/j.jeconom.2019.01.013

    [publisher’s website]

  21. Alexeev, V., Urga, G. and Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics and Finance, 62, pp. 20-40. doi:10.1016/j.iref.2019.02.014

    [publisher’s website]

  22. de Menezes, L.M., Russo, M. and Urga, G. (2019). Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: The Case of the UK National Balancing Point. The Energy Journal, 40(1), pp. 143-170. doi:10.5547/01956574.40.1.lmen

    [publisher’s website]

  23. Mikkelsen, J.G., Hillebrand, E. and Urga, G. (2019). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208, pp. 535-562

    [publisher’s website]

  24. Kao, C., Trapani, L. and Urga, (2018). Testing for Instability in Covariance Structures. Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 24(1), pp. 740-771. doi:10.3150/16-BEJ894

    [publisher’s website]

  25. Pellegrini, C.B., Meoli, M., Pellegrini, L. and Urga, G. (2018). Systemic risk determinants in the European banking industry during financial crises, 2006-2012. Rivista Internazionale di Scienze Sociali, 2018(2), pp. 109-122. doi:10.26350/000518-000009

    [publisher’s website]

  26. Urga, G. and Mogliani, M. (2018). On the Instability of Long-run Money Demand and the Welfare Cost of Inflation in the U.S. Journal of Money, Credit and Banking, 50, pp. 1645-1660. doi:10.1111/jmcb.12480

    [publisher’s website]

  27. Novotný, J. and Urga, G. (2018). Testing for Co-jumps in Financial Markets. Journal of Financial Econometrics, 16, pp. 118-128. doi:10.1093/jjfinec/nbx028

    [publisher’s website]

  28. Bianchi, A., Dufour, J.-.M., Khalaf, L. and Urga, G. (2018). Monte Carlo Combined Tests with Non-Identifiable Nuisance Parameters.
  29. Bellavite Pellegrini, C., Meoli, M. and Urga, G. (2017). Money market funds, shadow banking and systemic risk in United Kingdom. Finance Research Letters, 21, pp. 163-171. doi:10.1016/j.frl.2017.02.002

    [publisher’s website]

  30. Boffelli, S., Skintzi, V.D. and Urga, G. (2017). High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers. Journal of Financial Econometrics, 15(1), pp. 62-105. doi:10.1093/jjfinec/nbv023

    [publisher’s website]

  31. Leccadito, A., Tunaru, R.S. and Urga, G. (2015). Trading strategies with implied forward credit default swap spreads. Journal of Banking & Finance, 58, pp. 361-375. doi:10.1016/j.jbankfin.2015.04.018

    [publisher’s website]

  32. Novotný, J., Petrov, D. and Urga, G. (2015). Trading price jump clusters in foreign exchange markets. Journal of Financial Markets, 24, pp. 66-92. doi:10.1016/j.finmar.2015.03.002

    [publisher’s website]

  33. Ghalanos, A., Rossi, E. and Urga, G. (2015). Independent Factor Autoregressive Conditional Density Model. Econometric Reviews, 34(5), pp. 594-616. doi:10.1080/07474938.2013.808561

    [publisher’s website]

  34. Boffelli, S. and Urga, G. (2015). Macroannouncements, bond auctions and rating actions in the European government bond spreads. Journal of International Money and Finance, 53, pp. 148-173. doi:10.1016/j.jimonfin.2015.01.004

    [publisher’s website]

  35. Leccadito, A., Rachedi, O. and Urga, G. (2015). True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison. Econometric Reviews, 34(4), pp. 452-479. doi:10.1080/07474938.2013.808462

    [publisher’s website]

  36. Bergamelli, M., Novotný, J. and Urga, G. (2015). Maximum Non--Extensive Entropy Block Bootstrap For Non-Stationary Processes. L'Actualité Economique, 91(1-2), pp. 115-139

    [publisher’s website]

  37. Khalaf, L. and Urga, G. (2014). Identification robust inference in cointegrating regressions. Journal of Econometrics, 182(2), pp. 385-396. doi:10.1016/j.jeconom.2014.06.001

    [publisher’s website]

  38. Leccadito, A., Boffelli, S. and Urga, G. (2014). Evaluating the accuracy of value-at-risk forecasts: New multilevel tests. International Journal of Forecasting, 30(2), pp. 206-216. doi:10.1016/j.ijforecast.2013.07.014

    [publisher’s website]

  39. Driver, C., Trapani, L. and Urga, G. (2013). On the use of cross-sectional measures of forecast uncertainty. International Journal of Forecasting, 29(3), pp. 367-377. doi:10.1016/j.ijforecast.2012.11.005

    [publisher’s website]

  40. Kao, C., Trapani, L. and Urga, G. (2012). Asymptotics for Panel Models with Common Shocks. Econometric Reviews, 31(4), pp. 390-439. doi:10.1080/07474938.2011.607991

    [publisher’s website]

  41. Dumitru, A.M. and Urga, G. (2012). Identifying jumps in financial assets: A comparison between nonparametric jump tests. Journal of Business and Economic Statistics, 30(2), pp. 242-255. doi:10.1080/07350015.2012.663250

    [publisher’s website]

  42. Trapani, L. and Urga, G. (2010). Micro versus macro cointegration in heterogeneous panels. Journal of Econometrics, 155(1), pp. 1-18. doi:10.1016/j.jeconom.2009.07.005

    [publisher’s website]

  43. Trapani, L. and Urga, G. (2009). Optimal forecasting with heterogeneous panels: A Monte Carlo study. International Journal of Forecasting, 25(3), pp. 567-586. doi:10.1016/j.ijforecast.2009.02.001

    [publisher’s website]

  44. Meoli, M., Paleari, S. and Urga, G. (2008). Changes in ownership and minority protection: Governance lessons from the case of Telecom Italia. International Journal of Managerial Finance, 4(4), pp. 323-342. doi:10.1108/17439130810902813

    [publisher’s website]

  45. Huang, H., Kao, C. and Urga, G. (2008). Copula-based tests for cross-sectional independence in panel models. Economics Letters, 100(2), pp. 224-228. doi:10.1016/j.econlet.2008.01.017

    [publisher’s website]

  46. Driver, C., Temple, P. and Urga, G. (2008). Real options — delay vs. pre-emption: Do industrial characteristics matter? International Journal of Industrial Organization, 26(2), pp. 532-545. doi:10.1016/j.ijindorg.2007.03.003

    [publisher’s website]

  47. Meoli, M., Paleari, S. and Urga, G. (2008). Rights issues, private benefits and negative-NPV investments. Corporate Ownership and Control, 6(2), pp. 238-245. doi:10.22495/cocv6i2c1p7

    [publisher’s website]

  48. Bennett, J., Estrin, S. and Urga, G. (2007). Methods of privatization and economic growth in transition economies1. Economics of Transition, 15(4), pp. 661-683. doi:10.1111/j.1468-0351.2007.00300.x

    [publisher’s website]

  49. Lazarovǎ, S., Trapani, L. and Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(1), pp. 89-105. doi:10.1017/S0266466607070041

    [publisher’s website]

  50. Urga, G. (2007). Common Features in Economics and Finance. Journal of Business & Economic Statistics, 25(1), pp. 2-11. doi:10.1198/073500106000000602

    [publisher’s website]

  51. Bennett, J., Estrin, S. and Urga, G. (2007). Privatisation Methods and Economic Growth in Transition Economies. The Economics of Transition, 15, pp. 661-683
  52. Driver, C., Temple, P. and Urga, G. (2006). Contrasts between types of assets in fixed investment equations as a way of testing real options theory. Journal of Business and Economic Statistics, 24(4), pp. 432-443. doi:10.1198/073500106000000062

    [publisher’s website]

  53. Driver, C., Temple, P. and Urga, G. (2006). Identifying externalities in UK manufacturing using direct estimation of an average cost function. Economics Letters, 92(2), pp. 228-233. doi:10.1016/j.econlet.2006.02.003

    [publisher’s website]

  54. Banerjee, A. and Urga, G. (2005). Modelling structural breaks, long memory and stock market volatility: An overview. Journal of Econometrics, 129(1-2), pp. 1-34. doi:10.1016/j.jeconom.2004.09.001

    [publisher’s website]

  55. Gagliardini, P., Trojani, F. and Urga, G. (2005). Robust GMM tests for structural breaks. Journal of Econometrics, 129(1-2), pp. 139-182. doi:10.1016/j.jeconom.2004.09.006

    [publisher’s website]

  56. Driver, C., Temple, P. and Urga, G. (2005). Profitability, capacity, and uncertainty: A model of UK manufacturing investment. Oxford Economic Papers, 57(1), pp. 120-141. doi:10.1093/oep/gpi001

    [publisher’s website]

  57. Adesi, G.B., Gagliardini, P. and Urga, G. (2004). Testing asset pricing models with coskewness. Journal of Business and Economic Statistics, 22(4), pp. 474-485. doi:10.1198/073500104000000244

    [publisher’s website]

  58. Driver, C. and Urga, G. (2004). Transforming Qualitative Survey Data: Performance Comparisons for the UK. Oxford Bulletin of Economics and Statistics, 66(1), pp. 71-89. doi:10.1111/j.1468-0084.2004.00070.x

    [publisher’s website]

  59. Driver, C., Imai, K., Temple, P. and Urga, G. (2004). The effect of uncertainty on UK investment authorisation: Homogeneous vs. heterogeneous estimators. Empirical Economics, 29(1), pp. 115-128. doi:10.1007/s00181-003-0192-2

    [publisher’s website]

  60. Urga, G. and Driver, C. (2004). Interpreting Business Survey Data - An Empirical Study Using the CBI Industrial Trends Surveys. Oxford Bulletin of Economics and Statistics, 66, pp. 71-89
  61. Geroski, P.A., Lazarova, S., Urga, G. and Walters, C.F. (2003). Are differences in firm size transitory or permanent? Journal of Applied Econometrics, 18(1), pp. 47-59. doi:10.1002/jae.676

    [publisher’s website]

  62. Lanza, A., Temple, P. and Urga, G. (2003). The implications of tourism specialisation in the long run: An econometric analysis for 13 OECD economies. Tourism Management, 24(3), pp. 315-321. doi:10.1016/S0261-5177(02)00065-1

    [publisher’s website]

  63. Urga, G. and Walters, C. (2003). Dynamic translog and linear logit models: A factor demand analysis of interfuel substitution in US industrial energy demand. Energy Economics, 25(1), pp. 1-21. doi:10.1016/S0140-9883(02)00022-1

    [publisher’s website]

  64. Geroski, P.A., Lazarova, S., Urga, G. and Walters, C.F. (2003). Are differences in firm size transitory or permanent? (vol 18, pg 47, 2003). JOURNAL OF APPLIED ECONOMETRICS, 18(2), pp. 249-249. doi:10.1002/jae.714
  65. Estrin, S., Urga, G. and Lazarova, S. (2001). Testing for Ongoing Convergence in Transition Economies, 1970 to 1998. Journal of Comparative Economics, 29(4), pp. 677-691. doi:10.1006/jcec.2001.1736

    [publisher’s website]

  66. Mertens, A. and Urga, G. (2001). Efficiency, scale and scope economies in the Ukrainian banking sector in 1998. Emerging Markets Review, 2(3), pp. 292-308. doi:10.1016/S1566-0141(01)00022-X

    [publisher’s website]

  67. Peresetsky, A., Turmuhambetova, G. and Urga, G. (2001). The development of the GKO futures market in Russia. Emerging Markets Review, 2(1), pp. 1-16. doi:10.1016/S1566-0141(00)00016-9

    [publisher’s website]

  68. Rockinger, M. and Urga, G. (2001). A time-varying parameter model to test for predictability and integration in the stock markets of transition economies. Journal of Business and Economic Statistics, 19(1), pp. 73-84. doi:10.1198/07350010152472634

    [publisher’s website]

  69. Urga, G. (2001). Theory and practice of econometric modelling using PcGive10. Journal of Economic Surveys, 15(4), pp. 571-588. doi:10.1111/1467-6419.00149

    [publisher’s website]

  70. Temple, P., Urga, G. and Driver, C. (2001). The influence of uncertainty on investment in the UK: A macro or micro phenomenon? Scottish Journal of Political Economy, 48(4), pp. 361-382. doi:10.1111/1467-9485.00204

    [publisher’s website]

  71. Estrin, S., Lazarova, S. and Urga, G. (2001). Convergence in transition countries - Focus on investment: Central and Eastern Europe, 1970-1996. Economics of Planning, 34(3), pp. 215-230. doi:10.1023/A:1011810922630

    [publisher’s website]

  72. Rockinger, M. and Urga, G. (2000). The Evolution of Stock Markets in Transition Economies. Journal of Comparative Economics, 28(3), pp. 456-472. doi:10.1006/jcec.2000.1669

    [publisher’s website]

  73. Urga, G. (1999). An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand. Economic Modelling, 16(4), pp. 503-513. doi:10.1016/s0264-9993(99)00012-7

    [publisher’s website]

  74. Hall, S., Lazarova, S. and Urga, G. (1999). A principal components analysis of common stochastic trends in heterogeneous panel data: Some Monte Carlo evidence. Oxford Bulletin of Economics and Statistics, 61(S1), pp. 749-767. doi:10.1111/1468-0084.0610s1749

    [publisher’s website]

  75. Allen, C. and Urga, G. (1999). Interrelated factor demands from dynamic cost functions: An application to the non-energy business sector of the UK economy. Economica, 66(263), pp. 403-413. doi:10.1111/1468-0335.00178

    [publisher’s website]

  76. Temple, P. and Urga, G. (1997). The competitiveness of UK manufacturing: evidence from imports. Oxford Economic Papers, 49(2), pp. 207-227. doi:10.1093/oxfordjournals.oep.a028604

    [publisher’s website]

  77. Urga, G. (1996). On the identification problem in testing the dynamic specification of factor-demand equations. Economics Letters, 52(3), pp. 205-210. doi:10.1016/S0165-1765(96)00867-1

    [publisher’s website]

  78. Hall, S., Urga, G. and Whitley, J. (1996). Structural Change and Economic Behaviour. The Case of UK Exports. Economic Issues, 1(March - Part 1), pp. 39-50. doi:10.1111/j.1468-0319.1995.tb00051.x

    [publisher’s website]

  79. Urga, G. (1992). The Econometrics of Panel Data: a Selective Introduction. Ricerche Economiche, 46(4), pp. 379-396
  80. Urga, G. (1992). Dynamic Labour Demand Models in Italian Manufacturing (in Italian). Economia & Lavoro, 1999(1)
  81. Urga, G. (1992). Employment and Investment Functions in Unionised Labour Markets: Theories and Evidence from Italian Firm Data (in Italian). Ricerca e Metodi per la Politica Economica

Report

  1. Estrin, S., Bennett, J. and Urga, G. (2004). Privatisation Methods and Economic Growth in Transition Economies. London: Centre for Economic Policy Research CEPR.

Scholarly editions (17)

  1. Borghi, R., Hillebrand, E., Mikkelsen, J. and Urga, G. (2018). The dynamics of factor loadings in the cross-section of returns.
  2. Dumitru, A.-.M. and Urga, G. (2016). Jumps and Information Asymmetry in the US Treasury Market.
  3. Meoli, M., Paleari, S. and Urga, G. (2008). Use and abuse of rights issues. Do they really protect minorities?
  4. Meoli, M., Paleari, S. and Urga, G. (2008). Controlling shareholders and minority protection: governance lessons from the case of Telecom Italia.
  5. Meoli, M., Mertens, A. and Urga, G. (2007). An Econometric Analysis of the Banking Crises in Russia and Ukraine.
  6. Kao, C., Trapani, L. and Urga, G. (2006). Asymptotics for panel models with common shocks.
  7. Rockinger, M. and Urga, G. (1997). Information Content of Russian Stock Indices.
  8. Urga, G. (1992). The Econometrics of Panel Data: A Selective Introduction.
  9. URGA, G. (1991). Dynamic Models of Labour Demand in the Italian Industrial Sector: Theories and Evidence from Panel Data.
  10. Urga, G. and Peretti, C.D. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks.
  11. Driver, C., Trapani, L. and Urga, G. Cross-Section Versus Time-Series Measures Of Uncertainty. Using UK Survey Data.
  12. Estrin, S. and Urga, G. Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995.
  13. Rockinger, M. and Urga, G. A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.
  14. Bennett, J., Estrin, S., Maw, J. and Urga, G. Privatization Methods and Economic Growth.
  15. Panseri, C., Urga, G. and Cristini, A. The Application of the Kalman Filter to the Fisher Equation: Italian and German Term Structure of Interest Rates.
  16. Driver, C., Temple, P. and Urga, G. Contrasts Between Classes of Assets in Fixed Investment Equations as a Way of Testing Real Option Theory.
  17. Kao, C., Trapani, L. and Urga, G. Testing for Breaks in Cointegrated Panels.

Working paper

  1. Hillebrand, E., Mikkelsen, J.G., Spreng, L. and Urga, G. (2023). Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings.

Other (12)

  1. Urga, G., Leccadito, A. and Rachedi, O.(2011). On the Non-Stationary Long Memory Features of Yield Spreads.
  2. Urga, G. and Dumitru, A.M.(2010). Jumps and Price Discovery in the US Treasury Market.
  3. Urga, G., Meoli, M. and Paleari, S.(2010). Rights Issues Enforcement and Minority Protection.
  4. Urga, G., Driver, C. and Trapani, L.(2009). On the Relationship Between Cross-Section and Time Series Measures of Uncertainty.
  5. Urga, G., Trapani, L. and Kao, C.(2009). Testing for Instability in Covariance Structures with Finite n.
  6. Urga, G., Leccadito, A. and Tunaru, R.(2009). What Determines Arbritage in the Shape of the CDS Term Structure?
  7. Urga, G. and Leccadito, A.(2008). Fractional Models to Credit Risk Pricing.
  8. Urga, G., Kao, C. and Trapani, L.(2008). Modelling and Testing for Structural Brekas in Panels with Common and Idiosyncratic Stochastic Trends.
  9. Urga, G., Ratta, L.D. and Leccadito, A.(2008). The Fractional Merton Model: A New Approach to Credit Risk Pricing.
  10. Urga, G., Meoli, M. and Paleari, S.(2008). When Controlling Shareholders Live Like Kings: The Case of Telecom Italia.
  11. Urga, G. and Della Ratta, L.(2005). Modelling Credit Spread: A Fractional Integration Approach.
  12. Urga, G., Aroca Gonzalez, P. and Ribeiro, E.P.(1999). Testing for Seasonal Unit Roots: A Survey with Extensions.

Education

Course Directorship

- 2004 - present, Centre for Econometric Analysis, Director
- 2002 - 2005, PhD Programme, Director
- 2010 - 2010, PhD programme, Director

Professional activities

Collaboration (industrial)

  1. Lead partner of The Determinants of Electricity Demand in Italy project (May - October 2012)
    Sponsored by ENEL Italy
    Other partners: Bergamo University

Consultancy (8)

  1. TStat Italy (Private Sector) (January 2017 - present)
    Delivering short courses in econometrics, financial econometrics
  2. IMI Banca-CSEA Milan (Private Sector) (January - June 2016)
    Research on "European Shadow Banking".
  3. ENEL Italy (Private Sector) (April - November 2012)
    Scientific Cordinator of a Research Project on "Modelling the Electricity Demand in Italy"
  4. Fondazione Eni Enrico Mattei (Milan, Italy) (Private Sector) (October 2008 - December 2009)
    Scientific Cordinator FEEM Viggiano (PZ, Italy)
  5. Department of Trade and Industry (Public Sector) (January - July 2005)
    Econometrics Consultant
  6. Timberlake Consultants (Private Sector) (January 2004 - September 2018)
    Econometrics short courses and consultancies
  7. European Central Bank (Public Sector) (March - April 2003)
    Courses on Panel Data Econometrics with Applications in Economics and Finance
  8. Bank of England (Public Sector) (August - October 2002)
    Econometrics Issues on Derived Demand Models

Editorial activity (25)

  1. International Journal of Forecasting, Referee, 2015 - present.
  2. Journal of Financial Econometrics, Referee, 2014 - 2015.
  3. SSHRC Insight Grant proposal, Canada, Referee, 2014 - present.
  4. Journal of Banking and Finance, Referee, 2013 - present.
  5. Cambridge University Press, Oxford University Press, Princeton University Press, Book Reviews Editor, 2012.
  6. Mathematical Finance, Referee, 2011.
  7. The European Journal of Finance, Referee, 2011.
  8. Economics Letters, Referee, 2011 - 2012.
  9. International Journal of Industrial Organization, Referee, 2011 - 2012.
  10. Econometrica, Referee, 2010.
  11. Finance and Stochastics, Referee, 2010.
  12. Oxford University Papers, Referee, 2010.
  13. Econometric Reviews, Referee, 2010 - present.
  14. Journal of Applied Econometrics, Referee, 2009 - 2019.
  15. Energy Economics, Referee, 2009 - present.
  16. Econometric Theory, Referee, 2007 - present.
  17. Review of Financial Studies, Referee, 2007 - 2017.
  18. Journal of Money Credit and Banking, Referee, 2006 - 2020.
  19. Journal of Financial Econometrics, Referee, 2006 - present.
  20. Journal of Business and Economic Statistics, Guest Editor, 2004 - 2007.
  21. The Economic Journal, Referee, 2004 - 2008.
  22. Empirical Economics, Associate Editor, 2004 - present.
  23. Journal of Econometrics, Guest Editor, 2002 - 2005.
  24. Journal of Business and Economics Statistics, Referee, 2002 - 2011.
  25. Journal of Econometrics, Referee, 2001 - present.

Events/conferences (226)

  1. Dynamic Econometrics Conference. (Conference) George Washington University, Washington D.C., USA (2019). Chair, Organising Committee and Session/Day Chair
    Paper: TBA
    Author: Urga, G.
  2. Occasional Econometrics Seminars. (Seminar) Department of Management, Economics and Quantitative Methods, Bergamo University, Italy (2018).
    Paper: Deciding between Alternative Approaches in Macroeconomics
    Author: Hendry, D., H. F.
  3. 20th Oxmetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School, UK (2018). Chair, Session/Day Chair and Organising Committee
    Paper: What Triggers Systemic Risk in the European Financial
    Author: Bellavite Pellegrini, C.
    Co-authors: Cincinelli, P., Meoli, M., Urga, G.
  4. The Dynamics of Factor Loadings in the Cross-Section of Returns. (Conference) Sogang University, Seoul, South Korea (2018). Chair, Session/Day Chair and Organising Committee
    Paper: The Dynamics of Factor Loadings in the Cross-Section of Returns
    Author: Borghi, R.
    Co-authors: Hillebrand, E., Mikkelsen, J., Urga, G.
  5. New York Camp Econometrics XIII. (Conference) Sagamore Resort Lodging, Sagamore, NY (2018). Chair and Session/Day Chair
    Paper: The Dynamics of Factor Loadings in the Cross-Section of Returns
    Author: Borghi, R.
    Co-authors: Hillebrand, E., Mikkelsen, J., Urga, G.
  6. 19th Oxmetrics User Conference. (Conference) ESSEC, Paris La Défense, France (2017). Session/Day Chair, Organising Committee and Chair
    Paper: Global Comovements of Stock Returns using a Two-level Factor Model with Time-varying Parameters
    Author: Borghi, R.
    Co-authors: Hillebrand, E., Mikkelsen, J., Urga, G.
  7. 2017 International Panel Data Conference. (Conference) University of Macedonia, Thessaloniki, Greece (2017). Organising Committee, Session/Day Chair and Chair
    Paper: Global Comovements of Stock Returns using a Two-level Factor Model with Time-varying Parameters
    Author: Borghi, R.
    Co-authors: Hillebrand, E., J. Mikkelsen, J., Urga, G.
  8. 10th Annual Society for Financial Econometrics (SoFiE). (Conference) Stern School of Business, New York, USA (2017).
    Paper: Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management
    Author: Alexeev, V.
    Co-authors: Urga, G., Yao, W.
  9. New York Camp Econometrics XII. (Conference) Mirror Lake Inn Resort, Lake Placid, NY (2017). Session/Day Chair and Chair
    Paper: Multilevel Backtesting of Value-at-Risk by Combining Dependent P-Values
    Author: Khalaf, L
    Co-authors: Leccadito, A., Urga, G.
  10. 5th International Conference in Memory of Carlo Giannini on “RECENT DEVELOPMENTS IN ECONOMETRIC METHODOLOGIES”. (Conference) Department of Management, Economics and Quantitative Methods, University of Bergamo, Italy (2016). Chair, Session/Day Chair and Organising Committee
  11. 18th OxMetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School, UK (2016). Chair, Session/Day Chair and Organising Committee
  12. “2nd Levelhulme Trust Lecture” delivered by Levelhulme Trust Visiting- Professor Lynda Khalaf. (Conference) Centre for Econometric Analysis, Cass Business School, UK (2016). Chair, Session/Day Chair and Organising Committee
  13. 22nd International Panel Data Conference 2016. (Conference) The Esplanade, Fremantle, Western Australia (2016). Organising Committee
  14. 17th OxMetrics User Conference. (Conference) George Washington University, USA (2016). Chair, Session/Day Chair and Organising Committee
  15. Bank of England Seminar Series. (Workshop) Bank of England, UK (2016).
    Paper: Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom
    Author: Urga G.
    Co-authors: Bellavite Pellegrini, C. and M. Meoli
  16. Conference on Financial Econometrics & Empirical Asset Pricing. (Conference) Lancaster University, UK (2016).
    Paper: Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management
    Author: Urga G.
    Co-authors: V. Alexeev, V. and W. Yao
  17. 9th Annual Society for Financial Econometrics (SoFiE) Conference. (Conference) City University of Hong Kong (2016).
    Paper: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
    Author: Urga G.
    Co-authors: Hillebrand, E. and J. Mikkelsen.
  18. 5th International Conference in Memory of Carlo Giannini on “RECENT DEVELOPMENTS IN ECONOMETRIC METHODOLOGIES”. (Conference) Department of Management, Economics and Quantitative Methods, University of Bergamo, Italy (2016). Invited speaker.
    Paper: Money Demand Instability and the Welfare Cost of Inflation in the U.S.
    Author: Urga G.
    Co-authors: Mogliani, M.
  19. 3rd International Association of Applied Econometrics (IAAE) Conference. (Conference) University of Milan-Bicocca, Milan, Italy (2016).
    Paper: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models” (with E. Hillebrand and J. Mikkelsen) ++ Asymmetric Jump Beta Estimation with Implications for Portfolio Risk
    Author: Urga G.
  20. 2016 New York Camp Econometrics XI. (Conference) 1000 Island Harbor Hotel/Clayton, NY, USA (2016).
    Paper: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models.
    Author: Urga G.
    Co-authors: Hillebrand, E. and J. Mikkelsen
  21. 2016 New York Camp Econometrics XI. (Conference) 1000 Island Harbor Hotel/Clayton, NY, USA (2016).
    Paper: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models.
    Author: Urga G.
    Co-authors: Hillebrand, E. and J. Mikkelsen
  22. 18th OxMetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School, UK (2016).
    Paper: Money Demand Instability and the Welfare Cost of Inflation in the U.S.
    Author: Urga G.
    Co-authors: Mogliani, M.
  23. 17th OxMetrics User Conference. (Conference) George Washington University, USA (2016). Invited speaker.
    Paper: Comparing Alternative Integrated Covariance Estimators
    Author: Urga G.
    Co-authors: Boffelli, S.
  24. 16th OxMetrics User Conference. (Conference) Aix-Marseille University, Aix-en-Provence, France (2015). Chair, Session/Day Chair and Organising Committee
  25. 21st International Panel Data Conference 2015. (Conference) Central European University, Budapest, Hungary (2015). Chair, Session/Day Chair and Organising Committee
  26. "1st Levelhulme Trust Lecture” delivered by Levelhulme Trust Visiting - Professor Lynda Khalaf. (Conference) Centre for Econometric Analysis, Cass Business School, UK (2015). Chair and Organising Committee
  27. Workshop ‘Pietro Balestra’ on recent developments in panel data econometrics. (Workshop) Università della Svizzera Italiana, Lugano, Switzerland (2015). Invited speaker.
    Paper: Structural Breaks and Covariance Stability in Panel
    Author: Urga G.
  28. The crisis conundrum. How to reconcile economy and society? (Conference) Università Cattolica del Sacro Cuore di Milano, Italy (2015). Invited speaker.
    Paper: Systemic Risk and Monetary Policy
    Author: Urga G.
    Co-authors: Baldo, L.
  29. Econometric Society World Congress 2015. (Conference) Montréal, Canada (2015).
    Paper: Multiple Testing and Stability in Reduced Rank Non-stationary Regressions
    Author: Urga G.
    Co-authors: Khalaf, L. and M. Bergamelli
  30. 21st Panel Data Conference. (Conference) Central European University, Budapest, Hungary (2015).
    Paper: Testing for Breaks in Cointegrated Panels
    Author: Urga G.
    Co-authors: CHihwa, K. and L. Trapani
  31. 16th OxMetrics User Conference. (Conference) Aix-Marseille University, Aix-en-Provence, France (2015). Invited speaker.
    Paper: Systemic Risk and Monetary Policy
    Author: Urga G.
    Co-authors: Baldo, L.
  32. 11th BMRC-DEMS Conference (2015). (Conference) Economics and Finance Social Sciences School, Brunel University, Uxbridge, London, UK (2015). Invited speaker.
    Paper: A Systemic Risk Indicator and its Interactions with Monetary Policy in US and Euro Area
    Author: Urga G
    Co-authors: Consigli, G. and R. Pianeti
  33. 15th OxMetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School (2014). Chair, Session/Day Chair and Organising Committee
  34. 20th International Panel Data Conference 2014. (Conference) Hitotsubashi Hall, University of Tokyo, Japan (2014). Chair, Session/Day Chair and Organising Committee
  35. 14th Oxmetrics User Conference. (Conference) George Washington University, Washington, USA (2014). Chair, Session/Day Chair and Organising Committee
  36. Quantitiative Finance Seminar. (Seminar) Imi Bank, Milan (2014).
    Paper: Consigli, Pianeti e Urga (2013), Bellavite Pellegrini, Meoli, Pellegrini and Urga (2014), and Novotny and Urga (2014).
    Author: Urga G.
  37. Econometrics Knowledge Platform 3rd Annual Workshop, The Econometrics of Financial Markets. (Workshop) Department of Economics, Finance and Accounting, University of Liverpool Management School, Liverpool, UK (2014).
    Paper: Modelling Financial Market Comovements during Crises: A Dynamic Multi-Factor Model Approach
    Author: Belvisi M.
    Co-authors: Pianeti, R., Urga, G.
  38. 15th Workshop on the Financial System. (Workshop) Accademia dei Lincei, Rome, Italy (2014). Invited speaker.
    Paper: Interconnectedness and Systemic Risk of European Banks over the Recent Crises
    Author: Bellavite Pellegrini C.
    Co-authors: Meoli, M., Pellegrini, L., Urga, G.
  39. Seventh Annual Society for Financial Econometrics-SoFIE- Conference. (Conference) Rotman School of Management and the Global Risk Institute in Financial Services, Toronto (2014).
    Paper: High and Low Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
    Author: Boffelli S.
    Co-authors: Urga, G.
  40. Programme for Economic Modelling (EMoD) within INET Oxford. (Conference) The Institute for New Economic Thinking at the Oxford Martin School, INET Oxford, University of Oxford, Oxford (2014). Invited speaker.
    Paper: Testing for Multiple Breaks in the VECM Framework
    Author: Bergamelli M.
    Co-authors: Khalaf, L., Urga, G.
  41. Contribution of a Chapter in Advances in Econometrics Volume 35 on the topic of Advances in Dynamic Factor Models. (Conference) CREATES, Aarhus University, Denmark (2014). Invited speaker.
    Paper: Modelling Financial Market Comovements during Crises: A Dynamic Multi-Factor Model Approach
    Author: Urga G.
    Co-authors: M. Belvisi and R. Pianeti
  42. Conference on Skewness, Heavy Tails, Market Crashes, and Dynamics. (Conference) The Faculty of Economics of Cambridge University and the Institute for New Economic Thinking-INET, Cambridge and The Society for Financial Econometrics-SoFiE (2014).
    Paper: “Co-Features in Finance: Co-arrivals and Co-jumps” (with J. Novotny), and “DCC Models with Asymmetric Multivariate Laplace Innovations. With an Application to Risk Management and Contagion” (with S. B
    Author: Urga G.
  43. 20th International Panel Data Conference (Presenter and Scientific Committee). (Conference) Hitotsubashi Hall, University of Tokyo, Tokyo (2014).
    Paper: Modelling Financial Market Comovements during Crises: A Dynamic Multi-Factor Model Approach
    Author: Belvisi M.
    Co-authors: Pianeti, R., Urga, G.
  44. 2014 WFA Western Finance Association Meetings. (Conference) Portola Hotel & Spa-Marriott Monterey, Monterey Bay, California (2014).
    Paper: A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
    Author: Boffelli S.
    Co-authors: Novotny, J., Urga, G.
  45. 15th OxMetrics User Conference (Organizer and Presenter). (Conference) Cass Business School, London (2014). Invited speaker.
    Paper: Comparing Alternative Integrated Covariance Estimators
    Author: Boffelli S.
    Co-authors: Urga, G.
  46. 14th OxMetricsTM User Conference. (Conference) George Washington University, Washington, DC, USA (2014).
    Paper: Modelling Financial Market Comovements during Crises: A Dynamic Multi-Factor Model Approach
    Author: Belvisi M.
    Co-authors: Pianeti, R., Urga, G.
  47. 13th Oxmetrics User Conference. (Conference) CREATES, Aarhus University, Denmak (2013). Chair, Session/Day Chair and Organising Committee
  48. 19th International Panel Data Conference London. (Conference) Centre for Econometric Analysis, Cass Business School, London, UK. (2013). Chair, Session/Day Chair and Organising Committee
  49. Econometrics, Energy and Finance. (Conference) Centre for Econometric Forecasting, Cass Business School, London, UK (2013). Chair, Session/Day Chair and Organising Committee
  50. Systemic Risk, Contagion, Jumps and Co-Jumps. (Conference) Centre for Econometric Analysis, Cass Business School, London, UK (2013). Chair, Session/Day Chair and Organising Committee
  51. Third Carlo Giannini Ph.D. Workshop in Econometrics: Panel data econometrics: theory and applications. (Conference) Department of Management, Economics and Quantitative Methods, University of Bergamo, Italy (2013).
    Paper: A Dynamic Multi-Factor Model for Financial Market Comovements
    Author: Urga G.
    Co-authors: Belvisi, M., Pianeti, R.
  52. International Conference on “Econometrics, Energy and Finance". (Conference) Centre for Econometric Analysis, Cass Business School, London (UK) (2013).
    Paper: Asynchronous Data and Volatility Spillover with an Application to Natural Gas Futures and Forward Contracts
    Author: Urga G.
    Co-authors: Lanza, A., Russo, M.
  53. Fifth Italian Congress of Econometrics and Empirical Economics. (Conference) Genova University, Genova, Italy (2013).
    Paper: A Dynamic Multi-Factor Model for Financial Market Comovement
    Author: Urga G.
    Co-authors: Bervisi, M, Pianeti, R.
  54. CREATES Department of Economics and Business Seminars Series. (Conference) CREATES, Aarhus University, Denmark (2013).
    Paper: A Dynamic Multi-Factor Model for Financial Market Comovements
    Author: Urga G.
    Co-authors: Belvisi, M., Pianeti, R.
  55. 24th (EC)² Conference, The Econometrics Analysis of Mixed Frequency Data. (Conference) University of Cyprus, Nicosia, Cyprus (2013).
    Paper: High and Low Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
    Author: Boffelli S.
    Co-authors: Urga, G.
  56. 2013 NBER-NSF Time Series Conference. (Conference) Federal Reserve Board in Washington DC (2013). Invited speaker.
    Paper: A Dynamic Multi-Factor Model for Financial Market Comovements
    Author: Urga G.
    Co-authors: Belvisi, M., Pianeti, R.
  57. 2013 IAEE European Conference. (Conference) Hilton Düsseldorf/Hotel Georg‐Glock Strasse 20 / 40474 Düsseldorf (2013).
    Paper: Attendance
    Author: Urga G
  58. 19th International Panel Data Conference (Organiser and Presenter). (Conference) Centre for Econometric Analysis, Cass Business School, London (UK) (2013).
    Paper: A Dynamic Multi-Factor Model for Financial Market Comovements
    Author: Urga G.
    Co-authors: Belvisi, M, Pianeti, R.
  59. 13th OxMetrics User Conference. (Conference) CREATES, University of Aarhus, Denmark (2013). Invited speaker.
    Paper: Co-Features in Finance: Co-Arrivals and Co-Jumps + Detecting Multiple Structural Breaks: Dummy Saturation vs Sequential Bootstrapping
    Author: Urga G.
    Co-authors: Bergamelli, M., Novotny, J.
  60. 12th OxMetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School, London, UK. (2012). Chair, Session/Day Chair and Organising Committee
  61. Modelling and Testing for Jumps in Financial Markets. (Conference) Centre for Econometric Analysis, Cass Business School, London, UK. (2012). Chair, Session/Day Chair and Organising Committee
  62. 11th OxMetrics User Conference. (Conference) George Washington University, Washington, USA (2012). Chair and Organising Committee
  63. Microstructure of Financial Markets. (Seminar) Emerging Market Group, Cass Business Schoo, London, UK (2012). Invited speaker.
    Paper: Moving from Price to Liquidity Discovery: A Microstructural Approach Based on Ultra High Frequency Data
    Author: Urga G.
    Co-authors: Maini, V. L.
  64. Global Linkages and Financial Crises. (Seminar) Emerging Market Group, Cass Business Schoo, London, UK (2012). Invited speaker.
    Paper: A Systemic Risk Indicator and its Interactions with Monetary Policy
    Author: Urga G.
    Co-authors: Consigli, G. and Pianeti, R.
  65. Economics Seminar at the Federal Reserve Bank. (Seminar) Federal Reserve Bank, Wasghington DC, USA (2012). Invited speaker.
    Paper: “A Systemic Risk Indicator and its Interactions with Monetary Policy”
    Author: Urga G.
    Co-authors: G. Consigli and R. Pianeti
  66. New York Camp Econometrics VII. (Workshop) Syracuse University's at the Otesaga Resort Hotel in Cooperstown, NY, USA (2012). Invited speaker.
    Paper: Identification Robust Inference in Cointegrating Regressions
    Author: Urga G.
    Co-authors: L. Khalaf
  67. The 29th Annual Meeting of the Canadian Econometric Study Group. (Conference) Department of Economics, Queen's University Kingston, Ontario, Canada (2012).
    Paper: Identification Robust Inference in Cointegrating Regressions
    Author: Urga G.
    Co-authors: Khalaf, L.
  68. 53ma RIUNIONE SCIENTIFICA ANNUALE (Italian Economic Association). (Conference) Matera, Italy (2012). Invited speaker.
    Paper: A Systemic Risk Indicator and its Interactions with Monetary Policy
    Author: Urga G.
    Co-authors: Consigli, G. and Pianeti, R.
  69. 53ma RIUNIONE SCIENTIFICA ANNUALE (Italian Economic Association). (Conference) Matera, Italy (2012).
    Paper: A Systemic Risk Indicator and its Interactions with Monetary Policy
    Author: Urga G.
    Co-authors: Consigli, G., Pianeti, R.
  70. 29th Annual Meeting of the Canadian Econometric Study Group. (Conference) Queen's University Kingston, Ontario, Canada (2012). Invited speaker.
    Paper: Identification Robust Inference in Cointegrating Regressions
    Author: Urga G.
    Co-authors: Khalaf, L.
  71. 23rd (EC)2 Conference on the theme of “Hypothesis Testing”. (Conference) Maastricht University, Maastricht, The Netherlands (2012). Invited speaker.
    Paper: Identification Robust Inference in Cointegrating Regressions
    Author: Urga G.
    Co-authors: Khalaf. L.
  72. 20th Anniversary of NES. (Conference) New Economic School, Moscow, Russia (2012).
    Paper: A Systemic Risk Indicator and its Interactions with Monetary Policy
    Author: Urga G.
    Co-authors: Consigli, G., Pianeti, R.
  73. 2012 Conference on Energy Finance. (Conference) Norvegian University of Science and Technology, Trodheim, Norway (2012). Invited speaker.
    Paper: Measuring Volatility Spillover between Natural Gas and Forward Contracts: A European Perspective
    Author: Urga G.
    Co-authors: Lanza, A. and Russo, M.
  74. 2012 Conference on Energy Finance. (Conference) Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim, Norway (2012).
    Paper: Measuring Volatility Spillover between Natural Gas Futures and Forward Contracts: A European Perspective
    Author: Urga G.
    Co-authors: Lanza, A., Russo, M.
  75. 2012 18th International Panel Data Conference. (Conference) (2012).
    Paper: Panel Data Econometrics
    Author: Urga G.
  76. 12th OxMetrics User Conference. (Conference) Cass Business School (2012). Invited speaker.
    Paper: Modelling Multiple Structural Breaks in Cointegrating Systems
    Author: Urga G
    Co-authors: Bergamelli, M.
  77. 12th OxMetrics User Conference (Organizer and Presenter). (Conference) Centre for Econometric Analysis, Cass Business School, London (UK) (2012).
    Paper: Detecting Breaks, and Jumps and CoJumps.
    Author: Urga G.
    Co-authors: Bergamelli, M., Boffelli, S.
  78. 12th IAEEE European Energy Conference. (Conference) Ca Foscari University, Venice, Italy (2012). Invited speaker.
    Paper: Measuring Volatility Spillover between Natural Gas and Forward Contracts: A European Perspective
    Author: Urga G
    Co-authors: Lanza, A. and Russo, M.
  79. 12th IAEE European Energy Conference. (Conference) Ca’ Foscari University of Venice, Italy (2012). Invited speaker.
    Paper: Measuring Volatility Spillover between Natural Gas Futures and Forward Contracts: A European Perspective
    Author: Urga G. (invited)
    Co-authors: Lanza, A., Russo, M.
  80. 11th OxMetricsTM User Conference. (Conference) George Washington University, Washington, DC, USA (2012). Invited speaker.
    Paper: “The Liquidity to Price Transmission Mechanism: A Combination of Nonparametric Tests for Co-Jumps”
    Author: Urga G.
    Co-authors: V. L. Maini
  81. DiSES Seminar Series. (Seminar) Dip. di Scienze Economiche e Statistiche, Salerno University, Italy (2011). Invited speaker.
    Paper: “Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900–2006”
    Author: Urga G.
    Co-authors: M. Mogliani and C. Winograd
  82. Dipartimento di Scienze Economiche “Marco Fanno” Seminar Series. (Seminar) Department of Economics, University of Padua, Italy (2011). Invited speaker.
    Paper: “Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900–2006”
    Author: Urga G.
    Co-authors: M. Mogliani and C. Winograd
  83. Department of Economics Seminar Series, European University Institute, Florence. (Seminar) European Institute, Florence (2011). Invited speaker.
    Paper: “Sequential Breaking Procedures with an Application to Money Demand for Argentina over 1900–2006”
    Author: Urga G.
    Co-authors: M. Mogliani and C. Winograd
  84. Center for Economic Research & Graduate Education, CERGE-EI, Charles University, Prague. (Seminar) CERGE-EI, Charles University, Prague, Czech Republic (2011). Invited speaker.
    Paper: "Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations"
    Author: Urga G.
    Co-authors: J. Cajigas and A. Ghalanos
  85. Meeting of the Midwest Finance Association (MFA). (Conference) Chicago, Illinois, USA (2011). Invited speaker.
    Paper: “True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data”
    Author: Urga G.
    Co-authors: A. Leccadito and O. Rachedi
  86. Fourth Italian Congress of the Econometrics and Empirical Economics (ICEEE 2011). (Conference) Faculty of Economics, University of Pisa, Italy (2011).
    Paper: Presentation of the paper “Independent Factor Autoregressive Conditional Density Model”
    Author: Urga G.
    Co-authors: A. Ghalanos and E. Rossi
  87. Finance Conference 2011: The Role of Finance in Stabilizing the Past, Present and Future Real Economy. (Conference) German Institute for Economic Research –DIW- Berlin, Germany (2011). Invited speaker.
    Paper: Discussant of the paper entitled “Stock Returns and Monetary Policy: Are There Any Ties” (by Bouakez, Essid and Normadin, HEC Montreal, Canada).
    Author: Urga G.
  88. 2011 North American Summer Meeting of the Econometric Society. (Conference) (2011). Invited speaker.
    Paper: “Independent Factor Autoregressive Conditional Density Model”
    Author: Urga G.
    Co-authors: A. Ghalanos and E. Rossi
  89. 17th International Panel Data Conference. (Conference) (2011). Invited speaker.
    Paper: "Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends"
    Author: Urga G.
    Co-authors: C. Kao and L. Trapani
  90. 9th OxMetrics User Conference. (Conference) Centre for Econometric Analysis, Cass Business School, London, UK. (2010). Chair and Organising Committee
  91. ESRC-CEA Seminar Series 2, Andrew Smithers (Smithers & Co. Ltd.). “Imperfect Markets and Inept Central Bankers”. (Conference) Centre for Econometric Analysis, Cass, UK. (2010). Chair and Organising Committee
  92. ESRC-CEA Seminar Series 2, Andy Haldane (Executive Director, Financial Stability, Bank of England), "Public Policy in an era of Super-Systemic Risk". (Conference) Centre for Econometric Analysis, Cass, UK (2010). Chair and Organising Committee
  93. ESRC-CEA Seminar Series 2. (Public lecture) Centre for Econometric Analysis, Cass (UK) (2010). Invited speaker.
    Paper: Andrew Smithers (Smithers & Co. Ltd.). “Imperfect Markets and Inept Central Bankers”
    Author: Urga (Organizer) G
  94. ESRC-CEA Seminar Series 2. (Public lecture) Centre for Econometric Analysis, Cass, UK (2010). Invited speaker.
    Paper: Andy Haldane (Executive Director, Financial Stability, Bank of England) “XXX”
    Author: Urga (Organizer) G
  95. Thematic Program on Quantitative Finance, Workshop on Financial Econometrics. (Workshop) The Fields Institute for Research in Mathematical Sciences in Toronto (Canada) (2010). Invited speaker.
    Paper: Identifying Jumps in Financial Assets: A Comparison between non Parametric Jump Tests
    Author: Urga G
    Co-authors: Ana-Maria Dumitru
  96. PhD Programme in Economics and Management Technology, Faculty of Engineering, University of Bergamo. (Workshop) Faculty of Engineering, University of Bergamo, Italy (2010). Invited speaker.
    Paper: “A Research Day on IPOs”, discussant of the paper by Francois Degeorge “Auction IPOs: The US Evidence” (with F. Derrien and K. Womak).
    Author: Urga G.
  97. MAF 2010 - Mathematical and Statistical Methods for Actuarial Sciences and Finance. (Conference) Villa Rufolo - Ravello, Italy (2010). Invited speaker.
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G
    Co-authors: Arturo Leccadito and Omar Rachedi
  98. 8th OxMetricsTM User Conference. (Conference) George Washington University, Washington, DC (U.S.A) (2010). Invited speaker.
    Paper: Monetary Disorder and Financial Regimes: the Money Demand in Argentina, 1900-2006
    Author: Urga G
    Co-authors: Matteo Mogliani and Carlos Winograd
  99. Workshop of Applied Econometrics and Econometrics. (Seminar) Universidad Carlos III de Madrid, Spain (2009). Invited speaker.
    Paper: Micro versus Macro Cointegration in Heterogeneous Panels
    Author: Urga G
    Co-authors: Lorenzo Trapani
  100. ESRC-CEA Seminar Series 2. (Seminar) Centre for Econometric Analysis, Cass (UK) (2009). Invited speaker.
    Paper: Michael J. Fleming (Federal Reserve Bank of New York, USA) Repo Market Effects of the Term Securities Lending Facility (with W.B. Hrung and F.M. Keane)
    Author: Urga G
    Co-authors: Centre for Econometric Analysis, Cass (UK)
  101. ESRC-CEA Seminar Series 2. (Seminar) (Centre for Econometric Analysis, Cass (UK) (2009). Invited speaker.
    Paper: Ravi Jagannathan (Kellog School of Management, Northwestern University, USA) Informed Trading, Liquidity Provision, and Stock Selection by Mutual Fund (with Z. Da and P. Gao)
    Author: Urga G
  102. ESRC-CEA Seminar Series 2. (Seminar) Centre for Econometric Analysis, Cass (UK) (2009). Invited speaker.
    Paper: Ravi Jagannathan (Kellog School of Management, Northwestern University, USA)
    Author: Urga G
  103. The 2009 Summer School on Econometrics and Finance. (Public lecture) Wang Yanan Institute for Studies in Economics, Xiamen University, China (2009). Invited speaker.
    Paper: Various Presentations
    Author: Urga G
  104. Econometric Courses for PhD Students. (Public lecture) CIDE-University Palermo (Italy) (2009). Invited speaker.
    Paper: The Econometrics of Stationary and Nonstationary Panel Data
    Author: Urga G
  105. CEA Econometrics Occasional Seminar. (Public lecture) (Centre for Econometric Analysis, Cass Business School, London (UK) (2009). Invited speaker.
    Paper: “Microeconometric using STATA”. Speaker: David Drukker (Director of Econometrics, STATA Corporation)
    Author: Urga G
  106. “Microeconometric using STATA”. (Workshop) Department of Economics, H.P. Minsky, University of Bergamo (Italy) (2009). Invited speaker.
    Paper: “Microeconometric using STATA”. Speaker: David Drukker (Director of Econometrics, STATA Corporation)
    Author: Urga (Organiser) G
  107. London-Oxbridge Conference Series. (Workshop) (Centre for International Macroeconomics and Finance, University of Cambridge (UK) (2009). Invited speaker.
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G
    Co-authors: Artuto Leccadito and Omar Rachedi
  108. A Week of Microeconometrics. (Workshop) Department of Economics, H.P. Minsky, University of Bergamo (Italy) (2009). Invited speaker.
    Paper: (Organizer)
    Author: Urga G
  109. The Society for Computational Economics. 15th International Conference Computing in Economics and Finance. (Conference) University of Technology, Sydney, Australia (2009). Invited speaker.
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G.
    Co-authors: Arturo Leccadito and Omar Rached
  110. The Econometric Society 2009 North American Summer Meeting. (Conference) Boston University, USA (2009).
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G
    Co-authors: Arturo Leccadito and Omar Rachedi
  111. The Asian Financial Association International Conference 2009. (Conference) Brisbane, Australia (2009). Invited speaker.
    Paper: CMCDS Data Exploration and Trading Strategies
    Author: Urga G.
    Co-authors: Arturo Leccadito and Radu Tunaru
  112. The Asian Financial Association International Conference 2009. (Conference) Brisbane, Australia (2009). Invited speaker.
    Paper: Use and Abuse of Rights Issues. Do They Really Protect Minorities?
    Author: Urga G
    Co-authors: Michele Meoli and Stefano Paleari
  113. New York Camp Econometrics IV. (Conference) The Mirror Inn, Lake Placid, NY, USA (2009). Invited speaker.
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G.
    Co-authors: Arturo Leccadito and Omar Rachedi
  114. International Symposium on Risk Management and Derivatives 2009. (Conference) Wang Yanan Institute for Studies in Economics, Xiamen University, China (2009). Invited speaker.
    Paper: CMCDS Data Exploration and Trading Strategies
    Author: Urga G.
    Co-authors: Arturo Leccadito and Radu Tunaru
  115. Financial systems, efficiency and stimulation of sustainable growth (FINESS). (Conference) German Institute for Economic Research, DIW, Berlin, Germany (2009). Invited speaker.
    Paper: Member of the Advisory Committee. Discussant and Chair.
    Author: Urga G
  116. Chicago/London Conference Series on Financial Markets (Part 3). (Conference) Cass Business School, London (UK) (2009). Invited speaker.
    Paper: International Conference on “Factor Models in Economics and Finance”
    Author: Urga (Organizer and Presenter). G
  117. Chicago/London Conference Series on Financial Markets on “Financial Markets: How Real?” (Conference) University of Illinois at Chicago (USA), 1-2 May (2009). Invited speaker.
    Paper: (Organizer and Presenter).
    Author: Urga G.
  118. 7th OxMetrics User Conference. (Conference) Cass Business School, London (UK) (2009). Invited speaker.
    Paper: (Organiser)
    Author: Urga G
  119. 3rd Italian Congress of Econometrics and Empirical Economics (ICEEE). (Conference) Universita’ delle Marche, Ancona (Italy) (2009).
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G
    Co-authors: C. Kao and D. Philip
  120. 24th Meeting of the European Economic Association. (Conference) Barcelona Graduate School of Economics, Barcelona (Spain) (2009). Invited speaker.
    Paper: Monetary Disorder and Financial Regimes: the Money Demand in Argentina, 1900-2006
    Author: Urga G
    Co-authors: Matteo Mogliani and Carlos Winograd
  121. 2009 Far East and South Asia Meeting of the Econometric Society. (Conference) University of Tokyo, Faculty of Economics, Tokyo (Japan) (2009). Invited speaker.
    Paper: True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data
    Author: Urga G
    Co-authors: Arturo Leccadito and Radu Tunaru
  122. 6th Oxmetrics Users Conference. (Conference) Cass Business School, London (UK) (2008). Organising Committee
  123. Recent Development in Econometric Methodology. (Conference) Universita’ degli Studi di Bergamo, Italy (2008). Chair and Organising Committee
  124. Warwick Business School seminar series. (Seminar) Warwick (UK), 15 October (2008). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  125. ECARES Econometrics and Statistics Seminar Series. (Seminar) ECARES, Bruxelles (Belgium), 20 March (2008). Invited speaker.
    Paper: Micro versus Macro Cointegration in Heterogeneous Panels
    Author: Urga G.
    Co-authors: L. Trapani
  126. Econometrics Workshops. (Workshop) Department of Economics, Michigan State University (USA), 3 April (2008). Invited speaker.
    Paper: Micro versus Macro Cointegration in Heterogeneous Panels
    Author: Urga G.
    Co-authors: L. Trapani
  127. 2nd International Workshop on Computational and Financial Econometrics (CEF 2008). (Workshop) Neuchatel (Switzerland), 19-21 June (2008). Invited speaker.
    Paper: Statistical Arbitrage between CDS and CMCDS Markets
    Author: Urga G.
    Co-authors: A. Leccadito and R. Tunaru
  128. 2nd International Workshop on Computational and Financial Econometrics (CEF 2008). (Workshop) Neuchatel (Switzerland), 19-21 June (2008). Invited speaker.
    Paper: The Fractional Merton Model: A new Approach to Credit Risk Pricing
    Author: Urga G.
    Co-authors: L. Della Ratta and A. Leccadito
  129. Paris Finance International Meeting. (Conference) Maison de la Mutualite, Paris (18-19 December) (2008). Invited speaker.
    Paper: CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads
    Author: Urga G.
    Co-authors: Arturo Leccadito and Radu Tunaru
  130. New York Camp Econometrics III. (Conference) La Tourelle Resort and Spa, Ithaca, NY (USA), 4-6 April (2008). Invited speaker.
    Paper: The Fractional Merton Model: A new Approach to Credit Risk Pricing
    Author: Urga G
    Co-authors: L. Della Ratta
  131. Latin American Meeting of the Econometric Society. (Conference) Rio de Janerio, Brazil (20-22 November) (2008). Invited speaker.
    Paper: A Long-Run Analysis of the Money Demand in Argentina: 1900-2006
    Author: Urga G.
    Co-authors: Matteo Mogliani and Carlos Winograd
  132. International Conference on Price, Liquidity, and Credit Risk. (Conference) Universitat Konstanz, Germany (2008). Invited speaker.
    Paper: The Fractional Merton Model: A new Approach to Credit Risk Pricing
    Author: Urga G.
    Co-authors: A. Leccadito and R. Tunaru
  133. International Conference on Price, Liquidity, and Credit Risks. (Conference) Universitat Konstanz, Germany (2008). Invited speaker.
    Paper: CMCDS Data Exploration and Trading Strategies
    Author: Urga G.
    Co-authors: A. Leccadito and R. Tunaru
  134. Institute for Quantitative Investment Research (Inquire UK), Autumn Seminar. (Conference) Randolph Hotel (Oxford), 21-23 September (2008). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  135. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians. (Conference) University of Palermo (Italy), 1-3 September (2008). Invited speaker.
    Paper: The Econometrics of Stationary and Nonstationary Panel Data
    Author: Urga G.
  136. Conference in Honour of Peter C. B. Phillips. (Conference) School of Economics of Singapore Management University (Singapore), 14-15 July (2008). Invited speaker.
    Paper: Attendance only, by invitation.
    Author: Urga G.
  137. Chicago/London Conference Series on Financial Markets on “What Went Wrong? Financial Engineering, Financial Econometrics, and the Current Stress”. (Conference) Cass Business School, London (UK), 5-6 December (2008). Invited speaker.
    Paper: (Organizer and Presenter)
    Author: Urga G.
  138. 6th OxMetrics User Conference. (Conference) Cass Business Schoo, London (UK) (2008). Invited speaker.
    Paper: (Organizer and Presenter).
    Author: Urga G.
  139. 2008 Financial Engineering and Risk Management International Symposium. (Conference) Department of Statistics, Shanghai University of Finance and Economics, Shanghai (China), 8-10 June (2008). Invited speaker.
    Paper: The Fractional Merton Model: A new Approach to Credit Risk Pricing
    Author: Urga G.
    Co-authors: L. Della Ratta and A. Leccadito
  140. 2008 Far Eastern and South Asian meeting of the Econometric Society. (Conference) School of Economics of Singapore Management University (Singapore), 16-18 July (2008). Invited speaker.
    Paper: CMCDS Data Exploration and Trading Strategies
    Author: Urga G.
    Co-authors: A. Leccadito and R. Tunaru
  141. 2008 Far Eastern and South Asian meeting of the Econometric Society. (Conference) School of Economics of Singapore Management University (Singapore), 16-18 July (2008). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  142. 2008 Asian Finance Association (AsianFA) and the Nippon Finance Association (NFA). (Conference) (Pacifico Yokohama Convention Centre, Yokohama (Japan), 6-9 July (2008). Invited speaker.
    Paper: The Fractional Merton Model: A new Approach to Credit Risk Pricing
    Author: Urga G.
    Co-authors: L. Della Ratta and A. Leccadito
  143. First International Conference in Memory of Carlo Giannini entitled “Recent Developments in Econometric Methodology”. (Conference) Department of Economics, University of Bergamo (Italy), 25-26 January (2008). Invited speaker.
    Paper: (Organizer and Presenter). Presentation of the paper “Testing for Instability in Factor Structure of Yield Curve”
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  144. 2008 ASSA Meeting, North American Winter Meeting of the Econometric Society. (Conference) New Orleans (USA), 4-6 January (2008). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G.
    Co-authors: C. Kao and Dennis Philip
  145. Measuring Dependence in Finance. (Conference) Cass (2007). Organising Committee
  146. 5th OxMetrics User Conference. (Conference) Cass (2007). Organising Committee
  147. Money, Macro and Finance workshop. (Workshop) Department of Economcis, Leicester University (UK), 14 December (2007). Invited speaker.
    Paper: Micro versus Macro Cointegration in Heterogeneous Panels
    Author: Urga G.
    Co-authors: L. Trapani
  148. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians. (Workshop) University of Palermo (Italy), 3-5 September (2007). Invited speaker.
    Paper: The Econometrics of Stationary and Nonstationary Panel Data
    Author: Urga G.
  149. Stochastic Volatility and Persistence. (Conference) Brunel Univ. (UK), 5 June (2007). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations”
    Author: Urga G.
    Co-authors: J. Cajigas
  150. VII International Conference “New Directions in Term Structure Modelling”. (Conference) University of Verona (Italy), 25-26 June (2007). Invited speaker.
    Paper: Testing for instability in factor structure of yields curves
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  151. Organizer and Presenter. (Conference) Crowne Plaza Hotel (Cambridge), 23-25 September (2007). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curve
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  152. II International Conference on Corporate Governance and Corporate Social Responsibility. (Conference) The State University – Higher School of Economics, Moscow (Russia), 28-29 November (2007). Invited speaker.
    Paper: Do Rights Issues really Protect Minorities? Empirical Evidence on the Italian case
    Author: Urga G.
    Co-authors: M. Meoli and S. Paleari
  153. II International Conference on Corporate Governance and Corporate Social Responsibility. (Conference) The State University – Higher School of Economics, Moscow (Russia), 28-29 November (2007). Invited speaker.
    Paper: When Controlling Shareholders live like Kings: The case of Telecom Italia
    Author: Urga G.
    Co-authors: M. Meoli and S. Paleari
  154. CEA@Cass/ESRC International Conference in Financial Econometrics on “Measuring Dependence in Finance”. (Conference) Cass Business School, London (UK), 7-8 December (2007). Invited speaker.
    Paper: (Organizer and Presenter)
    Author: Urga G.
  155. ASSA (AEA/CEANA). (Conference) Chicago (USA) 5-7 January (2007). Invited speaker.
    Paper: Discussant of the paper "Panel Cointegration with Global Stochastic Trends” by Bai, Kao and NG
    Author: Urga G.
  156. ASSA (AEA). (Conference) Chicago (USA), 5-January (2007). Invited speaker.
    Paper: Discussant of the paper "Long-Run Estimates of the Elasticity of Substitution Using UK Firm-Level Data" by Prices and Barnes
    Author: Urga G.
  157. 5th OxMetrics User Conference. (Conference) Cass Business School, London (UK), 20-21 September (2007). Invited speaker.
    Paper: Organizer and Presenter
    Author: Urga G.
  158. 2007 North American Summer Meeting of the Econometric Society. (Conference) Duke University (USA), 21-24 June (2007). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovation
    Author: Urga G.
    Co-authors: J. Cajigas
  159. 2007 Finance International Meeting AFFI – EUROFIDAI. (Conference) Paris (France), 20-21 December (2007). Invited speaker.
    Paper: Testing for Instability in Factor Structure of Yield Curves
    Author: Urga G.
    Co-authors: C. Kao and D. Philip
  160. 2007 Far Eastern Meeting of the Econometroc Society. (Conference) Institute of Economics, Academia Sinica, Taipei (Taiwan), 11-13 July (2007). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations
    Author: Urga G.
    Co-authors: J. Cajigas
  161. 2007 Asian Finance Association Conference. (Conference) The Chinese University of Hong Kong(China), 4-7 July (2007). Invited speaker.
    Paper: Do Rights Issues Protect Minorities? Empirical Evidence on the Italian Case
    Author: Urga G.
    Co-authors: M. Meoli and S. Paleari
  162. Breaks and Persistance. (Conference) Cass (2006). Organising Committee
  163. 4th OxMetrics User Conference. (Conference) Cass (2006). Organising Committee
  164. Finance Department of Tilburg University. (Seminar) Tilburg (NL), 20 March (2006). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations
    Author: Urga G.
    Co-authors: J. Cajigas
  165. Econometrics and Statistics Colloquium. (Seminar) Graduate School of Business, Chicago University, 26 April (2006). Invited speaker.
    Paper: Cointegration vs Spurious Regression in Heterogeneous Panels
    Author: Urga G.
    Co-authors: L. Trapani
  166. Econometric Courses for PhD Students (Econometria per Dottorandi - Sede di Palermo) of the Italian Association of Econometricians. (Seminar) Palermo, Italy, 4-6 September (2006). Invited speaker.
    Paper: The Econometrics of Panel Data
    Author: Urga G.
  167. Bag Lunch Seminar at Kellogg Management School. (Seminar) Northwestern University, Evanston, Chicago, 28 April (2006). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations
    Author: Urga G.
    Co-authors: J. Cajigas
  168. International Conference on “The Econometrics of Structural Breaks. (Conference) Cass Business School, UK, 11-12 December (2006). Invited speaker.
    Paper: Organizer
    Author: Urga G.
  169. Far Eastern Meeting of the Econometric Society. (Conference) Beijing, China, 9-12 July (2006). Invited speaker.
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations
    Author: Urga G.
    Co-authors: J. Cajigas
  170. European Financial Association. (Conference) Zurich, CH, 23-26 August (2006). Invited speaker.
    Paper: Discussant of the paper “Stock Market Volatility around National Elections” J. Bialkowski, K. Gottschalk, T. P. Wisniewski.
    Author: Urga G.
  171. 4th OxMetrics User Conference. (Conference) Cass Business School, UK, 14-15 September (2006). Invited speaker.
    Paper: Organizer
    Author: Urga G.
  172. 2006 North American Summer Meeting of the Econometric Society. (Conference) Minneapolis, USA, 22-25 April (2006).
    Paper: Modelling Credit Spread: A Fractional Integration Approach
    Author: Urga G.
    Co-authors: Lucio Della Ratta
  173. 2006 North American Summer Meeting of the Econometric Society. (Conference) Minneapolis, USA, 22-25 June (2006). Invited speaker.
    Paper: The Asymptotic for Panel Models with Common Shocks
    Author: Urga G.
    Co-authors: L. Trapani
  174. 13th International Conference on” Panel Data". (Conference) Cambridge, UK, 7-9 July (2006). Invited speaker.
    Paper: The Asymptotics for Panel Models with Common Shocks
    Author: Urga G.
    Co-authors: C. Kao and L. Trapani
  175. 61st European Meeting of the Econometric Society (ESEM) 2006. (Conference) Vienna, Austria, 24-28 August (2006). Invited speaker.
    Paper: The Asymptotics for Panel Models with Common Shocks
    Author: Urga G.
    Co-authors: C. Kao and L. Trapani
  176. Capital Markets, Corporate Finance, Money and Banking. (Conference) Cass (2005). Organising Committee
  177. 3rd OxMetrics User Conference 2005. (Conference) Cass (2005). Organising Committee
  178. ”The Inaugural Asia-Pacific Corporate Governance Conference”, (Conference) Hong Kong, 24-26 August (2005).
    Paper: When Controlling Shareholders Live Like Kings: The Case of Telecom Italia
    Co-authors: M. Meoli and S. Paleari
  179. Simulation Based and Finite Sample Inference in Finance II Conference. (Conference) 29-30 April, Québec City Canada. (2005).
    Paper: Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations
    Author: Juan Cajigas
  180. 2005 - Recent Development in Financial Econometrics. First Symposium on Econometric Theory and Applications (SETA). 18-20 May, Academica Sinica, Taipei (Taiwan) (2005).
    Paper: Modelling Credit Spread: A Fractional Integration Approach
  181. International Conference on “Unit Root and Cointegration. (Conference) University of Algarve, Faro (Portugal), 29-1 October (2005).
    Paper: Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
  182. International Conference on "Corporate Finance, Banking and Capital Markets". (Conference) Cass Business School, 12-13 December (2005).
    Paper: (..various co-presentation..)
  183. Integrate Corporate Governance Conference. (Conference) Prato (Italy) 26-29 October (2005).
    Paper: When Controlling Shareholders Live Like Kings: The Case of Telecom Italia
    Co-authors: M. Meoli and S. Paleari
  184. Ifo Conference on “Survey Datat in Economics". (Conference) Munich, 26-29 October (2005).
    Paper: Cross-Section vs Time Series Measures of Uncertainty. Using UK Survey Data
    Co-authors: Ciaran Driver and Lorenzo Trapani
  185. First Italian Congress of Econometrics and Empirical Economics, CIDE. (Conference) 24-25 January, Venice (2005).
    Paper: Non-Normal Elliptical Distributions and Dynamic Conditional Correlation Models
  186. Econometrics Seminar Series, (Seminar) New York University (USA), 28 October (2005).
    Paper: Cointegration versus Spurious Regression in Heretogenous Panels
  187. Econometric Society World Congress 2005. University College London, 19 - 24 August (2005).
    Paper: A Unified Asymptotic Framework for Panel Factor Models
    Co-authors: C. Kao and L. Trapani
  188. CONSOB. Rome, 16 December (2005).
    Paper: When Controlling Shareholders Live Like Kings: The Case of Telecom Italia
    Co-authors: M. Meoli and S. Paleari
  189. ASSA International Meeting (ESEM). 9-11 January, Philadelphia, USA (2005).
    Paper: Stopping Tests in the Sequential Estimation of Multiple Structural Breaks
  190. 12th Conference on Panel Data. (Conference) The Centre for Applied Microeconometrics (CAM) in Copenhagen June 24-26, (2005).
    Paper: Common stochastic trends and aggregation in heterogeneous panels
    Co-authors: Stepana Lazarova and Lorenzo Trapani
  191. 3rd OxMetrics Conference. (Conference) Cass Business School (Organizer) (2005).
    Paper: Modelling Credit Spread: A Fractional Integration Approach
    Co-authors: Lucio dell Ratta
  192. Common Features in London. (Conference) Cass (2004). Organising Committee
  193. 2nd OxMetrics User Conference. (Conference) Cass (2004). Organising Committee
  194. Long Memory Processes in Finance. (Conference) Cass (2004). Organising Committee
  195. Recent Developments in the Econometrics of Panel Data. (Conference) Cass (2004). Organising Committee
  196. Royal Economic Society 2004. Swansea, UK, 5-7 April 2004 (2004).
    Paper: Paper 1: Cointegration vs Spurious Regression in Heteregenous Panels. Paper 2: Assessing the Predicting Accuracy of Alternative Estimators in Heteregenous Panels. Paper 3: Cross-Section vs Time Series
    Co-authors: L.Trapani, C. Driver
  197. North American Winter Meeting of the Econometric Society. UCSD, San Diego, 3-5 January, 2004 (2004).
    Paper: Coskewness and its Implication for Testing Asset Pricing Models
    Co-authors: G. Barone Adesi and P. Gagliardini
  198. North American Summer Meeting of the Econometric Society. (Seminar) Providence, Boston, 17-20 June 2004 (2004).
    Paper: Paper 1: Cointegration vs Spurious Regression in Hetereogeneous Panels; Paper 2: Cross-Section vs Time Series Measures of Uncertainty
    Co-authors: L. Trapani
  199. Common Features in London (Organizer). 16-17 December, Cass Business School (2004).
    Paper: Non-Normal Elliptical Distributions and Dynamic Conditional Correlation Models
    Co-authors: Juan Cajigas
  200. 2nd OxMetrics User Conference. (Conference) Cass, 26-27 August 2004 (2004).
    Paper: Organiser
  201. 11th International Conference on Panel Data. (Conference) Texas A&M, 4-6 June 2004 (2004).
    Paper: Paper 1: Cointegration vs Spurious Regression in Heterogenous Panels. Paper 2: Assessing the Predicting Accuracy of Alternative Estimators in Heteregenous Panels
    Co-authors: L. Trapani
  202. 1st OxMetrics User Conference. (Conference) Cass (2003). Organising Committee
  203. North American Summer Meeting of the Econometric Society. Kellogg School of Management, Northwestern University, Evanston, Illinois, 26-29 June, 2003 (2003).
    Paper: Testing Asset Pricing Models with Coskewness
    Co-authors: G. Barone Adesi and P. Gagliardini
  204. ESRC Econometric Study Group Conference. (Conference) Bristol, July 10-12, 2003 (2003).
    Paper: Cointegration versus Spurious Regression in Heterogenous Panels
    Co-authors: Lorenzo Trapani
  205. Ente Einaudi-Bank of Italy Research Seminar Series. (Seminar) Rome, 9 May 2003 (2003).
    Paper: Boostrapping Sequential Test for Multiple Structural Breaks
  206. Association of Comparative Economics Society. Washington, D.C., 3-5 January, 2003 (2003).
    Paper: Privatisation Methods and Economic Growth in Transition Economies
    Co-authors: S. Estrin and J. Bennett
  207. 59 IIPF Congress. University of Economics, Prague, 25-28 August, 2003 (2003).
    Paper: Privatisation Methods and Economic Growth in Transition Economies
    Co-authors: S. Estrin and J. Bennett
  208. 1st OxMetrics User Conference. (Conference) Cass Business School, 1-2 September 2003 (2003).
    Paper: Organiser/Programme Committee (Co-Chair)
  209. ESRC Conference: Modelling Structural Breaks, Long Memory and Stock Market Volatility. (Conference) Cass (2002). Organising Committee
  210. Royal Economic Society Conference. (Conference) University of Warwick (2002).
    Paper: Profitability, Capacity and Uncertainty: A Robust Model of the UK Manufacturing Investment
    Co-authors: C. Driver and P.Temple
  211. Modelling Structural Breaks, Long Memory and Stock Markets Volatility. Faculty of Finance, Cass Business School (2002).
    Paper: Bootstrapping Sequential Tests for Multiple Structural Breaks
    Co-authors: A. Banerjee, S. Lazarova
  212. Inquiry UK 14th Annual Seminar on "Beyond Mean-Variance: Do Higher Moments Matters". (Seminar) Royal Bath Hotel, Bournemouth (2002).
    Paper: Coskewness and its Implication for Testing Asset Pricing Models
    Co-authors: G. Barone Adesi and P. Gagliardini
  213. American Economic Association. Atlanta, Georgia (USA) (2002).
    Paper: Explaining the Diversity of Industry Investment Responses to Uncertainty using Long Run Panel Survey Data
    Co-authors: C. Driver and P. Temple
  214. 6th International Conference on Macroeconomic Analysis and International Finance. (Conference) University of Crete, Rethymno, Greece (2002).
    Paper: The Effects of Macro Announcements on the Term Structure and the Exchange Rates
    Co-authors: R. Bruno
  215. 10th International Conference on Panel Data. (Conference) Berlin (2002).
    Paper: The Effects of Uncertainty on UK Investment Autorisation: Homogenous vs Heterogenous Estimators
    Co-authors: C. Driver and P.Temple
  216. ESRC Conference: New Perspectives on Fixed Investment - Where is the research agenda leading? (Conference) Cass (2001). Organising Committee
  217. Royal Economic Society Conference. (Conference) Durham (2001).
    Paper: Theory and Practice of Econometric Modelling using PcGive10
  218. Latin American Meeting of the Econometric Society. Buenos Aires (Argentina) (2001).
    Paper: Testing for Predictability and Integration in Latin American Stock Markets: A Time-Varying Parameter Approach
  219. EFMA (European Financial Management Association) Conference. (Conference) Universita’ della Svizzera Italiana, Lugano (CH) (2001).
    Paper: Testing the Homogeneity of Asset Pricing Models
    Co-authors: G. Barone-Adesi and P. Gagliardini
  220. Meeting of the Society for Economic Dynamics. San Jose' (Costa Rica) (2000).
    Paper: Common Stochastic Trends and Aggregation in Heterogenous Panels
    Co-authors: S. Lazarova
  221. 9th International Conference on Panel Data. (Conference) Geneva (Switzerland) (2000).
    Paper: Common Stochastic Trends and Aggregation in Heterogenous Panels
    Co-authors: S. Lazarova
  222. 8th World Congress of the Econometric Society. Seattle, Washington (USA) (2000).
    Paper: A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
    Co-authors: M. Rockinger
  223. Uncertainty and Factor Demands. (1999).
    Paper: The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?
    Co-authors: P. Temple and C. Driver
  224. The XVII Latin American Meeting of the Econometric Society. Cancun, Mexico (1999).
    Paper: A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
    Co-authors: M. Rockinger
  225. XX meeting of the 1999 Society of Economic Dynamics. Sardinia, Italy (1999).
    Paper: Growth and Convergence in Transition Countries. Focus on Investment
    Co-authors: S. Estrin and S. Lazarova
  226. The Inaugural International Conference on Money, Investment and Risk. (Conference) The Nottingham Trent University (1998).
    Paper: A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
    Co-authors: M. Rockinger

Media appearance

  1. Chicago's Global Link. (2009) Markets Media (magazine).