Research

The researchers of the Centre for Econometric Analysis conduct research in various fields of econometrics and finance.

Our Working Paper Series includes our most recent research output and papers presented at CEA conferences, seminars and workshops.

2017

WP-CEA-09-2017
Fa Wang
Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models

WP-CEA-08-2017
Lilian M. de Menezes, Marianna Russo and Giovanni Urga
Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: the Case of the UK National Balancing Point

WP-CEA-07-2017
Matteo Mogliani and Giovanni Urga
On the Instability of Long-run Money Demand and the Welfare Cost of Inflation in the U.S.

WP-CEA-06-2017
Jan Novotny and Giovanni Urga

Testing for Co-Jumps in Financial Markets

WP-CEA-05-2017
Jakob Guldbaek Mikkelsen, Eric Hillebrand and Giovanni Urga

Maximum Likelihood Estimation of Time-Varying Loadings in High Dimensional Factor Models

WP-CEA-04-2017
Vitali Alexeev, Giovanni Urga and Wenying Yao

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

WP-CEA-03-2017
Carlo Bellavite Pellegrini, Michele Meoli and Giovanni Urga

Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom

WP-CEA-02-2017
Yacine Ait-Sahalia and Dacheng Xiu
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

WP-CEA-01-2017
Dobrislav Dobrev and Ernst Schaumburg
High-Frequency Cross-Market Trading: Model Free Measurement and Applications

2015

WP-CEA-02-2015
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf

Identification-Robust Factor Pricing: Canadian Evidence

WP-CEA-01-2015
Michele Bergamelli

Robust Estimation of Real Exchange Rate Process Half-life

2014

WP-CEA-09-2014
Jan Novotný, and Giovanni Urga

Co-features in Finance: Co-arrivals and Co-jumps

WP-CEA-08-2014
Jan Novotný, Dmitri Petrov, and Giovanni Urga
Trading Price Jump Clusters in Foreign Exchange Markets

WP-CEA-07-2014
Chihwa Kao, Lorenzo Trapani, and Giovanni Urga

Testing for Instability in Covariance Structures

WP-CEA-06-2014
Simona Boffelli, and Giovanni Urga

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

WP-CEA-05-2014
Simona Boffelli, and Giovanni Urga

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

WP-CEA-04-2014
WP-CEA-04a-2014 (Internet Appendix)
Simona Boffelli, Jan Novotný, and Giovanni Urga

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

WP-CEA-03-2014
Michele Bergamelli, and Giovanni Urga

Detecting Multiple Structural Breaks: Dummy Saturation vs Sequential Bootstrapping. With an Application to the Fisher Relationship for US

WP-CEA-02-2014
Michele Bergamelli, Jan Novotný, and Giovanni Urga

Maximum Non-Extensive Entropy Block Bootstrap For Non-stationary Processes

WP-CEA-01-2014
Carlo Bellavite Pellegrini, Michele Meoli, Laura Pellegrini, and Giovanni Urga

Interconnectedness and Systemic Risk of European Banks over the Recent Crises

2013

WP-CEA-05-2013
Jan Novotný , Jan Hanousek, and Evaen Kočenda

Price Jump Indicators: Stock Market Empirics during the Crisis

WP-CEA-04-2013
Arturo Leccadito, Simona Boffelli, Giovanni Urga

Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests

WP-CEA-03-2013
Hynek Lavička, Tomáš Lichard, and Jan Novotný

Sand in the Wheels or the Wheels in Sand?: Tobin-like Taxes and Market Crashes

WP-CEA-02-2013
Arturo Leccadito1, Omar Rachedi, and Giovanni Urga

True vs Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison

WP-CEA-01-2013
Cristina Amado and Timo Teräsvirta

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

2012

WP-CEA-5-2012
Liao, Y and Anderson, M, H

Testing for Co-Jumps in High-Frequency Financial Data: An Approach Based on First-High-Low-Last Prices

WP-CEA-4-2012
Linton, O and Zhijie Xiao

Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

WP-CEA-3-2012
Dobrev, D and Schaumburg, E
Robust Forecasting by Regularization

WP-CEA-2-2012
Chambers, M and Kyriacou, M
Jacknife Bias Reduction in Autoregressive Models with a Unit Root

WP-CEA-1-2012
Chambers, M
Jackknife Estimation of Stationary Autoregressive Models

2011

WP-CEA-4-2011
Trapani, L
On Bootstrapping Panel Factor Series

WP-CEA-3-2011
Castelnuovo, E
In Cholesky-VARs We Trust? An Empirical Investigation with U.S. Data*

WP-CEA-2-2011
Kao, C and Trapani, L
Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

WP-CEA-1-2011
Dumitru, A and Urga, G
Identifying Jumps in Financial Assets: a Comparison between Nonparametric Jump Tests (Extended version).

2010

WP-CEA-2-2010
Giovanni S. F. Bruno
Anova-type consistent estimatoars of variance components in unbalanced multi-way error components models

WP-CEA-1-2010

Chihwa Kao, Lorenzo Trapani and Giovanni Urga
Asymptotics for Panel Models with Common Shocks (Extended Version)

2009

WP-CEA-9-2009
Matteo Mogliani, Giovanni Urga and Carlos Winograd
Monetary Disorder and Financial Regimes. The Demand for Money in Argentina, 1900-2006

WP-CEA-8-2009
Sean Holly, Hashem M. Pesaran and Takashi Yamagata
Spatial and Temporal Diffusion of House Prices in the UK

WP-CEA-7-2009
Jean-Marie Dufour, Dalibor Stevanovic
Factor Models and VARMA Processes

WP-CEA-6-2009
Robert F. Engle, Jose G. Rangel
High and Low Frequency Correlations in Global Equity Markets

WP-CEA-5-2009
Tom Doan
Practical Issues with State Space Models with Mixed Stationary and Non-Stationary Dynamics

WP-CEA-4-2009
Eduardo Rossi, Filippo Spazzini
Finite sample results of Range-based integrated volatility estimation

WP-CEA-3-2009
Ravi Jagannathan, Mudit Kapoor and Ernst Schaumburg
Why are we in a recession? The Financial Crisis is the Symptom not the Disease

WP-CEA-2-2009
Zhi Da, Pengjie Gao and Ravi Jagannathan
Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

WP-CEA-1-2009
Michael J. Fleming, Warren B. Hrung and Frank M. Keane
Repo Market Effects of the Term Securities Lending Facility

2008

WP-CEA-14-2008
Elisa Luciano, Giovanna Nicodano
Leverage, Value and Firm Scope

WP-CEA-13-2008

Lucio Della Ratta, Arturo Leccadito and Giovanni Urga
The Fractional Merton Model: A New Approach to Credit Risk Pricing (Revised)

WP-CEA-12-2008

Arturo Leccadito, Radu Tunaru and Giovanni Urga
CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

WP-CEA-11-2008
Lorenzo Trapani
On the Asymptotic t-test for Large Nonstationary Panel Models

WP-CEA-10-2008

David F.Hendry, Carlos SantosAn Automatic Test for Super Exogeneity

WP-CEA-9-2008
Lorenzo TrapaniSieve Bootstrap for Nonstationary Panel Factor Models

WP-CEA-8-2008
Dennis Phillip, Chihwa Kao and Giovanni UrgaTesting for Instability in Factor Structure of Yield Curves

WP-CEA-7-2008
Aris Spanos
Fixed vs. Random Effects Panel Data Models: Revisiting the Omitted
Latent Variables and Individual heterogeneity Arguments

WP-CEA-6-2008
Lucio Della Ratta, Giovanni Urga
The Fractional Merton Model: A New Approach to Credit Risk Pricing

WP-CEA-5-2008
Arturo Leccadito, Giovanni Urga
An Econometric Analysis of Fractional Models to Credit Risk Pricing

WP-CEA-4-2008
Aris Spanos
Theory Testing in Economics and the Error Statistical Perspective

WP-CEA-3-2008
Aris Spanos
Philosophy of Econometrics

WP-CEA-2-2008
Patrick Gagliardini, Christian Gourieroux and Eric Renault
Efficient Derivative Pricing by Extended Methods of Moments

WP-CEA-1-2008
Hueng-Ming Huang, Chihwa Kao and Giovanni Urga
Copula-Based Tests for Cross-Sectional Independence in Panel Models

2007

WP-CEA-13-2007
Lorenzo Trapani and Giovanni Urga
Micro versus Macro Cointegration in Heterogeneous Panels

WP-CEA-12-2007
Jeremy Berkowitz, Peter Christoffersen, and Denis Pelletier
Evaluating Value-at-Risk Models with Desk-Level Data

WP-CEA-11-2007

Juri Marcucci and Mario Quagliariello
Credit Risk and Business Cycle over Different Regimes

WP-CEA-10-2007

Ciaran Driver, Lorenzo Trapani, and Giovanni UrgaOn the Relationship Between Cross-Section and Time Series Measures of Uncertainty

WP-CEA-09-2007
Dennis Philip, Chihwa Kao, and Giovanni UrgaTesting for Instability in Factor Structure of Yield Curve

WP-CEA-08-2007
Juan-Pablo Cajigas and Giovanni UrgaDynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations

WP-CEA-07-2007
Badi H. Baltagi, Chihwa Kao, and Long Liu
Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals
Supplementary Appendix

WP-CEA-06-2007
Badi H. Baltagi, Chihwa Kao, and Long LiuAsymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals

WP-CEA-05-2007
Yacine Ait-Sahalia and Loriano ManciniOut of Sample Forecasts of Quadratic Variation

WP-CEA-04-2007

Giuliano De Rossi and Andrew HarveyQuantiles, Expectiles and Splines

WP-CEA-03-2007
Giuliano De Rossi and Andrew Harvey
Time-Varying Quantiles

WP-CEA-02-2007
Christian M. Hafner, Dick van Dijk, and Philip Hans FransesSemi-Parametric Modelling of Correlation Dynamics

WP-CEA-01-2007
Jushan Bai, Chihwa Kao, and Serena NgPanel Cointegration with Global Stochastic Trends

2006

WP-CEA-13-2006
Jushan Bai and Serena Ng
Determining the Number of Primitive Shocks in Factor Models

WP-CEA-12-2006
Niels Haldrup, Svend Hylleberg, Gabriel Pons, and Andreu Sansó
Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

WP-CEA-11-2006
Heather M. Anderson and Farshid Vahid
Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?

WP-CEA-10-2006John Geweke, Joel Horowitz, and Hashem M. PesaranEconometrics: A Bird's Eye View

WP-CEA-09-2006
Hashem M. Pesaran and Allan TimmermannTesting Dependence Among Serially Correlated Multi-category Variables

WP-CEA-08-2006
Mario Forni, Domenico Giannone, Marco Lippi, and Lucrezia ReichlinOpening the Black Box: Structural Factor Models with Large Cross-Sections

WP-CEA-07-2006
Giovanni Urga
Common Feature in Economics and Finance: An Overview of Recent Developments

WP-CEA-06-2006
David F. Hendry and Michael Massmann
Co-Breaking: Recent Advances and a Synopsis of the Literature

WP-CEA-05-2006 (See Revised WP-CEA-08-2007)
Juan Cajigas and Giovanni Urga
Dynamic Conditional Correlation Models with Asymetric Multivariate Laplace Innovations

WP-CEA-04-2006
Carvalho V., Harvey A, and Trimbur T.A Note on Common Cycles, Common Trends and Convergence

WP-CEA-03-2006
Davidson J. and Hashimzade N.Type I and Type II Fractional Brownian Motions: a Reconsideration

WP-CEA-02-2006
Cappiello, L., Kadareja, A. and Manganelli, S.The Impact of the Euro on Equity and Government Bond Markets

WP-CEA-01-2006
Kao, C., Trapani, L. and Urga, G.
The Asymptotics for Panel Models with Common Shocks

2005

WP-CEA-08-2005
Lazarova, S
Locating Structural Change in Regression with Strongly Dependent Processes

WP-CEA-07-2005Della Ratta, L. and Urga, G.Modelling Credit Spread: A Fractional Integration Approach

WP-CEA-06-2005
Pesaran, H.
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

WP-CEA-05-2005
Kapetanios, G. and Pesaran, H.
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns

WP-CEA-04-2005
Pesaran, H.
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

WP-CEA-03-2005
Bennett, J., Estrin, S. and Urga, G.Methods of Privatization and Economic Growth in Transition Economies

WP-CEA-02-2005
Patton, A. J.
Modelling Asymmetric Exchange Rate Dependence

WP-CEA-01-2005
Trapani, L. and Urga, G.
Optimal Forecasting with Heterogeneous Panels: A Monte Carlo Study

2004

WP-CEA-11-2004
Fuertes,A.-M. and Kalotychou, E.
Modelling Sovereign Debt Crises Using Panels

WP-CEA-10-2004
Hwang, S. and Valls Pereira, P. L.
Small Sample Properties of GARCH Estimates and Persistence

WP-CEA-09-2004
Hwang, S., Satchell, S. E. and Valls Pereira, P. L.How Persistent is Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

WP-CEA-08-2004
Corradi, V. and Distaso, W.Testing for One-Factor Models versus Stochastic Volatility Models

WP-CEA-07-2004
Banerjee, A. and Urga, G.
Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview

WP-CEA-06-2004
Trapani, L.
Testing for Unit Roots in Heterogeneous Panels under Cross Sectional Dependence

WP-CEA-05-2004
Lazarova, S.
Testing for Structural Change in Regression with Long Memory Processes

WP-CEA-04-2004
de Peretti, C.
Graphical Methods for Investigating the Finite-Sample Properties of Confidence Regions: Applications to the Long Memory Parameter and to the S&P500 Index

WP-CEA-03-2004
Driver, C., Trapani, L. and Urga, G.
Cross-Section vs Time Series Measures of Uncertainty. Using UK Survey Data

WP-CEA-02-2004
Gagliardini, P., Trojani, F. and Urga, G.
Robust GMM Tests for Structural Breaks

WP-CEA-01-2004
Lazarova, S., Trapani, L. and Urga, G.
Common Stochastic Trends and Aggregation in Heterogeneous Panels