50 YEARS OF EXTRAORDINARY BUSINESS EDUCATION DISCOVER CASS AT 50

Faculties and Research

CEA Research

Working papers

2017

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

2016

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 Evžen 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 estimators 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 Santos
An Automatic Test for Super Exogeneity

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

WP-CEA-8-2008
Dennis Phillip, Chihwa Kao and Giovanni Urga
Testing 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 Urga
On the Relationship Between Cross-Section and Time Series Measures of Uncertainty

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

WP-CEA-08-2007
Juan-Pablo Cajigas and Giovanni Urga
Dynamic 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 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

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

WP-CEA-04-2007

Giuliano De Rossi and Andrew Harvey
Quantiles, 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 Franses
Semi-Parametric Modelling of Correlation Dynamics

WP-CEA-01-2007
Jushan Bai, Chihwa Kao, and Serena Ng
Panel 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-10-2006
John Geweke, Joel Horowitz, and Hashem M. Pesaran
Econometrics: A Bird's Eye View

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

WP-CEA-08-2006
Mario Forni, Domenico Giannone, Marco Lippi, and Lucrezia Reichlin
Opening 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-07-2005
Della 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