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PhD students and research fellows

Conference presentations

Faculty Giovanni Urga Research

Giovanni Urga

Research

MANUSCRIPTS IN 2009 UNDER PREPARATION SOON TO BE SUBMITTED:

• URGA,G. (2009), "Testing for Instability in Covariance Structures with Finite n" (with C. Kao and L. Trapani)
• URGA,G. (2009), "Identifying Jumps in Financial Assets: A Comparison between non Parametric Jump Tests"
  (with A. M . Dumitru).
• URGA,G. (2009), "Monetary Disorder and Financial Regimes: the Money Demand in Argentina, 1900-2006"
  (with M. Mogliani and C. Winograd). 
• URGA,G. (2009), "On the Relationship Between Cross-Section and Time Series Measures of Uncertainty"
  (with C. Driver and L. Trapani). 
• URGA,G. (2009), "Use and Abuse of Rights Issues. Is it Really Minority Protection" (with M. Meoli and S. Paleari).
• URGA,G. (2009), "When Controlling Shareholders Live Like Kings: The Case of Telecom Italia" (with M. Meoli and S. Paleari).
• URGA,G. (2009), "Fractional Models to Credit Risk Pricing" (with A. Leccadito).
• URGA,G. (2009), "True vs. Spurious Long Memory in Credit Default Swaps and Credit Spreads" (with A. Leccadito and O. Rachedi).
• URGA,G. (2009), "A Risk Management Analysis Using the AGDCC Model with Asymmetric Multivariate Laplace Distribution of Innovations" (with A. Ghalanos).
• URGA,G. (2008), "The Fractional Merton Model: A New Approach to Credit Risk Pricing" (with L. Della Ratta and A. Leccadito).
• URGA,G. (2007), "Asymptotic Properties of MLE in AML-DCC Models" (with J. Cajigas and C. Kao).
• URGA,G. (2007), "The Impact of News on Fed Funds Futures' Implicit Interest Rates" (with D. Braberman).

PAPERS SUBMITTED FOR PUBLICATION:

• URGA,G. (2009), "Modelling and Testing for Structural Breaks in Panels with Common Stochastic Trends" (with C. Kao and L. Trapani).
• URGA,G. (2009), "The Asymptotic for Panel Models with Common Shocks" (with C. Kao and L. Trapani). 
• URGA,G. (2009), "CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads" (with A. Leccadito and R. Tunaru). 
• URGA,G. (2009), "Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations" (with J. Cajigas and Alexios Ghalanos).

FORTHCOMING/RECENT PUBLICATIONS IN 2008/2009

• URGA,G. (2009), "Micro vs. Macro Cointegration in Heterogeneous Panels" (with L. Trapani). Journal of Econometrics. Forthcoming.
• URGA,G. (2009), "Optimal Forecast with Heterogeneous Panels: A Monte Carlo Study" (with L. Trapani). International Journal of Forecasting, 25, 567-586.
• URGA,G. (2009), "Changes in Ownership and Minority Protection. Governance Lessons from the Case of Telecom Italia" (with M. Meoli and S. Paleari). International Journal of Managerial Finance, 4, 323-342.  
• URGA,G. (2008), "Copula-Based Tests for Cross Sectional Independence in Panel Models" (with H. -M. Huang and C. Kao). Economics Letters. 100, 224-228 
• URGA,G. (2008), "Real Options - Delay vs. Pre-emption: Do Industrial Characteristics Matter?" (with C. Driver and P. Temple). International Journal of Industrial Organization, 26. 532-545.