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Giovanni Urga

Global rank #3546 96%

Institution: City University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/site/urgagiovanni/

First Publication: 1996

Most Recent: 2022

RePEc ID: pur7 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.50 0.00 0.50
Last 10 Years 0.00 1.17 2.18 0.00 4.52
All Time 0.00 6.87 9.22 0.00 27.48

Publication Statistics

Raw Publications 27
Coauthorship-Adjusted Count 25.24

Publications (27)

Year Article Journal Tier Authors
2022 The role of shadow banking in systemic risk in the European financial system Journal of Banking & Finance B 4
2020 Forecasting using heterogeneous panels with cross-sectional dependence International Journal of Forecasting B 3
2019 Combining p-values to test for multiple structural breaks in cointegrated regressions Journal of Econometrics A 4
2019 Consistent estimation of time-varying loadings in high-dimensional factor models Journal of Econometrics A 3
2018 On the Instability of Long‐Run Money Demand and the Welfare Cost of Inflation in the United States Journal of Money, Credit, and Banking B 2
2015 Trading strategies with implied forward credit default swap spreads Journal of Banking & Finance B 3
2015 Macroannouncements, bond auctions and rating actions in the European government bond spreads Journal of International Money and Finance B 2
2014 Identification robust inference in cointegrating regressions Journal of Econometrics A 2
2014 Evaluating the accuracy of value-at-risk forecasts: New multilevel tests International Journal of Forecasting B 3
2013 On the use of cross-sectional measures of forecast uncertainty International Journal of Forecasting B 3
2011 Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests Journal of Business & Economic Statistics A 2
2010 Micro versus macro cointegration in heterogeneous panels Journal of Econometrics A 2
2009 Optimal forecasting with heterogeneous panels: A Monte Carlo study International Journal of Forecasting B 2
2008 Real options -- delay vs. pre-emption: Do industrial characteristics matter? International Journal of Industrial Organization B 3
2008 Copula-based tests for cross-sectional independence in panel models Economics Letters C 3
2007 COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS Econometric Theory B 3
2006 Identifying externalities in UK manufacturing using direct estimation of an average cost function Economics Letters C 3
2005 Modelling structural breaks, long memory and stock market volatility: an overview Journal of Econometrics A 2
2005 Profitability, capacity, and uncertainty: a model of UK manufacturing investment Oxford Economic Papers C 3
2005 Robust GMM tests for structural breaks Journal of Econometrics A 3
2004 Transforming Qualitative Survey Data: Performance Comparisons for the UK Oxford Bulletin of Economics and Statistics B 2
2003 Dynamic translog and linear logit models: a factor demand analysis of interfuel substitution in US industrial energy demand Energy Economics A 2
2001 Software Review: Theory and Practice of Econometric Modelling using PcGive10 Journal of Economic Surveys C 1
1999 A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence Oxford Bulletin of Economics and Statistics B 3
1999 An application of dynamic specifications of factor demand equations to interfuel substitution in US industrial energy demand Economic Modeling C 1
1997 The Competitiveness of UK Manufacturing: Evidence from Imports. Oxford Economic Papers C 2
1996 On the identification problem in testing the dynamic specification of factor-demand equations Economics Letters C 1