Giovanni Urga

Biographic Data

ID5738048
NAMEGiovanni Urga
GIVEN NAMESGiovanni
FAMILY NAMEUrga
SIGNATUREURGA G
AFFILIATIONSBarbican Centre
ORCID0000-0002-6742-7370
VERIFIEDYes
TOTAL WORKS10
TOTAL CITATIONS19
WORKS AS AUTHOR10
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1999
LATEST PUBLICATION YEAR2023
H-INDEX1

  • Exchange rates and macroeconomic fundamentals

    Open AccessEric Hillebrand, Jakob Guldbæk Mikkelsen et al.ARTICLEJournal of Applied Econometrics2023

    We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explai…

  • Combining p -values for Multivariate Predictive Ability Testing

    Open AccessLars Spreng, Giovanni UrgaARTICLEJournal of Business and Economic…2023

    In this article, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number of univariate forecast accuracy tests under arbitrary dependence structures, without specifying the underlying multivariate distribution. An extensive Monte Carlo simulation exercise shows that our …

  • Identifying Jumps in Financial Assets

    Ana-Maria Dumitru, Giovanni UrgaARTICLEJournal of Business and Economic…2012

    We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in volatility, jump size and intensity, and degree of contamination with microstructure noise. The overall best performance is shown by the Andersen, Bollerslev, and…

  • Common Features in Economics and Finance

    Giovanni UrgaARTICLEJournal of Business and Economic…2007

    This introductory article offers an overview of some developments in the common features literature since the publication of the seminal article by Engle and Kozicki in the Journal of Business & Economic Statistics in 1993, with the aim of highlighting the unifying theme of the contributions in this volume

  • Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory

    Ciaran Driver, Paul Temple et al.ARTICLEJournal of Business and Economic…2006

    This article tests the power of real options theory to explain investment under uncertainty, exploiting differences in the degrees of irreversibility and expandability between machinery and buildings. It reports estimates of investment equations for each asset class using a large sample of U.K. manufacturing industries, with results that are consistent with the predictions of real options theory. In addition, using a specially constructed industr…

  • Testing Asset Pricing Models With Coskewness

    Giovanni Barone Adesi, Patrick Gagliardini et al.ARTICLEJournal of Business and Economic…2004

    In this article we investigate portfolio coskewness using a quadratic market model as a return-generating process. We show that the portfolios of small (large) firms have negative (positive) coskewness with the market. We test an asset pricing model including coskewness by checking the validity of the restrictions that it imposes on the return-generating process. We find evidence of an additional component in expected excess returns, which is not…

  • The implications of tourism specialisation in the long run

    Open AccessAlessandro Lanza, Paul Temple et al.ARTICLETourism Management2003Cited by: 19References: 5

  • A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies

    Michael Rockinger, Giovanni UrgaARTICLEJournal of Business and Economic…2001

    This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized autoregressive conditional heteroscedasticity (GARCH) structure for the residuals. With this extension of the Bekaert and Harvey model, it is possible to test if an emerging stock market becomes more efficient over time and more integrated with other already established markets in situations in …

  • The Influence of Uncertainty on Investment in the UK

    Open AccessPaul Temple, Giovanni Urga et al.ARTICLEScottish Journal of Political…2001References: 4

    While the theory examining the relationship between uncertainty and investment has suggested new research avenues, it has not had strong predictive power. Nevertheless, at the policy level the benefits for investment of a more stable economic climate are being emphasised. These considerations point to the need for empirical work. Accordingly, this paper draws on industry level panel data, obtained by marrying the UK Census of Production with the …

  • Interrelated Factor Demands from Dynamic Cost Functions

    Open AccessChris Allen, Giovanni UrgaARTICLEEconomica1999

    In this paper we propose a dynamic cost function which allows us consistently to derive a set of dynamic interrelated factor demand equations in the general error correction form introduced by Anderson and Blundell (1982). This paper expands results recently published in Urga (1996). It shows that the derivation of an effective underlying cost function allows us to identify the full set of parameters of the underlying process. This does not happe…