All Stories

  1. Financial development and income distribution inequality in the euro area

    Article • Economic Modelling, November 2017, Elsevier

    Prof Claudio Morana

  2. Macroeconomic and financial effects of oil price shocks: Evidence for the euro area

    Article • Economic Modelling, August 2017, Elsevier

    Prof Claudio Morana

  3. It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection

    Article • Applied Economics, March 2017, Taylor & Francis

    Prof Claudio Morana

  4. Temperature Anomalies, Radiative Forcing and ENSO

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Prof Claudio Morana

  5. Temperature Anomalies, Radiative Forcing and ENSO

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Prof Claudio Morana

  6. The financial Kuznets curve: Evidence for the euro area

    Article • Journal of Empirical Finance, December 2016, Elsevier

    Prof Claudio Morana

  7. The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

    Article • Journal of Forecasting, July 2016, Wiley

    Prof Claudio Morana

  8. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Prof Claudio Morana

  9. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Prof Claudio Morana

  10. Model Averaging by Stacking

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Prof Claudio Morana

  11. Semiparametric Estimation of Multivariate GARCH Models

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Prof Claudio Morana

  12. Financial Deepening and Income Distribution Inequality in the Euro Area

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Prof Claudio Morana

  13. The US$// Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Prof Claudio Morana

  14. Model Averaging by Stacking

    Article • Open Journal of Statistics, January 2015, Scientific Research Publishing, Inc,

    Prof Claudio Morana

  15. Semiparametric Estimation of Multivariate GARCH Models

    Article • Open Journal of Statistics, January 2015, Scientific Research Publishing, Inc,

    Prof Claudio Morana

  16. It Ain't Over Till it's Over: A Global Perspective on the Great Moderation-Great Recession Interconnection

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Prof Claudio Morana

  17. Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns

    Article • Journal of Empirical Finance, December 2014, Elsevier

    Prof Claudio Morana

  18. New insights on the US OIS spreads term structure during the recent financial turmoil

    Article • Applied Financial Economics, January 2014, Taylor & Francis

    Prof Claudio Morana

  19. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

    Article • SSRN Electronic Journal, January 2014, Elsevier

    Prof Claudio Morana

  20. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

    Article • Open Journal of Statistics, January 2014, Scientific Research Publishing, Inc,

    Prof Claudio Morana

  21. Determinants of US financial fragility conditions

    Article • Research in International Business and Finance, January 2014, Elsevier

    Prof Claudio Morana

  22. The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective

    Article • The Energy Journal, July 2013, International Association for Energy Economics (IAEE)

    Prof Claudio Morana

  23. New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Prof Claudio Morana

  24. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS Spreads Term Structure

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Prof Claudio Morana

  25. Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Prof Claudio Morana

  26. Oil price dynamics, macro-finance interactions and the role of financial speculation

    Article • Journal of Banking & Finance, January 2013, Elsevier

    Prof Claudio Morana

  27. Adaptive ARFIMA models with applications to inflation

    Article • Economic Modelling, November 2012, Elsevier

    Prof Claudio Morana

  28. Euro money market spreads during the 2007–? financial crisis

    Article • Journal of Empirical Finance, September 2012, Elsevier

    Prof Claudio Morana

  29. PC-VAR Estimation of Vector Autoregressive Models

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  30. Determinants of US Financial Fragility Conditions

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  31. Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  32. The Oil Price-Macroeconomy Relationship Since the Mid- 1980s: A Global Perspective

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  33. The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  34. Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Claudio Morana

  35. PC-VAR Estimation of Vector Autoregressive Models

    Article • Open Journal of Statistics, January 2012, Scientific Research Publishing, Inc,

    Prof Claudio Morana

  36. The Great Recession: US dynamics and spillovers to the world economy

    Article • Journal of Banking & Finance, January 2012, Elsevier

    Prof Claudio Morana

  37. Adaptive ARFIMA Models of Inflation

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Prof Claudio Morana

  38. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Prof Claudio Morana

  39. Euro Money Market Spreads During the 2007-? Financial Crisis

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Prof Claudio Morana

  40. Business cycle comovement in the G-7: common shocks or common transmission mechanisms?

    Article • Applied Economics, July 2010, Taylor & Francis

    Prof Claudio Morana

  41. Realized mean-variance efficient portfolio selection and euro area stock market integration

    Article • Applied Financial Economics, June 2010, Taylor & Francis

    Prof Claudio Morana

  42. Comovements in volatility in the euro money market

    Article • Journal of International Money and Finance, April 2010, Elsevier

    Prof Claudio Morana

  43. International house prices and macroeconomic fluctuations

    Article • Journal of Banking & Finance, March 2010, Elsevier

    Prof Claudio Morana

  44. The Great Recession: US Dynamics and Spillovers to the World Economy

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Prof Claudio Morana

  45. Permanent and transitory dynamics in house prices and consumption: some implications for the real effects of the financial crisis

    Article • Applied Financial Economics, January 2010, Taylor & Francis

    Prof Claudio Morana

  46. Realized betas and the cross-section of expected returns

    Article • Applied Financial Economics, September 2009, Taylor & Francis

    Prof Claudio Morana

  47. Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

    Article • Journal of Economic Dynamics and Control, August 2009, Elsevier

    Prof Claudio Morana

  48. On the macroeconomic causes of exchange rate volatility

    Article • International Journal of Forecasting, April 2009, Elsevier

    Prof Claudio Morana

  49. International macroeconomic dynamics: A factor vector autoregressive approach

    Article • Economic Modelling, March 2009, Elsevier

    Prof Claudio Morana

  50. Aggregate hedge funds’ flows and returns

    Article • Applied Financial Economics, December 2008, Taylor & Francis

    Prof Claudio Morana

  51. An omnibus noise filter

    Article • Computational Statistics, October 2008, Springer Science + Business Media

    Prof Claudio Morana

  52. Factor vector autoregressive estimation: a new approach

    Article • Journal of Economic Interaction and Coordination, March 2008, Springer Science + Business Media

    Prof Claudio Morana

  53. Comovements in international stock markets

    Article • Journal of International Financial Markets Institutions and Money, February 2008, Elsevier

    Prof Claudio Morana

  54. Multivariate modelling of long memory processes with common components

    Article • Computational Statistics & Data Analysis, October 2007, Elsevier

    Prof Claudio Morana

  55. International stock markets comovements: the role of economic and financial integration

    Article • Empirical Economics, September 2007, Springer Science + Business Media

    Prof Claudio Morana

  56. A structural common factor approach to core inflation estimation and forecasting

    Article • Applied Economics Letters, February 2007, Taylor & Francis

    Prof Claudio Morana

  57. Inflation and monetary dynamics in the USA: a quantity-theory approach

    Article • Applied Economics, February 2007, Taylor & Francis

    Prof Claudio Morana

  58. Does the stock market affect income distribution? Some empirical evidence for the US

    Article • Applied Economics Letters, January 2007, Taylor & Francis

    Prof Claudio Morana

  59. Estimating long memory in the mark–dollar exchange rate with high frequency data

    Article • Applied Financial Economics Letters, November 2006, Taylor & Francis

    Prof Claudio Morana

  60. Structural breaks and common factors in the volatility of the Fama–French factor portfolios

    Article • Applied Financial Economics, October 2006, Taylor & Francis

    Prof Claudio Morana

  61. Volatility of interest rates in the euro area: Evidence from high frequency data

    Article • European Journal of Finance, October 2006, Taylor & Francis

    Prof Claudio Morana

  62. The price stability oriented monetary policy of the ECB: an assessment

    Article • Applied Economics, September 2006, Taylor & Francis

    Prof Claudio Morana

  63. A small scale macroeconometric model for the Euro-12 area

    Article • Economic Modelling, May 2006, Elsevier

    Prof Claudio Morana

  64. Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

    Article • Physica A Statistical Mechanics and its Applications, September 2005, Elsevier

    Prof Claudio Morana

  65. The Japanese deflation: has it had real effects? Could it have been avoided?

    Article • Applied Economics, July 2005, Taylor & Francis

    Prof Claudio Morana

  66. Statistical benefits of value-at-risk with long memory

    Article • The Journal of Risk, June 2005, Incisive Media

    Prof Claudio Morana

  67. Stock market volatility of regulated industries: an empirical assessment

    Article • Portuguese Economic Journal, December 2004, Springer Science + Business Media

    Prof Claudio Morana

  68. Structural change and long-range dependence in volatility of exchange rates: either, neither or both?

    Article • Journal of Empirical Finance, December 2004, Elsevier

    Prof Claudio Morana

  69. Some frequency domain properties of fractionally cointegrated processes

    Article • Applied Economics Letters, November 2004, Taylor & Francis

    Prof Claudio Morana

  70. Frequency domain principal components estimation of fractionally cointegrated processes

    Article • Applied Economics Letters, October 2004, Taylor & Francis

    Prof Claudio Morana

  71. Monetary policy and the stock market in the euro area

    Article • Journal of Policy Modeling, April 2004, Elsevier

    Prof Claudio Morana

  72. The Japanese stagnation: an assessment of the productivity slowdown hypothesis

    Article • Japan and the World Economy, April 2004, Elsevier

    Prof Claudio Morana

  73. Structural breaks in the volatility of macroeconomic and financial data: The rule, not the exception

    Article • January 2004, Springer Science + Business Media

    Prof Claudio Morana

  74. Measuring US core inflation: A common trends approach

    Article • Journal of Macroeconomics, June 2003, Elsevier

    Prof Claudio Morana

  75. Erratum

    Article • Studies in Nonlinear Dynamics & Econometrics, January 2003, De Gruyter

    Prof Claudio Morana

  76. A common trends model of UK core inflation

    Article • Empirical Economics, January 2003, Springer Science + Business Media

    Prof Claudio Morana

  77. The effects of the introduction of the euro on the volatility of European stock markets

    Article • Journal of Banking & Finance, October 2002, Elsevier

    Prof Claudio Morana

  78. IGARCH effects: an interpretation

    Article • Applied Economics Letters, September 2002, Taylor & Francis

    Prof Claudio Morana

  79. Core inflation in the Euro area

    Article • Applied Economics Letters, May 2002, Taylor & Francis

    Prof Claudio Morana

  80. An empirical investigation of long-run growth in the UK

    Article • Structural Change and Economic Dynamics, March 2002, Elsevier

    Prof Claudio Morana

  81. Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation

    Article • Studies in Nonlinear Dynamics & Econometrics, January 2002, De Gruyter

    Prof Claudio Morana

  82. Inflation Modelling in the Euro Area

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Prof Claudio Morana

  83. Measuring US Core Inflation: A Common Trends Approach

    Article • SSRN Electronic Journal, January 2002, Elsevier

    Prof Claudio Morana

  84. Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

    Article • Economic Notes, July 2001, Wiley

    Prof Claudio Morana

  85. A semiparametric approach to short-term oil price forecasting

    Article • Energy Economics, May 2001, Elsevier

    Prof Claudio Morana

  86. Core Inflation in the Euro Area

    Article • SSRN Electronic Journal, January 2001, Elsevier

    Prof Claudio Morana

  87. Central bank interventions and exchange rates: an analysis with high frequency data

    Article • Journal of International Financial Markets Institutions and Money, December 2000, Elsevier

    Prof Claudio Morana

  88. Modelling Evolving Long-run Relationships: An Application to the Italian Energy Market

    Article • Scottish Journal of Political Economy, February 2000, Wiley

    Prof Claudio Morana

  89. Computing value at risk with high frequency data

    Article • Journal of Empirical Finance, December 1999, Elsevier

    Prof Claudio Morana

  90. Modelling Evolutionary Long-Run Relationships: An Application to the Italian Energy Market

    Article • SSRN Electronic Journal, January 1998, Elsevier

    Prof Claudio Morana

  91. The Effects of the US Economic and Financial Crises on Euro Area Convergence

    Article • Edward Elgar Publishing

    Prof Claudio Morana

  92. Inflation modelling in the euro area

    Article • Cambridge University Press

    Prof Claudio Morana