Prof. Claudio Morana
Department of Economics, Statistics and Management
University of Milano-Bicocca, Italy
Email: claudio.morana@unimib.it
Qualifications
1997 Ph.D., Economics, University of Aberdeen, UK
1994 M.Sc., Economics., University of Glasgow, UK
Publications (Selected)
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A
Semi-Parametric Approach to Short-Run Oil Price Forecasting, Energy Economics,
2001, 23/3, 325-38.
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The
Effects of the Introduction of the Euro on the Volatility of European Stock
Markets (with Beltratti, A.), Journal of Banking and Finance, 2002, 26(10),
2047-2064.
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Common
Persistent Factors in Inflation and Excess Nominal Money Growth and a New
Measure of Core Inflation, Studies in Non Linear Dynamics and Econometrics,
2002, 6(3), art. 3.
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Measuring
US Core Inflation: a Common Trends Approach (with F.C. Bagliano), Journal of
Macroeconomics, 2003, 25, 197-212.
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Monetary
Policy and the Stock Market in the Euro Area (with Nuno Cassola), Journal of
Policy Modeling, 2004, 26(3), 387-99.
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Structural
Change andLongRangeDependence in Volatility of Exchange Rates: Either, Neither
or Both? (with Beltratti, A.), Journal of Empirical Finance, 2004, 11, 629-58.
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Frequency
Domain Principal Components Estimation of Fractionally Cointegrated Processes:
Some New Results and an Application to Stock Market Volatility, Physica A,
2005, 335, 165-175.
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Statistical
Benefits of Value at Risk with Long Memory (with A. Beltratti), Journal of
Risk, 2005, 7(4).
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Breaks
and Persistency: Macroeconomic Causes of Stock Market Volatility (with A.
Beltratti), Journal of Econometrics, 2006, 131, 151-177.
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A
Small Scale Macroeconometric Model for the Euro-12 Area, 2006, Economic
Modelling, 23(3), 391-426.
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Multivariate
Modelling of Long Memory Processes with Common Components, 2007, Computational
Statistics and Data Analysis, 52, 919-934.
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Comovements
in International Stock Markets (with A. Beltratti), 2008, Journal of
International Financial Markets Institutions and Money, 18, 31-45.
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Modelling
Short-Term Interest Rate Spreads in the Euro Money Market (with Nuno Cassola),
2008, International Journal of Central Banking, 4, 1-39.
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An
Omnibus Noise Filter, 2009, Computational Statistics, 24, 459-479.
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On
the Macroeconomic Causes of Exchange Rate Volatility, 2009, International
Journal of Forecasting, 25, 328-350.
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Modeling
Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH
Approach (with R.T. Baillie), 2009, Journal of Economic Dynamics and Control,
33, 1577-1592.
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International
house prices and macroeconomic fluctuations (with A. Beltratti), 2010, Journal
of Banking and Finance, 34, 535-545.
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Comovements
in Volatility in the Euro Money Market (with Nuno Cassola), 2010, Journal of
International Money and Finance, 29, 525-39.
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The
Great Recession: US dynamics and spillovers to the world economy, (with F.C.
Bagliano), 2012, Journal of Banking and Finance, 36, 1-13.
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Euro
money market spreads during the 2007-financial crisis, (con N. Cassola),
2012, Journal of Empirical Finance, 19, 548-557.
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PC-VAR
estimation of vector autoregressive models, 2012, Open Journal of Statistics,
2, 251-259.
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Adaptive
ARFIMA Models with Applications to Inflation, (with R.T. Baillie), 2012,
Economic Modelling, 29, 2451-2459.
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Oil
price dynamics, macro-finance interactions and the role of financial
speculation, 2013, Journal of Banking and Finance, 37, 206-226.
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Factor
Vector Autoregressive Estimation of Heteroskedastic Persistent and Non
Persistent Processes Subject to Structural Breaks, 2014, Open Journal of
Statistics, 4, 292-312.
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Insights on the Global Macro-Finance Interface: Structural Sources of Risk
Factors Fluctuations and the Cross-Section of Expected Stock Returns, 2014,
Journal of Empirical Finance, 29, 64-79.
Profile Details
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