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Welcome to Giovanni Urga's personal website!


KEY INFORMATION

Professor of Finance & Econometrics, Cass Business School, London (U.K.)

Director, Centre for Econometric Analysis http://www.cass.city.ac.uk/cea/index.html

Professor of Econometrics, Department of Management, Economics and Quantitative Methods, University of Bergamo (Italy)

1992-2007: Visiting Professor

2007-Present: Professore a Tempo Definito

Visiting Professor at CRED, University Paris II Pantheon-Assas, France (2015-present)


EXPERTISE

Econometric Methodology and Applications: 
modelling structural breaks, testing for genuine vs spurious long memory, evaluating micro vs. macro cointegration analysis and related aggregation issues in economics and finance, modelling instability of Money Demand Functions and measuring welfare costs of inflation, assessing systemic risk and monetary policy, modelling shadow banking

Panel Data Econometrics:
modelling nonstationarity and breaks in panels, modelling dynamic multifactor models, modelling cross-sectional dependence in panels

Financial Econometrics: 
high-frequency econometrics, testing for jumps and co-jumps, modelling price and liquidity discovery models