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The role of shadow banking in systemic risk in the European financial system

Bellavite Pellegrini, Carlo; Cincinelli, Peter; Meoli, … - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461778

A practical multivariate approach to testing volatility spillover

Leong, Soon Heng; Urga, Giovanni - In: Journal of economic dynamics & control 153 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014479289

Is there an optimal level of leverage? : the case of banks and non-bank institutions in Europe

Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - In: International review of financial analysis 94 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014543993

Combining p-values for multivariate predictive ability testing

Spreng, Lars; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 765-777

Persistent link: https://www.econbiz.de/10014448433

Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts

Akgun, Oguzhan; Pirotte, Alain; Urga, Giovanni; Yang, … - 2023

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely S-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on average over all panel units and over time. The second,...

Persistent link: https://www.econbiz.de/10014261562