Overview
Giovanni Urga is Professor of Finance at Cass Business School, City University London. His research spans structural break testing, long memory in financial time series, and robust GMM estimation. He co-organized the December 2002 conference on "Long Memory, Structural Breaks and Stock Market Volatility" at Cass and co-edited the resulting Journal of Econometrics special issue vol. 129 (2005) with Anindya Banerjee.
Key Contributions / Features
- Banerjee-Lazarova-Urga (1998): bootstrapping sequential tests for multiple structural breaks.
- de Peretti-Urga (2004): stopping tests in sequential estimation of multiple structural breaks.
- Gagliardini-Trojani-Urga (2004): new class of robust GMM tests for endogenous structural breaks based on supremum, average, and exponential functionals of robust GMM estimators; demonstrated higher power and more stable critical values than the Andrews (1993) class.
- Banerjee-Urga (2005): editorial overview for Journal of Econometrics special issue on structural breaks, long memory, and stock market volatility.
Related