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)

1. A Semi-Parametric Approach to Short-Run Oil Price Forecasting, Energy Economics, 2001, 23/3, 325-38.
2. 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.
3. 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.
4. Measuring US Core Inflation: a Common Trends Approach (with F.C. Bagliano), Journal of Macroeconomics, 2003, 25, 197-212.
5. Monetary Policy and the Stock Market in the Euro Area (with Nuno Cassola), Journal of Policy Modeling, 2004, 26(3), 387-99.
6. Structural Change andLongRangeDependence in Volatility of Exchange Rates: Either, Neither or Both? (with Beltratti, A.), Journal of Empirical Finance, 2004, 11, 629-58.
7. 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.
8. Statistical Benefits of Value at Risk with Long Memory (with A. Beltratti), Journal of Risk, 2005, 7(4).
9. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility (with A. Beltratti), Journal of Econometrics, 2006, 131, 151-177.
10. A Small Scale Macroeconometric Model for the Euro-12 Area, 2006, Economic Modelling, 23(3), 391-426.
11. Multivariate Modelling of Long Memory Processes with Common Components, 2007, Computational Statistics and Data Analysis, 52, 919-934.
12. Comovements in International Stock Markets (with A. Beltratti), 2008, Journal of International Financial Markets Institutions and Money, 18, 31-45.
13. Modelling Short-Term Interest Rate Spreads in the Euro Money Market (with Nuno Cassola), 2008, International Journal of Central Banking, 4, 1-39.
14. An Omnibus Noise Filter, 2009, Computational Statistics, 24, 459-479.
15. On the Macroeconomic Causes of Exchange Rate Volatility, 2009, International Journal of Forecasting, 25, 328-350.
16. 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.
17. International house prices and macroeconomic fluctuations (with A. Beltratti), 2010, Journal of Banking and Finance, 34, 535-545.
18. Comovements in Volatility in the Euro Money Market (with Nuno Cassola), 2010, Journal of International Money and Finance, 29, 525-39.
19. The Great Recession: US dynamics and spillovers to the world economy, (with F.C. Bagliano), 2012, Journal of Banking and Finance, 36, 1-13.
20. Euro money market spreads during the 2007-financial crisis, (con N. Cassola), 2012, Journal of Empirical Finance, 19, 548-557.
21. PC-VAR estimation of vector autoregressive models, 2012, Open Journal of Statistics, 2, 251-259.
22. Adaptive ARFIMA Models with Applications to Inflation, (with R.T. Baillie), 2012, Economic Modelling, 29, 2451-2459.
23. Oil price dynamics, macro-finance interactions and the role of financial speculation, 2013, Journal of Banking and Finance, 37, 206-226.
24. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks, 2014, Open Journal of Statistics, 4, 292-312.
25. 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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