Dipartimento di Economia e Statistica "Cognetti de Martiis"

Prodotti della ricerca selezionati

Karanasos M., Paraskevopoulos A. G., Magdalinos T., Canepa A. (2024). “A Unified Theory for ARMA Models with Varying Coefficients: One Solution Fits All”. Forthcoming on Econometric Theory

Canepa, A. (2024). “Inflation Dynamics and Persistence: The Importance of the Uncertainty Channel”, North American Journal of Economics and Finance, 72, 102135

 Canepa, A. (2024). Socio-economic risk factors and wildfire crime in Italy: a quantile panel approach, "Empirical Economics, 66, 431-465.

Alquarelleh, H., Canepa, A., Gazi Salah Uddin, (2023). “Dynamic Relations Between Housing Markets, Stock Markets, and Uncertainty in Global Cities: A Time-Frequency Approach”.  North American Journal of Economics and Finance, 68, 101950.

Canepa, Fontana, M., Chersoni, G. (2023). “The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data, Quarterly Review of Economics and Finance, 91, 1-14.

Canepa, A., Chini, E.Z. and Alqaralleh, 2022. “Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market”. Journal of  Real Estate Finance and Economics, 64, 1-29.

Alqaralleh, H. and Canepa, Alessandra, 2022. "The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach," Resources Policy, vol. 75(C).

Canepa, A. (2022). “Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors”. Journal of Time Series Econometrics, 14, 51-85.

Alquarelleh, H., Canepa, A., 2021. “Covid19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach”. Journal of Risk and Financial Management, 14, 3-19.

Alquarelleh, H., Al-Saraireh A., Canepa, A., 2021. “Energy Market Risk Management Under Uncertainty: A VaR Based on Wavelet Approach”. International Journal of Energy Economics and Policy, 11, 130-137.

Canepa, A. and F. Drogo, 2021. “Wildfire Crime, Apprehension and Social Vulnerability in Italy”, Forest Policy and Economics, 122, 102330.

Canepa, A., Gonzales, M., Skinner, F., 2020. “Hedge Fund Strategies: A Non-Parametric Analysis””. International Review of Financial Analysis. 67, 101436

 Canepa, A., Chini, E.Z. and Alqaralleh, 2020. “Global Cities and Local Housing Market Cycles. Journal of  Real Estate Finance and Economics, 61, 671–697

Alqaralleh, H. and A. Canepa, (2020). “Housing Market Cycles in Large Urban Areas”.  Economic Modelling, 92, 257-267.

 Canepa, A., Khaled, F., (2018). “Housing, Housing Finance and Credit Risk. International Journal of Financial Studies. 6, 50.

Canepa A., E. Zanetti Chini, 2016. “Dynamic Asymmetries in House Price Cycles: A Generalized Smooth Transition Model”. Journal of Empirical Finance, 37, 91-103. (This paper was among the top 5 most downloaded papers from the journal's webpage in 2016).

Canepa, A. 2016. “A note on Bartlett Correction Factor for Tests on Cointegrating Relations” Statistics and Probability Letters. 110, 295-304.

Moscone, F. Tosetti, E., Canepa, A., 2014 “Real Estate Market and Financial Stability in US Metropolitan Areas: a Dynamic Model with Spatial Effects. Regional Science and Urban Economics, 49, 129-146.

Canepa, A., and Inrubbian A., 2014. “Does Faith Move Stock Markets? Evidence from Saudi Arabia”.  Quarterly Review of Economics and Finance, 54, 538-550.

Date, P. A. Canepa, and M. Abdel-Jaward, 2011. “A Mixed Integer Linear Programming Model for Optimal Sovereign Debt Issuance”. European Journal of Operational Research, 214, 748 -758.

Battisti G., A. Canepa and P. Stoneman, 2009. "E-Business Usage Across and Within Firms in the UK: Productivity, Profitability, Externalities and Policy" Research Policy, 38, 133-143.

Canepa A.and P. Stoneman, 2008. “Financial Constraints to Innovation in the UK: evidence from CIS2 and CIS3”. Oxford Economics Papers, 60, 711-730.

 Canepa A. and L.G. Godfrey, 2007. "Improvement of the Quasi-Likelihood Ratio Test in ARMA Models: Some Results for Bootstrap Methods". Journal of Time Series Analysis. 28, 434-453.

Canepa A., 2006. "Small Sample Corrections for Linear Restrictions on Cointegrating Vectors: a Monte Carlo Comparison". Economics Letters, 91, 330-336.

Canepa A. and P. Stoneman, 2005. "Financing Constraints in the Inter Firm Diffusion of New Process Technologies". The Journal of Technology Transfer, 30,159-169.

Canepa, A. and P. Stoneman, 2004. "Comparative International Diffusion: Patterns, Determinants and Policies," Economics of Innovation and New Technology, 13, 279-298.

Canepa A., 2003. "Bartlett Correction for the LR test in Cointegrating Models: a Bootstrap Approach". American Statistical Association Proceedings 2003.

Books and Book Chapters

Hunter, J., Burke, S., and Canepa, A. (2017). Modelling Multivariate non Stationary Economic Time Series. 2^nd Edition. Palgrave Text in Econometrics, Palgrave MacMillan, London.

Canepa A., 2009. Inference in Cointegrated VAR Models: Bootstrap Methods and Applications, Lap Lambert Academic Publishing.

Canepa A. and P. Stoneman, 2005. “Financing Constraints in the Interfirms Diffusion of New Technologies”, in Essays in Honour of Edwin Mansfield: The Economics of R&D, Innovation, and Technological Change. Edited by A. Link and F.M. Scherer, Springer, New York.

Canepa A. and P. Stoneman, 2003. "Do Financial Factors Constrain Innovation? A European Cross Country Study", in Competition, Monopoly and Corporate Governance: Essays in Honour of Keith Cowling. Edward Elgar, Chelteham.

Reports

Anthony, M. and A. Canepa, 2006. “The Strategic Debt Analysis Model and the Comparison of Debt Issuance Strategies”. In Debt and Reserves Management Report, HM Treasury.

Canepa A., 2006. “The Consequences of the Supply-Side Effects of an Extreme Issuance Strategy”. UK Debt Management Office Report, HM Treasury.

Insegnamenti

• Analisi delle serie storiche (non attivo) (ECM0120)
  Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"
• Econometria (ECM0303)
  Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"
• Metodi quantitativi per l'economia II (non attivo) (ECM0194B)
  Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"
• Metodi quantitativi per l'economia I (non attivo) (ECM0194A)
  Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"
• Time series analysis (ECO0421)
  Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"

Gruppi di ricerca

• Economia internazionale, finanza, e sviluppo
• Statistica metodologica, applicata e sociale

Attività in agenda

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Organi

• Commissione didattica
• Consiglio di Dipartimento