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Department of Economics and Statistics "Cognetti de Martiis"

Department of Economics and Statistics "Cognetti de Martiis"

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Alessandra Canepa

Associate Professor

Contacts

At

  • Department of Economics and Statistics "Cognetti de Martiis"
  • Dipartimento di Economia e Statistica "Cognetti de Martiis"
  • Corsi di Studio del Dipartimento di Economia e Statistica "Cognetti de Martiis"

Curriculum vitae

  • Curriculum Vitae (34.9 KB)

    • Selected research products

    Recent publications

     

    Journal Articles

     

    Canepa, A., Gonzales, M., Skinner, F., 2020. “Hedge fund strategies: A non-parametric analysis. International review of financial analysis”. https://doi.org/10.1016/j.irfa.2019.101436.

     Canepa, A., Chini, E.Z. & Alqaralleh, 2019. “ Global Cities and Local Housing Market Cycles. Journal of  Real Estate Finance and Economics . https://doi.org/10.1007/s11146-019-09734-8

    Alqaralleh and A. Canepa, 2020. “Housing market cycles in large urban areas”. In Economic Modelling, https://doi.org/10.1016/j.econmod.2020.01.005.

    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 in the top 5 most downloaded papers from the journal webpage in 2016, proof available)

    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. 2nd 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.

    Working Papers

    Canepa. A, Drogo. F. 2020. “Wildfire Crime and Social Vulnerability in Italy: A Panel Investigation”, ”, EST Working Paper 05/2020, Turin University.

    Canepa, A, M.G. Karanasos, A. G. Paraskevopoulos, 2019. “Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients”, EST Working Paper 11/2019, Turin University.

    Canepa, A, E. Zanetti Chini, H. Alqaralleh, 2019. “Modelling Housing Market Cycles in Global Cities”, EST Working Paper 01/2019, Turin University.

    Canepa, A and H. Alqaralleh, 2019. “Housing Market Cycles in Large Urban Areas”, EST Working Paper 03/2019, Turin University.

    Canepa, A., Gonzales, M., Skinner, 2019. “Evaluating the Performance of Hedge Fund Strategies: A non-Parametric Analysis. EST Working Paper 02/2019, Turin University.

    Canepa A., E. Zanetti Chini, 2015. “Dynamic Asymmetries in House Price Cycles: A Generalized Smooth Transition Model”. Working Paper No. 15-23, Brunel University London.

    Mosconi F. Tosetti, E. Canepa, A., 2014. “Real Estate Market and Financial Stability in US Metropolitan Areas: a Dynamic Model with Spatial Effects”. Working Paper No. 14-01, Brunel University London.

     Canepa A., 2005. “Improvement of the LR test on Cointegrating Relations in VAR Models: Bootstrap Methods and Applications”. York University Working Paper.

    Canepa A., K. Kaivanto, and P. Stoneman, 2004. "The Public Provision of Sales Contingent Contracts as a Policy Response to Financial Constraints to Innovation in European SMEs," EIFC - Technology and Finance Working Papers 38, United Nations University, Institute for New Technologies.

    Canepa A., and P. Stoneman, 2004. "Financial Constraints to Innovation in Europe: Policy and Evidence," EIFC - Technology and Finance Working Papers 36, United Nations University, Institute for New Technologies.

    Canepa A., and P. Stoneman, 2002. "Financial Constraints to Innovation: A European Cross Country Study," EIFC - Technology and Finance Working Papers 11, United Nations University, Institute for New Technologies.

    Canepa A., and P. Stoneman, 2002. "The Diffusion of New Process Technologies: International Comparisons," EIFC - Technology and Finance Working Papers 15, United Nations University, Institute for New Technologies.

    Canepa A.and R.J. O'Brien, 2000. "The Size and the Power of Bootstrap Test for Linear Restriction on Cointegrating Space Under Misspecified Relationships", Paper prepared for the Econometrics Society World Congress, Seattle, August 2000

    Courses

    Research groups

    Activities in agenda

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    Academic bodies

    Last update: 23/01/2023 10:37
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