mario cerrato : Citation Profile


Are you mario cerrato?

University of Glasgow

7

H index

3

i10 index

155

Citations

RESEARCH PRODUCTION:

20

Articles

56

Papers

RESEARCH ACTIVITY:

   15 years (2002 - 2017). See details.
   Cites by year: 10
   Journals where mario cerrato has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 19 (10.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pce69
   Updated: 2018-07-14    RAS profile: 2017-11-12    
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Relations with other researchers


Works with:

MacDonald, Ronald (4)

Kim, Hyunsok (3)

Caporale, Guglielmo Maria (3)

Boyarchenko, Nina (2)

Zhao, Yang (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with mario cerrato.

Is cited by:

Lau, Chi Keung (9)

Kim, Hyeongwoo (6)

Herzer, Dierk (5)

Sahbaz, Ahmet (4)

Ghassan, Hassan (4)

Nazlioglu, Saban (4)

Apergis, Nicholas (4)

Liu, Edith (3)

Ramajo, Julian (3)

Kim, Jae (3)

Holmes, Mark (3)

Cites to:

Taylor, Mark (24)

Sarno, Lucio (19)

Christoffersen, Peter (15)

Taylor, Alan (13)

MacDonald, Ronald (12)

Lyons, Richard (11)

Leybourne, Stephen (11)

Jagannathan, Ravi (11)

Obstfeld, Maurice (10)

Duffie, Darrell (9)

Lucas, Andre (9)

Main data


Where mario cerrato has published?


Journals with more than one article published# docs
Journal of Banking & Finance2
Journal of Empirical Finance2
Manchester School2

Working Papers Series with more than one paper published# docs
Working Papers / Business School - Economics, University of Glasgow24
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)20
CESifo Working Paper Series / CESifo Group Munich3

Recent works citing mario cerrato (2018 and 2017)


YearTitle of citing document
2017London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05.

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2018London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.04488.

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2017Assessing Market Integration in ASEAN with Retail Price Data. (2017). , Vinh ; Yang, YU. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:510-532.

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2017The Long-run Relationship Between Trade and Population Health: Evidence from Five Decades. (2017). Herzer, Dierk. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:2:p:462-487.

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2017Current account dynamics and the real exchange rate: disentangling the evidence. (2017). Leon-Ledesma, Miguel ; Karadimitropoulou, Aikaterini ; Bussiere, Matthieu. In: Working Papers. RePEc:bog:wpaper:239.

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2018London calling: Nonlinear mean reversion across national stock markets. (2018). Kim, Hyeongwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:265-277.

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2017Disaster risk and asset returns: An international perspective. (2017). Liu, Edith ; Lewis, Karen K. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s42-s58.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017The way we live now: Financialization and securitization. (2017). Buchanan, Bonnieg . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:663-677.

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2017Disaster Risk and Asset Returns : An International Perspective. (2017). Liu, Edith ; Lewis, Karen K. In: International Finance Discussion Papers. RePEc:fip:fedgif:1199.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models. (2017). Buncic, Daniel. In: Working Paper Series. RePEc:hhs:rbnkwp:0344.

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2017Symmetry, proportionality and productivity bias hypothesis: evidence from panel-VAR models. (2017). Irandoust, Manuchehr. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9185-y.

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2017Disaster Risk and Asset Returns: An International Perspective. (2017). Liu, Edith ; Lewis, Karen K. In: NBER Working Papers. RePEc:nbr:nberwo:23065.

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2017الحساب الجاري للاقتصاد السعودي عبر نموذج داخلي الزمن دلائل من منهجية نموذج التقهقر الذاتي البنيوي. (2017). Ghassan, Hassan ; Al-Jefri, Essam H. In: MPRA Paper. RePEc:pra:mprapa:80302.

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2018Insurance-Growth Nexus in Africa. (2018). Lee, Chien-Chiang ; GUPTA, RANGAN ; Balcilar, Mehmet ; Olasehinde-Williams, Godwin. In: Working Papers. RePEc:pre:wpaper:201801.

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2018Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks. (2018). Stewart, Chris ; solarin, sakiru ; Shahbaz, Muhammad. In: Economics Discussion Papers. RePEc:ris:kngedp:2018_002.

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2017The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries. (2017). solarin, sakiru. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:109-123.

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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y.

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2017Forecasting in nonlinear univariate time series using penalized splines. (2017). Wegener, Michael ; Kauermann, Goran . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0711-1.

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2017Real options valuation of franchise territorial exclusivity. (2017). Nugroho, Lukito Adi ; McMillan, David. In: Cogent Business & Management. RePEc:taf:oabmxx:v:4:y:2017:i:1:p:1262490.

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2017Current account dynamics and the real exchange rate: Disentangling the evidence. (2017). Leon-Ledesma, Miguel ; Karadimitropoulou, Aikaterini ; Bussiere, Matthieu. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2017_06.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:34.

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Works by mario cerrato:


YearTitleTypeCited
2008THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES In: Manchester School.
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2013IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES In: Manchester School.
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article8
2008Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries.(2008) In: SIRE Discussion Papers.
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2008Black Market and Official Exchange Rates: Long-run Equilibrium and Short-run Dynamics In: Review of International Economics.
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article4
2006Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics.(2006) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 4
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2015Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation In: The World Economy.
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article7
2008Using Chebyshev Polynomials to Approximate Partial Differential Equations In: CESifo Working Paper Series.
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2010Using Chebyshev Polynomials to Approximate Partial Differential Equations.(2010) In: Computational Economics.
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2016Analysing the Determinants of Credit Risk for General Insurance Firms in the UK In: CESifo Working Paper Series.
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2016Analysing the Determinants of Credit Risk for General Insurance Firms in the UK.(2016) In: Discussion Papers of DIW Berlin.
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2006Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies In: Economics Bulletin.
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article6
2002The Cross Sectional Dependence Puzzle In: Royal Economic Society Annual Conference 2002.
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2003Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates In: Royal Economic Society Annual Conference 2003.
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2009Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2) In: SIRE Discussion Papers.
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20093-Regime symmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers.
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20093-Regime symmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers.
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2010An investigation of customer order flow in the foreign exchange market In: SIRE Discussion Papers.
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2011An investigation of customer order flow in the foreign exchange market.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 8
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2010An investigation of customer order flow in the foreign exchange market.(2010) In: Working Papers.
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2008Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1) In: SIRE Discussion Papers.
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2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers.
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2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers.
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2010Equilibrium Exchange Rate Determination and Multiple Structural Changes In: SIRE Discussion Papers.
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2013Equilibrium exchange rate determination and multiple structural changes.(2013) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 1
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2010Nominal Interest Rates and Stationarity In: SIRE Discussion Papers.
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2010Nominal interest rates and stationarity.(2010) In: Working Papers.
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2013Nominal interest rates and stationarity.(2013) In: Review of Quantitative Finance and Accounting.
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2010Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers.
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2013Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance.
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2010Does the euro dominate Central and Eastern European money markets?.(2010) In: Working Papers.
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2010The Rise and Fall of the ABS Market In: SIRE Discussion Papers.
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2010The rise and fall of the ABS market.(2010) In: Working Papers.
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2010Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts In: SIRE Discussion Papers.
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2015Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2015) In: Journal of International Financial Markets, Institutions and Money.
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2010Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2010) In: Working Papers.
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2011A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers.
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2007A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche.
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2008A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers.
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2009A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers.
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2011A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers.
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2012Why do UK banks securitize? In: SIRE Discussion Papers.
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2012Why do UK banks securitize?.(2012) In: Working Papers.
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2011Measuring the Economic Significance of Structural Exchange Rate Models In: SIRE Discussion Papers.
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2011Measuring the economic significance of structural exchange rate models.(2011) In: Working Papers.
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2013No Good Deals - No Bad Models In: SIRE Discussion Papers.
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2012No good deals—no bad models.(2012) In: Staff Reports.
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2013No Good Deals - No Bad Models.(2013) In: Working Papers.
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2008Optimal Martingales and American Option Pricing In: SIRE Discussion Papers.
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2009Optimal Martingales and American Option Pricing.(2009) In: SIRE Discussion Papers.
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2009Optimal martingales and American option pricing.(2009) In: Working Papers.
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2008Valuing American Derivatives by Least Squares Methods In: SIRE Discussion Papers.
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2008Valuing American Derivatives by Least Squares Methods.(2008) In: Working Papers.
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2014Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas In: SIRE Discussion Papers.
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2009Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers.
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2009Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers.
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2007A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP In: Computational Statistics & Data Analysis.
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2017Relation between higher order comoments and dependence structure of equity portfolio In: Journal of Empirical Finance.
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2017Analysing the determinants of insolvency risk for general insurance firms in the UK In: Journal of Banking & Finance.
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2008Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests In: International Review of Economics & Finance.
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2008Chebyshev polynomial approximation to approximate partial differential equations In: Working Papers.
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2008Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers.
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paper3
2009Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities In: Working Papers.
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2011Adaptive continuous time Markov chain approximation model to general jump-diffusions In: Working Papers.
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2015Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula In: Working Papers.
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2015Risk Sharing in International Economies and Market Incompleteness In: Working Papers.
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2015Correlated Defaults of UK Banks: Dynamics and Asymmetries In: Working Papers.
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2016Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies In: Working Papers.
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2004Panel Data Tests of PPP. A Critical Overview In: Economics Series.
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2006Panel data tests of PPP: a critical overview.(2006) In: Applied Financial Economics.
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2007Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates In: International Journal of Finance & Economics.
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2010Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion In: Journal of Money, Credit and Banking.
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2005The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2007Valuing American Style Options by Least Squares Methods In: Money Macro and Finance (MMF) Research Group Conference 2006.
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2005No euro please, We’re British! In: CELPE Discussion Papers.
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2005Measuring half-lives: using a non-parametric bootstrap approach In: Applied Financial Economics Letters.
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2006TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS In: International Journal of Theoretical and Applied Finance (IJTAF).
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