mario cerrato : Citation Profile


Are you mario cerrato?

University of Glasgow

8

H index

5

i10 index

178

Citations

RESEARCH PRODUCTION:

23

Articles

60

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 9
   Journals where mario cerrato has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 23 (11.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pce69
   Updated: 2020-10-17    RAS profile: 2020-05-27    
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Relations with other researchers


Works with:

Kim, Minjoo (4)

Caporale, Guglielmo Maria (3)

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 (13)

GUPTA, RANGAN (7)

Kim, Hyeongwoo (6)

Apergis, Nicholas (6)

Ghassan, Hassan (5)

Caporale, Guglielmo Maria (5)

Herzer, Dierk (5)

Mukherjee, Zinnia (4)

Nazlioglu, Saban (4)

Sahbaz, Ahmet (4)

Kim, Jae (3)

Cites to:

Taylor, Mark (29)

Sarno, Lucio (25)

Taylor, Alan (19)

Christoffersen, Peter (17)

Leybourne, Stephen (12)

MacDonald, Ronald (12)

Duffie, Darrell (11)

Lyons, Richard (11)

Jagannathan, Ravi (11)

Obstfeld, Maurice (10)

Rogoff, Kenneth (10)

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 Glasgow27
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)20
CESifo Working Paper Series / CESifo3

Recent works citing mario cerrato (2020 and 2019)


YearTitle of citing document
2020Are Uncertainties across the World Convergent?. (2020). GUPTA, RANGAN ; Gözgör, Giray ; Marco, Chi Keung ; Christou, Christina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00608.

Full description at Econpapers || Download paper

2019Financialization and the macroeconomy. Theory and empirical evidence. (2019). Reyes-Ortiz, Luis ; Lagoarde-Segot, Thomas ; Gimet, Celine. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:89-110.

Full description at Econpapers || Download paper

2019Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138.

Full description at Econpapers || Download paper

2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

Full description at Econpapers || Download paper

2020Sustainability Practices and Stability in the Insurance Industry. (2020). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:14:p:5530-:d:382103.

Full description at Econpapers || Download paper

2019Insider perspectives on European banking challenges in the post-crisis regulation environment. (2019). Kabeega, Jackie ; Anagnostopoulos, Yiannis . In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:20:y:2019:i:2:d:10.1057_s41261-018-0076-1.

Full description at Econpapers || Download paper

2019Are Uncertainties across the World Convergent?. (2019). Lau, Chi Keung ; GUPTA, RANGAN ; Gözgör, Giray ; Gozgor, Giray ; Christou, Christina. In: Working Papers. RePEc:pre:wpaper:201907.

Full description at Econpapers || Download paper

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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article1
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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article11
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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This paper has another version. Agregated cites: 11
paper
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
paper
2015Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation In: The World Economy.
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article8
2008Using Chebyshev Polynomials to Approximate Partial Differential Equations In: CESifo Working Paper Series.
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paper4
2010Using Chebyshev Polynomials to Approximate Partial Differential Equations.(2010) In: Computational Economics.
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This paper has another version. Agregated cites: 4
article
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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This paper has another version. Agregated cites: 0
paper
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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paper5
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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paper1
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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This paper has another version. Agregated cites: 0
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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: 10
article
2010An investigation of customer order flow in the foreign exchange market.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
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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This paper has another version. Agregated cites: 0
paper
2010Equilibrium Exchange Rate Determination and Multiple Structural Changes In: SIRE Discussion Papers.
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paper2
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: 2
article
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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This paper has another version. Agregated cites: 3
paper
2013Nominal interest rates and stationarity.(2013) In: Review of Quantitative Finance and Accounting.
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This paper has another version. Agregated cites: 3
article
2010Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers.
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paper3
2013Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 3
article
2010Does the euro dominate Central and Eastern European money markets?.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 0
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2010Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts In: SIRE Discussion Papers.
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paper3
2015Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2015) In: Journal of International Financial Markets, Institutions and Money.
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This paper has another version. Agregated cites: 3
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2010Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 3
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2011A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers.
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paper37
2007A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche.
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This paper has another version. Agregated cites: 37
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2008A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 37
paper
2009A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 37
paper
2011A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 37
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2012Why do UK banks securitize? In: SIRE Discussion Papers.
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paper5
2012Why do UK banks securitize?.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 5
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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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paper2
2012No good deals—no bad models.(2012) In: Staff Reports.
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This paper has another version. Agregated cites: 2
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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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This paper has another version. Agregated cites: 1
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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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article1
2017Analysing the determinants of insolvency risk for general insurance firms in the UK In: Journal of Banking & Finance.
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article1
2008Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests In: International Review of Economics & Finance.
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article8
2008Chebyshev polynomial approximation to approximate partial differential equations In: Working Papers.
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paper0
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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paper0
2011Adaptive continuous time Markov chain approximation model to general jump-diffusions In: Working Papers.
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paper1
2015Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula In: Working Papers.
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paper3
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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2018Foreign exchange order fl ow as a risk factor In: Working Papers.
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2020Foreign Exchange Order Flow as a Risk Factor.(2020) In: NBER Working Papers.
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2020Factor Investing and forex Portfolio Management In: Working Papers.
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2020The Informational Content of Default Risk in UK Insurance Firms 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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This paper has another version. Agregated cites: 19
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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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article9
2010Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion In: Journal of Money, Credit and Banking.
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2010Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion.(2010) 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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paper2
2018Implications of Incomplete Markets for International Economies In: Review of Financial Studies.
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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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2017The joint credit risk of UK global‐systemically important banks In: Journal of Futures Markets.
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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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