mario cerrato : Citation Profile


Are you mario cerrato?

University of Glasgow

8

H index

7

i10 index

225

Citations

RESEARCH PRODUCTION:

23

Articles

60

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 12
   Journals where mario cerrato has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 23 (9.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pce69
   Updated: 2022-11-19    RAS profile: 2020-05-27    
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Relations with other researchers


Works with:

Kim, Minjoo (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 (9)

Kim, Hyeongwoo (6)

Ghassan, Hassan (6)

Apergis, Nicholas (6)

Herzer, Dierk (5)

Caporale, Guglielmo Maria (5)

Sahbaz, Ahmet (4)

Ferré, Montserrat (4)

Lee, Chien-Chiang (4)

Ramajo, Julian (4)

Cites to:

Taylor, Mark (32)

Sarno, Lucio (26)

Taylor, Alan (19)

Christoffersen, Peter (18)

Leybourne, Stephen (16)

Rogoff, Kenneth (14)

MacDonald, Ronald (14)

Lyons, Richard (13)

Obstfeld, Maurice (11)

Duffie, Darrell (11)

Patton, Andrew (11)

Main data


Where mario cerrato has published?


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

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 (2022 and 2021)


YearTitle of citing document
2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Facing up to the polysemy of purchasing power parity: New international evidence. (2021). Chen, Shyh-Wei ; Xie, Zixiong ; Hsieh, Chun-Kuei . In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:247-265.

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2021The factor analytical approach in near unit root interactive effects panels. (2021). Westerlund, Joakim ; Norkut, Milda. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:569-590.

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2021The US current account, sustainability, and the international monetary system. (2021). Kapounek, Svatopluk ; Dibooglu, Sel. In: Economic Systems. RePEc:eee:ecosys:v:45:y:2021:i:4:s0939362521000236.

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2022Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it. (2022). Zhao, Yuan ; Lamb, John D ; Mynbayeva, Elmira. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:694-707.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2022Systemic risk of commodity markets: A dynamic factor copula approach. (2022). Ouyang, Ruolan ; Zhao, Yang ; Fang, YI ; Chen, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200165x.

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2022Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model. (2022). Bufalo, Michele ; Orlando, Giuseppe. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004888.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2022Informed trading in foreign exchange futures: Payroll news timing. (2022). Park, Yang-Ho. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s037842662100323x.

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2021Asymmetric information risk in FX markets. (2021). Ranaldo, Angelo ; Somogyi, Fabricius. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:391-411.

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2021Entangled risks in incomplete FX markets. (2021). Tran, Ngoc-Khanh ; Maurer, Thomas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:146-165.

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2022Twin deficits revisited: A role for fiscal institutions?. (2022). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:121:y:2022:i:c:s0261560621001571.

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2022Uncovered return parity: Equity returns and currency returns. (2022). Dunbar, Geoffrey R ; Djeutem, Edouard . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001097.

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2021Extreme linkages between foreign exchange and general financial markets. (2021). Korsakul, Nattawadee ; Chen, Wei-Peng ; Wu, Chih-Chiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306740.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2022Impacts of Insurers’ Financial Insolvency on Non-Life Insurance Companies’ Profitability: Evidence from Bangladesh. (2022). Ramakrishnan, Swamynathan ; Joghee, Shanmugan ; Kabiraj, Sajal ; Miah, Md Firoze ; Hosen, Md Emran ; Alam, Md Nur. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:3:p:80-:d:915801.

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2021Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach. (2021). Muteba Mwamba, John Weirstrass ; Eloge, Ehounou Serge. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:2:p:29-:d:566097.

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2021Financial Inclusion in Emerging Economies: The Application of Machine Learning and Artificial Intelligence in Credit Risk Assessment. (2021). Mhlanga, David. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:3:p:39-:d:602632.

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2021Financial Stability of European Insurance Companies during the COVID-19 Pandemic. (2021). Puawska, Karolina. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:266-:d:574082.

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2021Bankruptcy Prediction with a Doubly Stochastic Poisson Forward Intensity Model and Low-Quality Data. (2021). Rejman, Radosaw ; Berent, Tomasz. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:12:p:217-:d:693252.

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2021The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches. (2021). Pietrych, Ukasz ; Czech, Katarzyna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:142-:d:606543.

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2021Determinants of the Risk-Based Capital of Insurance Companies in Indonesia. (2021). Ahmad, Gatot Nazir ; Purwohedi, Unggul ; Renaldo, Anggy. In: Accounting and Finance. RePEc:iaf:journl:y:2021:i:3:p:72-77.

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2021Dependence in the Banking Sector of the United States and Mexico: A Copula Approach. (2021). Pacheco, Christian Bucio ; de Jesus, Raul ; Villanueva, Luis. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:2.

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2022The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances. (2022). Vágnerová Linnertová, Dagmar ; Linnertova, Dagmar Vagnerova ; Kajurova, Veronika. In: Eastern European Economics. RePEc:mes:eaeuec:v:60:y:2022:i:4:p:330-351.

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2021Bi-Demographic and Current Account Dynamics using SVAR Model: Evidence from Saudi Arabia. (2021). Ghassan, Hassan ; Balli, Faruk ; Alhajhoj, Hassan R. In: MPRA Paper. RePEc:pra:mprapa:109772.

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2021A novel method of preprocessing and modeling ECG signals with Lagrange–Chebyshev interpolating polynomials. (2021). Ray, Shashwati ; Yadav, Om Prakash. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:12:y:2021:i:3:d:10.1007_s13198-021-01077-z.

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2021Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management. (2021). Diaz-Hernandez, Adan ; Flores, Yuri Salazar. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00527-5.

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2021Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies. (2021). Chen, Yi-Hsuan ; Vinogradov, Dmitri V. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021006.

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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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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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article12
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: 12
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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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article7
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: 7
paper
2015Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation In: The World Economy.
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article11
2008Using Chebyshev Polynomials to Approximate Partial Differential Equations In: CESifo Working Paper Series.
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paper5
2010Using Chebyshev Polynomials to Approximate Partial Differential Equations.(2010) In: Computational Economics.
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This paper has another version. Agregated cites: 5
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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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paper2
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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article9
2002The Cross Sectional Dependence Puzzle In: Royal Economic Society Annual Conference 2002.
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paper7
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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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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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: 2
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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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This paper has another version. Agregated cites: 5
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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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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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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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article8
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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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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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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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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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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