mario cerrato : Citation Profile


Are you mario cerrato?

University of Glasgow

7

H index

4

i10 index

132

Citations

RESEARCH PRODUCTION:

19

Articles

54

Papers

RESEARCH ACTIVITY:

   15 years (2002 - 2017). See details.
   Cites by year: 8
   Journals where mario cerrato has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 18 (12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pce69
   Updated: 2017-10-21    RAS profile: 2017-06-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

MacDonald, Ronald (4)

Boyarchenko, Nina (3)

Kim, Hyunsok (3)

Zhao, Yang (2)

Caporale, Guglielmo Maria (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 (8)

Apergis, Nicholas (4)

Sahbaz, Ahmet (4)

Herzer, Dierk (4)

Nazlioglu, Saban (4)

Baharumshah, Ahmad Zubaidi (3)

Ghassan, Hassan (3)

Kim, Jae (3)

Kim, Hyeongwoo (3)

Holmes, Mark (3)

Hall, Stephen (2)

Cites to:

Taylor, Mark (22)

Sarno, Lucio (18)

MacDonald, Ronald (12)

Taylor, Alan (12)

Christoffersen, Peter (11)

Obstfeld, Maurice (10)

Lyons, Richard (10)

shin, yongcheol (9)

Jagannathan, Ravi (8)

Sollis, Robert (8)

Rogoff, Kenneth (8)

Main data


Where mario cerrato has published?


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

Working Papers Series with more than one paper published# docs
Working Papers / Business School - Economics, University of Glasgow23
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)19
CESifo Working Paper Series / CESifo Group Munich3

Recent works citing mario cerrato (2017 and 2016)


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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:2:p:601-634.

Full description at Econpapers || Download paper

2016Securitization: a financing vehicle for all seasons?. (2016). Buchanan, Bonnieg . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_031.

Full description at Econpapers || Download paper

2016Absolute Income Inequality and Rising House Prices. (2016). Torres García, Alejandro ; Stewart, Chris ; Goda, Thomas ; Garcia, Alejandro Torres. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015247.

Full description at Econpapers || Download paper

2016Gold and silver manipulation: What can be empirically verified?. (2016). Batten, Jonathan ; Lucey, Brian M. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:168-176.

Full description at Econpapers || Download paper

2016Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions. (2016). Apergis, Nicholas. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:263-271.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Does bitcoin reveal new information about exchange rates and financial integration?. (2016). Pieters, Gina. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:292.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Securitization: A Financing Vehicle for All Seasons?. (2016). Buchanan, Bonnieg . In: Journal of Business Ethics. RePEc:kap:jbuset:v:138:y:2016:i:3:d:10.1007_s10551-015-2636-y.

Full description at Econpapers || Download paper

2016Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests. (2016). YILDIRIM, Dilem. In: ERC Working Papers. RePEc:met:wpaper:1604.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016نموذج نظري إسلامي داخلي الزمن للحساب الجاري. (2016). Ghassan, Hassan ; Al-Jefri, Essam H. In: MPRA Paper. RePEc:pra:mprapa:69963.

Full description at Econpapers || Download paper

2016An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure. (2016). Mukherjee, Zinnia ; Lau, Chi Keung ; GUPTA, RANGAN ; Apergis, Nicholas ; Marco, Chi Keung . In: Working Papers. RePEc:pre:wpaper:201618.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends: an application to Scandinavian unemployment rates. (2016). Sandberg, Rickard . In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:3:d:10.1007_s00181-015-1043-7.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article7
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2008Black Market and Official Exchange Rates: Long-run Equilibrium and Short-run Dynamics In: Review of International Economics.
[Full Text][Citation analysis]
article5
2006Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics.(2006) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2015Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation In: The World Economy.
[Full Text][Citation analysis]
article4
2008Using Chebyshev Polynomials to Approximate Partial Differential Equations In: CESifo Working Paper Series.
[Full Text][Citation analysis]
paper4
2010Using Chebyshev Polynomials to Approximate Partial Differential Equations.(2010) In: Computational Economics.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper0
2016Analysing the Determinants of Credit Risk for General Insurance Firms in the UK.(2016) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article6
2002The Cross Sectional Dependence Puzzle In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]
paper4
2003Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]
paper1
2009Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2) In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
20093-Regime symmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
20093-Regime symmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010An investigation of customer order flow in the foreign exchange market In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper8
2011An investigation of customer order flow in the foreign exchange market.(2011) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2010An investigation of customer order flow in the foreign exchange market.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2008Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1) In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Equilibrium Exchange Rate Determination and Multiple Structural Changes In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper1
2013Equilibrium exchange rate determination and multiple structural changes.(2013) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2010Nominal Interest Rates and Stationarity In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper2
2010Nominal interest rates and stationarity.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2013Nominal interest rates and stationarity.(2013) In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2010Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper2
2013Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2010Does the euro dominate Central and Eastern European money markets?.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2010The Rise and Fall of the ABS Market In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2010The rise and fall of the ABS market.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper1
2015Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2015) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2010Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2011A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper30
2007A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2008A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 30
paper
2009A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 30
paper
2011A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2012Why do UK banks securitize? In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper3
2012Why do UK banks securitize?.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2011Measuring the Economic Significance of Structural Exchange Rate Models In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2011Measuring the economic significance of structural exchange rate models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2013No Good Deals - No Bad Models In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper1
2012No good deals—no bad models.(2012) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2013No Good Deals - No Bad Models.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Optimal Martingales and American Option Pricing In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2009Optimal Martingales and American Option Pricing.(2009) In: SIRE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Optimal martingales and American option pricing.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2008Valuing American Derivatives by Least Squares Methods In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2008Valuing American Derivatives by Least Squares Methods.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers.
[Full Text][Citation analysis]
paper0
2009Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article10
2017Relation between higher order comoments and dependence structure of equity portfolio In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article0
2008Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article7
2008Chebyshev polynomial approximation to approximate partial differential equations In: Working Papers.
[Full Text][Citation analysis]
paper0
2008Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers.
[Full Text][Citation analysis]
paper3
2009Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities In: Working Papers.
[Full Text][Citation analysis]
paper0
2011Adaptive continuous time Markov chain approximation model to general jump-diffusions In: Working Papers.
[Full Text][Citation analysis]
paper1
2015Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula In: Working Papers.
[Full Text][Citation analysis]
paper1
2015Risk Sharing in International Economies and Market Incompleteness In: Working Papers.
[Full Text][Citation analysis]
paper1
2015Correlated Defaults of UK Banks: Dynamics and Asymmetries In: Working Papers.
[Full Text][Citation analysis]
paper0
2004Panel Data Tests of PPP. A Critical Overview In: Economics Series.
[Full Text][Citation analysis]
paper11
2006Panel data tests of PPP: a critical overview.(2006) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2007Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article10
2010Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
article3
2005The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Full Text][Citation analysis]
paper1
2007Valuing American Style Options by Least Squares Methods In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
paper0
2005No euro please, We’re British! In: CELPE Discussion Papers.
[Full Text][Citation analysis]
paper0
2005Measuring half-lives: using a non-parametric bootstrap approach In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
article4
2006TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2 2017. Contact: CitEc Team