Peter Dunne : Citation Profile


Are you Peter Dunne?

Central Bank of Ireland

9

H index

7

i10 index

242

Citations

RESEARCH PRODUCTION:

18

Articles

27

Papers

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 9
   Journals where Peter Dunne has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 10 (3.97 %)

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   Permalink: http://citec.repec.org/pdu13
   Updated: 2020-11-21    RAS profile: 2020-09-14    
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Relations with other researchers


Works with:

Cronin, David (6)

McQuinn, Kieran (2)

Li, Youwei (2)

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

Is cited by:

Girardi, Alessandro (12)

Caporale, Guglielmo Maria (10)

Paiardini, Paola (9)

Li, Youwei (7)

Menkhoff, Lukas (7)

Idier, Julien (7)

Avouyi-Dovi, Sanvi (6)

De Jong, Jasper (6)

Worthington, Andrew (5)

Reitz, Stefan (5)

Fricke, Christoph (5)

Cites to:

Vayanos, Dimitri (20)

Cronin, David (11)

Engle, Robert (9)

Hau, Harald (8)

Brunnermeier, Markus (7)

Hall, Stephen (6)

Madhavan, Ananth (6)

Rey, Helene (6)

Pagano, Marco (6)

Vacca, Valerio (5)

Scalia, Antonio (5)

Main data


Where Peter Dunne has published?


Journals with more than one article published# docs
Journal of Business Finance & Accounting2
International Review of Financial Analysis2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Research Technical Papers / Central Bank of Ireland11
ESRB Working Paper Series / European Systemic Risk Board3

Recent works citing Peter Dunne (2020 and 2019)


YearTitle of citing document
2019Informed trading in a two-tier market structure under financial distress. (2019). Paiardini, Paola ; Impenna, Claudio . In: Discussion Papers. RePEc:bir:birmec:19-06.

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2019The rise of benchmark bonds in emerging Asia. (2019). Yetman, James ; Remolona, Eli. In: BIS Papers chapters. RePEc:bis:bisbpc:102-09.

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2019Following the imprint of the ECBs asset purchase programme on global bond and deposit flows. (2019). Everett, Mary ; Shin, Hyun Song ; Avdjiev, Stefan. In: BIS Quarterly Review. RePEc:bis:bisqtr:1903g.

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2019De jure benchmark bonds. (2019). Yetman, James ; Remolona, Eli. In: BIS Working Papers. RePEc:bis:biswps:830.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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2019The Potential Contribution of Central Banks to Green Finance. (2019). Schuberth, Helene ; Pointner, Wolfgang ; Breitenfellner, Andreas. In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research. RePEc:diw:diwvjh:88-2-5.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2019Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:71-84.

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2019Do liquidity enhancement auctions improve the market liquidity in the JGB market?. (2019). Hattori, Takahiro. In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:34.

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2019Using extracted forward rate term structure information to forecast foreign exchange rates. (2019). Murphy, Finbarr ; Cummins, Mark ; Kearney, Fearghal. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:1-14.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2020Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2019Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos. (2019). Dufour, Alfonso ; Sangiorgi, Ivan ; Marra, Miriam . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:10.

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2020On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

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2020The scarcity effect of QE on repo rates: Evidence from the euro area. (2020). Vari, Miklos ; Rahmouni-Rousseau, Imene ; Nguyen, Benoit ; Arrata, William. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:837-856.

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2020Fiscal discipline in EMU? Testing the effectiveness of the Excessive Deficit Procedure. (2020). Gilbert, Niels. In: European Journal of Political Economy. RePEc:eee:poleco:v:61:y:2020:i:c:s0176268018304531.

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2020How did order-flow impact bond prices during the European Sovereign Debt Crisis?. (2020). Li, Youwei ; Lin, Zhongguo ; Waterworth, James ; Sun, Zhuowei ; Hamill, Philip A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:13-24.

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2020Debt sharing after Covid-19: How the direct involvement of EU institutions could impact the recovery path of a member state. (2020). Varthalitis, Petros ; McQuinn, Kieran. In: Papers. RePEc:esr:wpaper:wp663.

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2020Issues Regarding the Use of the Policy Rate Tool. (2020). Zarutskie, Rebecca ; King, Thomas ; Campbell, Jeffrey ; Orlik, Anna . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-70.

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2019Who Sees the Trades? The Effect of Information on Liquidity in Inter-Dealer Markets. (2019). Townsend, Robert ; Martin, Antoine ; Lee, Michael ; Garratt, Rodney. In: Staff Reports. RePEc:fip:fednsr:892.

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2019Transmission Channels of Central Bank Asset Purchases in the Irish Economy. (2019). Finnegan, Marie ; Cawley, Cormac. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:4:p:98-:d:269965.

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2020Computational Finance. (2020). Stentoft, Lars. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:145-:d:380235.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). girardin, eric ; Namin, Fatemeh Salimi. In: Post-Print. RePEc:hal:journl:hal-02314156.

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2019Discriminatory Pricing of Over-the-Counter Derivatives. (2019). Timmer, Yannick ; Langfield, Sam ; Hau, Harald ; Hoffmann, Peter. In: IMF Working Papers. RePEc:imf:imfwpa:19/100.

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2020Banks and Sovereigns: Did adversity bring them closer?. (2020). Sheenan, L ; Dongue, M ; Flavin, T. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n307-20.pdf.

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2019Transmission channels of central bank asset purchases in the Irish economy. (2019). Finnegan, Marie ; Cawley, Cormac. In: MPRA Paper. RePEc:pra:mprapa:96547.

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2019How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?. (2019). Li, Youwei ; Waterworth, James ; Sun, Zhuowei ; Hamill, Philip A ; Lin, Zhongguo. In: MPRA Paper. RePEc:pra:mprapa:97768.

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2019Bid-Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers. (2019). Neklyudov, Artem. In: Review of Economic Dynamics. RePEc:red:issued:18-286.

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2020Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0386.

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2019OTC discount. (2019). Schneider, Michael ; de Roure, Calebe ; Pelizzon, Loriana ; Monch, Emanuel. In: Discussion Papers. RePEc:zbw:bubdps:422019.

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2019Spillovers of asset purchases within the real sector: Win-win or joy and sorrow?. (2019). Sondershaus, Talina. In: IWH Discussion Papers. RePEc:zbw:iwhdps:222019.

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2020Primary dealer systems in the European Union. (2020). Preunkert, Jenny. In: MaxPo Discussion Paper Series. RePEc:zbw:maxpod:201.

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2020Tracing the impact of the ECBs asset purchase programme on the yield curve. (2020). Vladu, Andreea ; Nyholm, Ken ; Lemke, Wolfgang ; Eser, Fabian . In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics. RePEc:zbw:vfsc20:224540.

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Works by Peter Dunne:


YearTitleTypeCited
2007Benchmark Status in Fixed-Income Asset Markets In: Journal of Business Finance & Accounting.
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article42
2007Benchmark Status in Fixed‐Income Asset Markets In: Journal of Business Finance & Accounting.
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article19
2007Benchmark status in fixed-income asset markets.(2007) In: Post-Print.
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This paper has another version. Agregated cites: 19
paper
2007Benchmark status in fixed-income asset markets.(2007) In: PSE-Ecole d'économie de Paris (Postprint).
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This paper has another version. Agregated cites: 19
paper
2015DEALER INTERMEDIATION BETWEEN MARKETS In: Journal of the European Economic Association.
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article18
2012Dealer Intermediation between Markets.(2012) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 18
paper
1994Market Making When the Order-Arrival Process Is the Result of Positive Feedback Training. In: The Manchester School of Economic & Social Studies.
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article0
2019Monetary Policy and Money Market Funds In: Economic Letters.
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paper0
2015The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE In: Quarterly Bulletin Articles.
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article9
2017Investment Fund Risk: The Tale in the Tails In: Research Technical Papers.
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paper3
2013Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields? In: Research Technical Papers.
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paper15
2017The Portfolio Rebalancing Effects of the ECBs Asset Purchase Programme In: Research Technical Papers.
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paper6
2019The Portfolio Rebalancing Effects of the ECBs Asset Purchase Programme.(2019) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 6
article
2014ECB Monetary Operations and the Interbank Repo Market In: Research Technical Papers.
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paper9
2013ECB monetary operations and the interbank repo market.(2013) In: Staff Reports.
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This paper has another version. Agregated cites: 9
paper
2018Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment In: Research Technical Papers.
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paper2
2019Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment.(2019) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 2
article
2018Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment.(2018) In: ESRB Working Paper Series.
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2018How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device In: Research Technical Papers.
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paper0
2019How effective are sovereign bond-backed securities as a spillover prevention device?.(2019) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 0
article
2018How effective are sovereign bond-backed securities as a spillover prevention device?.(2018) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
2011The Value Relevance of Sentiment In: Research Technical Papers.
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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities In: Research Technical Papers.
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paper3
2019Positive Liquidity Spillovers from Sovereign Bond-Backed Securities.(2019) In: Journal of Risk and Financial Management.
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This paper has another version. Agregated cites: 3
article
2018Positive liquidity spillovers from sovereign bond-backed securities.(2018) In: ESRB Working Paper Series.
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2019Money Market Funds and Unconventional Monetary Policy In: Research Technical Papers.
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2011Repo Market Microstructure in Unusual Monetary Policy Conditions In: Research Technical Papers.
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paper8
2006An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets In: Research Technical Papers.
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paper3
2002Defining Benchmark Status: An Application using Euro-Area Bonds In: CEPR Discussion Papers.
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paper25
2002Defining Benchmark Status: An Application using Euro-Area Bonds.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 25
paper
2004Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns In: CEPR Discussion Papers.
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paper7
2008A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market In: CEPR Discussion Papers.
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paper19
1999Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application In: International Review of Financial Analysis.
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article8
2000A generalised Bayesian model of market microstructure behaviour applied to the market in Irish government securities In: International Review of Financial Analysis.
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article0
2015Price discovery in the dual-platform US Treasury market In: Global Finance Journal.
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article1
2015Price Discovery in the Dual-Platform US Treasury Market.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
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2010International order flows: Explaining equity and exchange rate returns In: Journal of International Money and Finance.
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article35
2007Transparency proposals for European sovereign bond markets In: Journal of Financial Regulation and Compliance.
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article3
2007Transparency Proposals for European Sovereign Bond Markets.(2007) In: ECMI Papers.
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This paper has another version. Agregated cites: 3
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2019Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why? In: The Economic and Social Review.
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article3
2019Have Irish sovereign bonds decoupled from the euro area periphery, and why?.(2019) In: Papers.
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2019Have Sovereign Bond Market Relationships Changed in the Euro Area? Evidence from Italy In: Intereconomics: Review of European Economic Policy.
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2008The market response to information quality shocks: the case of Enron In: Applied Financial Economics.
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article2
2011Commonality in returns, order flows, and liquidity in the Greek stock market In: The European Journal of Finance.
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article1
1998A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens! In: Finance.
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paper0

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