Ana-Maria Fuertes : Citation Profile

Are you Ana-Maria Fuertes?

City University

15

H index

19

i10 index

679

Citations

RESEARCH PRODUCTION:

44

Articles

24

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 33
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 22 (3.14 %)

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   Permalink: http://citec.repec.org/pfu3
   Updated: 2018-10-13    RAS profile: 2017-07-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ana-Maria Fuertes.

Is cited by:

Pesaran, M (20)

Eberhardt, Markus (18)

Holmes, Mark (12)

Afonso, Antonio (10)

Noman, Abdullah (9)

Taylor, Mark (9)

Snaith, Stuart (8)

Baharumshah, Ahmad Zubaidi (7)

Everaert, Gerdie (7)

cerrato, mario (7)

Coakley, Jerry (7)

Cites to:

Pesaran, M (38)

Coakley, Jerry (36)

Smith, Ronald (29)

Reinhart, Carmen (21)

Campbell, John (19)

Sarno, Lucio (19)

Phillips, Peter (18)

Moon, Hyungsik (17)

Taylor, Mark (16)

Goldberg, Linda (16)

Shiller, Robert (16)

Main data

Where Ana-Maria Fuertes has published?

Journals with more than one article published# docs
Journal of International Money and Finance5
International Journal of Forecasting5
Computational Statistics & Data Analysis4
Applied Financial Economics3
Journal of Banking & Finance3
Journal of Economic Dynamics and Control3
Manchester School3
International Journal of Finance & Economics3
Journal of Futures Markets2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Working Papers / Warwick Business School, Finance Group4
Computing in Economics and Finance 2001 / Society for Computational Economics3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2
Computing in Economics and Finance 2004 / Society for Computational Economics2
Computing in Economics and Finance 2003 / Society for Computational Economics2

Recent works citing Ana-Maria Fuertes (2018 and 2017)

YearTitle of citing document
2018Co2 Emissions and Economic Growth in Vietnam: An ARDL Bound Testing Approach. (2018). Kim, Nhung Thi ; Le, Minh Binh. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:47-55.

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2017Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices. (2017). Friedrich, Christian ; Kim, Min Jae ; Hess, Kristina ; Cunningham, Rose . In: Discussion Papers. RePEc:bca:bocadp:17-12.

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2017Did Purchasing Power Parity Hold in Medieval Europe?. (2017). Bell, Adrian ; Moore, Tony K ; Brooks, Chris. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:682-709.

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2017A long-run analysis of push and pull factors of internal migration in Italy. Estimation of a gravity model with human capital using homogeneous and heterogeneous approaches. (2017). Piras, Romano. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:3:p:571-602.

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2017Effective Exchange Rates, Current Accounts and Global Imbalances. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:500-533.

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2017Investigating first-stage exchange rate pass-through: Sectoral and macro evidence from euro area countries. (2017). Rault, Christophe ; Ben Cheikh, Nidhaleddine. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:12:p:2611-2638.

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2017Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests.. (2017). Oflaz, Zarina. In: Econometrics Letters. RePEc:bmo:bmoart:v:4:y:2017:i:2:p:1-16.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Which Panel Data Estimator Should I Use?: A Corrigendum and Extension. (2017). Reed, W. ; Rea, William S ; Moundigbaye, Mantobaye. In: Working Papers in Economics. RePEc:cbt:econwp:17/10.

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2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Gadea, María ; Arghyrou, Michael ; Afonso, Antonio ; Kontonikas, Alexandros. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/12.

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2017Investigating First-Stage Exchange Rate Pass-Through: Sectoral and Macro Evidence from Euro Area Countries. (2017). Rault, Christophe ; Ben Cheikh, Nidhaleddine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6366.

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2017Whatever it takes to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6691.

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2018What Drives the Distributional Dynamics of Client Interest Rates on Consumer Loans in the Czech Republic? A Bank-level Analysis. (2018). Hlaváček, Michal ; Broz, Vaclav. In: Working Papers. RePEc:cnb:wpaper:2018/6.

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2017Exchange Rate Pass-through (ERPT) into Domestic Prices: Evidence from a Nonlinear Perspective. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00520.

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2017Domestic Saving-Investment Correlation Puzzle Revisited: A Time Series Analysis for South Africa. (2017). Mitra, Rajarshi. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00186.

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2017Optimizing policymakers loss functions in crisis prediction: before, within or after?. (2017). von Schweinitz, Gregor ; Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20172025.

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2017Causal Effects and Dynamic Relationship between Exchange Rate Volatility and Economic Development in Liberia. (2017). Gbatu, Abimelech Paye ; Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-17.

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2017Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model. (2017). Mongeau Ospina, Christian Alexander ; Granville, Brigitte ; Bagnai, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:524-538.

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2018Assessing sovereign default risk: A bottom-up approach. (2018). Trueck, Stefan ; Truck, Stefan ; Kalotay, Egon ; Liu, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:525-542.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Skiadopoulos, George ; Topaloglou, Nikolas ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2018How (a)symmetric is the response of import demand to changes in its determinants? Evidence from European energy imports. (2018). Zeidan, Rodrigo ; Fedoseeva, Svetlana. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:379-394.

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2018To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas A. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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2018Does internationalisation increase exchange rate exposure? -Evidence from Chinese financial firms. (2018). Tang, Bo ; Cuestas, Juan ; Huang, Ying Sophie. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:253-263.

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2017Predicting sovereign debt crises: An Early Warning System approach. (2017). Strobel, Frank ; Horsewood, Nicholas ; Dawood, Mary . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:16-28.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries. (2017). Kouretas, Georgios ; Zarangas, Leonidas ; Stavroyiannis, Stavros ; Drakos, Anastassios A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:76-88.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2017The EU debt crisis: Testing and revisiting conventional legal doctrine. (2017). DeGrauwe, Paul ; Steinbach, Armin ; Ji, Yuemei ; de Grauwe, Paul. In: International Review of Law and Economics. RePEc:eee:irlaec:v:51:y:2017:i:c:p:29-37.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Afonso, Antonio ; Arghyrou, Michael G ; Kontonikas, Alexandros ; Gadea, Maria Dolores. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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2017Gas and electricity demand in Spanish manufacturing industries: An analysis using homogeneous and heterogeneous estimators. (2017). Peasco, Cristina ; Romero-Jordan, Desiderio ; del Rio, Pablo. In: Utilities Policy. RePEc:eee:juipol:v:45:y:2017:i:c:p:45-60.

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2018Financial risk distribution in European Union. (2018). Damico, Guglielmo ; Storchi, Loriano ; Scocchera, Stefania. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:252-267.

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2017A simple randomization test for spatial correlation in the presence of common factors and serial correlation. (2017). Millo, Giovanni. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:66:y:2017:i:c:p:28-38.

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2017Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. (2017). Wohar, Mark ; Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:245-257.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2017Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Sirag, Abdalla. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:247-259.

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2017Do commodities make effective hedges for equity investors?. (2017). Wohar, Mark ; Olson, Eric ; Vivian, Andrew. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1274-1288.

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2018The Effect of Agricultural Technology on the Speed of Development. (2018). Eberhardt, Markus ; Vollrath, Dietrich . In: World Development. RePEc:eee:wdevel:v:109:y:2018:i:c:p:483-496.

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2017.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian . In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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2018Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2730-:d:161653.

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2017Common correlated effects and international risk sharing. (2017). Ventura, Luigi ; Fuleky, Peter ; Zhao, Qianxue . In: Working Papers. RePEc:hae:wpaper:2017-5r.

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2018Is Commodity Index Investing Profitable?. (2018). Prokopczuk, Marcel ; Fethke, Tobias. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-635.

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2017A Comparison Study of Copula Models for Europea Financial Index Returns. (2017). Tofoli, Paula V ; Candido, Osvaldo ; Ziegelmann, Flavio A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:10:p:155-178.

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2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0022017.

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2017Investigating First-Stage Exchange Rate Pass-Through: Sectoral and Macro Evidence from Euro Area Countries. (2017). Rault, Christophe ; Ben Cheikh, Nidhaleddine. In: IZA Discussion Papers. RePEc:iza:izadps:dp10555.

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2017Has the Grexit news affected euro area financial markets?. (2017). Sacchi, Agnese ; Gregori, Wildmer Daniel. In: Working Papers. RePEc:jrs:wpaper:201713.

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2017Natural Resources and Economic Development: New Panel Evidence. (2017). Lin, Shu-Chin ; Kim, Dong-Hyeon. In: Environmental & Resource Economics. RePEc:kap:enreec:v:66:y:2017:i:2:d:10.1007_s10640-015-9954-5.

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2018Exchange Rate Pass-Through and the Role of Market Shares. (2018). Malenbaum, Michael. In: Journal of Industry, Competition and Trade. RePEc:kap:jincot:v:18:y:2018:i:2:d:10.1007_s10842-017-0256-1.

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2017Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?. (2017). Bird, Graham ; Willett, Thomas ; Du, Wenti. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-017-9436-1.

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2017Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Jiang, Ying ; Liu, Xiaoquan ; Ahmed, Shamim . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0570-4.

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2017Effectiveness of Unconventional Monetary Policy in the Euro Area: An Assessment Based on a Literature Survey. (2017). Wolters, Maik ; Jannsen, Nils ; Hanisch, Nils Jannsen ; Fiedler, Salomon . In: Credit and Capital Markets. RePEc:kuk:journl:v:50:y:2017:i:4:p:455-488.

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2017Investigating First-Stage Exchange Rate Pass-Through : Sectoral and Macro Evidence from Euro Area Countries. (2017). Rault, Christophe ; Ben Cheikh, Nidhaleddine. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2477.

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2017External Debt Management in Pakistan: A Market-Based Assessment. (2017). Uppal, Jamshed Y. In: Lahore Journal of Economics. RePEc:lje:journl:v:22:y:2017:i:sp:p:25-51.

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2017Aid, Taxes and Government Spending: A Heterogeneous Cointegrated Panel Analysis. (2017). , Abrams . In: Discussion Papers. RePEc:not:notcre:17/02.

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2017The Magnitude of the Task Ahead: Macro Implications of Heterogeneous Technology. (2017). Eberhardt, Markus ; Teal, Francis . In: Discussion Papers. RePEc:not:notgep:17/16.

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2017Farrukh. (2017). Mahmood, Farrukh . In: MPRA Paper. RePEc:pra:mprapa:79734.

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2017Factor Pricing in Commodity Futures and the Role of Liquidity. (2017). CHONG, Terence Tai Leung ; Chan, Wing Hong ; Tsui, Chun . In: MPRA Paper. RePEc:pra:mprapa:80555.

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2018The impact of market deregulation on milk price: A dynamic panel data approach. (2018). POLEMIS, MICHAEL ; Fotis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:86542.

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2017The effect of female and male health on economic growth: cross-country evidence within a production function framework. (2017). Holmes, Mark ; Hassan, Gazi ; Cooray, Arusha. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:2:d:10.1007_s00181-016-1088-2.

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2017Estimating production functions for the US states: the role of public and human capital. (2017). Mylonidis, Nikolaos ; Benos, Nikos ; Zotou, Stefania . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:2:d:10.1007_s00181-016-1092-6.

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2017Metals: resources or financial assets? A multivariate cross-sectional analysis. (2017). Lutzenberger, Fabian ; Rathgeber, Andreas W ; Stepanek, Christian ; Mayer, Herbert G ; Gleich, Benedikt . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1162-9.

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2017Unemployment hysteresis and structural change in Europe. (2017). Akdoan, Kurma . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1171-8.

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2017Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets. (2017). Rosales, Enrique Benavides ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1339772.

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2017Factor pricing in commodity futures and the role of liquidity. (2017). CHONG, Terence Tai Leung ; Chan, Wing Hong ; Tsui, Sunny Chun. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1745-1757.

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2018The Exchange Rate and Export Variety: A cross-country analysis with long panel estimators. (2018). Goya, Daniel. In: Working Papers. RePEc:ucv:wpaper:2018-01.

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2017The economics and politics of foreign aid and domestic revenue. (2017). , Abrams . In: WIDER Working Paper Series. RePEc:unu:wpaper:wp2017-180.

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2017Which panel data estimator should I use? A corrigendum and extension. (2017). Reed, W. ; Rea, William S ; Moundigbaye, Mantobaye. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201758.

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2018Regime-switching determinants of emerging markets sovereign credit risk swaps spread. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201852.

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2017Import Price Rigidity and Invoice Currency in Russia. (2017). Ponomarev, Yuriy ; Pleskachev, Yury. In: Economic Policy. RePEc:rnp:ecopol:ep1733.

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Works by Ana-Maria Fuertes:

YearTitleTypeCited
2004Unobserved Heterogeneity in Panel Time Series Models In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper103
2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103		article
2012Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article10
2000Short-Run Real Exchange Rate Dynamics. In: Manchester School.
[Full Text][Citation analysis]		article2
2001A Non-linear Analysis of Excess Foreign Exchange Returns. In: Manchester School.
[Full Text][Citation analysis]		article6
2004Is the Feldstein-Horioka Puzzle History? In: Manchester School.
[Full Text][Citation analysis]		article57
2001Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
2002A Principal Components Approach to Cross-Section Dependence in Panels In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
[Full Text][Citation analysis]		paper48
2000Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2006Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article16
2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article16
2006On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2008Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article6
2003Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article20
2003Numerical issues in threshold autoregressive modeling of time series.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2001Numerical Issues in Threshold Autoregressive Modelling of Time Series.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 20		paper
2006Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
1997New panel unit root tests of PPP In: Economics Letters.
[Full Text][Citation analysis]		article59
2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2017In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2007Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting.
[Full Text][Citation analysis]		article15
2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
[Full Text][Citation analysis]		article18
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article6
2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article28
2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article40
2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article32
2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article17
2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
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This paper has another version. Agregated cites: 17		paper
2016Hot money in bank credit flows to emerging markets during the banking globalization era In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article1
2016On cross-border bank credit and the U.S. financial crisis transmission to equity markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article1
2001Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling.
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2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: Journal of Risk and Financial Management.
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2009Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics.
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2000Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics.
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2004A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics.
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2003A New Interpretation of the Exchange Rate - Yield Differential Nexus.(2003) In: Computing in Economics and Finance 2003.
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2005A guided tour of TSMod 4.03 In: Journal of Applied Econometrics.
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2010How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research.
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2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
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2004The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2004A new interpretation of the real exchange rate - yield differential nexus In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2004Market-wide shocks and anomalous price behaviour: evidence from closed-end funds In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
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2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
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2016Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices In: MPRA Paper.
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2000A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000.
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2001Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001.
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2001Small sample properties of panel time-series estimators with I(1) errors In: Computing in Economics and Finance 2001.
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2001Small Sample Properties of Panel Time-series Estimators with I(1) Errors.(2001) In: Working Papers.
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2001Bootstrap LR Tests for Sign and Amplitude Asymmetries In: Computing in Economics and Finance 2001.
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2002Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models In: Computing in Economics and Finance 2002.
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2002Exchange Rate Overshooting and the Forward Premium Puzzle In: Computing in Economics and Finance 2002.
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2002An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002.
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2003ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003.
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2004Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004.
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2004Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004.
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2001Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics.
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2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
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2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
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2014A behavioral analysis of investor diversification In: The European Journal of Finance.
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2001Rethinking the Forward Premium Puzzle in a Non-linear Framework In: Working Papers.
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2002Reinterpreting the Real Exchange Rate - Yield Diffential Nexus In: Working Papers.
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2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
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2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
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