Ana-Maria Fuertes : Citation Profile


Are you Ana-Maria Fuertes?

City University

19

H index

30

i10 index

1141

Citations

RESEARCH PRODUCTION:

53

Articles

24

Papers

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 47
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 27 (2.31 %)

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   Permalink: http://citec.repec.org/pfu3
   Updated: 2022-08-06    RAS profile: 2021-06-02    
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Relations with other researchers


Works with:

Frijns, Bart (2)

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 (23)

Eberhardt, Markus (19)

Kapetanios, George (15)

Holmes, Mark (12)

Tosetti, Elisa (11)

Afonso, Antonio (11)

Taylor, Mark (10)

Snaith, Stuart (9)

Coakley, Jerry (9)

Noman, Abdullah (9)

Zaremba, Adam (9)

Cites to:

Pesaran, M (43)

Coakley, Jerry (37)

Smith, Ronald (35)

Sarno, Lucio (29)

Campbell, John (24)

Reinhart, Carmen (24)

Rogoff, Kenneth (21)

Moon, Hyungsik (21)

Phillips, Peter (21)

Diebold, Francis (20)

Shiller, Robert (18)

Main data


Where Ana-Maria Fuertes has published?


Journals with more than one article published# docs
Journal of International Money and Finance7
Journal of Banking & Finance6
International Journal of Forecasting5
Computational Statistics & Data Analysis4
Journal of Economic Dynamics and Control3
International Review of Financial Analysis3
International Journal of Finance & Economics3
Manchester School3
Journal of Futures Markets3
Applied Financial Economics3
Journal of the Royal Statistical Society Series A2

Working Papers Series with more than one paper published# docs
Computing in Economics and Finance 2001 / Society for Computational Economics3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Post-Print / HAL3
MPRA Paper / University Library of Munich, Germany2
Computing in Economics and Finance 2004 / Society for Computational Economics2
Computing in Economics and Finance 2003 / Society for Computational Economics2
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2

Recent works citing Ana-Maria Fuertes (2022 and 2021)


YearTitle of citing document
2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Can large-scale R&I funding stimulate post-crisis recovery growth? Evidence for Finland during COVID-19. (2021). Makkonen, Teemu ; Mitze, Timo. In: Papers. RePEc:arx:papers:2112.11562.

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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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2021Public debt, sovereign spreads and the unpleasant arithmetic of fiscal consolidations. (2021). Minetti, Raoul ; Marattin, Luigi ; di Pietro, Marco. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:155-178.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2021Product?level estimates of exchange rate pass?through: Evidence from Turkey?. (2021). Tumen, Semih ; Demiroglu, Ufuk ; Akgunduz, Yusuf Emre ; Bastan, Emine Meltem. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:7:p:2203-2226.

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2021Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8921.

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202150 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Muoz, Alejandro ; Camarero, Mariam ; Tamarit, Cecilio. In: Working Papers. RePEc:eec:wpaper:2102.

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2022Busy auditors, financial reporting timeliness and quality. (2022). Singh, Abhijeet ; Islam, Ariful ; Sultana, Nigar. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:3:s0890838922000099.

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2021Financial advice and gender: Wealthy individual investors in the UK. (2021). Silvester, Joanne ; Marsh, Ian W ; Baeckstrom, Ylva. In: Journal of Corporate Finance. RePEc:eee:corfin:v:71:y:2021:i:c:s092911992100002x.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2022Heterogeneity in the long-run remittance-output relationship: Theory and new evidence. (2022). Keinsley, Andrew ; Ahmad, Nazneen ; Francois, John Nana ; Nti-Addae, Akwasi . In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000396.

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2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2021Inferential theory for heterogeneity and cointegration in large panels. (2021). Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:474-503.

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2021State-level wage Phillips curves. (2021). Price, Simon ; Kapetanios, George ; Ventouri, Alexia ; Tasiou, Menelaos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:1-11.

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2021The risk premia of energy futures. (2021). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003467.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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2022Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408.

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2022The dual shocks of the COVID-19 and the oil price collapse: A spark or a setback for the circular economy?. (2022). Sousa, Ricardo ; Selmi, Refk ; kasmaoui, kamal ; Errami, Youssef ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322000937.

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2022The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market. (2022). Zhang, Gongqiu ; Xu, Yahua ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200127x.

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2021The alpha momentum effect in commodity markets. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301902.

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2021The skewness of oil price returns and equity premium predictability. (2021). Wen, Fenghua ; Kang, Jie ; Zhou, Huiting ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304096.

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2021Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS. (2021). Dhesi, Gurjeet ; Wang, Qunwei ; Xiao, Ling ; Dai, Xingyu. In: Energy Policy. RePEc:eee:enepol:v:156:y:2021:i:c:s0301421521002986.

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2021A novel asynchronous deep reinforcement learning model with adaptive early forecasting method and reward incentive mechanism for short-term load forecasting. (2021). Zhang, Shuai ; Yan, Jianyong ; Chen, Qian ; Xu, Jiyuan. In: Energy. RePEc:eee:energy:v:236:y:2021:i:c:s0360544221017400.

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2022Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression. (2022). Wang, Yudong ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:241:y:2022:i:c:s0360544221027663.

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2021Dividend or growth funds: What drives individual investors choices?. (2021). Liu, Pei ; Wu, Yanran ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001939.

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2022Impacts of sovereign risk premium on bank profitability: Evidence from euro area. (2022). Junttila, Juha ; Sang, Vo Cao. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000783.

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2022The Effect of Investment Literacy on the Likelihood of Retail Investor Margin Trading and Having a Margin Call. (2022). Hanna, Sherman D ; Kim, Kyoung Tae. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002270.

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2022On the time-varying dynamics of stock and commodity momentum returns. (2022). Schuhmacher, Frank ; Auer, Benjamin R ; Stadtmuller, Immo. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s154461232100386x.

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2022Can skewness predict CNY-CNH spread?. (2022). Wu, You ; Han, Liyan ; Liu, Yiye. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003925.

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2022A closed-form mean–variance–skewness portfolio strategy. (2022). Chen, Jingnan ; Zhen, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001957.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2021On the information content of sovereign credit rating reports: Improving the predictability of rating transitions?. (2021). Lonarski, Igor ; Slapnik, Ursula. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000639.

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2021Emerging stock market exuberance and international short-term flows. (2021). Gözgör, Giray ; Gozgor, Giray ; Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001323.

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2021Investable commodity premia in China. (2021). Zhang, Tingxi ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000856.

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2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

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2022The illusion of oil return predictability: The choice of data matters!. (2022). cotter, john ; Eyiah-Donkor, Emmanuel ; Conlon, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s037842662100282x.

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2021European depositors’ behavior and crisis sentiment. (2021). Anastasiou, Dimitrios ; Drakos, Konstantinos. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:117-136.

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2021The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x.

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2021Bank risks and lending outcomes: Evidence from QE. (2021). Girardone, Claudia ; Paltrinieri, Andrea ; Beltrame, Federico ; Sclip, Alex. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:118:y:2021:i:c:s0261560621001261.

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2022The “necessary evil” in Chinese commodity markets. (2022). Zhang, Tingxi ; Mo, DI ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000209.

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2021Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. (2021). Czudaj, Robert ; van Hoang, Thi Hong ; Borgards, Oliver. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309946.

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2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

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2021The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels. (2021). Teplova, Tamara ; Gubareva, Mariya ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001781.

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2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model. (2021). Arian, Hamidreza ; Sharifi, Azin ; Sina, Seyed Mohammad. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:190:y:2021:i:c:p:1056-1079.

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2021Determinants of non-compliant equity funds with EU portfolio concentration limits. (2021). Vicente, Luis ; Sarto, Jose Luis ; Loban, Lidia. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:62:y:2021:i:c:s1042444x21000311.

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2021Enhanced factor investing in the Korean stock market. (2021). Kim, Saejoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000652.

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2021EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. (2021). Chatziantoniou, Ioannis ; Gabauer, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:1-14.

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2021Commodity futures returns and policy uncertainty. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383.

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2022Traders’ motivation and hedging pressure in commodity futures markets. (2022). Smimou, K ; Bosch, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001501.

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2022THE REVIVAL OF THE FELDSTEIN-HORIOKA PUZZLE AND MODERATION OF CAPITAL FLOWS AFTER THE GLOBAL FINANCIAL CRISIS (2008/09). (2022). Lopes, Alexandra ; Ferreira-Lopes, Alexandra ; Duran, Hasan Engin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002014.

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2022Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis. (2022). Di, Qian ; Xu, Fangming ; Li, Lifang ; Tang, Shenfeng ; Jiang, Hai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000058.

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2021Long-Term Relationship Between Prices and Exchange Rates. (2021). , Zenonwisniewski ; Wisniewski, Zenon. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:1:p:63-86.

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2021Does Media Visibility Make EU Fiscal Rules More Effective?. (2021). Langedijk, Sven ; Mourre, Gilles ; Mohl, Philipp ; Hoogeland, Martijn. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:155.

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2021Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic. (2021). Teresien, Deimant ; Guobuait, Renata. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:86-:d:564401.

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2022Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601.

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2021Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index. (2021). Moroke, Ntebogang ; Makatjane, Katleho. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:2:p:18-:d:523945.

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2021Sovereign Default Forecasting in the Era of the COVID-19 Crisis. (2021). Kristof, Tamas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:494-:d:657397.

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2021Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure. (2021). Fantazzini, Dean ; Calabrese, Raffaella. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:516-:d:666046.

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2022Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death. (2022). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:304-:d:860084.

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2022.

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2021.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521.

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2021The evolution of debtor-creditor relationships within a monetary union: Trade imbalances, excess reserves and economic policy. (2021). Schütz, Bernhard ; Landesmann, Michael ; Kapeller, Jakob ; Heimberger, Philipp ; Gräbner, Claudius. In: ICAE Working Papers. RePEc:ico:wpaper:122.

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2021Nexus Between Sectoral Shift and Stock Return: Insights From Bangladesh. (2021). Chowdhury, Mohammad Ashraful Ferdous ; Hosen, Mosharrof ; Imran, Mohammed. In: International Journal of Asian Business and Information Management (IJABIM). RePEc:igg:jabim0:v:12:y:2021:i:1:p:75-93.

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202150 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Tamarit, Cecilio ; Camarero, Mariam ; Munoz, Alejandro. In: Working Papers. RePEc:inf:wpaper:2021.04.

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2022Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine.. (2022). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Dodd, Olga. In: IREA Working Papers. RePEc:ira:wpaper:202204.

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2021An Early Warning Signal (EWS) Model for Predicting Financial Crisis in Emerging African Economies. (2021). Tewari, Devi Datt ; Ilesanmi, Kehinde Damilola. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:1:p:101-110.

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2021The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09334-8.

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2022Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6.

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2021Have trend-following signals in commodity futures markets become less reliable in recent years?. (2021). Auer, Benjamin R. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:4:d:10.1007_s11408-021-00385-5.

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2021Fisher’s hypothesis, survey-based expectations and asymmetric adjustments: Empirical evidence from South Africa. (2021). Phiri, Andrew ; Mbekeni, Lutho. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:4:d:10.1007_s10368-021-00498-2.

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202150 Years of Capital Mobility in the Eurozone: Breaking the Feldstein-Horioka Puzzle. (2021). Tamarit, Cecilio ; Camarero, Mariam ; Muoz, Alejandro. In: Open Economies Review. RePEc:kap:openec:v:32:y:2021:i:5:d:10.1007_s11079-021-09655-1.

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2022Does capital-based regulation affect bank pricing policy?. (2022). Gric, Zuzana ; Hodula, Martin ; Ehrenbergerova, Dominika. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:61:y:2022:i:2:d:10.1007_s11149-022-09448-5.

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2022Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

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2021Phillips Curve for the Asian Economies: A Nonlinear Perspective. (2021). Wohar, Mark E ; Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:57:y:2021:i:12:p:3508-3537.

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2021ONE CRISIS AFTER ANOTHER: A DYNAMIC UNEMPLOYMENT PERSISTENCE ANALYSIS FOR THE GIPS COUNTRIES. (2021). Aydin, Dilan ; Yildirim, Dilem. In: ERC Working Papers. RePEc:met:wpaper:2102.

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2021Transmission of Monetary Policy through Credit Interest Rates in Turkey: A Microeconomic Perspective. (2021). Siklar, Ilyas. In: Business and Economic Research. RePEc:mth:ber888:v:11:y:2021:i:4:p:122-140.

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2021Federal Funds Rate Spillover to ECB Interest Rate: Are Macroeconomic Fundamentals Important?. (2021). Anaraki, Nahid Kalbasi . In: International Journal of Applied Economics, Finance and Accounting. RePEc:oap:ijaefa:2021:p:40-47.

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2021The ABC’s of the alternative risk premium: academic roots. (2021). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0.

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2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

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2022Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?. (2022). Yan, Cheng ; Wang, Xichen. In: IMF Economic Review. RePEc:pal:imfecr:v:70:y:2022:i:2:d:10.1057_s41308-021-00151-7.

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2021Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: MPRA Paper. RePEc:pra:mprapa:107691.

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2021Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231.

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2021Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure. (2021). Fantazzini, Dean ; Calabrese, Raffaella. In: MPRA Paper. RePEc:pra:mprapa:110391.

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2021What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831.

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2022Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death. (2022). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:113744.

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2021Heterogeneity in Exchange Rate Pass-through to Import Prices in Thailand: Evidence from Micro Data. (2021). Nookhwun, Nuwat ; Pattararangrong, Jettawat ; Manopimoke, Pym ; Apaitan, Tosapol. In: PIER Discussion Papers. RePEc:pui:dpaper:167.

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2022A banklevel analysis of interest rate passthrough in South Africa. (2022). Steenkamp, Daan ; van Jaarsveld, Rossouw ; Greenwood-Nimmo, Matthew. In: Working Papers. RePEc:rbz:wpaper:11027.

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2022Preventing Self-Fulfilling Debt Crises: A Global Games Approach. (). Szkup, Michal. In: Review of Economic Dynamics. RePEc:red:issued:19-127.

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2022Building Knowledge in the Oil Market. (2022). Paraskevopoulos, Ioannis ; Corzo, Teresa ; Figuerola-Ferretti, Isabel ; Martn-Bujack, Karin. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211068491.

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2022Transmission of the Greek crisis on the sovereign debt markets in the euro area. (2022). Tahi, Sofiane ; Bellalah, Makram ; Kchaou, Oussama. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03938-z.

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2021Numerical estimates of risk factors contingent on credit ratings. (2021). Kaniovski, Y ; Gartner, T. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:4:d:10.1007_s10287-021-00405-9.

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2021Exchange rate pass-through to import prices in Europe: a panel cointegration approach. (2021). Arsova, Antonia. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01858-8.

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2021Navigating the factor zoo around the world: an institutional investor perspective. (2021). Ranganathan, Ananthalakshmi ; Pope, Peter F ; Lohre, Harald ; Bartram, Sohnke M. In: Journal of Business Economics. RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01035-y.

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2021Trading using Hidden Markov Models during COVID-19 turbulences. (2021). Simona, Stamule ; Cornel, Lolea Iulian. In: Management & Marketing. RePEc:vrs:manmar:v:16:y:2021:i:4:p:334-351:n:2.

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More than 100 citations found, this list is not complete...

Works by Ana-Maria Fuertes:


YearTitleTypeCited
2004Unobserved Heterogeneity in Panel Time Series Models In: Birkbeck Working Papers in Economics and Finance.
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paper138
2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 138
article
2012Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting.
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article27
2017Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices In: Journal of the Royal Statistical Society Series A.
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article14
2016Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 14
paper
2019Preface to the papers on ‘Credit risk modelling’ In: Journal of the Royal Statistical Society Series A.
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article0
2000Short?run Real Exchange Rate Dynamics In: Manchester School.
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article0
2001A Non?Linear Analysis of Excess Foreign Exchange Returns In: Manchester School.
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article5
2004Is the Feldstein–Horioka Puzzle History? In: Manchester School.
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article71
2001Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics.
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article15
2002A Principal Components Approach to Cross-Section Dependence in Panels In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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paper64
2000Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers.
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paper5
2006Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis.
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article36
2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
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article22
2006On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 22
paper
2008Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis.
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article9
2003Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control.
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article23
2003Numerical issues in threshold autoregressive modeling of time series.(2003) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 23
article
2006Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control.
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article1
1997New panel unit root tests of PPP In: Economics Letters.
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article68
2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
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article10
2017In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis.
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article5
2021Bank credit risk events and peers equity value In: International Review of Financial Analysis.
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article0
2007Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting.
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article36
2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
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article35
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
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article18
2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
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article3
2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
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article13
2019A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance.
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article5
2020Fear of hazards in commodity futures markets In: Journal of Banking & Finance.
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article5
2020Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print.
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This paper has another version. Agregated cites: 5
paper
2020Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper.
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This paper has another version. Agregated cites: 5
paper
2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
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article32
2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
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article11
2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
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article70
2018The skewness of commodity futures returns In: Journal of Banking & Finance.
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article37
2018The skewness of commodity futures returns.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 37
paper
2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
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article45
2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
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article56
2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
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article53
2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
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This paper has another version. Agregated cites: 53
paper
2016Hot money in bank credit flows to emerging markets during the banking globalization era In: Journal of International Money and Finance.
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article9
2016On cross-border bank credit and the U.S. financial crisis transmission to equity markets In: Journal of International Money and Finance.
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article7
2018On the predictability of emerging market sovereign credit spreads In: Journal of International Money and Finance.
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article1
2019Uncovered equity “disparity” in emerging markets In: Journal of International Money and Finance.
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article0
2001Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling.
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article6
2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM.
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article2
2020Speculative Pressure In: Post-Print.
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paper5
2020Speculative pressure.(2020) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 5
article
2009Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics.
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article14
2000Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics.
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article11
2004A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics.
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article0
2003A New Interpretation of the Exchange Rate - Yield Differential Nexus.(2003) In: Computing in Economics and Finance 2003.
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This paper has another version. Agregated cites: 0
paper
2005A guided tour of TSMod 4.03 In: Journal of Applied Econometrics.
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article4
2010How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research.
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article14
2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
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article10
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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paper8
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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paper0
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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paper0
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
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article4
2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
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article9
2000A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000.
[Citation analysis]
paper0
2001Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001.
[Citation analysis]
paper0
2001Small sample properties of panel time-series estimators with I(1) errors In: Computing in Economics and Finance 2001.
[Citation analysis]
paper20
2001Bootstrap LR Tests for Sign and Amplitude Asymmetries In: Computing in Economics and Finance 2001.
[Citation analysis]
paper2
2002Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2002Exchange Rate Overshooting and the Forward Premium Puzzle In: Computing in Economics and Finance 2002.
[Citation analysis]
paper1
2002An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2003ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003.
[Citation analysis]
paper0
2004Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004.
[Citation analysis]
paper1
2004Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004.
[Citation analysis]
paper2
2001Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics.
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article23
2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
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article11
2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
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article5
2014A behavioral analysis of investor diversification In: The European Journal of Finance.
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article7
2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
[Citation analysis]
article8
2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team