Ana-Maria Fuertes : Citation Profile


Are you Ana-Maria Fuertes?

City University

16

H index

23

i10 index

807

Citations

RESEARCH PRODUCTION:

50

Articles

21

Papers

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 36
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 126.    Total self citations: 22 (2.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfu3
   Updated: 2020-05-16    RAS profile: 2019-12-06    
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Relations with other researchers


Works with:

Phylaktis, Kate (3)

Olmo, Jose (2)

Greenwood-Nimmo, Matthew (2)

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 (21)

Eberhardt, Markus (18)

Holmes, Mark (12)

Afonso, Antonio (11)

Taylor, Mark (10)

Tosetti, Elisa (9)

Snaith, Stuart (9)

Noman, Abdullah (9)

Coakley, Jerry (8)

Baharumshah, Ahmad Zubaidi (8)

Liew, Venus (7)

Cites to:

Pesaran, M (39)

Coakley, Jerry (34)

Smith, Ronald (29)

Sarno, Lucio (24)

Reinhart, Carmen (24)

Campbell, John (23)

Diebold, Francis (18)

Goldberg, Linda (17)

Phillips, Peter (17)

Moon, Hyungsik (17)

Shiller, Robert (17)

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 & Finance5
International Journal of Forecasting5
Computational Statistics & Data Analysis4
Applied Financial Economics3
Journal of Economic Dynamics and Control3
Manchester School3
International Journal of Finance & Economics3
International Review of Financial Analysis2
Journal of the Royal Statistical Society Series A2
Journal of Futures Markets2

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
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2
Computing in Economics and Finance 2003 / Society for Computational Economics2
Computing in Economics and Finance 2004 / Society for Computational Economics2

Recent works citing Ana-Maria Fuertes (2019 and 2018)


YearTitle of citing document
2019A copula based Markov Reward approach to the credit spread in European Union. (2019). Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe ; Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1902.00691.

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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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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2019Evolution and Characteristics of the Exchange Rate Pass Through to Prices in Mexico. (2019). Samano, Daniel ; Daniel, Samano ; Josue, Cortes Espada. In: Working Papers. RePEc:bdm:wpaper:2019-10.

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2018INEQUALITY AND GROWTH IN THE UNITED STATES: WHY PHYSICAL AND HUMAN CAPITAL MATTER. (2018). Karagiannis, Stelios ; Benos, Nikos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:572-619.

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2018KNOWLEDGE SPILLOVERS AND OUTPUT PER WORKER: AN INDUSTRY‐LEVEL ANALYSIS FOR OECD COUNTRIES. (2018). Bournakis, Ioannis ; Mallick, Sushanta ; Christopoulos, Dimitris. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:1028-1046.

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2018Maximum diversification strategies along commodity risk factors. (2018). Bernardi, Simone ; Lohre, Harald ; Leippold, Markus. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:53-78.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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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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2019Domestic banks as lightning rods? Home bias and information during Eurozone crisis. (2019). Saka, Orkun. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_003.

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2018Risk perceptions and fundamental effects on sovereign spreads. (2018). Migiakis, Petros ; Georgoutsos, Dimitris. In: Working Papers. RePEc:bog:wpaper:250.

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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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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2019Domestic Banks as Lightning Rods? Home Bias and Information during the Eurozone Crisis. (2019). Saka, Orkun. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7939.

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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 ; Brož, Václav ; Broz, Vaclav. In: Working Papers. RePEc:cnb:wpaper:2018/6.

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2019Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels. In: DNB Working Papers. RePEc:dnb:dnbwpp:636.

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2019A macroeconomic vulnerability model for the euro area. (2019). Zorell, Nico ; Sondermann, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192306.

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2020Non-linear exchange rate pass-through to euro area inflation: a local projection approach. (2020). Colavecchio, Roberta ; Rubene, Ieva. In: Working Paper Series. RePEc:ecb:ecbwps:20202362.

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2018FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Tamarit, Cecilio ; Camarero, Mariam ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813.

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2019Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries. (2019). Sun, Gang ; Kassi, Diby Franois ; Assamoi, Guy Roland ; Rathnayake, Dilesha Nawadali ; Ding, Ning. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:357-372.

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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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2018Asymmetric import cost pass-through in GCC countries: Evidence from nonlinear panel analysis. (2018). Al Samara, Mouyad ; Dombrecht, Michel ; Mrabet, Zouhair ; Alsamara, Mouyad. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:432-440.

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2019Modeling, analysis and mitigation of contagion in financial systems. (2019). Cheng, Xian ; Zhao, Haichuan. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:281-292.

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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2019Has the Feldstein-Horioka puzzle waned? Evidence from time series and dynamic panel data analysis. (2019). Dash, Santosh Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:256-269.

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2019A moving blocks empirical likelihood method for panel linear fixed effects models with serial correlations and cross-sectional dependences. (2019). Wu, Lang ; Ma, Qing ; Qiu, Jin . In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:394-405.

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2018Capital market integration in ASEAN: A non-stationary panel data analysis. (2018). Chan, Kenneth S ; Lai, Jennifer T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:249-260.

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2019Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices. (2019). Chou, K W. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:331-351.

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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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2019Picking winners to pick your winners: The momentum effect in commodity risk factors. (2019). Osman, Mohamed ; Karathanasopoulos, Andreas ; Mikutowski, Mateusz ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306053.

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2019Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets. (2019). Yin, Libo ; Su, Zhi ; Mo, Xuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301007.

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2019A two-stage estimator for heterogeneous panel models with common factors. (2019). Castagnetti, Carolina ; Trapani, Lorenzo ; Rossi, Eduardo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:63-82.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2019Does downside risk matter more in asset pricing? Evidence from China. (2019). Ali, Heba. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:154-174.

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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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2018The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56.

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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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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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2019Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU. (2019). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1-12.

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2019The impact of market competition on CEO salary in the US energy sector1. (2019). Tsionas, Mike ; Michaelides, Panayotis ; Konstantakis, Konstantinos ; Xidonas, Panos. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:32-37.

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2019Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

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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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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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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2019Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387.

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2019Professional macroeconomic forecasts and Chinese commodity futures prices. (2019). Liu, Xiaoquan ; Jiang, Ying ; Guo, Ranran ; Ye, Wuyi ; Deschamps, Bruno. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:130-136.

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2019A study of first generation commodity indices: Indices based on financial diversification. (2019). Six, Pierre ; Ahn, Jung-Hyun . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:194-200.

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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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2018The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54.

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2019Short-term momentum (almost) everywhere. (2019). Karathanasopoulos, Andreas ; Long, Huaigang ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300976.

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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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2018Examining the Feldstein–Horioka puzzle using common factor panels and interval estimation. (2018). Ginama, Isamu ; Kanmei, Takahiro ; Hayakawa, Kazuhiko. In: Japan and the World Economy. RePEc:eee:japwor:v:48:y:2018:i:c:p:11-21.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2020Revisiting the pass-through of exchange rate in the transition economies: New evidence from new EU member states. (2020). ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560618302389.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; 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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2018Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:196-212.

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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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2019Hot money flows and production uncertainty: Evidence from China. (2019). Shenoy, Catherine ; Huang, Jian ; Chen, Fang ; Zhang, Yihao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1830307x.

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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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2019Currency strategies based on momentum, carry trade and skewness. (2019). Jiang, Xue ; Yin, Libo ; Han, Liyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:121-131.

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2019Forecasting the oil prices: What is the role of skewness risk?. (2019). Wang, Yang ; Yin, Libo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711930175x.

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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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2020Mortgage asymmetric pricing, cash rate and international funding cost: Australian evidence. (2020). Salisu, Afees ; Roca, Eduardo ; Liu, Benjamin ; Pham, Quynh Chau . In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:46-68.

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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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2019Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study. (2019). Ibhagui, Oyakhilome W. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:279-303.

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2019Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles. (2019). Casellina, S ; Uberti, M ; Landini, S. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:175-189.

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2018Volatility forecasting across tanker freight rates: The role of oil price shocks. (2018). Tsouknidis, Dimitris ; Gavriilidis, Konstantinos ; Tsakou, Katerina ; Kambouroudis, Dimos S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:118:y:2018:i:c:p:376-391.

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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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2019Equity Valuation based on a Random Process Modelling of Earnings and Equity Growth. (2019). Barnard, Brian ; Dube, Frederick. In: Expert Journal of Economics. RePEc:exp:econcs:v:7:y:2019:i:1:p:1-31.

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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:1:p:49-72.

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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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2018Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures. (2018). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:6:y:2018:i:1:p:16-30.

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2019News Releases, Credit Rating Announcements, and Anti-Crisis Measures as Determinants of Sovereign Bond Spreads in the Peripheral Euro-Area Countries. (2019). Grabowski, Wojciech ; Stawasz-Grabowska, Ewa. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:69:y:2019:i:2:p:149-173.

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2019A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression. (2019). Anderson, Gary ; Audzeyeva, Alena. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-74.

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2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

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2019Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries. (2019). Kassi, Diby Franois ; Sun, Gang ; Ding, Ning ; Louembe, Pierre Axel ; Gnangoin, Yobouet Thierry ; Roland, Akadje Jean ; Rathnayake, Dilesha Nawadali. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:1:p:5-:d:197054.

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2019Credit Risk Migration and Economic Cycles. (2019). Ferretti, Camilla ; Vozzella, Pietro ; Sist, Federica ; Ganugi, Piero ; Gabbi, Giampaolo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:109-:d:281302.

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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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2019Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries. (2019). Grabowski, Wojciech. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:22:p:6495-:d:288258.

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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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2018Linking Net Foreign Portfolio Debt and Equity to Exchange Rate Movements. (2018). Gardberg, Malin. In: Working Paper Series. RePEc:hhs:iuiwop:1246.

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2018Intraday realised volatility forecasting and announcements. (2018). Vortelinos, Dimitrios I. In: International Journal of Banking, Accounting and Finance. RePEc:ids:injbaf:v:9:y:2018:i:1:p:88-118.

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2019International Financial US Linkages: Networks Theory and MS-VAR Analyses. (2019). Cabello, Alejandra ; Ortiz, Edgar ; Sosa, Miriam. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:459-584.

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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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2019Exchange rate pass-through to import prices in Europe: A panel cointegration approach. (2019). Arsova, Antonia. In: Working Paper Series in Economics. RePEc:lue:wpaper:384.

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2017The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast. (2017). Vank, Toma ; Hampel, David. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2017065020759.

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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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2019On the informational market efficiency of the worldwide sovereign credit default swaps. (2019). Hmaied, Dorra ; Peretti, Christian ; Sabkha, Saker. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:7:d:10.1057_s41260-019-00142-4.

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2018Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate. (2018). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:4:d:10.1057_s41283-018-0038-z.

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2019EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness. (2019). Chatziantoniou, Ioannis ; Gabauer, David. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2019-07.

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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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2018On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis. (2018). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: MPRA Paper. RePEc:pra:mprapa:89671.

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2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan. In: MPRA Paper. RePEc:pra:mprapa:95988.

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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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2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 110
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2012Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting.
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article16
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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article10
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: 10
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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article2
2001A Non-linear Analysis of Excess Foreign Exchange Returns. In: Manchester School.
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article7
2004Is the Feldstein-Horioka Puzzle History? In: Manchester School.
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article61
2001Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics.
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article7
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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paper51
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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article20
2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
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article19
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: 19
paper
2008Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis.
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article6
2003Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control.
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article21
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: 21
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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article61
2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
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article7
2017In good times and in bad: Bank capital ratios and lending rates 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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article20
2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
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article25
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
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article8
2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
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article2
2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
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article2
2019A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance.
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article0
2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
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article28
2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
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article10
2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
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article46
2018The skewness of commodity futures returns In: Journal of Banking & Finance.
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article12
2018The skewness of commodity futures returns.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 12
paper
2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
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article43
2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
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article38
2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
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article29
2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
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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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article3
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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article2
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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article7
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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article1
2009Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics.
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article13
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.
[Citation analysis]
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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article9
2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
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article3
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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article1
2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
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article0
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.
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paper2
2002An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002.
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paper0
2003ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003.
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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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article21
2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
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article9
2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
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article1
2014A behavioral analysis of investor diversification In: The European Journal of Finance.
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article1
2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
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article7
2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
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article11

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team