19
H index
30
i10 index
1141
Citations
City University | 19 H index 30 i10 index 1141 Citations RESEARCH PRODUCTION: 53 Articles 24 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Year | Title of citing document | |
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2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2021 | Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026. Full description at Econpapers || Download paper | |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2021 | EMU 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. Full description at Econpapers || Download paper | |
2021 | Public 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | State 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. Full description at Econpapers || Download paper | |
2021 | Product?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. Full description at Econpapers || Download paper | |
2021 | Nonlinearities 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. Full description at Econpapers || Download paper | |
2021 | 50 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. Full description at Econpapers || Download paper | |
2022 | Busy 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. Full description at Econpapers || Download paper | |
2021 | Financial 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. Full description at Econpapers || Download paper | |
2021 | Realized 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. Full description at Econpapers || Download paper | |
2022 | Heterogeneity 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. Full description at Econpapers || Download paper | |
2021 | Quantifying 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Inferential 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. Full description at Econpapers || Download paper | |
2021 | State-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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Economic 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Multiscale 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2022 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2021 | Dividend 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. Full description at Econpapers || Download paper | |
2022 | Impacts 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | On 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. Full description at Econpapers || Download paper | |
2022 | Can 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Risk 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. Full description at Econpapers || Download paper | |
2021 | Cross-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. Full description at Econpapers || Download paper | |
2021 | On 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. Full description at Econpapers || Download paper | |
2021 | Emerging 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. Full description at Econpapers || Download paper | |
2021 | Investable 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. Full description at Econpapers || Download paper | |
2021 | Long-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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | European 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Bank 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. Full description at Econpapers || Download paper | |
2022 | The “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. Full description at Econpapers || Download paper | |
2021 | Price 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. Full description at Econpapers || Download paper | |
2021 | Managing 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Portfolio 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. Full description at Econpapers || Download paper | |
2021 | Determinants 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. Full description at Econpapers || Download paper | |
2021 | Enhanced 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. Full description at Econpapers || Download paper | |
2021 | EMU 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. Full description at Econpapers || Download paper | |
2021 | Commodity 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. Full description at Econpapers || Download paper | |
2022 | Traders’ 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. Full description at Econpapers || Download paper | |
2022 | THE 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. Full description at Econpapers || Download paper | |
2022 | Re-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. Full description at Econpapers || Download paper | |
2021 | Long-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. Full description at Econpapers || Download paper | |
2021 | Does 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. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2022 | Switching 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. Full description at Econpapers || Download paper | |
2021 | Predicting 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. Full description at Econpapers || Download paper | |
2021 | Sovereign 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. Full description at Econpapers || Download paper | |
2021 | Crypto 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. Full description at Econpapers || Download paper | |
2022 | Crypto-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. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Nexus 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. Full description at Econpapers || Download paper | |
2021 | 50 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. Full description at Econpapers || Download paper | |
2022 | Currency 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. Full description at Econpapers || Download paper | |
2021 | An 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Dependence 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. Full description at Econpapers || Download paper | |
2021 | Have 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. Full description at Econpapers || Download paper | |
2021 | Fisher’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. Full description at Econpapers || Download paper | |
2021 | 50 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. Full description at Econpapers || Download paper | |
2022 | Does 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. Full description at Econpapers || Download paper | |
2022 | Procyclical 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. Full description at Econpapers || Download paper | |
2021 | Phillips 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. Full description at Econpapers || Download paper | |
2021 | ONE 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. Full description at Econpapers || Download paper | |
2021 | Transmission 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. Full description at Econpapers || Download paper | |
2021 | Federal 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Spillovers 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. Full description at Econpapers || Download paper | |
2022 | Does 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. Full description at Econpapers || Download paper | |
2021 | Is 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. Full description at Econpapers || Download paper | |
2021 | Exploring 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. Full description at Econpapers || Download paper | |
2021 | Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure. (2021). Fantazzini, Dean ; Calabrese, Raffaella. In: MPRA Paper. RePEc:pra:mprapa:110391. Full description at Econpapers || Download paper | |
2021 | What 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. Full description at Econpapers || Download paper | |
2022 | Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death. (2022). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:113744. Full description at Econpapers || Download paper | |
2021 | Heterogeneity 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Preventing Self-Fulfilling Debt Crises: A Global Games Approach. (). Szkup, Michal. In: Review of Economic Dynamics. RePEc:red:issued:19-127. Full description at Econpapers || Download paper | |
2022 | Building 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. Full description at Econpapers || Download paper | |
2022 | Transmission 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. Full description at Econpapers || Download paper | |
2021 | Numerical 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. Full description at Econpapers || Download paper | |
2021 | Exchange 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. Full description at Econpapers || Download paper | |
2021 | Navigating 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. Full description at Econpapers || Download paper | |
2021 | Trading 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2004 | Unobserved Heterogeneity in Panel Time Series Models In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 138 |
2006 | Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | article | |
2012 | Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 27 |
2017 | Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 14 |
2016 | Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2019 | Preface to the papers on ‘Credit risk modelling’ In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
2000 | Short?run Real Exchange Rate Dynamics In: Manchester School. [Full Text][Citation analysis] | article | 0 |
2001 | A Non?Linear Analysis of Excess Foreign Exchange Returns In: Manchester School. [Full Text][Citation analysis] | article | 5 |
2004 | Is the Feldstein–Horioka Puzzle History? In: Manchester School. [Full Text][Citation analysis] | article | 71 |
2001 | Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
2002 | A 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] | paper | 64 |
2000 | Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 36 |
2007 | On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 22 |
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2008 | Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
2003 | Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 23 |
2003 | Numerical 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: 23 | article | |
2006 | Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
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2016 | Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
2017 | In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 5 |
2021 | Bank credit risk events and peers equity value In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
2007 | Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 36 |
2009 | On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 35 |
2013 | Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
2016 | Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
2017 | Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 13 |
2019 | A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2020 | Fear of hazards in commodity futures markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2020 | Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2020 | Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2006 | Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
2006 | Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 11 |
2010 | Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 70 |
2018 | The skewness of commodity futures returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 37 |
2018 | The skewness of commodity futures returns.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2005 | Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 45 |
2012 | Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 56 |
2015 | ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 53 |
2014 | ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2016 | Hot money in bank credit flows to emerging markets during the banking globalization era In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 9 |
2016 | On 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] | article | 7 |
2018 | On the predictability of emerging market sovereign credit spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 1 |
2019 | Uncovered equity “disparity” in emerging markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2001 | Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 6 |
2016 | On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM. [Full Text][Citation analysis] | article | 2 |
2020 | Speculative Pressure In: Post-Print. [Full Text][Citation analysis] | paper | 5 |
2020 | Speculative pressure.(2020) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2009 | Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 14 |
2000 | Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 11 |
2004 | A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2003 | A 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 | |
2005 | A guided tour of TSMod 4.03 In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2010 | How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 14 |
2015 | Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 10 |
2004 | The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 8 |
2004 | A new interpretation of the real exchange rate - yield differential nexus In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
2004 | Market-wide shocks and anomalous price behaviour: evidence from closed-end funds In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] | paper | 0 |
2016 | Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
2017 | Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance. [Full Text][Citation analysis] | article | 9 |
2000 | A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 0 |
2001 | Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
2001 | Small sample properties of panel time-series estimators with I(1) errors In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 20 |
2001 | Bootstrap LR Tests for Sign and Amplitude Asymmetries In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 2 |
2002 | Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2002 | Exchange Rate Overshooting and the Forward Premium Puzzle In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 1 |
2002 | An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2003 | ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
2004 | Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 1 |
2004 | Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 2 |
2001 | Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
2002 | Asymmetric dynamics in UK real interest rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 11 |
2009 | Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
2014 | A behavioral analysis of investor diversification In: The European Journal of Finance. [Full Text][Citation analysis] | article | 7 |
2013 | Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets. [Citation analysis] | article | 8 |
2015 | Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 25 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team