Mico Loretan : Citation Profile


Are you Mico Loretan?

Schweizerische Nationalbank (SNB)

9

H index

9

i10 index

756

Citations

RESEARCH PRODUCTION:

14

Articles

17

Papers

3

Chapters

RESEARCH ACTIVITY:

   29 years (1989 - 2018). See details.
   Cites by year: 26
   Journals where Mico Loretan has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 4 (0.53 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo360
   Updated: 2019-08-17    RAS profile: 2019-01-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Gyntelberg, Jacob (3)

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

Is cited by:

Phillips, Peter (14)

cotter, john (12)

Beckmann, Joscha (8)

Panopoulou, Ekaterini (8)

Jondeau, Eric (8)

Kurozumi, Eiji (8)

Ericsson, Neil (8)

Belke, Ansgar (7)

Masih, Abul (6)

Guillén, Osmani (6)

Rockinger, Michael (5)

Cites to:

Barndorff-Nielsen, Ole (12)

Shephard, Neil (11)

Phillips, Peter (10)

Chinn, Menzie (9)

Cheung, Yin-Wong (9)

Rime, Dagfinn (8)

Hau, Harald (6)

Bollerslev, Tim (6)

Rey, Helene (5)

Garcia Pascual, Antonio (5)

Cao, Huining (5)

Main data


Where Mico Loretan has published?


Journals with more than one article published# docs
Journal of Econometrics2
Journal of Empirical Finance2
BIS Quarterly Review2

Working Papers Series with more than one paper published# docs
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)4
BIS Working Papers / Bank for International Settlements3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
IMF Working Papers / International Monetary Fund2

Recent works citing Mico Loretan (2018 and 2017)


YearTitle of citing document
2018Rethinking prices and markets underlying price-competitiveness indicators. (2018). Giordano, Claire ; FELETTIGH, ALBERTO. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_447_18.

Full description at Econpapers || Download paper

2018Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics. (2018). Avdjiev, Stefan ; Shin, Hyun Song ; Berger, Bat-el . In: BIS Working Papers. RePEc:bis:biswps:735.

Full description at Econpapers || Download paper

2017Oil and the Naira: A Markov Switching Perspective. (2017). Ayodeji, Idowu. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:4:p:562-574.

Full description at Econpapers || Download paper

2017Simple, Robust, and Accurate F and t Tests in Cointegrated Systems. (2017). Sun, Yixiao ; Hwang, Jungbin. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt83b4q8pk.

Full description at Econpapers || Download paper

2017Trade Treaties and Deglobalization. (2017). Warburton, Christopher. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:17:y:2017:i:1_5.

Full description at Econpapers || Download paper

2017Mercantilism and Chinas hunger for international reserves. (2017). Schröder, Marcel ; Schroder, Marcel. In: China Economic Review. RePEc:eee:chieco:v:42:y:2017:i:c:p:15-33.

Full description at Econpapers || Download paper

2017Does foreign direct investment crowd in or crowd out private domestic investment in China? The effect of entry mode. (2017). Malizard, Julien ; Chen, George ; Yao, Yao. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:409-419.

Full description at Econpapers || Download paper

2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40.

Full description at Econpapers || Download paper

2018Upward wage rigidity and Japans dispatched worker system. (2018). Chen, W D. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:152-162.

Full description at Econpapers || Download paper

2018Modelling currency demand in a small open economy within a monetary union. (2018). Rua, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:88-96.

Full description at Econpapers || Download paper

2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

Full description at Econpapers || Download paper

2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

Full description at Econpapers || Download paper

2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

Full description at Econpapers || Download paper

2018The rise of exporting by U.S. firms. (2018). Lincoln, William F ; McCallum, Andrew H. In: European Economic Review. RePEc:eee:eecrev:v:102:y:2018:i:c:p:280-297.

Full description at Econpapers || Download paper

2018Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market. (2018). Hai, Ly Thi ; Tran, Hoa Xuan ; Phuong, Thao Thi. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:114-133.

Full description at Econpapers || Download paper

2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

Full description at Econpapers || Download paper

2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

Full description at Econpapers || Download paper

2019Natural gas consumption and economic growth: Evidence from selected natural gas vehicle markets in Europe. (2019). Fadiran, Gideon ; Adebusuyi, Adebisi T. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:467-477.

Full description at Econpapers || Download paper

2018Network linkages to predict bank distress. (2018). Constantin, Andreea ; Sarlin, Peter ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:226-241.

Full description at Econpapers || Download paper

2018Domestic and multilateral effects of capital controls in emerging markets. (2018). Falagiarda, Matteo ; Aizenman, Joshua ; Bijsterbosch, Martin ; Pasricha, Gurnain Kaur. In: Journal of International Economics. RePEc:eee:inecon:v:115:y:2018:i:c:p:48-58.

Full description at Econpapers || Download paper

2018Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

Full description at Econpapers || Download paper

2019A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

Full description at Econpapers || Download paper

2017The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises. (2017). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:74-94.

Full description at Econpapers || Download paper

2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

Full description at Econpapers || Download paper

2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

Full description at Econpapers || Download paper

2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Hussain, Syed Jawad ; Nor, Safwan Mohd. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

Full description at Econpapers || Download paper

2018Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market. (2018). Chakraborty, Abhijit ; Sinha, Sitabhra ; Easwaran, Soumya . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:599-610.

Full description at Econpapers || Download paper

2019Normal to extreme Operation Transition Threshold analysis for remanufacturing systems. (2019). Rickli, Jeremy L ; Gavidel, Saeed Zamanzad. In: International Journal of Production Economics. RePEc:eee:proeco:v:213:y:2019:i:c:p:46-54.

Full description at Econpapers || Download paper

2019Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model. (2019). Arvanitis, Stelios. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:166-172.

Full description at Econpapers || Download paper

2019Correlation extrapolated. (2019). Maugis, Pierre-Andre G. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:89-95.

Full description at Econpapers || Download paper

2018What drives the market share changes? Price versus non-price factors. (2018). Benkovskis, Konstantins ; Worz, Julia. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:45:y:2018:i:c:p:9-29.

Full description at Econpapers || Download paper

2018Infinite-Variance Error Structure in Finance and Economics. (2018). Serttas, Fatma Ozgu. In: International Econometric Review (IER). RePEc:erh:journl:v:10:y:2018:i:1:p:14-23.

Full description at Econpapers || Download paper

2018Macroeconomic Indicators and their Impact on the Foreign Debt Burden: The Case of BRICS Countries. (2018). Akhmadeev, R G ; Turishcheva, T B ; Vashchekina, I V ; Philippova, N V ; Bykanova, O A. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:vi:y:2018:i:2:p:68-82.

Full description at Econpapers || Download paper

2018Macroeconomic Indicators and their Impact on the Foreign Debt Burden: The Case of BRICS Countries. (2018). Akhmadeev, R G ; Turishcheva, T B ; Vashchekina, I V ; Philippova, N V ; Bykanova, O A. In: European Research Studies Journal. RePEc:ers:journl:v:vi:y:2018:i:2:p:68-82.

Full description at Econpapers || Download paper

2018How Firms Choose their Partners in the Japanese Supplier-Customer Network? An application of the exponential random graph model. (2018). Krichene, Hazem ; Hiroyasu, Inoue ; Yoshi, Fujiwara ; Chakraborty, Abhijit ; Yoshiyuki, Arata. In: Discussion papers. RePEc:eti:dpaper:18011.

Full description at Econpapers || Download paper

2017Portfolio Rebalancing in Times of Stress. (2017). Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael . In: Globalization Institute Working Papers. RePEc:fip:feddgw:322.

Full description at Econpapers || Download paper

2019Oil Factor in Economic Development. (2019). Hajiyev, Natig Qadim-Oglu ; Humbatova, Sugra Ingilab. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1573-:d:225910.

Full description at Econpapers || Download paper

2017The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises. (2017). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi. In: Working Papers. RePEc:hal:wpaper:hal-01511667.

Full description at Econpapers || Download paper

2018Financial crises, price discovery, and information transmission: a high-frequency perspective. (2018). Füss, Roland ; Zhao, LU ; Stein, Michael ; Mager, Ferdinand ; Fuss, Roland ; ROLAND FSS, . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0318-3.

Full description at Econpapers || Download paper

2018Are International Fund Flows Related to Exchange Rate Dynamics?. (2018). de Haan, Jakob ; Scholtens, Bert ; Li, Suxiao. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:1:d:10.1007_s11079-017-9469-5.

Full description at Econpapers || Download paper

2017The effects of the tax mix on inequality and growth. (2017). Fournier, Jean-Marc ; Cournède, Boris ; Cournede, Boris ; Akgun, Oguzhan. In: OECD Economics Department Working Papers. RePEc:oec:ecoaaa:1447-en.

Full description at Econpapers || Download paper

2018Public finance structure and inclusive growth. (2018). Hoeller, Peter ; Fournier, Jean-Marc ; Cournede, Boris. In: OECD Economic Policy Papers. RePEc:oec:ecoaab:25-en.

Full description at Econpapers || Download paper

2017Robust inference in conditionally heteroskedastic autoregressions. (2017). Pedersen, Rasmus Sondergaard. In: MPRA Paper. RePEc:pra:mprapa:81979.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019The Risk Spiral: The Effects of Bank Capital and Diversification on Risk Taking. (2019). Raviv, Alon ; Lazar, Sharon Peleg. In: MPRA Paper. RePEc:pra:mprapa:92134.

Full description at Econpapers || Download paper

2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

Full description at Econpapers || Download paper

2017Modelling currency demand in a small open economy within a monetary union. (2017). Rua, Antnio . In: Working Papers. RePEc:ptu:wpaper:w201710.

Full description at Econpapers || Download paper

2019Modelling the Demand for Euro Banknotes. (2019). Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w201905.

Full description at Econpapers || Download paper

2017An analysis of the relationship between the sovereign credit default swaps and the stock market of Pakistan through handling outliers. (2017). Shear, Falik ; Badshah, Imtiaz ; Butt, Hilal Anwar. In: Proceedings of Economics and Finance Conferences. RePEc:sek:iefpro:4807486.

Full description at Econpapers || Download paper

2018The Swiss franc safety premium. (2018). Leutert, Jessica. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-017-0014-7.

Full description at Econpapers || Download paper

2017Ricardian equivalence and the public and private saving nexus in India. (2017). Singh, Tarlok. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:36:p:3579-3598.

Full description at Econpapers || Download paper

2017Identification and critical time forecasting of real estate bubbles in the USA. (2017). Ardila, Diego ; Sornette, Didier ; Cauwels, Peter ; Sanadgol, Dorsa. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:613-631.

Full description at Econpapers || Download paper

2017Are Current Account Deficits in the OECD Countries Sustainable? Robust Evidence from Time-Series Estimators. (2017). Singh, Tarlok. In: The International Trade Journal. RePEc:taf:uitjxx:v:31:y:2017:i:1:p:29-64.

Full description at Econpapers || Download paper

2018Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT). (2018). Muela, Sonia Benito ; Navarro, Angeles M ; Lopez-Martin, Carmen. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1820.

Full description at Econpapers || Download paper

2017Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling. (2017). Guo, Zi-Yi. In: EconStor Open Access Articles. RePEc:zbw:espost:168048.

Full description at Econpapers || Download paper

Works by Mico Loretan:


YearTitleTypeCited
1992Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers.
[Citation analysis]
paper136
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets.(1994) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136
article
2010The international financial crisis: timeline, impact and policy responses in Asia and the Pacific In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter18
2010Private information, stock markets, and exchange rates In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter5
2009Private information, stock markets, and exchange rates.(2009) In: BIS Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2009Private information, stock markets, and exchange rates.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2010Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter21
2010Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market.(2010) In: Journal of Asian Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
2000Evaluating changes in correlations during periods of high market volatility In: BIS Quarterly Review.
[Full Text][Citation analysis]
article2
2008The development of money markets in Asia In: BIS Quarterly Review.
[Full Text][Citation analysis]
article3
2008Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets In: BIS Working Papers.
[Full Text][Citation analysis]
paper12
2010Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2007Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2009International portfolio rebalancing and exchange rate fluctuations in Thailand In: BIS Working Papers.
[Full Text][Citation analysis]
paper11
1989The Durbin-Watson Ratio Under Infinite Variance Errors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper5
1991The Durbin-Watson ratio under infinite-variance errors.(1991) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1989Estimating Long Run Economic Equilibria In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper334
1991Estimating Long-run Economic Equilibria.(1991) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 334
article
1990Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper8
2009Contagion and Risk in the Amplification of Crisis : Evidence from Asian Names in the CDS Market In: EABER Working Papers.
[Full Text][Citation analysis]
paper2
1996Economic models of systemic risk in financial systems In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article3
2014On the properties of the coefficient of determination in regression models with infinite variance variables In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2014Exchange rate fluctuations and international portfolio rebalancing In: Emerging Markets Review.
[Full Text][Citation analysis]
article5
2018Private information, capital flows, and exchange rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article3
2012Private Information, Capital Flows, and Exchange Rates.(2012) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2015Private information, capital flows, and exchange rates.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1997Pitfalls in tests for changes in correlations In: International Finance Discussion Papers.
[Full Text][Citation analysis]
paper84
2000Evaluating correlation breakdowns during periods of market volatility In: International Finance Discussion Papers.
[Full Text][Citation analysis]
paper59
2007A note on the coefficient of determination in models with infinite variance variables In: International Finance Discussion Papers.
[Full Text][Citation analysis]
paper1
1995Systemic risk in a model economy with a stylized banking system In: Proceedings.
[Citation analysis]
article0
2005Indexes of the foreign exchange value of the dollar In: Federal Reserve Bulletin.
[Full Text][Citation analysis]
article38
2012Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand In: IMF Working Papers.
[Full Text][Citation analysis]
paper0
2013Rate-optimal tests for jumps in diffusion processes In: Statistical Papers.
[Full Text][Citation analysis]
article1
2007A note on the coefficient of determination in regression models with infinite-variance variables In: Discussion Paper Series 1: Economic Studies.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team