12
H index
13
i10 index
982
Citations
Mico Loretan : Citation Profile
Schweizerische Nationalbank (SNB) | RESEARCH PRODUCTION: 14 Articles 15 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1989 - 2018). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mico Loretan. | Is cited by:
| Cites to:
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Main data
Where Mico Loretan has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 2 |
| Journal of Empirical Finance | 2 |
| BIS Quarterly Review | 2 |
| 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 |
| Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University | 3 |
| BIS Working Papers / Bank for International Settlements | 3 |
Recent works citing Mico Loretan (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper |
| 2023 | A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688. Full description at Econpapers || Download paper |
| 2023 | Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319. Full description at Econpapers || Download paper |
| 2023 | Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091. Full description at Econpapers || Download paper |
| 2023 | Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173. Full description at Econpapers || Download paper |
| 2023 | Who are the vectors of contagion? Evidence from emerging markets. (2023). Munera, Daimer J ; Agudelo, Diego A. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001151. Full description at Econpapers || Download paper |
| 2023 | Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318. Full description at Econpapers || Download paper |
| 2023 | Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000482. Full description at Econpapers || Download paper |
| 2023 | The sustainability of current account in the BRICS countries depends on economic policies’ support to structural adaptation. (2023). Singh, Tarlok. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:570-591. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Carbon Neutrality Challenge: Analyse the Role of Energy Productivity, Renewable Energy, and Collaboration in Climate Mitigation Technology in OECD Economies. (2023). Marie, Mohamed ; Hassan, Taimoor ; Khan, Yasir ; Shi, Xudong ; Zhang, Xiuqin. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3447-:d:1067510. Full description at Econpapers || Download paper |
| 2023 | Crash risk in the Nordic Stock Market - a cross-sectional analysis. (2023). Fjarvik, Thomas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_005. Full description at Econpapers || Download paper |
| 2023 | Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series.. (2023). Sansó, Andreu ; Carrion, Josep Lluis. In: IREA Working Papers. RePEc:ira:wpaper:202309. Full description at Econpapers || Download paper |
| 2023 | Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT). (2023). Navarro, Angeles M ; Lopez-Martin, Carmen ; Benito, Sonia. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00106-w. Full description at Econpapers || Download paper |
| 2024 | Flexible Inflation Targeting and Macroeconomic Performance: Evidence from ASEAN. (2023). Waiyawatjakorn, Rawipha ; Nookhwun, Nuwat. In: PIER Discussion Papers. RePEc:pui:dpaper:208. Full description at Econpapers || Download paper |
| 2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
| 2023 | Modelling delayed correlation between interest rates and equity market returns. (2023). Othieno, Ferdinand Okoth ; Yalla, Brian Opiyo. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:2:d:10.1007_s43546-022-00397-x. Full description at Econpapers || Download paper |
Works by Mico Loretan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1992 | Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers. [Citation analysis] | paper | 173 |
| 1994 | Testing 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 nother version. Agregated cites: 173 | article | |
| 2010 | The international financial crisis: timeline, impact and policy responses in Asia and the Pacific In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 29 |
| 2010 | Private information, stock markets, and exchange rates In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 12 |
| 2009 | Private information, stock markets, and exchange rates.(2009) In: BIS Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2009 | Private information, stock markets, and exchange rates.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Contagion 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] | chapter | 25 |
| 2010 | Contagion 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 nother version. Agregated cites: 25 | article | |
| 2000 | Evaluating changes in correlations during periods of high market volatility In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 19 |
| 2008 | The development of money markets in Asia In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 4 |
| 2008 | Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets In: BIS Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2010 | Frequency 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 nother version. Agregated cites: 19 | article | |
| 2007 | Frequency 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 nother version. Agregated cites: 19 | paper | |
| 2009 | International portfolio rebalancing and exchange rate fluctuations in Thailand In: BIS Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 1989 | The Durbin-Watson Ratio Under Infinite Variance Errors In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 1991 | The Durbin-Watson ratio under infinite-variance errors.(1991) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1989 | Estimating Long Run Economic Equilibria In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 421 |
| 1991 | Estimating Long-run Economic Equilibria.(1991) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 421 | article | |
| 1990 | Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
| 2009 | Contagion and Risk in the Amplification of Crisis : Evidence from Asian Names in the CDS Market In: EABER Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 1996 | Economic models of systemic risk in financial systems In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2014 | On the properties of the coefficient of determination in regression models with infinite variance variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2014 | Exchange rate fluctuations and international portfolio rebalancing In: Emerging Markets Review. [Full Text][Citation analysis] | article | 8 |
| 2018 | Private information, capital flows, and exchange rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 12 |
| 1997 | Pitfalls in tests for changes in correlations In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 91 |
| 2000 | Evaluating \correlation breakdowns\ during periods of market volatility In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 71 |
| 2007 | A note on the coefficient of determination in models with infinite variance variables In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1995 | Systemic risk in a model economy with a stylized banking system In: Proceedings. [Citation analysis] | article | 1 |
| 2005 | Indexes of the foreign exchange value of the dollar In: Federal Reserve Bulletin. [Full Text][Citation analysis] | article | 46 |
| 2015 | Private information, capital flows, and exchange rates In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Rate-optimal tests for jumps in diffusion processes In: Statistical Papers. [Full Text][Citation analysis] | article | 2 |
| 2007 | A note on the coefficient of determination in regression models with infinite-variance variables In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] | paper | 4 |
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