7
H index
6
i10 index
331
Citations
Marco Lyrio : Citation Profile
Insper Instituto de Ensino e Pesquisa | RESEARCH PRODUCTION: 10 Articles 22 Papers 2 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (1999 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Marco Lyrio. | Is cited by:
| Cites to:
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Main data
Where Marco Lyrio has published?
Recent works citing Marco Lyrio (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2019 | Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932. Full description at Econpapers || Download paper |
| 2019 | Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106. Full description at Econpapers || Download paper |
| 2020 | Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra. In: Working Papers. RePEc:bdm:wpaper:2020-01. Full description at Econpapers || Download paper |
| 2020 | From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780. Full description at Econpapers || Download paper |
| 2019 | Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19. Full description at Econpapers || Download paper |
| 2019 | Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels. In: DNB Working Papers. RePEc:dnb:dnbwpp:636. Full description at Econpapers || Download paper |
| 2020 | Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666. Full description at Econpapers || Download paper |
| 2019 | The CSPP at work - yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192264. Full description at Econpapers || Download paper |
| 2019 | The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297. Full description at Econpapers || Download paper |
| 2019 | Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1. Full description at Econpapers || Download paper |
| 2020 | Impact of the Asset Purchase Programme on euro area government bond yields using market news. (2020). de Santis, Roberto A. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:192-209. Full description at Econpapers || Download paper |
| 2020 | Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530. Full description at Econpapers || Download paper |
| 2019 | The effects of conventional and unconventional monetary policy on exchange rates. (2019). Inoue, Atsushi ; Rossi, Barbara. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:419-447. Full description at Econpapers || Download paper |
| 2019 | Bond risk premia in a small open economy with volatile capital flows: The case of Korea. (2019). Yun, Jaeho. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:223-243. Full description at Econpapers || Download paper |
| 2019 | Carry trades, agent heterogeneity and the exchange rate. (2019). Tong, Bin ; Zhou, Chun-Yang ; Li, Xiao-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:343-358. Full description at Econpapers || Download paper |
| 2019 | Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503. Full description at Econpapers || Download paper |
| 2019 | Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639. Full description at Econpapers || Download paper |
| 2020 | The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?. (2020). Ozturk, Huseyin. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9405-y. Full description at Econpapers || Download paper |
| 2019 | Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data. (2019). Klose, Jens. In: MAGKS Papers on Economics. RePEc:mar:magkse:201903. Full description at Econpapers || Download paper |
| 2019 | Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93. Full description at Econpapers || Download paper |
| 2019 | Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework. (2019). Zhou, Siwen. In: MPRA Paper. RePEc:pra:mprapa:92530. Full description at Econpapers || Download paper |
| 2019 | The Neo-Fisherianism to Escape Zero Lower Bound. (2019). Chattopadhyay, Siddhartha. In: MPRA Paper. RePEc:pra:mprapa:92669. Full description at Econpapers || Download paper |
| 2019 | Gold, Platinum and the Predictability of Bond Risk Premia. (2019). GUPTA, RANGAN ; Demirer, Riza ; Wohar, Mark E ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201967. Full description at Econpapers || Download paper |
| 2019 | Dynamic integration and network structure of the EMU sovereign bond markets. (2019). Sensoy, Ahmet ; Hacihasanoglu, Erk ; Rostom, Ahmed ; Nguyen, Duc Khuong. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2831-1. Full description at Econpapers || Download paper |
| 2019 | Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery. (2019). Zekaite, Zivile ; Stasinakis, Charalampos ; Fernandes, Filipa . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2808-0. Full description at Econpapers || Download paper |
| 2019 | Cross-market information spillover and the performance of technical trading in the foreign exchange market. (2019). Chang, Yung-Ho. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9440-3. Full description at Econpapers || Download paper |
| 2019 | Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019. Full description at Econpapers || Download paper |
| 2019 | Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data. (2019). Klose, Jens. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203484. Full description at Econpapers || Download paper |
Works by Marco Lyrio:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2004 | The Effect of Monetary Unification on German Bond Markets In: European Financial Management. [Full Text][Citation analysis] | article | 10 |
| 2001 | The Effect of Monetary Unification on German Bond Markets.(2001) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2001 | The Effect of Monetary Unification on German Bond Markets.(2001) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2000 | Multiple Equilibria and the Credibility of the Brazilian Crawling Peg, 1995-1998. In: International Finance. [Full Text][Citation analysis] | article | 1 |
| 1999 | Multiple Equilibria and the Credibility of the Brazilian Crawling-Peg, 1995-1998.(1999) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2014 | Developments in Macro-Finance Yield Curve Modelling In: Cambridge Books. [Citation analysis] | book | 0 |
| 2016 | Developments in Macro-Finance Yield Curve Modelling.(2016) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | book | |
| 2018 | A macro-financial analysis of the corporate bond market In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A macro-financial analysis of the corporate bond market.(2018) In: Working Paper Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | A macro–financial analysis of the corporate bond market.(2019) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | A macro-financial analysis of the euro area sovereign bond market In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 28 |
| 2014 | A macro-financial analysis of the euro area sovereign bond market.(2014) In: Working Paper Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2006 | The cost of technical trading rules in the Forex market: A utility-based evaluation In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2003 | The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation.(2003) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2003 | Macro factors and the Term Structure of Interest Rates In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 191 |
| 2003 | Macro Factors and the Term Structure of Interest Rates.(2003) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
| 2002 | Macro Factors and the Term Structure of Interest Rates.(2002) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
| 2006 | Macro Factors and the Term Structure of Interest Rates.(2006) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | article | |
| 2011 | Information in the Yield Curve: A Macro-Finance Approach In: Insper Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2014 | Information in the yield curve: A Macro-Finance approach.(2014) In: Working Paper Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2014 | INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
| 2011 | A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation In: Insper Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | A New-Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2011 | Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics In: Insper Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics.(2011) In: Review of Business and Economic Literature. [Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2013 | Previsão dos preços de commodities por meio das taxas de câmbio In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | The economic value of technical trading rules: a nonparametric utility-based approach In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2002 | The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach.(2002) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2006 | A joint model for the term structure of interest rates and the macroeconomy In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 33 |
| 2001 | A Joint Model for the Term Structure of Interest Rates and the Macroeconomy.(2001) In: International Economics Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2001 | Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy In: International Economics Working Papers Series. [Full Text][Citation analysis] | paper | 5 |
| 2006 | A multi-factor model for the valuation and risk managment of demand deposits In: Working Paper Research. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates In: NBER Chapters. [Full Text][Citation analysis] | chapter | 18 |
| 2004 | Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2004. [Full Text][Citation analysis] | paper | 1 |
| 2006 | A Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 1 |
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