Marco Lyrio : Citation Profile

Are you Marco Lyrio?

Insper Instituto de Ensino e Pesquisa

7

H index

6

i10 index

318

Citations

RESEARCH PRODUCTION:

9

Articles

22

Papers

2

Books

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 16
   Journals where Marco Lyrio has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 13 (3.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ply4
   Updated: 2019-11-16    RAS profile: 2019-01-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Dewachter, Hans (6)

Durré, Alain (2)

Sarno, Lucio (2)

Lemke, Wolfgang (2)

Chadha, Jagjit (2)

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

Is cited by:

Rudebusch, Glenn (19)

Kozicki, Sharon (12)

Dewachter, Hans (12)

Tinsley, Peter (11)

Spencer, Peter (11)

Tristani, Oreste (10)

Hördahl, Peter (10)

Iania, Leonardo (9)

Ireland, Peter (9)

Audrino, Francesco (6)

Gavin, William (6)

Cites to:

Dewachter, Hans (30)

Rudebusch, Glenn (15)

Maes, Konstantijn (14)

Piazzesi, Monika (12)

Ang, Andrew (11)

Gertler, Mark (10)

Gali, Jordi (10)

Hördahl, Peter (9)

Tristani, Oreste (9)

Kozicki, Sharon (9)

Cho, Seonghoon (8)

Main data

Where Marco Lyrio has published?

Working Papers Series with more than one paper published# docs
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam2

Recent works citing Marco Lyrio (2018 and 2017)

YearTitle of citing document
2019Forecasting 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

2018The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1078.

Full description at Econpapers || Download paper

2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

Full description at Econpapers || Download paper

2018ON AN INCREASINGLY YIELD CURVE OF KNOWLEDGE. (2018). Emil, Dinga. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:13-25.

Full description at Econpapers || Download paper

2017RESPONSES OF TERM STRUCTURE OF INTEREST RATES AND ASSET PRICES TO MONETARY POLICY SHOCKS: EVIDENCE FROM TURKEY. (2017). Yildirim-Karaman, Secil ; Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1705.

Full description at Econpapers || Download paper

2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

Full description at Econpapers || Download paper

2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/12.

Full description at Econpapers || Download paper

2017Whatever it takes to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6691.

Full description at Econpapers || Download paper

2019Euro 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

2018Predicting risk premia in short-term interest rates and exchange rates. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182131.

Full description at Econpapers || Download paper

2018From carry trades to curvy trades. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: Working Paper Series. RePEc:ecb:ecbwps:20182149.

Full description at Econpapers || Download paper

2019The 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

2019The 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

2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

Full description at Econpapers || Download paper

2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

Full description at Econpapers || Download paper

2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

Full description at Econpapers || Download paper

2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

Full description at Econpapers || Download paper

2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

Full description at Econpapers || Download paper

2017A tale of fragmentation: Corporate funding in the euro-area bond market. (2017). Zaghini, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:59-68.

Full description at Econpapers || Download paper

2019The 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

2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Cross-border asset holdings and comovements in sovereign bond markets. (2018). Asgharian, Hossein ; Larsson, Marcus ; Liu, LU. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:189-206.

Full description at Econpapers || Download paper

2019Bond 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

2018The decline in the predictive power of the US term spread: A structural interpretation. (2018). Morell, Joe. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:314-331.

Full description at Econpapers || Download paper

2018What does the yield curve imply about investor expectations?. (2018). Gaus, Eric ; Sinha, Arunima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:248-265.

Full description at Econpapers || Download paper

2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

Full description at Econpapers || Download paper

2018Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets. (2018). Sowmya, Subramaniam ; Prasanna, Krishna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:178-192.

Full description at Econpapers || Download paper

2017Causes and timing of the European debt crisis: An econometric evaluation. (2017). Purificato, Francesco ; Papagni, Erasmo ; Panico, Carlo ; Filoso, Valerio ; Suarez, Marta Vazquez . In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2017_03.

Full description at Econpapers || Download paper

2017The term structure of expectations and bond yields. (2017). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:775.

Full description at Econpapers || Download paper

2019Forecasting 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

2017Sovereign yield spreads in the EMU: crisis and structural determinants. (2017). Leal, Frederico ; Afonso, Antonio. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp092017.

Full description at Econpapers || Download paper

2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0022017.

Full description at Econpapers || Download paper

2018Optimal Portfolios with Credit Default Swaps. (2018). Ambrosini, Giuseppe ; Menoncin, Francesco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0264-z.

Full description at Econpapers || Download paper

2019Measuring 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

2019Is 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

2018Real-time forecasting with macro-finance models in the presence of a zero lower bound. (2018). Krippner, Leo ; Lewis, Michelle. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2018/4.

Full description at Econpapers || Download paper

2019Assessing 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

2019The Neo-Fisherianism to Escape Zero Lower Bound. (2019). Chattopadhyay, Siddhartha. In: MPRA Paper. RePEc:pra:mprapa:92669.

Full description at Econpapers || Download paper

2018On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864.

Full description at Econpapers || Download paper

2019Gold, 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

2019Dynamic 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

2019Cross-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

2018The Interaction between Yield Curve and Macroeconomic Factors. (2018). Küçüksaraç, Doruk ; Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Cepni, Oguzhan. In: CBT Research Notes in Economics. RePEc:tcb:econot:1802.

Full description at Econpapers || Download paper

2018The effects of conventional and unconventional monetary policy on exchange rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Economics Working Papers. RePEc:upf:upfgen:1639.

Full description at Econpapers || Download paper

2019Forecasting 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

Works by Marco Lyrio:

YearTitleTypeCited
2004The Effect of Monetary Unification on German Bond Markets In: European Financial Management.
[Full Text][Citation analysis]		article10
2001The 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
2001The 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
2000Multiple Equilibria and the Credibility of the Brazilian Crawling Peg, 1995-1998. In: International Finance.
[Full Text][Citation analysis]		article1
1999Multiple 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
2014Developments in Macro-Finance Yield Curve Modelling In: Cambridge Books.
[Citation analysis]		book0
2016Developments in Macro-Finance Yield Curve Modelling.(2016) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 0		book
2018A macro-financial analysis of the corporate bond market In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A 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
2015A macro-financial analysis of the euro area sovereign bond market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
2014A 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: 23		paper
2006The cost of technical trading rules in the Forex market: A utility-based evaluation In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2003The 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
2003Macro factors and the Term Structure of Interest Rates In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper188
2003Macro 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: 188		paper
2002Macro 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: 188		paper
2006Macro 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: 188		article
2011Information in the Yield Curve: A Macro-Finance Approach In: Insper Working Papers.
[Full Text][Citation analysis]		paper23
2014Information in the yield curve: A Macro-Finance approach.(2014) In: Working Paper Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2014INFORMATION 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: 23		article
2011A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation In: Insper Working Papers.
[Full Text][Citation analysis]		paper1
2011A 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
2011Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2011Dynamic 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: 0		article
2013Previsão dos preços de commodities por meio das taxas de câmbio In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2005The economic value of technical trading rules: a nonparametric utility-based approach In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article9
2002The 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
2006A joint model for the term structure of interest rates and the macroeconomy In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article32
2001A 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: 32		paper
2001Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy In: International Economics Working Papers Series.
[Full Text][Citation analysis]		paper5
2006A multi-factor model for the valuation and risk managment of demand deposits In: Working Paper Research.
[Full Text][Citation analysis]		paper3
2008Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates In: NBER Chapters.
[Full Text][Citation analysis]		chapter18
2004Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2004.
[Full Text][Citation analysis]		paper1
2006A Structural Macro Model of the Yield Curve In: Computing in Economics and Finance 2006.
[Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team