Ivan Paya : Citation Profile


Are you Ivan Paya?

Lancaster University

10

H index

10

i10 index

306

Citations

RESEARCH PRODUCTION:

37

Articles

34

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 21
   Journals where Ivan Paya has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 28 (8.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa363
   Updated: 2018-10-13    RAS profile: 2018-04-23    
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Relations with other researchers


Works with:

Peel, David (10)

Pavlidis, Efthymios (7)

Martínez García, Enrique (3)

Ñíguez Grau, Trino (3)

Perote, Javier (2)

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

Is cited by:

GUPTA, RANGAN (17)

Perote, Javier (10)

Mora-Valencia, Andrés (9)

Ahmad, Yamin (7)

Cortés, Lina (7)

Balcilar, Mehmet (6)

Miller, Stephen (6)

pragidis, ioannis (5)

Naraidoo, Ruthira (5)

Raputsoane, Leroi (5)

Gogas, Periklis (5)

Cites to:

Peel, David (73)

Taylor, Mark (45)

Sarno, Lucio (24)

Estrella, Arturo (19)

Teräsvirta, Timo (19)

Kilian, Lutz (19)

Obstfeld, Maurice (18)

Rogoff, Kenneth (17)

Lothian, James (14)

Taylor, Alan (14)

Venetis, Ioannis (14)

Main data


Where Ivan Paya has published?


Journals with more than one article published# docs
Economics Letters5
Applied Economics Letters3
Applied Financial Economics3
International Journal of Forecasting2
Studies in Nonlinear Dynamics & Econometrics2
Manchester School2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Papers / Lancaster University Management School, Economics Department19
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)7

Recent works citing Ivan Paya (2018 and 2017)


YearTitle of citing document
2018The effect of prudence on the optimal allocation in possibilistic and mixed models. (2018). Georgescu, Irina. In: Papers. RePEc:arx:papers:1805.12066.

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2018Housing prices and mortgage credit in Luxembourg. (2018). Filipe, Sara Ferreira. In: BCL working papers. RePEc:bcl:bclwop:bclwp117.

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2017I know what you did during the last bubble: Determinants of housing bubbles duration in OECD countries. (2017). Sanin Restrepo, Sebastian ; Gomez-Gonzalez, Jose ; Amador Torres, Juan ; Sanin-Restrepo, Sebastian ; Amador-Torres, Sebastian J. In: Borradores de Economia. RePEc:bdr:borrec:1005.

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2017FORWARD BIAS, THE FAILURE OF UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2017). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2ff194s2.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

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2017Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models. (2017). Pipień, Mateusz ; Mazur, Błażej ; Pipien, Mateusz Pawel ; Burda, Adrian Marek. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:97-114.

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2018A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets. (2018). Kiviet, Jan ; Chen, Zhenxi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2018:v:19:i:1:kiviet:chen.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2017Quantitative easing and exuberance in government bond markets: Evidence from the ECBs expanded asset purchase program. (2017). Dröes, Martijn ; Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:548.

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2017Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082.

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2017Speculative bubbles or market fundamentals? An investigation of US regional housing markets. (2017). Shi, Shuping. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:101-111.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

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2018The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations. (2018). Lange, Ronald Henry. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:80-91.

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2017Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:90-101.

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2018Asymmetric real exchange rates and poverty: The role of remittances. (2018). Cooray, Arusha ; Apergis, Nicholas. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:111-119.

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2017When Will Occur the Crude Oil Bubbles?. (2017). Su, Chi-Wei ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Li, Zheng-Zheng . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

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2018Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81.

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2017Predicting recessions with boosted regression trees. (2017). Pierdzioch, Christian ; Fritsche, Ulrich ; Dopke, Jorg. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:745-759.

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2018Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Su, Chi-Wei ; Si, Deng-Kui ; Tao, Ran ; Li, Zheng-Zheng . In: Japan and the World Economy. RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

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2017Exploring international differences in inflation dynamics. (2017). Staveley-O'Carroll, Olena ; Ahmad, Yamin ; Staveley-Ocarroll, Olena M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:115-135.

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2017Do iron ore price bubbles occur?. (2017). Dumitrescupeculea, Adelina ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:340-346.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47.

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2017Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach. (2017). Evgenidis, Anastasios ; SIRIOPOULOS, COSTAS ; Tsagkanos, Athanasios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:267-279.

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2017Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets. (2017). Keung, Marco Chi ; Wu, Weiou ; Vigne, Samuel A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1137-1149.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:314.

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2017Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2017). De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:324.

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2018Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices. (2018). Pavlidis, Efthymios ; Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:325.

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2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models. (2017). Buncic, Daniel. In: Working Paper Series. RePEc:hhs:rbnkwp:0344.

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2017The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence. (2017). Payne, James ; Mervar, Andrea ; Gil-Alana, Luis. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9181-2.

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2018When Bubble Meets Bubble: Contagion in OECD Countries. (2018). Pinchao-Rosero, Andres ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-017-9605-4.

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2018The Purchasing Power Parity Fallacy: Time to Reconsider the PPP Hypothesis. (2018). Müller-Plantenberg, Nikolas ; Muller-Plantenberg, Nikolas A ; Eleftheriou, Maria. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-017-9473-9.

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2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

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2018Does the major market influence transfer? Alternative effect on Asian stock markets. (2018). Lin, Luke. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0658-5.

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2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

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2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

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2017Asymmetries in Yield Curves: Some Empirical Evidence from Ghana. (2017). . In: MPRA Paper. RePEc:pra:mprapa:79155.

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2017Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453.

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2018Targeting financial stress as opposed to the exchange rate. (2018). Raputsoane, Leroi. In: MPRA Paper. RePEc:pra:mprapa:84865.

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2018Monetary Policy and Bubbles in US REITs. (2018). GUPTA, RANGAN ; Caraiani, Petre ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir. In: Working Papers. RePEc:pre:wpaper:201845.

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2017The Purchasing Power Parity Puzzle and Imperfect Knowledge: The Case of the Polish Zloty. (2017). Kelm, Robert. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:1:p:1-27.

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2018Actual and Expected Inflation in the U.S.: A Time-Frequency View. (2018). Xu, Yingying ; Ortiz, Jaime ; Liu, Zhixin. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:1:p:42-62.

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2017Multivariate approximations to portfolio return distribution. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Ñíguez Grau, Trino. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:23:y:2017:i:3:d:10.1007_s10588-016-9231-3.

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2017Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model. (2017). Kotze, Kevin ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1157-6.

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2017Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECBs Expanded Assets Purchase Program. (2017). Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170080.

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2017Exploring International Differences in Inflation Dynamics. (2017). Staveley-O'Carroll, Olena ; Ahmad, Yamin ; Mykhaylova, Olena . In: Working Papers. RePEc:uww:wpaper:15-01.

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Works by Ivan Paya:


YearTitleTypeCited
2015Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers.
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2012THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002 In: Economic Affairs.
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article2
2003On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA In: Manchester School.
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2003Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend In: Manchester School.
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article6
2003Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS In: Oxford Bulletin of Economics and Statistics.
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article27
2010Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form In: Studies in Nonlinear Dynamics & Econometrics.
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article5
2009Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form.(2009) In: Working Papers.
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2013Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study In: Studies in Nonlinear Dynamics & Econometrics.
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article3
2010An Empirical Analysis of Choices Between Gambles of Children and Adults in China In: Journal of Gambling Business and Economics.
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2010Further empirical evidence of nonlinearity in the us monetary policy rule In: Economics Bulletin.
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article1
2010The forward premium puzzle in the interwar period and deviations from covered interest parity In: Economics Letters.
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article6
2012On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty In: Economics Letters.
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article7
2015Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters.
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2006On the speed of adjustment in ESTAR models when allowance is made for bias in estimation In: Economics Letters.
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article9
2007Deterministic impulse response in a nonlinear model. An analytical expression In: Economics Letters.
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2016Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance.
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2016Pure higher-order effects in the portfolio choice model In: Finance Research Letters.
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article1
2005Predicting real growth and the probability of recession in the Euro area using the yield spread In: International Journal of Forecasting.
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article31
2004PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD.(2004) In: Working Papers. Serie AD.
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2012Forecasting monetary policy rules in South Africa In: International Journal of Forecasting.
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article17
2010Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers.
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2010Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers.
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2011Real exchange rates and time-varying trade costs In: Journal of International Money and Finance.
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2009Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers.
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2005The term spread and real economic activity in the US inter-war period In: Journal of Macroeconomics.
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2003Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach In: International Review of Economics & Finance.
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2007Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics.
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2007Inflation Dynamics in the US -A Nonlinear Perspective.(2007) In: FMG Discussion Papers.
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2015Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization and Monetary Policy Institute Working Paper.
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2016Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.(2016) In: The Journal of Real Estate Finance and Economics.
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2004NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD.
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2004TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD.
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2006Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics.
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2004ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD.
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2004Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting.
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2005THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED? In: Working Papers. Serie AD.
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2006The long memory story of real interest rates. Can it be supported?.(2006) In: Working Papers.
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2005A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994 In: Working Papers. Serie AD.
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2005A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994.(2005) In: Working Papers.
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2005THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS In: Working Papers. Serie AD.
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2005The process followed by PPP data. On the properties of linearity tests.(2005) In: Applied Economics.
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2017Exuberance in the U.K. Regional Housing Markets In: Working Papers.
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2013Higher-order moments in the theory of diversification and portfolio composition In: Working Papers.
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2012A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation In: Working Papers.
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2010Further empirical evidence on the consumption-real exchange rate anomaly. In: Working Papers.
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2005Temporal aggregation of an ESTAR process In: Working Papers.
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2006On the relationship between Nominal Exchange Rates and domestic and foreign prices In: Working Papers.
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2007On the relationship between nominal exchange rates and domestic and foreign prices.(2007) In: Applied Financial Economics.
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2006On the relationship between inflation persistence and temporal aggregation In: Working Papers.
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2007On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking.
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2007Estimating Argentinas imports elasticities In: Working Papers.
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2009ESTAR model with multiple fixed points. Testing and Estimation In: Working Papers.
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2009Linkages between Shanghai and Hong Kong stock indices In: Working Papers.
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2009Linkages between Shanghai and Hong Kong stock indices.(2009) In: Applied Financial Economics.
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2009Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear In: Working Papers.
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2009Bubbles in House Prices and their Impact on Consumption: Evidence for the US In: Working Papers.
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2011On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers.
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2014Episodes of exuberance in housing markets In: Working Papers.
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2004Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability. In: Estudios de Economía Aplicada.
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2010Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion In: Journal of Money, Credit and Banking.
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2010Forecasting Monetary Rules in South Africa In: Working Papers.
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2004Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal.
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2004Estimates of US monetary policy rules with allowance for changes in the output gap In: Applied Economics Letters.
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2004Term spread and real economic activity in Korea: was the crisis predictable? In: Applied Economics Letters.
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2012The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters.
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2003On the equilibrium value of the peseta In: Applied Financial Economics.
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2013Nonlinear dynamics in economics and finance and unit root testing In: The European Journal of Finance.
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2014Temporal Aggregation of Random Walk Processes and Implications for Asset Prices In: Working Papers.
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2012Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates In: Journal of Forecasting.
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2011Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets In: Journal of Futures Markets.
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2004The long memory story of ex post real interest rates. Can it be supported? In: Econometrics.
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2008TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION In: World Scientific Book Chapters.
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