Ivan Paya : Citation Profile


Are you Ivan Paya?

Lancaster University

9

H index

8

i10 index

250

Citations

RESEARCH PRODUCTION:

34

Articles

33

Papers

RESEARCH ACTIVITY:

   12 years (2003 - 2015). See details.
   Cites by year: 20
   Journals where Ivan Paya has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 26 (9.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa363
   Updated: 2017-08-05    RAS profile: 2015-07-31    
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Relations with other researchers


Works with:

Peel, David (12)

Pavlidis, Efthymios (7)

Perote, Javier (3)

Ñíguez Grau, Trino (2)

Martínez García, Enrique (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 (15)

Miller, Stephen (6)

Balcilar, Mehmet (5)

pragidis, ioannis (5)

Naraidoo, Ruthira (5)

Gogas, Periklis (5)

Bahmani-Oskooee, Mohsen (5)

Kiviet, Jan (4)

Boysen-Hogrefe, Jens (4)

Cortés, Lina (4)

Milas, Costas (4)

Cites to:

Peel, David (71)

Taylor, Mark (44)

Sarno, Lucio (24)

Estrella, Arturo (19)

Teräsvirta, Timo (19)

Obstfeld, Maurice (18)

Kilian, Lutz (18)

Rogoff, Kenneth (17)

Lothian, James (14)

Pesaran, M (14)

Taylor, Alan (14)

Main data


Where Ivan Paya has published?


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

Working Papers Series with more than one paper published# docs
Working Papers / Lancaster University Management School, Economics Department18
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)7

Recent works citing Ivan Paya (2017 and 2016)


YearTitle of citing document
2016When Bubble Meets Bubble: Contagion in OECD Countries. (2016). Pinchao-Rosero, Andres ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: Borradores de Economia. RePEc:bdr:borrec:942.

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2016Assessing the sustainability of Irish residential property prices: 1980Q1-2016Q2. (2016). Kennedy, Gerard ; Woods, Maria ; O'Brien, Eoin . In: Economic Letters. RePEc:cbi:ecolet:11/el/16.

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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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2016The productivity of top researchers: A semi-nonparametric approach. (2016). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:014437.

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

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

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2016Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration. (2016). Chang, Tsangyao ; Bahmani-Oskooee, Mohsen ; Yang, Hong-Lue . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:51:y:2016:i:c:p:86-89.

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2016Forecasting economic activity from yield curve factors. (2016). Tzavalis, Elias ; Argyropoulos, Efthymios . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:293-311.

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2016Asymmetric causality in-mean and in-variance among equity markets indexes. (2016). . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:49-68.

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2016Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China. (2016). Ma, Yong . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:461-480.

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2016Explosive bubbles in house prices? Evidence from the OECD countries. (2016). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:14-25.

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2016Do asset price drops foreshadow recessions?. (2016). Terrones, Marco ; Bluedorn, John ; Decressin, Jorg . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:518-526.

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2016What predicts US recessions?. (2016). Moench, Emanuel ; Liu, Weiling . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1138-1150.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Cortes, Lina M ; Perote, Javier ; Mora-Valencia, Andres . 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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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). Visvikis, I ; 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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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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2016Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data. (2016). Lao, LanJun ; Chiang, Thomas C ; Xue, Qingfeng . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0529-x.

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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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2016Financial Stress Indicator Variables and Monetary Policy in South Africa. (2016). Raputsoane, Leroi . In: Journal of Economics Bibliography. RePEc:ksp:journ6:v:3:y:2016:i:2:p:203-214.

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2017Exuberance in the U.K. Regional Housing Markets. (2017). Pavlidis, Efthymios ; Peel, David Alan ; Paya, Ivan ; Yusupova, Alisa Yevgenyevna . In: Working Papers. RePEc:lan:wpaper:168117137.

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2016Using Confidence Data to Forecast the Canadian Business Cycle. (2016). Moran, Kevin ; Nono, Simplice Aime . In: Cahiers de recherche. RePEc:lvl:crrecr:1606.

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2016Discriminating between (in)valid external instruments and (in)valid exclusion restrictions. (2016). Kiviet, Jan. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:1508.

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2016A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices. (2016). Kiviet, Jan ; Chen, Zhenxi. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:1606.

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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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2016Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa. (2016). Njindan, Bernard. In: MPRA Paper. RePEc:pra:mprapa:69610.

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2016‘Smart development’. An essay on a new political economy of the environment. (2016). Tausch, Arno. In: MPRA Paper. RePEc:pra:mprapa:70204.

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

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2016Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; Christou, Christina ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201680.

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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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2016Testing for a housing bubble at the national and regional level: the case of Israel. (2016). Caspi, Itamar. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:2:d:10.1007_s00181-015-1007-y.

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

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2016The productivity of top researchers: a semi-nonparametric approach. (2016). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: Scientometrics. RePEc:spr:scient:v:109:y:2016:i:2:d:10.1007_s11192-016-2072-5.

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2016Quantile unit root test and PPP: evidence from 23 OECD countries. (2016). Ranjbar, Omid ; Bahmani-Oskooee, Mohsen. In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:31:p:2899-2911.

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2016The time-series linkages between US fiscal policy and asset prices. (2016). Miller, Stephen ; Jooste, Charl ; GUPTA, RANGAN ; El Montasser, Ghassen. In: Working papers. RePEc:uct:uconnp:2016-15.

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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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article5
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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article22
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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article0
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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article5
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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article8
2007Deterministic impulse response in a nonlinear model. An analytical expression In: Economics 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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article29
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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article12
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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article2
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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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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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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