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Ivan Paya : Citation Profile


Are you Ivan Paya?

Lancaster University

9

H index

9

i10 index

265

Citations

RESEARCH PRODUCTION:

37

Articles

34

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 18
   Journals where Ivan Paya has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 28 (9.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa363
   Updated: 2018-02-17    RAS profile: 2018-02-09    
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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 (16)

Perote, Javier (9)

Mora-Valencia, Andrés (8)

Balcilar, Mehmet (6)

Cortés, Lina (6)

Miller, Stephen (6)

Bahmani-Oskooee, Mohsen (5)

Naraidoo, Ruthira (5)

Gogas, Periklis (5)

pragidis, ioannis (5)

Ahmad, Yamin (4)

Cites to:

Peel, David (72)

Taylor, Mark (45)

Sarno, Lucio (24)

Estrella, Arturo (19)

Kilian, Lutz (19)

Teräsvirta, Timo (19)

Obstfeld, Maurice (18)

Rogoff, Kenneth (17)

Pesaran, M (14)

Mishkin, Frederic (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
Manchester School2
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2
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
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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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; 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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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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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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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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2017Exploring international differences in inflation dynamics. (2017). 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). Peculea, Adelina Dumitrescu ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua ; Dumitrescupeculea, Adelina. 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, 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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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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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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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). Escobari, Diego ; Mellado, Cristhian ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453.

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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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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). 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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paper0
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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article0
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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paper
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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article0
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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article6
2015Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters.
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article1
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
2016Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance.
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article0
2016Pure higher-order effects in the portfolio choice model In: Finance Research Letters.
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article0
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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This paper has another version. Agregated cites: 29
paper
2012Forecasting monetary policy rules in South Africa In: International Journal of Forecasting.
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article14
2010Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers.
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paper
2010Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 14
paper
2011Real exchange rates and time-varying trade costs In: Journal of International Money and Finance.
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article6
2009Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
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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article22
2007Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics.
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paper5
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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paper15
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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This paper has another version. Agregated cites: 15
article
2004NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD.
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paper1
2004TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD.
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paper7
2006Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics.
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article
2004ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD.
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paper4
2004Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting.
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article
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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paper7
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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paper4
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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paper2
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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paper1
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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paper1
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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paper1
2014Episodes of exuberance in housing markets In: Working Papers.
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paper5
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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paper1
2004Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal.
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article4
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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article2
2012The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters.
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article1
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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paper1
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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