Mark Salmon : Citation Profile


Are you Mark Salmon?

University of Warwick
University of Warwick

10

H index

12

i10 index

410

Citations

RESEARCH PRODUCTION:

15

Articles

33

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   29 years (1980 - 2009). See details.
   Cites by year: 14
   Journals where Mark Salmon has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 4 (0.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa111
   Updated: 2020-01-15    RAS profile: 2011-05-29    
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Relations with other researchers


Works with:

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

Is cited by:

Ralf, Kirsten (10)

Chatelain, Jean-Bernard (9)

Brock, William (8)

Durlauf, Steven (8)

Nautz, Dieter (8)

Calzolari, Giorgio (7)

Wueger, Michael (7)

Gnoatto, Alessandro (6)

Veiga, Helena (6)

GUPTA, RANGAN (6)

Balcilar, Mehmet (5)

Cites to:

Engle, Robert (5)

Marinacci, Massimo (5)

Shleifer, Andrei (5)

Timmermann, Allan (4)

Maccheroni, Fabio (4)

Pesaran, M (4)

Thaler, Richard (4)

Neely, Christopher (3)

Taylor, Mark (3)

Rustichini, Aldo (3)

Johansen, Soren (3)

Main data


Where Mark Salmon has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control5
Macroeconomic Dynamics2
Economic Journal2

Working Papers Series with more than one paper published# docs
Working Papers / Warwick Business School, Finance Group15
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics7

Recent works citing Mark Salmon (2018 and 2017)


YearTitle of citing document
2017A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Papers. RePEc:arx:papers:1708.07996.

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2019Copula estimation for nonsynchronous financial data. (2019). Sen, Rituparna ; Chakrabarti, Arnab. In: Papers. RePEc:arx:papers:1904.10182.

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2017Financial frictions and robust monetary policy in the models of New Keynesian framework. (2017). Pirozhkova, Ekaterina. In: BCAM Working Papers. RePEc:bbk:bbkcam:1701.

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2018DO INVESTORS MIMIC TRADING STRATEGIES OF FOREIGN INVESTORS OR THE MARKET: IMPLICATIONS FOR CAPITAL ASSET PRICING. (2018). Chamil, Senarathne W ; Wei, Jianguo. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:171-205.

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2017A semiparametric nonlinear quantile regression model for financial returns. (2017). Baruník, Jozef ; Avdulaj, Krenar ; Jozef, Barunik ; Krenar, Avdulaj . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:81-97:n:2.

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2019Herding behaviour in an emerging market: Evidence from the Moscow Exchange. (2019). Indars, Edgars Rihards ; Lubloy, agnes ; Savin, Aliaksei. In: Corvinus Economics Working Papers (CEWP). RePEc:cvh:coecwp:2019/01.

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2017Herding behaviour of Dutch pension funds in sovereign bond investments. (2017). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:569.

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2019A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00579.

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2017Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression. (2017). Chen, Yi-Chang ; Huang, Jen-Jsung ; Wu, Hung-Che . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-85.

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2017D-vine copula based quantile regression. (2017). Kraus, Daniel ; Czado, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:1-18.

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2019Prediction based on conditional distributions of vine copulas. (2019). Joe, Harry ; Chang, BO. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:139:y:2019:i:c:p:45-63.

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2017An empirical investigation of herding in the U.S. stock market. (2017). Shi, Shuping ; Clements, Adam ; Hurn, Stan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:184-192.

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2018Herding behavior among wine investors. (2018). Ayta, Beysul ; Mandou, Cyrille ; Coqueret, Guillaume. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:318-328.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2017Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns. (2017). Lee, Kyuseok. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:266-284.

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2018Cross herding between American industries and the oil market. (2018). Ben Mabrouk, Houda ; Litimi, Houda ; Benmabrouk, Houda. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:196-205.

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2018A linear-quadratic Gaussian approach to dynamic information acquisition. (2018). Weber, Thomas ; Nguyen, Viet Anh. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:260-281.

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2019Herding behaviour in an emerging market: Evidence from the Moscow Exchange. (2019). Lubloy, agnes ; Savin, Aliaksei ; Indrs, Edgars Rihards. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:468-487.

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2017Does speculation in the oil market drive investor herding in emerging stock markets?. (2017). Demirer, Riza ; Balcilar, Mehmet ; Ulussever, Talat. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:50-63.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. (2019). Naji, Jalkh ; Elie, Bouri ; Uddin, Gazi Salah ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:544-553.

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2017Intraday herding on a cross-border exchange. (2017). Verousis, Thanos ; Andrikopoulos, Panagiotis ; Kallinterakis, Vasileios ; Leite, Mario Pedro. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:25-36.

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2018The impact of aggregate uncertainty on herding in analysts stock recommendations. (2018). Lin, Mei-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:90-105.

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2017Herding effect on idiosyncratic volatility in U.S. industries. (2017). BenSaïda, Ahmed ; Bensaida, Ahmed. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:121-132.

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2019Herding behaviour in cryptocurrencies. (2019). GUPTA, RANGAN ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:216-221.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Herding in frontier markets: Evidence from African stock exchanges. (2017). Guney, Yilmaz ; Komba, Gabriel ; Kallinterakis, Vasileios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:152-175.

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2019Keeping a weather eye on prediction markets: The influence of environmental conditions on forecasting accuracy. (2019). Costa, Luis Felipe ; Ma, Tiejun ; Sung, Ming-Chien . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:321-335.

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2019Do closed-end fund investors herd?. (2019). Gebka, Bartosz ; Cui, Yueting ; Kallinterakis, Vasileios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:194-206.

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2017The case for herding is stronger than you think. (2017). Trede, Mark ; Bohl, Martin T ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:85:y:2017:i:c:p:30-40.

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2017Monetary policy, exchange rate fluctuation, and herding behavior in the stock market. (2017). Gong, PU ; Dai, Jun. In: Journal of Business Research. RePEc:eee:jbrese:v:76:y:2017:i:c:p:34-43.

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2017Industry herd behaviour in financing decision making. (2017). Camara, Omar . In: Journal of Economics and Business. RePEc:eee:jebusi:v:94:y:2017:i:c:p:32-42.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2018Semiparametric inference on the means of multiple nonnegative distributions with excess zero observations. (2018). Wang, Chunlin ; Li, Pengfei ; Marriott, Paul. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:182-197.

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2017Differences in herding: Individual vs. institutional investors. (2017). Rhee, Ghon ; Wang, Steven Shuye ; Li, Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:174-185.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2017Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach. (2017). Bashir, Usman ; Zebende, Gilney Figueira ; Donghong, Ding ; Hussain, Muntazir. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:338-346.

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2017Modeling stochastic frontier based on vine copulas. (2017). Tabak, Benjamin ; da Costa, Reginaldo Brito ; Candido, Osvaldo ; Constantino, Michel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:595-609.

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2017Herding behavior in the Pakistan stock exchange: Some new insights. (2017). Shah, Attaullah ; Ud, Mohay ; Khan, Safi Ullah . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:865-873.

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2017On copula-based conditional quantile estimators. (2017). Remillard, Bruno ; Bouezmarni, Taoufik ; Nasri, Bouchra . In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:14-20.

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2017Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity. (2017). Papapostolou, Nikos ; Kyriakou, Ioannis ; Pouliasis, Panos K. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:104:y:2017:i:c:p:36-51.

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2019Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market. (2019). Chaffai, Mustapha ; Medhioub, Imed . In: Working Papers. RePEc:erg:wpaper:1324.

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2019Islamic Finance and Herding Behavior Theory: A Sectoral Analysis for Gulf Islamic Stock Market. (2019). Chaffai, Mustapha ; Medhioub, Imed . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:4:p:65-:d:283240.

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2019A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Post-Print. RePEc:hal:journl:hal-01577606.

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2019A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:hal-01577606.

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2019A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01588188.

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2017Time-Varying and Spatial Herding Behavior in the US Housing Market: Evidence from Direct Housing Prices. (2017). Hassan, M. Kabir ; Sohn, Daniel P ; Ngene, Geoffrey M. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:54:y:2017:i:4:d:10.1007_s11146-016-9552-5.

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2017Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly. (2017). Caraballo, M. Angeles ; Zapata, Asuncion ; Monroy, Luisa ; Marmol, Amparo M. In: Theory and Decision. RePEc:kap:theord:v:83:y:2017:i:3:d:10.1007_s11238-017-9595-y.

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2017A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: MPRA Paper. RePEc:pra:mprapa:81006.

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2017A Dynamic Measure of Intentional Herd Behavior in Financial Markets. (2017). Park, Beum Jo ; Kim, Myung-Joong. In: MPRA Paper. RePEc:pra:mprapa:82025.

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2017A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US. (2017). Selmi, Refk ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201747.

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2018Herding Behaviour in the Cryptocurrency Market. (2018). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201834.

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2018Herding in Chinese stock markets: a nonparametric approach. (2018). Mahmud, Syed F ; Tini, Murat. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1281-y.

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2018Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market. (2018). Yousaf, Imran ; Ali, Syed Zulfiqar. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0098-9.

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2019A Maxmin Approach for the Equilibria of Vector-Valued Games. (2019). Caraballo, M. Angeles ; Monroy, L ; Marmol, A M ; Zapata, A. In: Group Decision and Negotiation. RePEc:spr:grdene:v:28:y:2019:i:2:d:10.1007_s10726-018-9608-4.

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2017News and markets: The 2008 crisis from a neurofinance perspective—the case of BMFbovespa. (2017). da Rocha, Roberto Ivo ; McMillan, David. In: Cogent Business & Management. RePEc:taf:oabmxx:v:4:y:2017:i:1:p:1374920.

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2017Explaining public investment dynamics in Sub-Saharan Africa: The role of country governance structures. (2017). Agyei, Samuel Kwaku ; Nsiah, Christian. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1323987.

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2017Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets. (2017). Demirer, Riza ; Ulussever, Talat. In: Central Bank Review. RePEc:tcb:cebare:v:17:y:2017:i:3:p:77-89.

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2018Ambiguity and Long-Run Cooperation in Strategic Games. (2018). Vergara, Damián ; Rojas, Marco. In: Working Papers. RePEc:udc:wpaper:wp415.

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2017Herding behaviour of Dutch pension funds in sovereign bond investments. (2017). Bikker, Jacob ; Koetsier, I. In: Working Papers. RePEc:use:tkiwps:1715.

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2018HERDING IN CRYPTO-CURRENCY MARKETS. (2018). Ajaz, Taufeeq ; Kumar, Anoop S. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500069.

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2019A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: EconStor Open Access Articles. RePEc:zbw:espost:205240.

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2017A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: EconStor Preprints. RePEc:zbw:esprep:168031.

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Mark Salmon has edited the books:


YearTitleTypeCited

Works by Mark Salmon:


YearTitleTypeCited
2007Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index In: Bank of England working papers.
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2005Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index.(2005) In: CEPR Discussion Papers.
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2005Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index.(2005) In: Computing in Economics and Finance 2005.
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1995On the Evolution of Credibility and Flexible Exchange Rate Target Zones In: CEPR Discussion Papers.
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paper0
1999On the Evolution of Credibility and Flexible Exchange Rate Target Zones.(1999) In: Working Papers.
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1988Error Correction Models, Co-integration and the Internal Model Principle In: CEPR Discussion Papers.
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1988Error correction models, cointegration and the internal model principle.(1988) In: Journal of Economic Dynamics and Control.
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1988ERROR CORRECTION MODELS, CO-INTEGRATION AND THE INTERNAL MODEL PRINCIPLE.(1988) In: The Warwick Economics Research Paper Series (TWERPS).
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1984Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies In: CEPR Discussion Papers.
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1985Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies..(1985) In: Economic Journal.
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1983Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies.(1983) In: The Warwick Economics Research Paper Series (TWERPS).
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1989Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation In: CEPR Discussion Papers.
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1990Credibility and the value of information transmission in a model of monetary policy and inflation.(1990) In: Journal of Economic Dynamics and Control.
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1987Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation.(1987) In: The Warwick Economics Research Paper Series (TWERPS).
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1990When Does Coordination Pay? In: CEPR Discussion Papers.
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1990When does coordination pay?.(1990) In: Journal of Economic Dynamics and Control.
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1989WHEN DOES COORDINATION PAY?..(1989) In: The Warwick Economics Research Paper Series (TWERPS).
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2004Market Stress and Herding In: CEPR Discussion Papers.
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2004Market stress and herding.(2004) In: Journal of Empirical Finance.
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2005Performance Measurement with Loss Aversion In: CEPR Discussion Papers.
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2005Performance Measurement with Loss Aversion.(2005) In: Working Papers.
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2005Performance Measurement with Loss Aversion.(2005) In: Working Papers.
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1985On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models In: CEPR Discussion Papers.
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1986On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models..(1986) In: International Economic Review.
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2002EDITORS INTRODUCTION In: Macroeconomic Dynamics.
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2002ROBUST DECISION THEORY AND THE LUCAS CRITIQUE In: Macroeconomic Dynamics.
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2001Robust Decision Theory and the Lucas Critique.(2001) In: Working Papers.
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1982Error Correction Mechanisms. In: Economic Journal.
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1982Error Correction Mechanisms.(1982) In: The Warwick Economics Research Paper Series (TWERPS).
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1996On the Differential Geometry of the Wald Test with Nonlinear Restrictions. In: Econometrica.
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1986The principle of effective demand revisited In: Journal of Economic Dynamics and Control.
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2009Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation In: Journal of Economic Dynamics and Control.
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2008Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation.(2008) In: Working Papers.
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1983Testing normality in econometric models In: Economics Letters.
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1982Testing Normality in Econometric Models.(1982) In: The Warwick Economics Research Paper Series (TWERPS).
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1998Representations of I(2) cointegrated systems using the Smith-McMillan form In: Journal of Econometrics.
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1985Policy Coordination and Dynamic Games In: NBER Chapters.
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chapter25
2009Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets In: The European Journal of Finance.
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2001Investigating Dynamic Dependence Using Copulae In: Working Papers.
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2001On Preferred Point Geometry in Statistics In: Working Papers.
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2001A New Measure of Herding and Empirical Evidence In: Working Papers.
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2001An Analysis of Performance Measures Using Copulae In: Working Papers.
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2005Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised) In: Working Papers.
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2006Pricing Multivariate Currency Options with Copulas In: Working Papers.
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2008On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates In: Working Papers.
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1999An Elementary Account of Amaris Expected Geometry In: Working Papers.
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1999An Introduction to Differential Geometry in Econometrics In: Working Papers.
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1999From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate? In: Working Papers.
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1980Model Validation and Forecast Comparisons : Theoretical and Practical Considerations In: The Warwick Economics Research Paper Series (TWERPS).
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