Lucio Sarno : Citation Profile


Are you Lucio Sarno?

City University (99% share)
Centre for Economic Policy Research (CEPR) (1% share)

33

H index

69

i10 index

4881

Citations

RESEARCH PRODUCTION:

87

Articles

96

Papers

1

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 232
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 317.    Total self citations: 89 (1.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa95
   Updated: 2018-09-22    RAS profile: 2018-08-19    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Schmeling, Maik (6)

Cenedese, Gino (5)

Fratzscher, Marcel (5)

Menkhoff, Lukas (5)

Tsiakas, Ilias (4)

Schrimpf, Andreas (4)

Zinna, Gabriele (4)

Payne, Richard (3)

Valente, Giorgio (3)

Ramadorai, Tarun (2)

Rime, Dagfinn (2)

Ulloa, Barbara (2)

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

Is cited by:

Beckmann, Joscha (110)

Claessens, Stijn (94)

Kose, Ayhan (93)

Taylor, Mark (87)

Chang, Tsangyao (79)

Menkhoff, Lukas (67)

Czudaj, Robert (61)

MacDonald, Ronald (50)

Reitz, Stefan (45)

Liew, Venus (43)

Bahmani-Oskooee, Mohsen (42)

Cites to:

Taylor, Mark (121)

Rogoff, Kenneth (74)

Obstfeld, Maurice (67)

Engel, Charles (56)

Campbell, John (55)

Bekaert, Geert (49)

Clarida, Richard (46)

Valente, Giorgio (42)

Shiller, Robert (38)

West, Kenneth (37)

Diebold, Francis (32)

Main data


Where Lucio Sarno has published?


Journals with more than one article published# docs
Journal of International Money and Finance7
Journal of Banking & Finance5
Journal of International Economics5
Journal of Financial Economics5
Journal of Futures Markets4
Economics Letters3
Review3
Journal of Money, Credit and Banking3
International Journal of Finance & Economics3
Review of Financial Studies3
Journal of Macroeconomics2
Applied Financial Economics2
Review of World Economics (Weltwirtschaftliches Archiv)2
Oxford Bulletin of Economics and Statistics2
Journal of Finance2
Journal of Empirical Finance2
IMF Staff Papers2
Review of Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Warwick Business School, Finance Group11
Working Papers / Federal Reserve Bank of St. Louis8
Working Paper series / Rimini Centre for Economic Analysis4
Working Paper Series / European Central Bank3
MPRA Paper / University Library of Munich, Germany3
BIS Working Papers / Bank for International Settlements2
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2
IMF Working Papers / International Monetary Fund2

Recent works citing Lucio Sarno (2018 and 2017)


YearTitle of citing document
2017London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05.

Full description at Econpapers || Download paper

2018London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01.

Full description at Econpapers || Download paper

2017The effects of real exchange rates and income on the trade balance: A second generation panel data analysis for transition economies and Turkey. (2017). Sezer, Sevgi . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:171-186.

Full description at Econpapers || Download paper

2017A Reassessment of Product Aggregation Bias in Demand Analysis: An Application to the U.S. Meat Market. (2017). Li, Wenying ; Zhen, Chen. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258197.

Full description at Econpapers || Download paper

2017FOREIGN EXCHANGE MARKET EFFICIENCY IN BOTSWANA. (2017). Matebejana, Gofaone ; Juana, James ; MOTLALENG, Gaotlhobogwe . In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2017:j:19:motlalengg.

Full description at Econpapers || Download paper

2018EFFECT OF THE COMMUNICATION AND CLARITY OF THE FISCAL Lucio SarnoITY ON MARKET EXPECTATIONS: EVIDENCE FROM THE BRAZILIAN ECONOMY. (2018). Nicolay, Rodolfo ; de Mendonça, Helder ; da Fonseca, Rodolfo Tomas ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:65.

Full description at Econpapers || Download paper

2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

Full description at Econpapers || Download paper

2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

Full description at Econpapers || Download paper

2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

Full description at Econpapers || Download paper

2018A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

Full description at Econpapers || Download paper

2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Pozzi, Lorenzo ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-22.

Full description at Econpapers || Download paper

2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454.

Full description at Econpapers || Download paper

2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

Full description at Econpapers || Download paper

2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Towards efficient capital flow management. (2017). Viani, Francesca ; Molina, Luis ; Sanchez, Paula . In: Economic Bulletin. RePEc:bde:journl:y:2017:i:1:d:aa:n:4.

Full description at Econpapers || Download paper

2017Towards efficient capital flow management. (2017). Viani, Francesca ; Molina Sánchez, Luis ; estrada, Angel. In: Economic Bulletin. RePEc:bde:journl:y:2017:i:3:d:aa:n:4.

Full description at Econpapers || Download paper

2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

Full description at Econpapers || Download paper

2017Capital flows in the post-global financial crisis era: implications for financial stability and monetary policy. (2017). Binici, Mahir . In: IFC Bulletins chapters. RePEc:bis:bisifc:42-07.

Full description at Econpapers || Download paper

2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619.

Full description at Econpapers || Download paper

2017Segmented money markets and covered interest parity arbitrage. (2017). Schrimpf, Andreas ; Rime, Dagfinn ; Syrstad, Olav . In: BIS Working Papers. RePEc:bis:biswps:651.

Full description at Econpapers || Download paper

2017Informal one-sided target zone model and the Swiss franc. (2017). Moessner, Richhild ; Funke, Michael ; Chen, Yu-Fu. In: BIS Working Papers. RePEc:bis:biswps:660.

Full description at Econpapers || Download paper

2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

Full description at Econpapers || Download paper

2017Australian Bond Excess Returns: An Asset Allocation Perspective. (2017). Chen, Rui ; Svec, Jiri ; Wang, Meng. In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:163-173.

Full description at Econpapers || Download paper

2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Jung, Kuk Mo ; Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

Full description at Econpapers || Download paper

2017PITFALLS IN TESTING FOR COINTEGRATION BETWEEN INEQUALITY AND THE REAL INCOME. (2017). Sorek, Gilad ; Kim, Hyeongwoo ; Gueye, Ghislain N. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:941-950.

Full description at Econpapers || Download paper

2017A century and three-quarters of Bank Rate and long-term interest rates in the United Kingdom. (2017). Berument, Hakan ; Froyen, Richard ; Cabezon, Ezequiel. In: International Finance. RePEc:bla:intfin:v:20:y:2017:i:1:p:26-47.

Full description at Econpapers || Download paper

2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

Full description at Econpapers || Download paper

2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

Full description at Econpapers || Download paper

2017Competitive Exchange Rate and Public Infrastructure in a Macrodynamic of Economic Growth. (2017). Lima, Gilberto ; Martins, Antonio Soares . In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:4:p:792-815.

Full description at Econpapers || Download paper

2017Monetary Policy and Macroprudential Policy: New Evidence from a World Panel of Countries. (2017). Apergis, Nicholas. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:395-410.

Full description at Econpapers || Download paper

2017Assessing Market Integration in ASEAN with Retail Price Data. (2017). , Vinh ; Yang, YU. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:510-532.

Full description at Econpapers || Download paper

2017Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks. (2017). Chou, Yu-Hsi. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:1:p:165-194.

Full description at Econpapers || Download paper

2017Effective Exchange Rates, Current Accounts and Global Imbalances. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:500-533.

Full description at Econpapers || Download paper

2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

Full description at Econpapers || Download paper

2017The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865.

Full description at Econpapers || Download paper

2017Do macro shocks matter for equities?. (2017). Theodoridis, Konstantinos ; Dison, Will . In: Bank of England working papers. RePEc:boe:boeewp:0692.

Full description at Econpapers || Download paper

2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

Full description at Econpapers || Download paper

2017Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r.

Full description at Econpapers || Download paper

2017EFFECTS OF THE ECONOMIC FREEDOMS ON THE ECONOMIC GROWTH: EVIDENCE FROM THE EU AND COMCEC COUNTRIES (1996-2015). (2017). Aydin, Hall Brahm ; Yalcinkaya, Omer . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2017:v:3:p:12-25.

Full description at Econpapers || Download paper

2017The Financial Connectedness between Eurozone Core and Periphery: A Disaggregated View. (2017). Tsopanakis, Andreas ; Magkonis, Georgios. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/15.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Nedeljkovic, Milan ; Saborowski, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127.

Full description at Econpapers || Download paper

2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

Full description at Econpapers || Download paper

2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

Full description at Econpapers || Download paper

2017Model Uncertainty and Exchange Rate Forecasting. (2017). Markiewicz, Agnieszka ; Kouwenberg, Roy ; Verhoeks, Ralph . In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:01:p:341-363_00.

Full description at Econpapers || Download paper

2017Carry trade returns with Support Vector Machines. (2017). Colombo, Emilio ; Rossignoli, Roberto ; Forte, Gianfranco. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1705.

Full description at Econpapers || Download paper

2018Estimating a Latent Risk Premium in Exchange Rate Futures. (2018). Bernoth, Kerstin ; de Vries, Casper G ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1733.

Full description at Econpapers || Download paper

2017Central bank swap lines and CIP deviations. (2017). Moessner, Richhild ; Galati, Gabriele ; Nelson, William ; Allen, William . In: DNB Working Papers. RePEc:dnb:dnbwpp:566.

Full description at Econpapers || Download paper

2017Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12.

Full description at Econpapers || Download paper

2017Testing the Validity of Purchasing Power Parity in the BRICS: Further Evidence. (2017). Gyamfi, E N. In: EuroEconomica. RePEc:dug:journl:y:2017:i:2:p:117-122.

Full description at Econpapers || Download paper

2017On the power of the simulation-based ADF test in bounded time series. (2017). Magrini, Stefano ; Gerolimetto, Margherita. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00277.

Full description at Econpapers || Download paper

2017Investors sentiment in predicting the Effective Federal Funds Rate. (2017). Meshcheryakov, Artem ; Ivanov, Stoyu I. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00751.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Systematic Managed Floating. (2017). Frankel, Jeffrey. In: Working Paper Series. RePEc:ecl:harjfk:rwp17-025.

Full description at Econpapers || Download paper

2017Arbitrage, Covered Interest Parity and Cointegration Analysis on the New Taiwan Dollar/US Dollar FOREX Market Revisited. (2017). Lee, Chien-Chiang ; Chen, Chun-Ming . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-54.

Full description at Econpapers || Download paper

2017Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression. (2017). Guo, Zi-Yi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-66.

Full description at Econpapers || Download paper

2017Rebound Effects of Exchange Rate and Central Bank Interventions in Selected ECOWAS Countries. (2017). Akinkunmi, Mustapha A. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-63.

Full description at Econpapers || Download paper

2017Investment and Saving Relationship in South Asia. (2017). Ahmad, Shabbir . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-83.

Full description at Econpapers || Download paper

2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

Full description at Econpapers || Download paper

2017A structuralist-Keynesian model for determining the optimum real exchange rate for Brazil’s economic development process: 1999-2015. (2017). Feijo, Carmem ; Araujo, Eliane ; Nassif, Andre. In: Revista CEPAL. RePEc:ecr:col070:43449.

Full description at Econpapers || Download paper

2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

Full description at Econpapers || Download paper

2018The distributional effects of capital account liberalization. (2018). Loungani, Prakash ; Furceri, Davide. In: Journal of Development Economics. RePEc:eee:deveco:v:130:y:2018:i:c:p:127-144.

Full description at Econpapers || Download paper

2017Inflation-targeting and real interest rate parity: A bias correction approach. (2017). Kim, Jaebeom ; Ding, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:132-137.

Full description at Econpapers || Download paper

2017Investigating Global Imbalances: Empirical evidence from a GVAR approach. (2017). Bettendorf, Timo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:201-210.

Full description at Econpapers || Download paper

2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

Full description at Econpapers || Download paper

2017Capital market liberalization: Optimal tradeoff and bargaining delay. (2017). Song, Hua Sheng ; Dong, Baomin ; Gu, Xinhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:78-88.

Full description at Econpapers || Download paper

2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

Full description at Econpapers || Download paper

2017Monetary policy transparency in a forward-looking market: Evidence from the United States. (2017). Kia, Amir. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:597-617.

Full description at Econpapers || Download paper

2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

Full description at Econpapers || Download paper

2018London calling: Nonlinear mean reversion across national stock markets. (2018). Kim, Hyeongwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:265-277.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Linear–quadratic term structure models for negative euro area yields. (2017). Realdon, Marco ; Boonyanet, Wachira . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:149-153.

Full description at Econpapers || Download paper

2018Momentum and crash sensitivity. (2018). Ruenzi, Stefan ; Weigert, Florian. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81.

Full description at Econpapers || Download paper

2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

Full description at Econpapers || Download paper

2018On the theory of international currency portfolios. (2018). Kumhof, Michael. In: European Economic Review. RePEc:eee:eecrev:v:101:y:2018:i:c:p:376-396.

Full description at Econpapers || Download paper

2017Household food group expenditure patterns are associated with child anthropometry at ages 5, 8 and 12 years in Ethiopia, India, Peru and Vietnam. (2017). Behrman, Jere ; Penny, Mary E ; Woldehanna, Tassew ; Crookston, Benjamin T ; Dearden, Kirk A ; Humphries, Debbie L. In: Economics & Human Biology. RePEc:eee:ehbiol:v:26:y:2017:i:c:p:30-41.

Full description at Econpapers || Download paper

2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

Full description at Econpapers || Download paper

2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. (2017). Yılmaz, Erdal ; Ozmen, Utku ; Yilmaz, Erdal. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:173-188.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174.

Full description at Econpapers || Download paper

2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

Full description at Econpapers || Download paper

2017Rethinking cointegration and the expectation hypothesis of the term structure. (2017). Li, Jing ; Davis, George. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:177-189.

Full description at Econpapers || Download paper

2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

Full description at Econpapers || Download paper

2018Global macro risks in currency excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:300-315.

Full description at Econpapers || Download paper

2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

Full description at Econpapers || Download paper

2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Yin, Libo ; Feng, Jiabao ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

Full description at Econpapers || Download paper

2018Does the level of energy intensity matter in the effect of energy consumption on the growth of transition economies? Evidence from dynamic panel threshold analysis. (2018). Esen, Omer ; Aydin, Celil. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:185-195.

Full description at Econpapers || Download paper

2017Oral intervention in China: Efficacy of Chinese exchange rate communications. (2017). Zhang, Zhichao ; Li, HE. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:24-34.

Full description at Econpapers || Download paper

2017Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

Full description at Econpapers || Download paper

2017Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. (2017). Shi, Yukun ; Park, Jin Suk. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:176-191.

Full description at Econpapers || Download paper

2018Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates. (2018). Bekiros, Stelios ; Hassapis, Christis ; Avdoulas, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:140-155.

Full description at Econpapers || Download paper

2018Return dispersion risk in FX and global equity markets: Does it explain currency momentum?. (2018). Grobys, Klaus ; Kolari, James ; Heinonen, Jari-Pekka . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:264-280.

Full description at Econpapers || Download paper

2018Do precious and industrial metals act as hedges and safe havens for currency portfolios?. (2018). Sakemoto, Ryuta. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:256-262.

Full description at Econpapers || Download paper

2018Hedge ratio on Markov regime-switching diagonal Bekk–Garch model. (2018). Zhipeng, Yan ; Shenghong, LI. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:49-55.

Full description at Econpapers || Download paper

2017Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75.

Full description at Econpapers || Download paper

2018Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). Frömmel, Michael ; Elaut, Gert ; Lampaert, Kevin ; Frommel, Michael. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51.

Full description at Econpapers || Download paper

2017Comparative assessment of macroprudential policies. (2017). SHIM, ILHYOCK ; Shin, Hyun Song ; Bruno, Valentina. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:183-202.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Lucio Sarno has edited the books:


YearTitleTypeCited

Works by Lucio Sarno:


YearTitleTypeCited
2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
[Full Text][Citation analysis]
article396
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 396
paper
2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper41
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
[Full Text][Citation analysis]
paper34
2012The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2011Currency Momentum Strategies In: BIS Working Papers.
[Full Text][Citation analysis]
paper64
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]
paper19
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2003The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index In: Economic Notes.
[Full Text][Citation analysis]
article12
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation. In: Economica.
[Full Text][Citation analysis]
article1
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2004Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]
article3
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
[Full Text][Citation analysis]
article192
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 192
paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article10
1999European Capital Flows and Regional Risk. In: Manchester School.
[Full Text][Citation analysis]
article5
2002 Short- and Long-Run Price Level Uncertainty under Different Monetary Policy Regimes: An International Comparison. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article5
2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article3
2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2002Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1997Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]
article2
2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
[Full Text][Citation analysis]
paper1
2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]
paper113
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]
paper96
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
[Full Text][Citation analysis]
paper24
2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
[Full Text][Citation analysis]
paper19
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2004Monetary policy and learning in an open economy In: Research Discussion Papers.
[Full Text][Citation analysis]
paper10
2004Monetary policy and learning in an open economy.(2004) In: Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article22
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article98
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper15
2016Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2016Currency Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper6
2017Currency Value.(2017) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2017When is foreign exchange intervention effective? Evidence from 33 countries In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper13
2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper336
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 336
article
1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper3
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper529
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 529
article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper188
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 188
article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper63
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
article
2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
paper
2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper136
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136
article
2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136
paper
2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper157
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 157
article
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper53
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
article
2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has another version. Agregated cites: 53
paper
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper94
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94
article
2004Monetary Policy Rules, Asset Prices and Exchange Rates.(2004) In: CDMA Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94
paper
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper62
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
article
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
paper
2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper22
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2004Federal funds rate prediction.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2004Federal Funds Rate Prediction.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 22
article
2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper6
2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper51
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
article
2004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper9
2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2005A Cross-Country Financial Accelorator: Evidence from North America and Europe.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper52
2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper70
2006Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
article
2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper33
2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper87
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
article
2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper79
2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
article
2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper83
2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
paper
2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
article
2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
paper
2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper18
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper46
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper12
2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper13
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2003The Economics of Exchange Rates In: Cambridge Books.
[Citation analysis]
book384
2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
[Full Text][Citation analysis]
paper5
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]
paper21
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
2004Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]
paper0
1999Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics.
[Full Text][Citation analysis]
article104
1998Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters.
[Full Text][Citation analysis]
article68
2000Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters.
[Full Text][Citation analysis]
article45
2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
[Full Text][Citation analysis]
article31
2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article14
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article7
2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
[Full Text][Citation analysis]
article2
2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article56
2010Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article25
2014Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article19
2014Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
1999Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article62
2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article16
2004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2012Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article23
2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article127
2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2012How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127
paper
2016What drives international portfolio flows? In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article13
2015What Drives International Portfolio Flows?.(2015) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
1998Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article24
1999Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article0
2001Toward a new paradigm in open economy modeling: where do we stand? In: Review.
[Full Text][Citation analysis]
article6
2002How well do monetary fundamentals forecast exchange rates? In: Review.
[Full Text][Citation analysis]
article52
2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2004The efficient market hypothesis and identification in structural VARs In: Review.
[Full Text][Citation analysis]
article6
2003The efficient market hypothesis and identification in structural VARs.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2006Special issue on advances in international money, macro and finance In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article0
1999Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article20
2004International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article22
2003Nonlinear Exchange Rate Models; A Selective Overview In: IMF Working Papers.
[Full Text][Citation analysis]
paper12
2003Nonlinear Exchange Rate Models: A Selective Overview.(2003) In: Rivista di Politica Economica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2004Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting.
[Full Text][Citation analysis]
article17
2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
2003 Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997. In: Journal of Money, Credit and Banking.
[Citation analysis]
article13
2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
article28
2005New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Full Text][Citation analysis]
paper1
2006New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market.(2006) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
1997Capital Flows to Developing Countries: Long- and Short-Term Determinants. In: World Bank Economic Review.
[Citation analysis]
article87
2009Carry Trades and Global FX Volatility In: MPRA Paper.
[Full Text][Citation analysis]
paper3
2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
[Full Text][Citation analysis]
paper3
2018Foreign currency lending In: MPRA Paper.
[Full Text][Citation analysis]
paper0
1999Composantes permanente et transitoire de lépargne et de linvestissement : une étude empirique des flux internationaux de capitaux au Japon In: Économie et Prévision.
[Full Text][Citation analysis]
article0
2004Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal.
[Citation analysis]
article18
2000Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics.
[Full Text][Citation analysis]
article8
1998Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article17
2000Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article9
2000Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters.
[Full Text][Citation analysis]
article16
2003An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics.
[Full Text][Citation analysis]
article24
1997Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics.
[Full Text][Citation analysis]
article2
1997Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity In: Applied Economics.
[Full Text][Citation analysis]
article7
2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? In: Working Papers.
[Full Text][Citation analysis]
paper32
2006Caution and Activism? Monetary Policy Strategies in an Open Economy In: Working Papers.
[Full Text][Citation analysis]
paper0
1999The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence In: Journal of Futures Markets.
[Full Text][Citation analysis]
article4
2000The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets.
[Full Text][Citation analysis]
article11
2002Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets.
[Full Text][Citation analysis]
article11

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 2th 2018. Contact: CitEc Team