35
H index
71
i10 index
5184
Citations
Lucio Sarno : Citation Profile
City University (99% share) | RESEARCH PRODUCTION: 88 Articles 96 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1997 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Lucio Sarno. | Is cited by:
| Cites to:
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Main data
Where Lucio Sarno has published?
Recent works citing Lucio Sarno (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Realizing Correlations Across Asset Classes. (2018). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2018 | London 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 | |
| 2018 | EFFECT 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 | |
| 2018 | A 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 | |
| 2018 | Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22. Full description at Econpapers || Download paper | |
| 2018 | Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479. Full description at Econpapers || Download paper | |
| 2018 | Housing prices and mortgage credit in Luxembourg. (2018). Filipe, Sara Ferreira. In: BCL working papers. RePEc:bcl:bclwop:bclwp117. Full description at Econpapers || Download paper | |
| 2018 | Economic Liberalization and External Shocks. The Hypothesis of Convergence for the Mexican States, 1994-2015. (2018). Felipe, Fonseca ; Erick, Rangel Gonzalez ; Irving, Llamosas-Rosas. In: Working Papers. RePEc:bdm:wpaper:2018-27. Full description at Econpapers || Download paper | |
| 2018 | An Auction-Based Test of Private Information in an Interdealer FX Market. (2018). Villamizar-Villegas, mauricio ; Bonaldi, Pietro. In: Borradores de Economia. RePEc:bdr:borrec:1049. Full description at Econpapers || Download paper | |
| 2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
| 2018 | Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics. (2018). Avdjiev, Stefan ; Shin, Hyun Song ; Berger, Bat-el . In: BIS Working Papers. RePEc:bis:biswps:735. Full description at Econpapers || Download paper | |
| 2018 | Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data. (2018). Shulgin, Andrei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:77:y:2018:i:2:p:68-80. Full description at Econpapers || Download paper | |
| 2018 | FACTOR 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 | |
| 2018 | Informal one‐sided target zone model and the Swiss franc*. (2018). Moessner, Richhild ; Funke, Michael ; Chen, Yufu . In: Review of International Economics. RePEc:bla:reviec:v:26:y:2018:i:5:p:1130-1153. Full description at Econpapers || Download paper | |
| 2018 | Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data. (2018). Farrell, Greg ; Rossouw, Jannie ; May, Cyril. In: South African Journal of Economics. RePEc:bla:sajeco:v:86:y:2018:i:3:p:308-338. Full description at Econpapers || Download paper | |
| 2018 | What drives UK defined benefit pension funds investment behaviour?. (2018). Roberts-Sklar, Matt ; Douglas, Graeme . In: Bank of England working papers. RePEc:boe:boeewp:0757. Full description at Econpapers || Download paper | |
| 2018 | The Immediate Impact and Persistent Effect of FX Purchases on the Exchange Rate. (2018). Caspi, Itamar ; Ribon, Sigal ; Friedman, Amit. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2018.04. Full description at Econpapers || Download paper | |
| 2018 | A hidden Markov regime-switching smooth transition model. (2018). Robert, Elliott ; John, Lau ; Kuen, Siu Tak. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:4:p:21:n:2. Full description at Econpapers || Download paper | |
| 2018 | Of Gold and Paper Money. (2018). Chadha, Jagjit. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1842. Full description at Econpapers || Download paper | |
| 2018 | The 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 | |
| 2018 | Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204. Full description at Econpapers || Download paper | |
| 2018 | The Corporate Saving Glut and the Current Account in Germany. (2018). Klug, Thorsten ; Mayer, Eric ; Schuler, Tobias. In: ifo Working Paper Series. RePEc:ces:ifowps:_280. Full description at Econpapers || Download paper | |
| 2018 | Of Gold and Paper Money. (2018). Chadha, Jagjit. In: Discussion Papers. RePEc:cfm:wpaper:1821. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692. Full description at Econpapers || Download paper | |
| 2018 | Global financial cycles and risk premiums. (2018). Jorda, Oscar ; Ward, Felix ; Taylor, Alan M ; Schularick, Moritz. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12969. Full description at Econpapers || Download paper | |
| 2018 | Nominal exchange rate dynamics and monetary policy: uncovered interest rate parity and purchasing power parity revisited. (2018). Saadon, Yossi ; Sussman, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13235. Full description at Econpapers || Download paper | |
| 2018 | International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252. Full description at Econpapers || Download paper | |
| 2018 | Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325. Full description at Econpapers || Download paper | |
| 2018 | Long-run determination of the nominal exchange rate in the presence of national debts: Evidence from the yen-dollar exchange rate. (2018). Pilbeam, K ; Litsios, I. In: Working Papers. RePEc:cty:dpaper:18/01. Full description at Econpapers || Download paper | |
| 2018 | Estimating 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 | |
| 2018 | Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:602. Full description at Econpapers || Download paper | |
| 2018 | Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Artiga Gonzalez, Tanja ; Lucivjanska, Katarina ; van Lelyveld, Iman. In: DNB Working Papers. RePEc:dnb:dnbwpp:606. Full description at Econpapers || Download paper | |
| 2018 | Pension Funds Interconnections and Herd Behavior. (2018). Bauer, Rob ; Broeders, Dirk ; Bonneti, Matteo. In: DNB Working Papers. RePEc:dnb:dnbwpp:612. Full description at Econpapers || Download paper | |
| 2018 | Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries. (2018). Araki, Michael E ; Antonio, ; Klotzle, Marcelo Cabus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00310. Full description at Econpapers || Download paper | |
| 2018 | Predicting 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 | |
| 2018 | From 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 | |
| 2018 | Does a big bazooka matter? Central bank balance-sheet policies and exchange rates. (2018). Mehl, Arnaud ; Gräb, Johannes ; Georgiadis, Georgios ; Grab, Johannes ; Dedola, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20182197. Full description at Econpapers || Download paper | |
| 2017 | Systematic Managed Floating. (2017). Frankel, Jeffrey. In: Working Paper Series. RePEc:ecl:harjfk:rwp17-025. Full description at Econpapers || Download paper | |
| 2018 | Investigating Saving and Investment Relationship: Evidence from an Autoregressive Distributed Lag Bounds Testing Approach in Liberia. (2018). Greaves, Joe Garmondyu. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-12. Full description at Econpapers || Download paper | |
| 2018 | FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Camarero, Mariam ; Tamarit, Cecilio ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813. Full description at Econpapers || Download paper | |
| 2018 | Renminbi exchange rate assessment and competitors exports: New perspective. (2018). Lee, Chien-Chiang ; Zeng, Jhih-Hong ; Chen, Pei-Fen. In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:187-205. Full description at Econpapers || Download paper | |
| 2018 | The 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 | |
| 2018 | The distribution of cross sectional momentum returns. (2018). Oh Kang Kwon, ; Satchell, Stephen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:225-241. Full description at Econpapers || Download paper | |
| 2018 | Banks and liquidity crises in emerging market economies. (2018). Matsuoka, Tarishi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:43-62. Full description at Econpapers || Download paper | |
| 2018 | Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660. Full description at Econpapers || Download paper | |
| 2018 | Forecasting the prices of crude oil using the predictor, economic and combined constraints. (2018). Yi, Yongsheng ; Huang, Dengshi ; Zhang, Yaojie ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:237-245. Full description at Econpapers || Download paper | |
| 2018 | One size does not fit all… panel data: Bayesian model averaging and data poolability. (2018). Desbordes, Rodolphe ; Vicard, Vincent ; Koop, Gary. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:364-376. Full description at Econpapers || Download paper | |
| 2018 | Optimal 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 | |
| 2018 | London 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 | |
| 2018 | The 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 | |
| 2018 | Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?. (2018). Lim, Kian-Ping ; Goh, Kim-Leng ; Liew, Ping-Xin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:161-181. Full description at Econpapers || Download paper | |
| 2018 | Momentum 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 | |
| 2018 | On 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 | |
| 2018 | Immunity 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 | |
| 2018 | Emerging market corporate bond yields and monetary policy. (2018). Timmer, Yannick. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:130-143. Full description at Econpapers || Download paper | |
| 2018 | Momentum 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 | |
| 2018 | Global 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 | |
| 2018 | Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80. Full description at Econpapers || Download paper | |
| 2018 | Does 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 | |
| 2018 | Nonlinear 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 | |
| 2018 | Return 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 | |
| 2018 | New bid-ask spread estimators from daily high and low prices. (2018). Li, Zhiyong ; Adegbite, Emmanuel ; Lambe, Brendan . In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:69-86. Full description at Econpapers || Download paper | |
| 2018 | Do 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 | |
| 2018 | Hedge 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 | |
| 2018 | Determinants of capital flows to emerging economies - Evidence from Vietnam. (2018). Vo, Xuan Vinh. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:23-27. Full description at Econpapers || Download paper | |
| 2018 | Intraday patterns in foreign exchange returns and realized volatility. (2018). Zhang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:99-104. Full description at Econpapers || Download paper | |
| 2018 | Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). Frömmel, Michael ; Lampaert, Kevin ; Frommel, Michael ; Elaut, Gert. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51. Full description at Econpapers || Download paper | |
| 2018 | Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:346-360. Full description at Econpapers || Download paper | |
| 2018 | Institutions and information flows, and their effect on capital flows. (2018). Pinar, Mehmet ; Volkan, Engin. In: Information Economics and Policy. RePEc:eee:iepoli:v:43:y:2018:i:c:p:34-47. Full description at Econpapers || Download paper | |
| 2018 | Does higher openness cause more real exchange rate volatility?. (2018). Kubota, Megumi ; Calderon, Cesar. In: Journal of International Economics. RePEc:eee:inecon:v:110:y:2018:i:c:p:176-204. Full description at Econpapers || Download paper | |
| 2018 | Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47. Full description at Econpapers || Download paper | |
| 2018 | Fed policy expectations and portfolio flows to emerging markets. (2018). Koepke, Robin . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:170-194. Full description at Econpapers || Download paper | |
| 2018 | What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200. Full description at Econpapers || Download paper | |
| 2018 | The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54. Full description at Econpapers || Download paper | |
| 2018 | Decomposition of the uncovered equity parity correlation. (2018). Kunkler, Michael ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:44-58. Full description at Econpapers || Download paper | |
| 2018 | Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664. Full description at Econpapers || Download paper | |
| 2018 | Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787. Full description at Econpapers || Download paper | |
| 2018 | Voluntary disclosure in bilateral transactions. (2018). OPP, CHRISTIAN ; Zhang, Xingtan ; Glode, Vincent. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:652-688. Full description at Econpapers || Download paper | |
| 2018 | Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:197-225. Full description at Econpapers || Download paper | |
| 2017 | Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; BarunÃk, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56. Full description at Econpapers || Download paper | |
| 2018 | Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74. Full description at Econpapers || Download paper | |
| 2018 | Private information, capital flows, and exchange rates. (2018). Loretan, Mico ; Gyntelberg, Jacob ; Subhanij, Tientip . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:40-55. Full description at Econpapers || Download paper | |
| 2018 | Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75. Full description at Econpapers || Download paper | |
| 2018 | Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25. Full description at Econpapers || Download paper | |
| 2018 | External shocks, financial volatility and reserve requirements in an open economy. (2018). Pereira da Silva, Luiz Awazu ; Agénor, Pierre-Richard ; Alper, Koray ; Agenor, Pierre-Richard. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:23-43. Full description at Econpapers || Download paper | |
| 2018 | Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105. Full description at Econpapers || Download paper | |
| 2018 | Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | |
| 2018 | How does financial liberalisation affect the influence of monetary policy on the current account?. (2018). Hjortsoe, Ida ; Wieladek, Tomasz ; Weale, Martin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:93-123. Full description at Econpapers || Download paper | |
| 2018 | Current account dynamics and the housing cycle in Spain. (2018). Rüth, Sebastian ; Mayer, Eric ; Ruth, Sebastian K ; Maas, Daniel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:22-43. Full description at Econpapers || Download paper | |
| 2018 | Fundamentals and exchange rate forecastability with simple machine learning methods. (2018). Stoltz, Gilles ; Michalski, Tomasz ; Amat, Christophe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:1-24. Full description at Econpapers || Download paper | |
| 2018 | Sterilized interventions and capital controls. (2018). Prasad, Nalini. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:101-121. Full description at Econpapers || Download paper | |
| 2018 | On the predictability of emerging market sovereign credit spreads. (2018). Audzeyeva, Alena ; Fuertes, Ana-Maria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:140-157. Full description at Econpapers || Download paper | |
| 2018 | Measures of global uncertainty and carry-trade excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:212-227. Full description at Econpapers || Download paper | |
| 2018 | Uncertainty, currency excess returns, and risk reversals. (2018). Husted, Lucas ; Sun, BO ; Rogers, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:228-241. Full description at Econpapers || Download paper | |
| 2018 | Uncertainty and deviations from uncovered interest rate parity. (2018). Rossi, Barbara ; Ismailov, Adilzhan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:242-259. Full description at Econpapers || Download paper | |
| 2019 | Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls. (2019). Boero, Gianna ; Taylor, Mark P ; Mandalinci, Zeyyad. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:142-160. Full description at Econpapers || Download paper | |
| 2019 | Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33. Full description at Econpapers || Download paper | |
| 2019 | Free trade agreements and market integration: Evidence from South Korea. (2019). Lim, Eun Son ; Breuer, Janice Boucher. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:241-256. Full description at Econpapers || Download paper | |
| 2018 | Discretionary policy in a small open economy: Exchange rate regimes and multiple equilibria. (2018). Kirsanova, Tatiana ; Himmels, Christoph . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:56:y:2018:i:c:p:53-64. Full description at Econpapers || Download paper | |
| 2018 | Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention. (2018). Pontines, Victor. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:299-316. Full description at Econpapers || Download paper | |
| 2018 | Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted. (2018). Ni, Yensen ; Day, Min-Yuh ; Huang, Paoyu ; Cheng, Yirung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:188-204. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Lucio Sarno has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Lucio Sarno:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 17 |
| 2017 | When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2015 | When 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: 17 | paper | |
| 2001 | Official 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] | article | 414 |
| 2001 | Official 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: 414 | paper | |
| 2014 | The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 45 |
| 2012 | The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2013 | The 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: 45 | paper | |
| 2012 | The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2015 | The 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: 45 | article | |
| 2011 | The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers. [Full Text][Citation analysis] | paper | 36 |
| 2010 | The 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: 36 | paper | |
| 2012 | The 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: 36 | article | |
| 2011 | Currency Momentum Strategies In: BIS Working Papers. [Full Text][Citation analysis] | paper | 74 |
| 2012 | Currency Momentum Strategies.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2012 | Currency momentum strategies.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
| 2012 | Currency Momentum Strategies.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2013 | Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers. [Full Text][Citation analysis] | paper | 24 |
| 2016 | Information 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: 24 | article | |
| 2003 | The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index In: Economic Notes. [Full Text][Citation analysis] | article | 13 |
| 2001 | Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation. In: Economica. [Full Text][Citation analysis] | article | 2 |
| 2000 | Nonlinear 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: 2 | paper | |
| 2004 | Time-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] | article | 4 |
| 2012 | Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 205 |
| 2011 | Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 205 | paper | |
| 1998 | Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies. [Citation analysis] | article | 11 |
| 1999 | European Capital Flows and Regional Risk. In: Manchester School. [Full Text][Citation analysis] | article | 5 |
| 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] | article | 8 |
| 2007 | Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2002 | Whats 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 | |
| 2002 | Whats 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 | |
| 1997 | Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. In: Scottish Journal of Political Economy. [Full Text][Citation analysis] | article | 3 |
| 2005 | Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper. [Full Text][Citation analysis] | paper | 119 |
| 2008 | Arbitrage 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: 119 | paper | |
| 2008 | Arbitrage 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: 119 | article | |
| 2006 | Arbitrage 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: 119 | paper | |
| 2007 | Exchange rate forecasting, order flow and macroeconomic information In: Working Paper. [Full Text][Citation analysis] | paper | 102 |
| 2009 | Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
| 2010 | Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | article | |
| 2008 | Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper. [Full Text][Citation analysis] | paper | 25 |
| 2009 | Does 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: 25 | article | |
| 2015 | What do stock markets tell us about exchange rates? In: Bank of England working papers. [Full Text][Citation analysis] | paper | 21 |
| 2015 | What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2016 | What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2004 | Monetary policy and learning in an open economy In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2004 | Monetary policy and learning in an open economy.(2004) In: Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2001 | Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2005 | Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 101 |
| 2016 | Currency Premia and Global Imbalances In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
| 2016 | Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2015 | Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2016 | Currency Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Currency Value.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 1997 | The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 364 |
| 1998 | The 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: 364 | article | |
| 1999 | The 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] | paper | 3 |
| 2001 | Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 554 |
| 2001 | Nonlinear 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: 554 | article | |
| 2001 | Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 191 |
| 2002 | Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | article | |
| 2002 | The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 67 |
| 2003 | The 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: 67 | article | |
| 2002 | The 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: 67 | paper | |
| 2002 | Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 143 |
| 2003 | The 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: 143 | article | |
| 2001 | The 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: 143 | paper | |
| 2002 | Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 172 |
| 2004 | Nonlinear 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: 172 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 54 |
| 2004 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
| 2003 | Monetary 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: 54 | paper | |
| 2003 | Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 95 |
| 2004 | Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | article | |
| 2004 | Monetary Policy Rules, Asset Prices and Exchange Rates.(2004) In: CDMA Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | paper | |
| 2004 | Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
| 2005 | Exchange 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: 66 | article | |
| 2004 | Exchange 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: 66 | paper | |
| 2004 | Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Federal Funds Rate Prediction In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
| 2005 | Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 23 | article | |
| 2003 | Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2004 | Federal Funds Rate Prediction.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2004 | Federal funds rate prediction.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2004 | Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2007 | CAUTION 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 | |
| 2006 | Caution 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 | |
| 2007 | Caution 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 | |
| 2006 | Caution 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 | |
| 2005 | The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 53 |
| 2006 | The 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: 53 | article | |
| 2004 | The 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: 53 | paper | |
| 2005 | A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | A 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: 10 | article | |
| 2005 | A 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: 10 | paper | |
| 2005 | The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 58 |
| 2007 | The 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: 58 | article | |
| 2005 | The 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: 58 | paper | |
| 2005 | The 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: 58 | paper | |
| 2006 | Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 74 |
| 2006 | Nonlinearity 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: 74 | paper | |
| 2006 | Nonlinearity 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: 74 | article | |
| 2007 | The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
| 2008 | The 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: 35 | article | |
| 2007 | The 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: 35 | paper | |
| 2007 | An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 90 |
| 2009 | An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | article | |
| 2008 | Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 82 |
| 2009 | Exchange 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: 82 | article | |
| 2009 | Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 87 |
| 2007 | Asset prices, exchange rates and the current account.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | paper | |
| 2010 | Asset prices, exchange rates and the current account.(2010) In: European Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | article | |
| 2008 | Asset prices, exchange rates and the current account.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | paper | |
| 2010 | Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
| 2011 | Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2011 | Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 49 |
| 2012 | Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
| 2012 | Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2013 | Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2014 | Which 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: 13 | article | |
| 2013 | Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2016 | Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2003 | The Economics of Exchange Rates In: Cambridge Books. [Citation analysis] | book | 390 |
| 2008 | Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2002 | Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 23 |
| 2005 | Modelling 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: 23 | article | |
| 2004 | Modeling 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: 23 | paper | |
| 2004 | The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics. [Full Text][Citation analysis] | article | 107 |
| 1998 | Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters. [Full Text][Citation analysis] | article | 73 |
| 2000 | Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters. [Full Text][Citation analysis] | article | 50 |
| 2001 | The behavior of US public debt: a nonlinear perspective In: Economics Letters. [Full Text][Citation analysis] | article | 32 |
| 2010 | A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2016 | The economic value of predicting bond risk premia In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2017 | The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 7 |
| 2006 | Deviations 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] | article | 60 |
| 2010 | Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
| 2014 | Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
| 2014 | Foreign 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: 23 | paper | |
| 1999 | Moral 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] | article | 67 |
| 2005 | Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 18 |
| 2004 | Empirical 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: 18 | paper | |
| 2012 | Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 25 |
| 2012 | How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 136 |
| 2009 | How 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: 136 | paper | |
| 2012 | How 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: 136 | paper | |
| 2016 | What drives international portfolio flows? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 17 |
| 2015 | What Drives International Portfolio Flows?.(2015) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 1998 | Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 24 |
| 1999 | Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 1 |
| 2001 | Toward a new paradigm in open economy modeling: where do we stand? In: Review. [Full Text][Citation analysis] | article | 6 |
| 2002 | How well do monetary fundamentals forecast exchange rates? In: Review. [Full Text][Citation analysis] | article | 53 |
| 2002 | How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2004 | The efficient market hypothesis and identification in structural VARs In: Review. [Full Text][Citation analysis] | article | 6 |
| 2003 | The 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 | |
| 2006 | Special issue on advances in international money, macro and finance In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
| 1999 | Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 20 |
| 2004 | International 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] | article | 23 |
| 2003 | Nonlinear Exchange Rate Models; A Selective Overview In: IMF Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2003 | Nonlinear 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 | |
| 2004 | Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 17 |
| 2002 | Comparing 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] | article | 13 |
| 2009 | The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 29 |
| 2005 | New 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] | paper | 1 |
| 2006 | New 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 | |
| 1997 | Capital Flows to Developing Countries: Long- and Short-Term Determinants. In: World Bank Economic Review. [Citation analysis] | article | 95 |
| 2009 | Carry Trades and Global FX Volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Properties of Foreign Exchange Risk Premia In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Foreign currency lending In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Composantes 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] | article | 0 |
| 2004 | Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal. [Citation analysis] | article | 18 |
| 2000 | Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 8 |
| 1998 | Exchange 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] | article | 20 |
| 2000 | Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 9 |
| 2000 | Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters. [Full Text][Citation analysis] | article | 19 |
| 2003 | An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 30 |
| 1997 | Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 1997 | Policy 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] | article | 10 |
| 2005 | Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? In: Working Papers. [Full Text][Citation analysis] | paper | 35 |
| 2006 | Caution and Activism? Monetary Policy Strategies in an Open Economy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | The 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] | article | 4 |
| 2000 | The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
| 2002 | Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
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