35
H index
72
i10 index
5401
Citations
Lucio Sarno : Citation Profile
City University (99% share) | RESEARCH PRODUCTION: 88 Articles 97 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (1997 - 2019). 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:
|
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). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. 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 | |
| 2019 | Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44. 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 | |
| 2019 | 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 | |
| 2019 | Bank foreign currency funding and currency markets: the case of Mexico post GFC. (2019). Georgia, Bush. In: Working Papers. RePEc:bdm:wpaper:2019-01. 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 | |
| 2019 | FX intervention and domestic credit: evidence from high-frequency micro data. (2019). Villamizar-Villegas, mauricio ; Shin, Hyun Song ; Hofmann, Boris. In: Borradores de Economia. RePEc:bdr:borrec:1069. 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 | |
| 2019 | Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?. (2019). Wu, Gabriel ; Fong, Tom. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-20. 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 | |
| 2019 | FX intervention and domestic credit: Evidence from high-frequency micro data. (2019). Shin, Hyun Song ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:774. Full description at Econpapers || Download paper | |
| 2019 | Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems. (2019). Zhu, Feng ; Engel, Charles. In: BIS Working Papers. RePEc:bis:biswps:805. Full description at Econpapers || Download paper | |
| 2019 | THE ROLE OF NATIONAL DEBTS IN THE DETERMINATION OF THE YEN‐DOLLAR EXCHANGE RATE. (2019). Pilbeam, Keith ; Litsios, Ioannis. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:1182-1195. 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 | |
| 2019 | Regulatory effects on short-term interest rates. (2019). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0801. Full description at Econpapers || Download paper | |
| 2018 | BOOK REVIEW: THE ISRAELI ECONOMY BY JOSEPH ZEIRA. (2018). Strawczynski, Michel. In: Israel Economic Review. RePEc:boi:isrerv:v:16:y:2018:i:1:p:105-112. 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 | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Arghyrou, Michael ; Gadea, Maria Dolores. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6. Full description at Econpapers || Download paper | |
| 2018 | FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2018). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt1778z416. Full description at Econpapers || Download paper | |
| 2018 | FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES: THE ROLE OF MONETARY POLICY. (2015). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2cm6p186. 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 | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, Maria Dolores ; Arghyrou, Michael G. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532. 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 | |
| 2019 | Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Discussion Papers. RePEc:cfm:wpaper:1914. Full description at Econpapers || Download paper | |
| 2019 | Foreign Exchange Intervention Redux. (2019). Chang, Roberto. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v26c07pp205-247. 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 | |
| 2019 | Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835. Full description at Econpapers || Download paper | |
| 2019 | Covered Interest Parity deviations: Macrofinancial determinants. (2019). Zhou, Haonan ; Obstfeld, Maurice ; Cerutti, Eugenio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13886. Full description at Econpapers || Download paper | |
| 2019 | Taming the Global Financial Cycle: Central Banks and the Sterilization of Capital Flows in the First Era of Globalization (1891-1913). (2019). Morys, Matthias ; Monnet, Eric ; Bazot, Guillaume. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13895. Full description at Econpapers || Download paper | |
| 2018 | Global Positioning Risk and FX Trading Strategies. (2002). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020. Full description at Econpapers || Download paper | |
| 2018 | Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates. (2002). Georgiadis, Georgios ; Grab, Johannes ; Dedola, Luca ; Mehl, Arnaud. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_024. 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 | |
| 2019 | Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Working Paper Series. RePEc:ecb:ecbwps:20192300. 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 | |
| 2019 | Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions. (2019). Kurita, Takamitsu ; Almaas, Synne S. In: Journal of Asian Economics. RePEc:eee:asieco:v:61:y:2019:i:c:p:51-64. 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 | |
| 2019 | Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146. Full description at Econpapers || Download paper | |
| 2019 | Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224. 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 | |
| 2019 | The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636. Full description at Econpapers || Download paper | |
| 2019 | Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641. Full description at Econpapers || Download paper | |
| 2019 | Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729. Full description at Econpapers || Download paper | |
| 2019 | Can investors attention on oil markets predict stock returns?. (2019). Feng, Jiabao ; Yin, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:786-800. 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 | |
| 2019 | Separate cointegration in a VAR system subject to structural breaks. (2019). Kurita, Takamitsu. In: Economics Letters. RePEc:eee:ecolet:v:179:y:2019:i:c:p:19-23. 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 | |
| 2019 | Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138. 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 | |
| 2019 | News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142. Full description at Econpapers || Download paper | |
| 2019 | Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208. 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 | |
| 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 | 25 |
| 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: 25 | 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: 25 | 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 | 425 |
| 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: 425 | paper | |
| 2014 | The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 47 |
| 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: 47 | 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: 47 | 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: 47 | 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: 47 | 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 | 37 |
| 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: 37 | 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: 37 | article | |
| 2011 | Currency Momentum Strategies In: BIS Working Papers. [Full Text][Citation analysis] | paper | 81 |
| 2012 | Currency Momentum Strategies.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
| 2012 | Currency momentum strategies.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
| 2012 | Currency Momentum Strategies.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
| 2013 | Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers. [Full Text][Citation analysis] | paper | 27 |
| 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: 27 | 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 | 221 |
| 2011 | Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 221 | 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 | 132 |
| 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: 132 | 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: 132 | 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: 132 | paper | |
| 2007 | Exchange rate forecasting, order flow and macroeconomic information In: Working Paper. [Full Text][Citation analysis] | paper | 103 |
| 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: 103 | 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: 103 | 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 | 27 |
| 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: 27 | article | |
| 2015 | What do stock markets tell us about exchange rates? In: Bank of England working papers. [Full Text][Citation analysis] | paper | 23 |
| 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: 23 | 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: 23 | 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 | 109 |
| 2016 | Currency Premia and Global Imbalances In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
| 2016 | Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
| 2015 | Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | 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 | |
| 2019 | Risky Bank Guarantees In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 365 |
| 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: 365 | 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 | 569 |
| 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: 569 | article | |
| 2001 | Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 200 |
| 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: 200 | 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 | 70 |
| 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: 70 | 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: 70 | 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 | 147 |
| 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: 147 | 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: 147 | 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 | 175 |
| 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: 175 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 56 |
| 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: 56 | 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: 56 | paper | |
| 2003 | Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 104 |
| 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: 104 | 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: 104 | paper | |
| 2004 | Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 70 |
| 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: 70 | 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: 70 | 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 |
| 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 | |
| 2005 | Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 23 | article | |
| 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: Computing in Economics and Finance 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: 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 | |
| 2005 | The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 54 |
| 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: 54 | 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: 54 | 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 | 78 |
| 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: 78 | 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: 78 | 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 | 37 |
| 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: 37 | 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: 37 | paper | |
| 2007 | An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 94 |
| 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: 94 | article | |
| 2008 | Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 87 |
| 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: 87 | article | |
| 2009 | Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 91 |
| 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: 91 | 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: 91 | 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: 91 | 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 | 54 |
| 2012 | Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
| 2012 | Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
| 2013 | Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 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: 16 | article | |
| 2013 | Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
| 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: 26 | article | |
| 2003 | The Economics of Exchange Rates In: Cambridge Books. [Citation analysis] | book | 399 |
| 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 | 25 |
| 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: 25 | 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: 25 | 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 | 74 |
| 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 | 17 |
| 2016 | The economic value of predicting bond risk premia In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
| 2017 | The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 8 |
| 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 | 62 |
| 2010 | Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 29 |
| 2014 | Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
| 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: 24 | 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 | 29 |
| 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 | 142 |
| 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: 142 | 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: 142 | paper | |
| 2016 | What drives international portfolio flows? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 20 |
| 2015 | What Drives International Portfolio Flows?.(2015) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | 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 | 55 |
| 2002 | How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | 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 | 13 |
| 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: 13 | 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 | 30 |
| 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 | 101 |
| 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 | 11 |
| 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 | 41 |
| 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 | 12 |
| 2002 | Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 11 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team