36
H index
73
i10 index
5639
Citations
Lucio Sarno : Citation Profile
University of Cambridge (99% share) | RESEARCH PRODUCTION: 91 Articles 89 Papers 1 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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:
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Main data
Where Lucio Sarno has published?
Recent works citing Lucio Sarno (2020 and 2019)
| Year | Title of citing document | |
|---|---|---|
| 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 | Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?. (2019). Terrones, Marco ; RamÃrez-Rondán, N.R. ; Ramirez-Rondan, N R. In: Working Papers. RePEc:apc:wpaper:156. Full description at Econpapers || Download paper | |
| 2019 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329. Full description at Econpapers || Download paper | |
| 2019 | A bank salvage model by impulse stochastic controls. (2019). Jiang, Yilun ; di Persio, Luca ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:1910.03056. Full description at Econpapers || Download paper | |
| 2019 | Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123. Full description at Econpapers || Download paper | |
| 2020 | Trends, Reversion, and Critical Phenomena in Financial Markets. (2020). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2006.07847. 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 | |
| 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 | |
| 2019 | FX intervention: goals, strategies and tactics. (2019). Cavllino, Paolo ; Patel, Nikhil. In: BIS Papers chapters. RePEc:bis:bisbpc:104-02. 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 | |
| 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 | |
| 2019 | Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229. 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 | |
| 2019 | Sudden stops of international fund flows: Occurrence and magnitude. (2019). Scholtens, Bert ; de Haan, Jakob ; Li, Suxiao. In: Review of International Economics. RePEc:bla:reviec:v:27:y:2019:i:1:p:468-497. Full description at Econpapers || Download paper | |
| 2019 | Do Exchange Rate Shocks Have Asymmetric Effects on Reserve Accumulation? Evidence from Emerging Markets. (2019). Chen, Shiu-Sheng ; Lin, Tzuyu. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:121:y:2019:i:4:p:1561-1586. Full description at Econpapers || Download paper | |
| 2019 | Currency mispricing and dealer balance sheets. (2019). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Bank of England working papers. RePEc:boe:boeewp:0779. 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 | |
| 2020 | Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002. 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 | |
| 2017 | Why the Bank of Israel Intervenes in the Foreign Exchange Market, and What Happens to the Exchange Rate. (2017). Ribon, Sigal. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2017.04. 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 | |
| 2020 | The Short-Run Impact of SNB Sight Deposits on Exchange Rates: Results from Weekly Data 2015 - 2018. (2020). Kugler, Peter. In: Working papers. RePEc:bsl:wpaper:2020/04. Full description at Econpapers || Download paper | |
| 2019 | Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, R ; Corsetti, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1970. Full description at Econpapers || Download paper | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6. Full description at Econpapers || Download paper | |
| 2018 | The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127. Full description at Econpapers || Download paper | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532. Full description at Econpapers || Download paper | |
| 2020 | Cross-Border Portfolio Flows and News Media Coverage. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Ali, Faek Menla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8112. Full description at Econpapers || Download paper | |
| 2020 | Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143. Full description at Econpapers || Download paper | |
| 2020 | Auswirkungen möglicher Währungskonflikte auf die deutsche und europäische Wirtschaft. (2020). Wollmershauser, Timo ; Auer, Radek ; Grimme, Christian. In: ifo Forschungsberichte. RePEc:ces:ifofob:109. 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 | |
| 2019 | The Cost of Holding Foreign Exchange Reserves. (2019). Levy Yeyati, Eduardo. In: CID Working Papers. RePEc:cid:wpfacu:353. Full description at Econpapers || Download paper | |
| 2019 | Determinants of real exchange rate movements in 15 emerging market economies. (2019). Goda, Thomas ; Priewe, Jan. In: Documentos de Trabajo CIEF. RePEc:col:000122:017468. 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 | |
| 2019 | Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks. (2019). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14212. Full description at Econpapers || Download paper | |
| 2020 | Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14271. Full description at Econpapers || Download paper | |
| 2020 | Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Grab, Johannes ; Georgiadis, Georgios ; Dedola, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14324. Full description at Econpapers || Download paper | |
| 2020 | The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437. Full description at Econpapers || Download paper | |
| 2019 | Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291. 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: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_024. Full description at Econpapers || Download paper | |
| 2020 | Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004. Full description at Econpapers || Download paper | |
| 2019 | The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom. (2019). Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:poshakwalechandorkar. Full description at Econpapers || Download paper | |
| 2020 | The Dynamic Impact of FX Interventions on Financial Markets. (2020). Rieth, Malte ; Menkhoff, Lukas ; Stohr, Tobias. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1854. Full description at Econpapers || Download paper | |
| 2020 | Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866. Full description at Econpapers || Download paper | |
| 2019 | External debts, current account balance and exchange rates in emerging countries. (2019). Bouraoui, Taoufik. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00062. 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 | |
| 2020 | The predictive power of equilibrium exchange rate models. (2020). Rubaszek, Michał ; Mijakovic, Andrej ; Ca' Zorzi, Michele ; Michele Ca, ; Cap, Adam. In: Working Paper Series. RePEc:ecb:ecbwps:20202358. Full description at Econpapers || Download paper | |
| 2020 | Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387. 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 | |
| 2020 | Stationarity Properties of Renewable Energy Consumption in the Commonwealth of Independent States. (2020). Yasar, Nermin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-23. Full description at Econpapers || Download paper | |
| 2020 | Relationship Between Oil Revenues and Education in Gulf Cooperation Council Countries. (2020). Gedikli, Ayfer ; Ar, Durmu ; Erdoan, Seyfettin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-29. 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 | |
| 2019 | Reexamining time-varying bond risk premia in the post-financial crisis era. (2019). Zhang, Wei ; Guo, Bin ; Fan, Xiaoyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301745. 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 | |
| 2019 | The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439. Full description at Econpapers || Download paper | |
| 2019 | A new multiscale decomposition ensemble approach for forecasting exchange rates. (2019). Wei, Yunjie ; Wang, Shouyang ; Sun, Shaolong. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:49-58. Full description at Econpapers || Download paper | |
| 2019 | A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform. (2019). Wang, Xiangning ; Firouzi, Shahrokh. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:42-56. Full description at Econpapers || Download paper | |
| 2020 | A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73. Full description at Econpapers || Download paper | |
| 2020 | What do we know about fiscal sustainability across Indian states?. (2020). RATH, BADRI ; Akram, Vaseem. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:307-321. 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 | |
| 2019 | Expected currency returns and volatility risk premia. (2019). Haas, Jose Renato. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:206-234. Full description at Econpapers || Download paper | |
| 2019 | Time-varying effects of macroeconomic news on euro-dollar returns. (2019). Zhou, Xinyao ; Welch, Robert ; Savaser, Tanseli ; ben Omrane, Walid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306454. Full description at Econpapers || Download paper | |
| 2019 | Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis. (2019). Ahmad, Ahmad Hassan ; Aworinde, Olalekan B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300154. Full description at Econpapers || Download paper | |
| 2019 | Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968. Full description at Econpapers || Download paper | |
| 2020 | States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912. Full description at Econpapers || Download paper | |
| 2020 | Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932. Full description at Econpapers || Download paper | |
| 2020 | Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232. Full description at Econpapers || Download paper | |
| 2020 | Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, MarÃa ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633. Full description at Econpapers || Download paper | |
| 2020 | News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar. (2020). Peters, Wiebke ; Lessmann, Stefan ; Semiromi, Hamed Naderi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300784. 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 | |
| 2019 | Cryptocurrencies and momentum. (2019). Sapkota, Niranjan ; Grobys, Klaus. In: Economics Letters. RePEc:eee:ecolet:v:180:y:2019:i:c:p:6-10. Full description at Econpapers || Download paper | |
| 2020 | Commodity currencies and causality: Some high-frequency evidence. (2020). Ahmed, Rashad. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300422. 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 | |
| 2019 | How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119. Full description at Econpapers || Download paper | |
| 2019 | Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets. (2019). Phan, Dinh ; Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:12. Full description at Econpapers || Download paper | |
| 2019 | Unveiling the effects of foreign exchange intervention: A panel approach. (2019). Mano, Rui ; Lisack, Noëmie ; Adler, Gustavo. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:3. Full description at Econpapers || Download paper | |
| 2020 | Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504. Full description at Econpapers || Download paper | |
| 2019 | Using extracted forward rate term structure information to forecast foreign exchange rates. (2019). Murphy, Finbarr ; Cummins, Mark ; Kearney, Fearghal. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:1-14. Full description at Econpapers || Download paper | |
| 2019 | The role of technical indicators in exchange rate forecasting. (2019). Panopoulou, Ekaterini ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221. Full description at Econpapers || Download paper | |
| 2019 | Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108. 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 | |
| 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 | |
| 2019 | Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741. Full description at Econpapers || Download paper | |
| 2019 | Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2019). Baumohl, Eduard. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372. Full description at Econpapers || Download paper | |
| 2019 | Is there still a weather anomaly? An investigation of stock and foreign exchange markets. (2019). Zheng, Min ; Wang, Changyu ; Andrikopoulos, Athanasios. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:51-59. Full description at Econpapers || Download paper | |
| 2019 | Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume. (2019). Liu, Zhangxin ; Godfrey, Keith ; Cahill, Daniel ; Baur, Dirk G. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:78-92. Full description at Econpapers || Download paper | |
| 2019 | Inflation expectation, monetary policy credibility, and exchange rates. (2019). Kim, Young Min ; Lee, Seojin. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306184. Full description at Econpapers || Download paper | |
| 2020 | Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x. 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 | 37 |
| 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: 37 | 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: 37 | 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 | 439 |
| 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: 439 | paper | |
| 2019 | Risky bank guarantees In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 0 |
| 2019 | Risky Bank Guarantees.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | Risky bank guarantees.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2014 | The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 48 |
| 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: 48 | 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: 48 | 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: 48 | 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: 48 | 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 | 39 |
| 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: 39 | 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: 39 | article | |
| 2011 | Currency Momentum Strategies In: BIS Working Papers. [Full Text][Citation analysis] | paper | 107 |
| 2012 | Currency Momentum Strategies.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 107 | paper | |
| 2012 | Currency momentum strategies.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 107 | article | |
| 2012 | Currency Momentum Strategies.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 107 | paper | |
| 2013 | Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 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: 29 | 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 | 1 |
| 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: 1 | 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 |
| 2004 | Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers.(2004) In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2012 | Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 252 |
| 2011 | Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 252 | 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 | 9 |
| 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 | |
| 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 | 148 |
| 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: 148 | 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: 148 | 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: 148 | paper | |
| 2007 | Exchange rate forecasting, order flow and macroeconomic information In: Working Paper. [Full Text][Citation analysis] | paper | 108 |
| 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: 108 | article | |
| 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: 108 | paper | |
| 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 | 26 |
| 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: 26 | 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: 26 | 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 | 25 |
| 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 | 120 |
| 2005 | Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 120 | article | |
| 2016 | Currency Premia and Global Imbalances In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 28 |
| 2016 | Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
| 2015 | Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | 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 | Business Cycles and Currency Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Business Cycles and Currency Returns.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1997 | The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 369 |
| 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: 369 | 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 | 577 |
| 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: 577 | article | |
| 2001 | Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 207 |
| 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: 207 | 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 | 13 |
| 2003 | Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 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 | 153 |
| 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: 153 | 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: 153 | 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 | 178 |
| 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: 178 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 57 |
| 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: 57 | 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: 57 | 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 | 71 |
| 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: 71 | article | |
| 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 | 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 | |
| 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 | 56 |
| 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: 56 | article | |
| 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 | The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 59 |
| 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: 59 | 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: 59 | 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 | 81 |
| 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: 81 | 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: 81 | 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 | 38 |
| 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: 38 | 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: 38 | paper | |
| 2007 | An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 102 |
| 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: 102 | article | |
| 2008 | Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 95 |
| 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: 95 | article | |
| 2009 | Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 97 |
| 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: 97 | 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: 97 | 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: 97 | paper | |
| 2010 | Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 25 |
| 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: 25 | article | |
| 2011 | Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 57 |
| 2012 | Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | article | |
| 2012 | Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
| 2013 | Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 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: 18 | article | |
| 2013 | Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 33 |
| 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: 33 | article | |
| 2003 | The Economics of Exchange Rates In: Cambridge Books. [Citation analysis] | book | 409 |
| 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 | 29 |
| 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: 29 | article | |
| 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 | 77 |
| 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 | 37 |
| 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 | 18 |
| 2016 | The economic value of predicting bond risk premia In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2017 | The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 10 |
| 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 | 63 |
| 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 | 29 |
| 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: 29 | 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 | 69 |
| 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 |
| 2012 | Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 32 |
| 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 | 154 |
| 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: 154 | 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: 154 | paper | |
| 2016 | What drives international portfolio flows? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 25 |
| 2015 | What Drives International Portfolio Flows?.(2015) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | 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 | 56 |
| 2002 | How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | 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 | 21 |
| 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 | 19 |
| 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: 19 | paper | |
| 2009 | The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking. [Citation analysis] | article | 32 |
| 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 | 105 |
| 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 | 1 |
| 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 |
| 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 | 14 |
| 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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