Lucio Sarno : Citation Profile


Are you Lucio Sarno?

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

35

H index

72

i10 index

5401

Citations

RESEARCH PRODUCTION:

88

Articles

97

Papers

1

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 245
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 305.    Total self citations: 90 (1.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa95
   Updated: 2019-10-15    RAS profile: 2019-05-27    
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Relations with other researchers


Works with:

Menkhoff, Lukas (6)

Cenedese, Gino (5)

Fratzscher, Marcel (5)

Schmeling, Maik (4)

Tsiakas, Ilias (4)

Schrimpf, Andreas (3)

Payne, Richard (3)

Valente, Giorgio (3)

Zinna, Gabriele (3)

Ulloa, Barbara (2)

Gloede, Oliver (2)

Rime, Dagfinn (2)

Stöhr, Tobias (2)

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

Is cited by:

Beckmann, Joscha (117)

Claessens, Stijn (94)

Kose, Ayhan (93)

Chang, Tsangyao (92)

Taylor, Mark (87)

Menkhoff, Lukas (70)

Czudaj, Robert (61)

MacDonald, Ronald (52)

Reitz, Stefan (46)

Liew, Venus (46)

Bahmani-Oskooee, Mohsen (42)

Cites to:

Taylor, Mark (120)

Rogoff, Kenneth (75)

Obstfeld, Maurice (67)

Engel, Charles (56)

Campbell, John (56)

Bekaert, Geert (49)

Clarida, Richard (46)

Valente, Giorgio (42)

Shiller, Robert (37)

West, Kenneth (37)

Diebold, Francis (33)

Main data


Where Lucio Sarno has published?


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

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

Recent works citing Lucio Sarno (2019 and 2018)


YearTitle of citing document
2018Realizing 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.

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

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2019Does 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.

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

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2019A 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.

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2018Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22.

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2018Commodity 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.

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

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2018Economic 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.

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2019Bank foreign currency funding and currency markets: the case of Mexico post GFC. (2019). Georgia, Bush. In: Working Papers. RePEc:bdm:wpaper:2019-01.

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2018An 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.

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2019FX 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.

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

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2019Predictability 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.

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2018Gauging 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.

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2019FX intervention and domestic credit: Evidence from high-frequency micro data. (2019). Shin, Hyun Song ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:774.

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2019Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems. (2019). Zhu, Feng ; Engel, Charles. In: BIS Working Papers. RePEc:bis:biswps:805.

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2019THE 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.

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

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2018Informal 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.

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2018Do 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.

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2018What drives UK defined benefit pension funds investment behaviour?. (2018). Roberts-Sklar, Matt ; Douglas, Graeme . In: Bank of England working papers. RePEc:boe:boeewp:0757.

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2019Regulatory effects on short-term interest rates. (2019). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0801.

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2018BOOK 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.

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2018The 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.

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2018A 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.

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2018Of Gold and Paper Money. (2018). Chadha, Jagjit. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1842.

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2019Private 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.

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2018FORWARD 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.

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2018FORWARD 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.

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

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2018Have 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.

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2019Private 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.

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2018The 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.

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2018Of Gold and Paper Money. (2018). Chadha, Jagjit. In: Discussion Papers. RePEc:cfm:wpaper:1821.

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2019Fast 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.

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2019Foreign Exchange Intervention Redux. (2019). Chang, Roberto. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v26c07pp205-247.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Global financial cycles and risk premiums. (2018). Jorda, Oscar ; Ward, Felix ; Taylor, Alan M ; Schularick, Moritz. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12969.

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2018Nominal 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.

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2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

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2018Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325.

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2019Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835.

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2019Covered Interest Parity deviations: Macrofinancial determinants. (2019). Zhou, Haonan ; Obstfeld, Maurice ; Cerutti, Eugenio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13886.

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2019Taming 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.

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2018Global Positioning Risk and FX Trading Strategies. (2002). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020.

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2018Does 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.

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2018Long-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.

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

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2018Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:602.

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2018Pension 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.

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2018Pension Funds Interconnections and Herd Behavior. (2018). Bauer, Rob ; Broeders, Dirk ; Bonneti, Matteo. In: DNB Working Papers. RePEc:dnb:dnbwpp:612.

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2018Carry 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.

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

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

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2018Does 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.

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2019Fast 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.

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

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2018Investigating 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.

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2018FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Camarero, Mariam ; Tamarit, Cecilio ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813.

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2019Modelling 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.

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2018Renminbi 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.

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

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2018The 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.

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2018Banks 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.

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2018Does 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.

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2018Forecasting 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.

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2018One 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.

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2019Return 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.

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2019Exchange 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.

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

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

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2018The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations. (2018). Lange, Ronald Henry. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:80-91.

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2018Foreign 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.

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2019The 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.

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2019Can 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.

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2019Uncertainty 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.

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2019Can 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.

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

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2019Separate 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.

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

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

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2018Emerging 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.

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

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

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2018Conditional 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.

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

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2019Price 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.

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

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

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2018New 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.

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2019News 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.

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2019Currency 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.

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

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

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2018Determinants 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.

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2018Intraday 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.

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

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2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
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2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
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2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
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2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
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2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
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2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
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paper47
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
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2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
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2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
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2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
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2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
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paper37
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
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2012The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics.
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article
2011Currency Momentum Strategies In: BIS Working Papers.
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paper81
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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2012Currency Momentum Strategies.(2012) In: Working Paper series.
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2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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paper27
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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2003The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index In: Economic Notes.
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2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation. In: Economica.
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article2
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
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2004Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
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article4
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article221
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
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1999European Capital Flows and Regional Risk. In: Manchester School.
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2002 Short- and Long-Run Price Level Uncertainty under Different Monetary Policy Regimes: An International Comparison. In: Oxford Bulletin of Economics and Statistics.
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2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective In: Oxford Bulletin of Economics and Statistics.
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2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
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2002Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective.(2002) In: Working Papers.
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1997Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. In: Scottish Journal of Political Economy.
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2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
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2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
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2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
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2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
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2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
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2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
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2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
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2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
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article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
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paper27
2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
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2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
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paper23
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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2004Monetary policy and learning in an open economy In: Research Discussion Papers.
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2004Monetary policy and learning in an open economy.(2004) In: Macroeconomics.
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2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
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2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
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2016Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies.
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2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: Review of Financial Studies.
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2019Risky Bank Guarantees In: CEPR Discussion Papers.
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1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
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paper365
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
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1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
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paper3
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
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paper569
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
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article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
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paper200
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
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2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
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paper70
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
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2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
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2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
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paper0
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
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paper147
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
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2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
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2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
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paper175
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
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2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
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paper56
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
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2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
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2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
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paper104
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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2004Monetary Policy Rules, Asset Prices and Exchange Rates.(2004) In: CDMA Working Paper Series.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
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2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability.(2004) In: Working Papers.
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2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
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2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
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2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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2004Federal funds rate prediction.(2004) In: Working Papers.
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2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
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2004Federal Funds Rate Prediction.(2004) In: Working Papers.
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2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
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2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
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2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
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2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Working Papers.
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2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper54
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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2004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2004) In: Working Papers.
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2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
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2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
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2005A Cross-Country Financial Accelorator: Evidence from North America and Europe.(2005) In: Working Papers.
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2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
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2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
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2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
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2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2005) In: Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
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2006Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
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2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
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2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
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2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
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2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
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2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
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2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
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2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
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2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2004Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers.(2004) In: Working Papers.
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2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
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2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
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2004Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal.
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2000Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics.
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1998Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation In: Review of World Economics (Weltwirtschaftliches Archiv).
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2000Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv).
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2000Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters.
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2003An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics.
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article30
1997Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics.
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1997Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity In: Applied Economics.
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2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? In: Working Papers.
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2006Caution and Activism? Monetary Policy Strategies in an Open Economy In: Working Papers.
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1999The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence In: Journal of Futures Markets.
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2000The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets.
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2002Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets.
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