Giorgio Valente : Citation Profile


Are you Giorgio Valente?

Hong Kong Monetary Authority

17

H index

19

i10 index

999

Citations

RESEARCH PRODUCTION:

27

Articles

37

Papers

RESEARCH ACTIVITY:

   16 years (2000 - 2016). See details.
   Cites by year: 62
   Journals where Giorgio Valente has often published
   Relations with other researchers
   Recent citing documents: 125.    Total self citations: 23 (2.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva58
   Updated: 2019-06-22    RAS profile: 2018-12-05    
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Relations with other researchers


Works with:

Cenedese, Gino (3)

Sarno, Lucio (3)

Payne, Richard (3)

Nucera, Federico (2)

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

Is cited by:

Beckmann, Joscha (36)

Sarno, Lucio (32)

Menkhoff, Lukas (19)

Byrne, Joseph (17)

Czudaj, Robert (16)

van Dijk, Dick (16)

Kose, Ayhan (15)

Thornton, Daniel (15)

Claessens, Stijn (15)

Korobilis, Dimitris (13)

Sojli, Elvira (12)

Cites to:

Sarno, Lucio (84)

Taylor, Mark (47)

Clarida, Richard (43)

Engel, Charles (37)

Campbell, John (34)

Rogoff, Kenneth (30)

Gertler, Mark (30)

West, Kenneth (28)

Diebold, Francis (26)

Bekaert, Geert (25)

Gali, Jordi (24)

Main data


Where Giorgio Valente has published?


Journals with more than one article published# docs
Journal of International Money and Finance3
Journal of Banking & Finance3
Review of Finance2
Journal of International Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Warwick Business School, Finance Group6
Working Papers / Federal Reserve Bank of St. Louis5
Working Papers / Hong Kong Institute for Monetary Research4

Recent works citing Giorgio Valente (2019 and 2018)


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

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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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2018Breakdown of covered interest parity: mystery or myth?. (2018). Wong, Alfred ; Zhang, Jiayue. In: BIS Papers chapters. RePEc:bis:bisbpc:96-08.

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

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

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

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

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

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

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123.

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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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2017FORWARD BIAS, THE FAILURE OF UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2017). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2ff194s2.

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

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

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

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

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

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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

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

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

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2018Market timing over the business cycle. (2018). Sander, Magnus . In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

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

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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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2018Dynamic trading volume and stock return relation: Does it hold out of sample?. (2018). Wang, Zijun ; Qian, Yan . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:195-210.

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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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2018Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:346-360.

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2017Global liquidity transmission to emerging market economies, and their policy responses. (2017). Kang, Taesu ; Choi, Woon Gyu ; Lee, Byongju ; Kim, Geun-Young. In: Journal of International Economics. RePEc:eee:inecon:v:109:y:2017:i:c:p:153-166.

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2018Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47.

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2018Decomposition of the uncovered equity parity correlation. (2018). Kunkler, Michael ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:44-58.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2017Selecting exchange rate fundamentals by bootstrap. (2017). Ribeiro, Pinho. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:894-914.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2017Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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2017The impact of uncertainty on professional exchange rate forecasts. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:296-316.

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2017Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar. (2017). Fukuda, Shin-ichi ; Tanaka, Mariko ; Shin- ichi Fukuda, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:301-317.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Fundamentals and exchange rate forecastability with simple machine learning methods. (2018). Stoltz, Gilles ; Michalski, Tomasz ; Amat, Christophe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:1-24.

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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33.

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2018Discretionary policy in a small open economy: Exchange rate regimes and multiple equilibria. (2018). Kirsanova, Tatiana ; Himmels, Christoph . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:56:y:2018:i:c:p:53-64.

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2017Does monetary policy have any relationship with the expectations of stock market participants?. (2017). Hung, Kuo-Che ; Ma, Tai. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:39:y:2017:i:c:p:100-117.

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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2019Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:186-207.

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2017What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions. (2017). Krištoufek, Ladislav ; Ferreira, Paulo ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:554-566.

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2018Forecasting exchange rate using Variational Mode Decomposition and entropy theory. (2018). He, Kaijian ; Chen, Yanhui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:15-25.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2017Learning about the interdependence between the macroeconomy and the stock market. (2017). Milani, Fabio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:223-242.

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2017Stock market and exchange rate information in the Taylor rule: Evidence from OECD countries. (2017). Junttila, Juha ; Heimonen, Kari ; Karkkainen, Samu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:1-18.

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2018The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

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2019Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.

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2018Does international-reserves targeting decrease the vulnerability to capital flights?. (2018). Semmler, Willi ; Kato, Mika ; Proao, Christian R. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:64-75.

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2018Examining the uncovered equity parity in the emerging financial markets. (2018). Aftab, Muhammad ; Ismail, Izlin ; Ahmad, Rubi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:233-242.

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2019Implied volatility and the cross section of stock returns in the UK. (2019). Agarwal, Vineet ; Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:271-286.

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2017Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CAMA Working Papers. RePEc:een:camaaa:2017-76.

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2017Exchange rates and monetary policy uncertainty. (2017). Tahbaz-Salehi, Alireza ; Vedolin, Andrea ; Mueller, Philippe. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:77256.

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2018Time-varying Response of Treasury Yields to Monetary Policy Shocks: Evidence from the Tunisian Bond Market. (2018). Mbarek, Lassaad ; Juko, Sonja ; Marfatia, Hardik A. In: Working Papers. RePEc:erg:wpaper:1243.

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2018Institutional Bureaucracy and Real Sector Movement. (2018). Ratnasih, Cicih. In: European Research Studies Journal. RePEc:ers:journl:v:volumexxi:y:2018:i:issue4:p:31-39.

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2018Institutional Bureaucracy and Real Sector Movement. (2018). Ratnasih, Cicih. In: European Research Studies Journal. RePEc:ers:journl:v:xxi:y:2018:i:4:p:31-39.

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2018Global Financial Cycles and Risk Premiums. (2018). Schularick, Moritz ; Jorda, Oscar ; Ward, Felix ; Taylor, Alan M. In: Working Paper Series. RePEc:fip:fedfwp:2018-05.

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2018Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk. (2018). Hsu, Wen-Chung ; Lee, Hsiang-Tai . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:44-:d:141779.

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2019Carry Cost Rate Regimes and Futures Hedge Ratio Variation. (2019). Chen, Ren-Raw ; Leistikow, Dean. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:78-:d:227989.

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2019A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners. (2019). Shi, Kai ; Salim, Agus. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:87-:d:230690.

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2018Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2730-:d:161653.

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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Post-Print. RePEc:hal:journl:hal-01877454.

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2018Forward Unbiasedness in the Short End of the Interest Rate Market. (2018). Azar, Samih Antoine. In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:2:p:70-78.

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2018Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market. (2018). Goshima, Keiichi ; Kumano, Yusuke . In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-13.

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2018Is Mexicos Forward Exchange Rate Market Efficient?. (2018). Islas-Camargo, Alejandro ; Sanabria, Tania Pamela ; Cortez, Willy Walter. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:273-289.

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2019Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection. (2019). Gonzalez, Gustavo Cabrera. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:203-219.

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2019Vanishing central bank intervention in stochastic impulse control. (2019). Gagnon, Gregory. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0327-2.

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2017The Relevance of the Monetary Model for the Euro / USD Exchange Rate Determination: a Long Run Perspective. (2017). Kouretas, Georgios ; Georgoutsos, Dimitris. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9468-6.

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2017Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Jiang, Ying ; Liu, Xiaoquan ; Ahmed, Shamim . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0570-4.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1718.

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2018Időben változó Taylor-szabály a hazai monetáris politika jellemzésére. (2018). Schepp, Zoltan ; Nemeth, Kristof ; Abaligeti, Gallusz. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1744.

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2017U.K. Monetary Policy under Inflation Targeting. (2017). Nguyen, Anh ; Minh, Anh Dinh . In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:41.

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2018SMOOTH BREAKS AND NONLINEAR MEAN REVERSION IN REAL INTEREST PARITY: EVIDENCE FROM EAST ASIAN COUNTRIES. (2018). Gulcu, Abdullah ; Yildirim, Dilem. In: ERC Working Papers. RePEc:met:wpaper:1804.

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2018Impact of the Main Currencies Exchange Rates on the Romanian Economic Policy Transformation. (2018). Zaharia, Marian ; Andrei, Jean ; Dragoi, Mihaela Cristina. In: Montenegrin Journal of Economics. RePEc:mje:mjejnl:v:14:y:2018:i:2:p:7-19.

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2017Does swap-covered interest parity hold in long-term capital markets after the financial crisis?. (2017). Hattori, Takahiro. In: Discussion papers. RePEc:mof:wpaper:ron293.

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2017Monetary policy and financial asset prices in Poland. (2017). Kapuściński, Mariusz ; Kapuciski, Mariusz. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:48:y:2017:i:3:p:263-294.

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2018DSGE models: still useful in policy analysis?. (2018). Lindé, Jesper ; Linde, Jesper. In: Oxford Review of Economic Policy. RePEc:oup:oxford:v:34:y:2018:i:1-2:p:269-286..

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2019Global Financial Cycles and Risk Premiums. (2019). Jorda, Oscar ; Ward, Felix ; Taylor, Alan M ; Schularick, Moritz. In: IMF Economic Review. RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00077-1.

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2017The multiscale relationship between exchange rates and fundamentals differentials: Empirical evidence from Scandinavia. (2017). Habimana, Olivier. In: MPRA Paper. RePEc:pra:mprapa:75956.

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2017Asymmetries in Yield Curves: Some Empirical Evidence from Ghana. (2017). . In: MPRA Paper. RePEc:pra:mprapa:79155.

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2017The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80788.

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2017Carry Trades and Commodity Risk Factors. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80789.

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2019An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka. In: MPRA Paper. RePEc:pra:mprapa:92222.

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2017Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng. In: Working Papers. RePEc:pre:wpaper:201728.

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2018On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics. (2018). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: Working Papers. RePEc:pre:wpaper:201864.

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2018The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments. (2018). Staniek, Duan . In: Český finanční a účetní časopis. RePEc:prg:jnlcfu:v:2018:y:2018:i:2:id:513:p:61-79.

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

Works by Giorgio Valente:


YearTitleTypeCited
2014High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market In: Staff Working Papers.
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paper6
2015Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve In: BIS Working Papers.
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2015Global Shock, Risks, and Asian Financial Reform edited by Iwan J. Azis and Hyun Song Shin (eds) Edward Elgar and Asian Development Bank , Cheltenham, UK; Northampton, MA, USA , 2014 Pp. 752. ISBN 978- In: Asian-Pacific Economic Literature.
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2012INTRODUCTION TO THE SPECIAL ISSUE OF PACIFIC ECONOMIC REVIEW ON MACRO AND MICRO INTERNATIONAL FLOWS In: Pacific Economic Review.
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2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
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paper21
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 21
paper
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
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paper148
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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This paper has another version. Agregated cites: 148
article
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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This paper has another version. Agregated cites: 148
paper
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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This paper has another version. Agregated cites: 56
article
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
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paper96
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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article
2004Monetary Policy Rules, Asset Prices and Exchange Rates.(2004) In: CDMA Working Paper Series.
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paper
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
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paper74
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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This paper has another version. Agregated cites: 74
article
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability.(2004) In: Working Papers.
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paper
2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
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paper0
2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
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paper23
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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paper
2004Federal Funds Rate Prediction.(2004) In: Working Papers.
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paper
2004Federal funds rate prediction.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 23
paper
2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
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article
2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper56
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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This paper has another version. Agregated cites: 56
article
2004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 56
paper
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
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paper61
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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This paper has another version. Agregated cites: 61
article
2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 61
paper
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2005) In: Working Papers.
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paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
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paper77
2006Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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This paper has another version. Agregated cites: 77
article
2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
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paper88
2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 88
article
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
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paper24
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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article
2004Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 24
paper
2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
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article15
2016Can currency-based risk factors help forecast exchange rates? In: International Journal of Forecasting.
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article5
2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? In: Journal of Banking & Finance.
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article62
2010Covered interest arbitrage profits: The role of liquidity and credit risk In: Journal of Banking & Finance.
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article32
2015Understanding the price of volatility risk in carry trades In: Journal of Banking & Finance.
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article3
2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
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article18
2004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts.(2004) In: Working Papers.
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2009International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore In: Journal of International Money and Finance.
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article9
2013Carry trades and the performance of currency hedge funds In: Journal of International Money and Finance.
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article2
2013Carry Trades and the Performance of Currency Hedge Funds.(2013) In: Working Papers.
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2019Global Drivers of Gross and Net Capital Flows In: Globalization Institute Working Papers.
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paper0
2009Revisiting the predictability of bond risk premia In: Working Papers.
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paper0
2010Predicting bond excess returns with forward rates: an asset-allocation perspective In: Working Papers.
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paper1
2016Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers.
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paper3
2002The Market Value of Italian Government Debt, 1970-1996 In: Giornale degli Economisti.
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article0
2008FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value In: Working Papers.
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paper2
2005US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore In: Working Papers.
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2010Market Liquidity and Funding Liquidity: An Empirical Investigation In: Working Papers.
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paper0
2008Special issue on international financial markets and the macroeconomy In: International Journal of Finance & Economics.
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2004Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting.
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article19
2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
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This paper has another version. Agregated cites: 19
paper
2012Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective In: Review of Financial Studies.
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article38
2004The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note In: CEIS Research Paper.
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paper4
2003Monetary policy rules and regime shifts In: Applied Financial Economics.
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article41
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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article12

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