20
H index
35
i10 index
1269
Citations
City University | 20 H index 35 i10 index 1269 Citations RESEARCH PRODUCTION: 55 Articles 26 Papers RESEARCH ACTIVITY: 25 years (1997 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pfu3 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ana-Maria Fuertes. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
2023 | DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033. Full description at Econpapers || Download paper |
2023 | Digital financial inclusion and investment diversification: Evidence from China. (2023). Zhang, Yong ; Lai, Yali ; Lu, Xiaomeng. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2781-2799. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | Towards Better Banking Crisis Prediction: Could an Automatic Variable Selection Process Improve the Performance?. (2023). Liu, Xianglong. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:288-312. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | The Role of Environmental Conditions and Purchasing Power Parity in Determining Quality of Life among Big Asian Cities. (2023). Audi, Marc ; Ali, Amjad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-34. Full description at Econpapers || Download paper |
2023 | Pass-through of exchange rate shocks in Brazil as a small open economy. (2023). Feijo, Carmem Aparecida ; Cerqueira, Luiz Fernando ; de Assis, Thallis Macedo. In: Revista CEPAL. RePEc:ecr:col070:48973. Full description at Econpapers || Download paper |
2023 | The impact of natural disaster risk on the return of agricultural futures. (2023). Yu, Qin ; Tse, Yiuman ; Liu, Qingfu ; Hua, Renhai. In: Journal of Asian Economics. RePEc:eee:asieco:v:87:y:2023:i:c:s1049007823000520. Full description at Econpapers || Download paper |
2023 | Impact of gamification on mitigating behavioral biases of investors. (2023). Onay, Ceylan ; Enol, Doa. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000946. Full description at Econpapers || Download paper |
2023 | Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263. Full description at Econpapers || Download paper |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
2023 | Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348. Full description at Econpapers || Download paper |
2023 | Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales. (2023). Marco, Chi Keung ; Wang, Qunwei ; Dai, Xingyu ; Zhang, Dongna. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s014098832300230x. Full description at Econpapers || Download paper |
2023 | Peer performance and the asymmetric timeliness of earnings recognition. (2023). Qiao, LU ; Li, Suyang ; Ma, Yechi ; Fu, Zheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003775. Full description at Econpapers || Download paper |
2023 | Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161. Full description at Econpapers || Download paper |
2023 | Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets. (2023). Wang, Jiqian ; Huang, Yisu ; Ding, Hui. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001369. Full description at Econpapers || Download paper |
2023 | Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089. Full description at Econpapers || Download paper |
2023 | Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632. Full description at Econpapers || Download paper |
2023 | Public debt and r-g risks in advanced economies: Eurozone versus stand-alone. (2023). Heimberger, Philipp. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000785. Full description at Econpapers || Download paper |
2023 | Time-varying exchange rate pass-through into terms of trade. (2023). Dainauskas, Justas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001067. Full description at Econpapers || Download paper |
2023 | Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642. Full description at Econpapers || Download paper |
2023 | Commodity momentum: A tale of countries and sectors. (2023). Qiao, Xiao ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000053. Full description at Econpapers || Download paper |
2023 | Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041. Full description at Econpapers || Download paper |
2023 | A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181. Full description at Econpapers || Download paper |
2023 | Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460. Full description at Econpapers || Download paper |
2023 | Examining the patterns of disaggregate energy security risk and crude oil price: the USA scenario over 1970–2040. (2023). Ozkan, Oktay ; Alola, Andrew Adewale ; Obekpa, Hephzibah Onyeje. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002222. Full description at Econpapers || Download paper |
2023 | Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191. Full description at Econpapers || Download paper |
2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
2023 | Cloning mutual fund returns. (2023). Niemann, Sebastian ; Schuhmacher, Frank ; Auer, Benjamin R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:31-37. Full description at Econpapers || Download paper |
2023 | Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices. (2023). Selmi, Refk ; kasmaoui, kamal ; Deisting, Florent ; Wohar, Mark. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:56-67. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors. (2023). Gooijer, Jan G. ; de Gooijer, Jan G. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10289-9. Full description at Econpapers || Download paper |
2023 | Financial integration in Asia: new Empirical evidence using dynamic panel data estimations. (2023). Sharma, Gagan Deep ; Erkut, Burak. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:20:y:2023:i:1:d:10.1007_s10368-023-00553-0. Full description at Econpapers || Download paper |
2023 | Option-Implied Skewness and the Value of Financial Intermediaries. (2023). Weissensteiner, Alex ; Bressan, Silvia. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00387-y. Full description at Econpapers || Download paper |
2023 | A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration. (2023). Stokes, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01170-3. Full description at Econpapers || Download paper |
2023 | From Policy to Regime: the changing posture of the ECB between liquidity and collateral through the lens of Monetary Regime. (2023). Goghie, Alexandru-Stefan ; Giordano, Matteo. In: SocArXiv. RePEc:osf:socarx:rw3ms. Full description at Econpapers || Download paper |
2023 | The effects of supervisory stress testing on bank lending: examining large UK banks. (2023). Calice, Giovanni ; Ahmed, Kasim. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:2:d:10.1057_s41261-022-00195-3. Full description at Econpapers || Download paper |
2023 | Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141. Full description at Econpapers || Download paper |
2023 | Re-evaluating whether absolute or relative purchasing power parity is being tested when using price indices. (2023). Stewart, Chris. In: Economics Discussion Papers. RePEc:ris:kngedp:2023_001. Full description at Econpapers || Download paper |
2023 | Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects. (2023). Kapetanios, George ; Shin, Yongcheol ; Serlenga, Laura. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02390-1. Full description at Econpapers || Download paper |
2023 | Energy use and environmental degradation in Europe: evidence from panel nonlinear ARDL. (2023). Munir, Kashif. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01473-y. Full description at Econpapers || Download paper |
2023 | Grey Markov Models for Predicting the Social Sustainability Performances of Firms. (2023). Rajesh, R. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:168:y:2023:i:1:d:10.1007_s11205-023-03132-7. Full description at Econpapers || Download paper |
2023 | Does the tail risk index matter in forecasting downside risk?. (2023). Yang, Jimmy J ; Liu, Hungchun ; Hung, Juicheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3451-3466. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227. Full description at Econpapers || Download paper |
2023 | Global climate change and commodity markets: A hedging perspective. (2023). Jin, Jiayu ; Han, Liyan ; Chen, Xinhui ; Jia, Shanghui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1393-1422. Full description at Econpapers || Download paper |
2023 | Commodity network and predictable returns. (2023). Ye, Yang ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1423-1449. Full description at Econpapers || Download paper |
2023 | Changes in the options contract size and arbitrage opportunities. (2023). Yu, Jinyoung ; Ryu, Doojin ; Song, Joon Hyuk. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:122-137. Full description at Econpapers || Download paper |
2023 | Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197. Full description at Econpapers || Download paper |
2023 | Commodity momentum decomposition. (2023). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:198-216. Full description at Econpapers || Download paper |
2023 | Probability weighting in commodity futures markets. (2023). Wang, Ying ; Xu, QI ; Yuan, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:516-548. Full description at Econpapers || Download paper |
2023 | Wisdom of crowds and commodity pricing. (2023). de Silva, Sanuri ; Binnewies, Sebastian ; Fan, John Hua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1040-1068. Full description at Econpapers || Download paper |
2023 | The geopolitical risk premium in the commodity futures market. (2023). Pan, Zheyao ; Liao, Yin ; Cheng, Daxuan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1069-1090. Full description at Econpapers || Download paper |
2023 | An empirical investigation on risk factors in cryptocurrency futures. (2023). Ran, Zhenkai ; Hu, Jiangdong ; Hao, Wenyan ; Chi, Yeguang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1161-1180. Full description at Econpapers || Download paper |
2023 | Commodity momentum and reversal: Do they exist, and if so, why?. (2023). Han, Meng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1204-1237. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2004 | Unobserved Heterogeneity in Panel Time Series Models In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 140 |
2006 | Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 140 | article | |
2012 | Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 27 |
2017 | Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 17 |
2016 | Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2019 | Preface to the papers on ‘Credit risk modelling’ In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
2000 | Short?run Real Exchange Rate Dynamics In: Manchester School. [Full Text][Citation analysis] | article | 0 |
2001 | A Non?Linear Analysis of Excess Foreign Exchange Returns In: Manchester School. [Full Text][Citation analysis] | article | 5 |
2004 | Is the Feldstein–Horioka Puzzle History? In: Manchester School. [Full Text][Citation analysis] | article | 75 |
2001 | Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 17 |
2002 | A Principal Components Approach to Cross-Section Dependence in Panels In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002. [Full Text][Citation analysis] | paper | 67 |
2000 | Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 42 |
2007 | On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 23 |
2006 | On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2008 | Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
2003 | Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 23 |
2003 | Numerical issues in threshold autoregressive modeling of time series.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2006 | Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
1997 | New panel unit root tests of PPP In: Economics Letters. [Full Text][Citation analysis] | article | 67 |
2021 | The risk premia of energy futures In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
2021 | The Risk Premia of Energy Futures.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2016 | Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 11 |
2017 | In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 6 |
2021 | Bank credit risk events and peers equity value In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2007 | Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 35 |
2009 | On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 40 |
2013 | Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 21 |
2016 | Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
2017 | Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
2019 | A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2020 | Fear of hazards in commodity futures markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
2020 | Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2020 | Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2006 | Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 34 |
2006 | Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2010 | Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 79 |
2018 | The skewness of commodity futures returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 56 |
2018 | The skewness of commodity futures returns.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2005 | Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 49 |
2012 | Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 57 |
2015 | ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 60 |
2014 | ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2016 | Hot money in bank credit flows to emerging markets during the banking globalization era In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
2016 | On cross-border bank credit and the U.S. financial crisis transmission to equity markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 8 |
2018 | On the predictability of emerging market sovereign credit spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2019 | Uncovered equity “disparity” in emerging markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2001 | Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 6 |
2016 | On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM. [Full Text][Citation analysis] | article | 2 |
2020 | Speculative Pressure In: Post-Print. [Full Text][Citation analysis] | paper | 10 |
2020 | Speculative pressure.(2020) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2009 | Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 15 |
2000 | Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 13 |
2004 | A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2003 | A New Interpretation of the Exchange Rate - Yield Differential Nexus.(2003) In: Computing in Economics and Finance 2003. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2005 | A guided tour of TSMod 4.03 In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2010 | How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 14 |
2015 | Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 11 |
2004 | The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 8 |
2004 | A new interpretation of the real exchange rate - yield differential nexus In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
2004 | Market-wide shocks and anomalous price behaviour: evidence from closed-end funds In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] | paper | 0 |
2016 | Overnight News and Daily Equity Trading Risk Limits In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
2017 | Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance. [Full Text][Citation analysis] | article | 9 |
2021 | The Negative Pricing of the May 2020 WTI Contract In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2000 | A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 0 |
2001 | Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
2001 | Small sample properties of panel time-series estimators with I(1) errors In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 31 |
2001 | Bootstrap LR Tests for Sign and Amplitude Asymmetries In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 2 |
2002 | Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2002 | Exchange Rate Overshooting and the Forward Premium Puzzle In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 1 |
2002 | An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2003 | ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
2004 | Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 1 |
2004 | Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 2 |
2001 | Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
2002 | Asymmetric dynamics in UK real interest rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 11 |
2009 | Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics. [Full Text][Citation analysis] | article | 6 |
2014 | A behavioral analysis of investor diversification In: The European Journal of Finance. [Full Text][Citation analysis] | article | 10 |
2013 | Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets. [Citation analysis] | article | 9 |
2015 | Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 27 |
2022 | Risk?neutral skewness and commodity futures pricing In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
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