14
H index
19
i10 index
514
Citations
Ivan Paya : Citation Profile
Lancaster University | RESEARCH PRODUCTION: 38 Articles 34 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2003 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ivan Paya. | Is cited by:
| Cites to:
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Main data
Where Ivan Paya has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Letters | 5 |
| Applied Economics Letters | 3 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| International Journal of Forecasting | 2 |
| Journal of Money, Credit and Banking | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Lancaster University Management School, Economics Department | 20 |
| Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) | 7 |
Recent works citing Ivan Paya (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186. Full description at Econpapers || Download paper |
| 2023 | Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726. Full description at Econpapers || Download paper |
| 2023 | Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596. Full description at Econpapers || Download paper |
| 2023 | Can the global financial cycle explain the episodes of exuberance in international housing markets?. (2023). Liu, Qingya ; Wang, Xichen. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005438. Full description at Econpapers || Download paper |
| 2023 | Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities. (2023). Charfeddine, Lanouar ; Belhoula, Mohamed Malek ; el Montasser, Ghassen. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000399. Full description at Econpapers || Download paper |
| 2023 | Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate. (2023). Ran, Alexandra-Mdlina ; Chang, Hsu-Ling ; Qin, Meng ; Su, Chiwei. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000892. 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 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833. Full description at Econpapers || Download paper |
| 2023 | IsSouthAfricafallingintoafiscaldominantregime. (2023). Viegi, Nicola ; Mamburu, Mulalo ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:11041. Full description at Econpapers || Download paper |
| 2023 | IsSouthAfricafallingintoafiscaldominantregime. (2023). Soobyah, Luchelle ; Viegi, Nicola ; Mamburu, Mulalo. In: Working Papers. RePEc:rbz:wpaper:11046. Full description at Econpapers || Download paper |
| 2023 | A tale of two recession-derivative indicators. (2023). Yang, Cheng ; Lahiri, Kajal. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02361-6. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Leaning against housing booms fueled by credit. (2023). Martinez, Carlos Canizares. In: Working and Discussion Papers. RePEc:svk:wpaper:1101. Full description at Econpapers || Download paper |
| 2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
| 2023 | An Investigation on Real Estate Market Dynamics and Bubble Formation Modeling. (2023). Cristina, Rogojan Luana ; Elena, Croicu Andreea ; Andreea, Iancu Laura. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:17:y:2023:i:1:p:1603-1616:n:30. Full description at Econpapers || Download paper |
| 2023 | Household consumption and exchange rate extreme dynamics: Multiple asymmetric threshold non?linear autoregressive distributed lag model perspective. (2023). Effiom, Lionel ; Chang, Bisharat Hussain ; Uche, Emmanuel. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3437-3450. Full description at Econpapers || Download paper |
| 2023 | Nowcasting the state of the Italian economy: The role of financial markets. (2023). Silvestrini, Andrea ; Ceci, Donato. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1569-1593. Full description at Econpapers || Download paper |
Works by Ivan Paya:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002 In: Economic Affairs. [Full Text][Citation analysis] | article | 2 |
| 2003 | On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA In: Manchester School. [Full Text][Citation analysis] | article | 0 |
| 2003 | Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 30 |
| 2010 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2009 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2013 | Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2018 | A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Further empirical evidence of nonlinearity in the us monetary policy rule In: Economics Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2010 | The forward premium puzzle in the interwar period and deviations from covered interest parity In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2012 | On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty In: Economics Letters. [Full Text][Citation analysis] | article | 11 |
| 2015 | Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2006 | On the speed of adjustment in ESTAR models when allowance is made for bias in estimation In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2007 | Deterministic impulse response in a nonlinear model. An analytical expression In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2016 | Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2016 | Pure higher-order effects in the portfolio choice model In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
| 2005 | Predicting real growth and the probability of recession in the Euro area using the yield spread In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 50 |
| 2004 | PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD.(2004) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
| 2012 | Forecasting monetary policy rules in South Africa In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 22 |
| 2010 | Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2019 | Who benefits from being self-employed in urban Ghana?.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2011 | Real exchange rates and time-varying trade costs In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
| 2009 | Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2005 | The term spread and real economic activity in the US inter-war period In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 2 |
| 2003 | Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 30 |
| 2007 | Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 68 |
| 2016 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.(2016) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
| 2004 | NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 1 |
| 2004 | TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 9 |
| 2006 | Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2004 | ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2005 | THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED? In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The long memory story of real interest rates. Can it be supported?.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994 In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 4 |
| 2005 | A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 10 |
| 2005 | The process followed by PPP data. On the properties of linearity tests.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2017 | Exuberance in the U.K. Regional Housing Markets In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Higher-order moments in the theory of diversification and portfolio composition In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2019 | House Prices, (Un)Affordability and Systemic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Further empirical evidence on the consumption-real exchange rate anomaly. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Temporal aggregation of an ESTAR process In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | On the relationship between Nominal Exchange Rates and domestic and foreign prices In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | On the relationship between inflation persistence and temporal aggregation In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2007 | On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | Estimating Argentinas imports elasticities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | ESTAR model with multiple fixed points. Testing and Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2009 | Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Bubbles in House Prices and their Impact on Consumption: Evidence for the US In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2011 | On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Episodes of exuberance in housing markets In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2004 | Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability. In: Estudios de Economia Aplicada. [Full Text][Citation analysis] | article | 0 |
| 2010 | Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion In: Journal of Money, Credit and Banking. [Citation analysis] | article | 17 |
| 2010 | Forecasting Monetary Rules in South Africa In: Working Papers. [Citation analysis] | paper | 2 |
| 2004 | Estimates of US monetary policy rules with allowance for changes in the output gap In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2004 | Term spread and real economic activity in Korea: was the crisis predictable? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2012 | The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2003 | On the equilibrium value of the peseta In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2007 | On the relationship between nominal exchange rates and domestic and foreign prices In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices In: Applied Financial Economics. [Full Text][Citation analysis] | article | 16 |
| 2013 | Nonlinear dynamics in economics and finance and unit root testing In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2014 | Temporal Aggregation of Random Walk Processes and Implications for Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES In: International Economic Review. [Full Text][Citation analysis] | article | 14 |
| 2012 | Forecast Evaluation of Nonlinear Models: The Case of Long?Span Real Exchange Rates In: Journal of Forecasting. [Citation analysis] | article | 5 |
| 2011 | Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2018 | Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 25 |
| 2004 | The long memory story of ex post real interest rates. Can it be supported? In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team