Ana-Maria Fuertes : Citation Profile

Are you Ana-Maria Fuertes?

City University

20

H index

35

i10 index

1334

Citations

RESEARCH PRODUCTION:

56

Articles

29

Papers

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 51
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 33 (2.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfu3
   Updated: 2024-12-03    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

González-Fernández, Marcos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ana-Maria Fuertes.

Is cited by:

Pesaran, Mohammad (25)

Eberhardt, Markus (21)

Kapetanios, George (17)

Holmes, Mark (12)

Tosetti, Elisa (11)

Afonso, Antonio (11)

Taylor, Mark (10)

Smith, Ronald (9)

Snaith, Stuart (9)

Noman, Abdullah (9)

Zaremba, Adam (9)

Cites to:

Pesaran, Mohammad (44)

Coakley, Jerry (39)

Smith, Ronald (35)

Rogoff, Kenneth (28)

Reinhart, Carmen (27)

Sarno, Lucio (27)

Campbell, John (26)

Phillips, Peter (21)

Moon, Hyungsik (21)

Diebold, Francis (20)

Obstfeld, Maurice (19)

Main data

Where Ana-Maria Fuertes has published?

Journals with more than one article published# docs
Journal of International Money and Finance7
Journal of Banking & Finance6
International Journal of Forecasting5
Computational Statistics & Data Analysis4
International Journal of Finance & Economics3
Manchester School3
Journal of Economic Dynamics and Control3
Journal of Futures Markets3
Applied Financial Economics3
International Review of Financial Analysis3
Journal of the Royal Statistical Society Series A2

Working Papers Series with more than one paper published# docs
Post-Print / HAL5
MPRA Paper / University Library of Munich, Germany4
Computing in Economics and Finance 2002 / Society for Computational Economics3
Computing in Economics and Finance 2001 / Society for Computational Economics3
Computing in Economics and Finance 2004 / Society for Computational Economics2
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2
Computing in Economics and Finance 2003 / Society for Computational Economics2

Recent works citing Ana-Maria Fuertes (2024 and 2023)

YearTitle of citing document
2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

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2023Digital 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.

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2023Predicting 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.

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2023Towards 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.

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2023A 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.

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2023Leading indicators of sovereign defaults in middle- and low-income countries: the role of foreign exchange reserve ratios in times of pandemic.. (2023). El Ouardi, Sofiane. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00473.

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2023The 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.

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2023Pass-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.

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2023The 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.

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2023Impact 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.

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2024Are key audit matter disclosures useful in assessing the financial distress level of a client firm?. (2024). Wellmeyer, Patricia ; Pincus, Morton ; Muoz-Izquierdo, Nora ; Camacho-Miñano, Maria-del-Mar, . In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:2:s0890838923000331.

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2024Narrow framing and under-diversification: Empirical evidence from Chinese households. (2024). Pantelous, Athanasios A ; Tang, Ruohua ; Xie, Yuxin ; Lu, Xiaomeng. In: China Economic Review. RePEc:eee:chieco:v:83:y:2024:i:c:s1043951x23001803.

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2024Exchange rate pass-through in emerging Asia and exposure to external shocks. (2024). Beirne, John ; Panthi, Pradeep ; Renzhi, Nuobu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1608-1624.

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2023Hedging 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.

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2024Sovereign spread divergence owing to inflation and redenomination risk countered by unconventional monetary policy in the Eurozone. (2024). Kiss, Gábor Dávid ; Alipanah, Sabri. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s026499932300425x.

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2023Forecasting 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.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2023The commodity risk premium and neural networks. (2023). faff, robert ; Yew, Rand Kwong ; Rad, Hossein ; Miffre, Joelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001007.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Convenience 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.

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2023Endogenous thresholds in energy prices: Modeling and empirical estimation. (2023). Wright, Brian D ; Bobenrieth, Juan ; Guerra, Ernesto. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001676.

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2023Impacts 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.

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2023Risk spillovers across geopolitical risk and global financial markets. (2023). Wen, Baoyu ; Zheng, Jinlin ; Shen, Yue ; Wang, Xiaohan ; Jiang, Yaohui. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005492.

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2024Climate risk performance and returns integration of Chinese listed energy companies. (2024). Zhao, Wanli ; Li, Yan ; Zhang, Yunhan ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007703.

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2024A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Wang, Shouyang ; Sun, Yuying ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648.

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2024How does Shanghai crude oil futures affect top global oil companies: The role of multi-uncertainties. (2024). Guo, Kun ; Zhang, Dayong ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000628.

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2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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2024How do climate risks impact the contagion in Chinas energy market?. (2024). Lei, Lei ; Ma, Dandan ; Kang, Yuxin ; Guo, Kun. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001580.

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2023Peer 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.

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2023Information 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.

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2023Have 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.

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2023Semi-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.

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2024Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005033.

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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2023COVID-19 and commodity pricing premium: Evidence from the Chinese market. (2023). Chen, Haiqiang ; Hsieh, Pei-Lin ; Zhang, LU. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323002714.

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2023Quantile connectedness between cryptocurrency and commodity futures. (2023). Park, Sung Y. ; Joo, Young C. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008449.

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2023Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635.

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2024Do interbank markets price systemic risk?. (2024). Siebenbrunner, Christoph ; Sigmund, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000081.

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2023Wholesale price rigidities and exchange rate pass-through: Evidence from daily data of agricultural products. (2023). Trujillo-Barrera, Andres ; Nuñez, Hector ; Nuez, Hector M ; Otero, Jesus. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000574.

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2023Commodity return predictability: Evidence from implied variance, skewness, and their risk premia??. (2022). Haas, Jose Renato ; Finta, Marinela Adriana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000543.

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2023Discovering 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.

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2024Capital flow dynamics and the synchronization of financial cycles and business cycles in emerging market economies. (2024). Juhro, Solikin ; Narayan, Paresh Kumar ; Iyke, Bernard Njindan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000465.

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2023Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803.

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2023Exploiting 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.

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2024Panel data in environmental economics: Econometric issues and applications to IPAT models. (2024). Manner, Hans ; Deixelberger, Beate ; Eibinger, Tobias. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:125:y:2024:i:c:s0095069624000159.

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2023Public 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.

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2023Time-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.

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2023Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

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2023Does 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.

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2023Commodity 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.

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2023Microstructure 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.

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2023Commodity 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.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023The Fortune and crash of common risk factors in Chinese commodity markets. (2023). Zhao, Yuqian ; Liu, Zhenya. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000521.

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2023How are climate risk shocks connected to agricultural markets?. (2023). Zhang, Yunhan ; Li, Yichong ; Guo, Kun ; Zhao, Wanli ; Ji, Qiang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000570.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Cotter, John ; Conlon, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2023Examining 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.

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2023Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972.

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2023Heterogeneous exchange rate pass-through in Mexico: What drives it?. (2023). Solorzano, Diego. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:4:s2666143823000212.

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2023Dynamic 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.

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2023Skewness 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.

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2023Cloning 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.

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2023Dynamic 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.

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2024Bitcoin market reactions to large price swings of international stock markets. (2024). Zhang, Wei ; Shen, Dehua ; Jia, Boxiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:72-88.

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2024Commodities and Policy Uncertainty Channel(s). (2024). Filbeck, G ; Bosch, D ; Smimou, K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:351-379.

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2023.

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2024Quantifying sovereign risk in the euro area. (2024). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: IREA Working Papers. RePEc:ira:wpaper:202403.

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2023Penalized 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.

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2023Financial 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.

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2023A 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.

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2023From 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.

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2023The 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.

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2023Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141.

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2023Re-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.

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2024Impact of FinTech Growth on Bank Performance in GCC Region. (2024). Litimi, Houda ; Bensada, Ahmed ; Raheem, Mohamed Mahees. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:2:p:227-245.

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2023Testing 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.

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2023Energy 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.

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2023Grey 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.

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2023Does 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.

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

Works by Ana-Maria Fuertes:

YearTitleTypeCited
2004Unobserved Heterogeneity in Panel Time Series Models In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper143
2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 143		article
2012Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article28
2017Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices In: Journal of the Royal Statistical Society Series A.
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2016Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices.(2016) In: MPRA Paper.
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2019Preface to the papers on ‘Credit risk modelling’ In: Journal of the Royal Statistical Society Series A.
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2000Short-Run Real Exchange Rate Dynamics. In: Manchester School.
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2001A Non-linear Analysis of Excess Foreign Exchange Returns. In: Manchester School.
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2004Is the Feldstein–Horioka Puzzle History? In: Manchester School.
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2001Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics.
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2002A Principal Components Approach to Cross-Section Dependence in Panels In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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2000Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers.
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2006Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis.
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2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
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2006On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics.(2006) In: Computing in Economics and Finance 2006.
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2008Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis.
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2003Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control.
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2003Numerical issues in threshold autoregressive modeling of time series.(2003) In: Journal of Economic Dynamics and Control.
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2006Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control.
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2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
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2017In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis.
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2007Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting.
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2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
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2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
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2019A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance.
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2020Fear of hazards in commodity futures markets In: Journal of Banking & Finance.
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2020Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print.
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2020Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper.
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2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
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2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
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2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
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2018The skewness of commodity futures returns In: Journal of Banking & Finance.
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2018The skewness of commodity futures returns.(2018) In: Post-Print.
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2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
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2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
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2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
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2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
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2023A Bayesian Perspective on Commodity Style Integration.(2023) In: MPRA Paper.
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2001Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling.
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2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM.
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2009Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics.
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2000Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics.
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2004A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics.
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2003A New Interpretation of the Exchange Rate - Yield Differential Nexus.(2003) In: Computing in Economics and Finance 2003.
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2005A guided tour of TSMod 4.03 In: Journal of Applied Econometrics.
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2010How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research.
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2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
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2004The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2004A new interpretation of the real exchange rate - yield differential nexus In: Money Macro and Finance (MMF) Research Group Conference 2003.
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2004Market-wide shocks and anomalous price behaviour: evidence from closed-end funds In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
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2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
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2000A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000.
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2001Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001.
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2004Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004.
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2004Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004.
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2001Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics.
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2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
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2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
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2014A behavioral analysis of investor diversification In: The European Journal of Finance.
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2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
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2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
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