Ana-Maria Fuertes : Citation Profile

City St George's

21

H index

37

i10 index

1414

Citations

RESEARCH PRODUCTION:

59

Articles

29

Papers

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 54
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 33 (2.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfu3
   Updated: 2025-12-13    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

González-Fernández, Marcos (2)

Robles Fernandez, M. Dolores (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)

Afonso, Antonio (11)

Taylor, Mark (11)

Tosetti, Elisa (11)

cotter, john (10)

faff, robert (10)

Eyiah-Donkor, Emmanuel (10)

Snaith, Stuart (9)

Cites to:

Pesaran, Mohammad (44)

Coakley, Jerry (39)

Smith, Ronald (35)

Rogoff, Kenneth (28)

Sarno, Lucio (28)

Reinhart, Carmen (27)

Campbell, John (26)

Moon, Hyungsik (22)

Phillips, Peter (22)

Diebold, Francis (20)

Taylor, Mark (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
Manchester School5
International Journal of Forecasting5
Journal of Futures Markets4
Computational Statistics & Data Analysis4
International Review of Financial Analysis3
Journal of Economic Dynamics and Control3
International Journal of Finance & Economics3
Applied Financial Economics3
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 2001 / Society for Computational Economics3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Money Macro and Finance (MMF) Research Group Conference 2003 / Money Macro and Finance Research Group2
Computing in Economics and Finance 2004 / Society for Computational Economics2
Computing in Economics and Finance 2003 / Society for Computational Economics2

Recent works citing Ana-Maria Fuertes (2025 and 2024)

YearTitle of citing document
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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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2024Semi-strong Efficient Market of Bitcoin and Twitter: an Analysis of Semantic Vector Spaces of Extracted Keywords and Light Gradient Boosting Machine Models. (2024). Gacesa, Marko ; Wang, Fang. In: Papers. RePEc:arx:papers:2409.15988.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2024Are key audit matter disclosures useful in assessing the financial distress level of a client firm?. (2024). Wellmeyer, Patricia ; Muoz-Izquierdo, Nora ; Pincus, Morton ; 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). Xie, Yuxin ; Lu, Xiaomeng ; Tang, Ruohua ; Pantelous, Athanasios A. 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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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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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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

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2025A further examination of sovereign domestic and external debt defaults. (2025). Ghulam, Yaseen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400247x.

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2024Climate risk performance and returns integration of Chinese listed energy companies. (2024). Zhang, Yunhan ; Li, Yan ; Zhao, Wanli ; 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). Sun, Yuying ; Wang, Shouyang ; 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). Zhang, Dayong ; Ji, Qiang ; Guo, Kun. 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). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. 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). Kang, Yuxin ; Lei, Lei ; Guo, Kun ; Ma, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001580.

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2024Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918.

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2024Novel and old news sentiment in commodity futures markets. (2024). El-Jahel, Lina ; Chi, Yeguang ; Vu, Thanh. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x.

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2025Tail risk premium in the crude oil market. (2025). Li, Shenru. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001057.

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2025Hedging geopolitical risks with diverse commodities. (2025). Parnes, Dror. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002169.

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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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2024Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks. (2024). Zhang, Yunhan ; Chen, Yingtong ; Li, Yichong ; Ma, Yanran ; Guo, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004095.

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2024Commodity sectors and factor investment strategies. (2024). Sakemoto, Ryuta ; Nakagawa, Kei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004253.

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2024Spillover between investor sentiment and volatility: The role of social media. (2024). Indriawan, Ivan ; Fernandez-Perez, Adrian ; Yang, NI. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005751.

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2024Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

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

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2024The leverage ratio, risk-taking and bank stability. (2024). Lang, Jan Hannes ; Grill, Michael ; Acosta-Smith, Jonathan. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308920301364.

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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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2024Macro fundamentals and the resurgence of the Feldstein–Horioka puzzle in Europe. (2024). Martins, Antonio. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:93:y:2024:i:c:s1042443124000726.

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2024Forecasting crude oil market volatility: A comprehensive look at uncertainty variables. (2024). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1022-1041.

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

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2024What leads some countries to experience larger decreases in foreign flows during low-flow episodes? Evidence from international portfolio flows. (2024). Wang, Xichen ; Duan, Xiaomei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001529.

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2024Heterogeneity in exchange rate pass-through to import prices in Thailand: Evidence from micro data. (2024). Nookhwun, Nuwat ; Pattararangrong, Jettawat ; Manopimoke, Pym ; Apaitan, Tosapol. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001839.

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2024A bank-level analysis of interest rate pass-through in South Africa. (2024). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:82:y:2024:i:c:s0164070424000545.

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

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2024Oil jump tail risk as a driver of inflation dynamics. (2024). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Triantafyllou, Athanasios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000539.

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2024When Chinese mania meets global frenzy: Commodity price bubbles. (2024). Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000564.

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2024Food-fuel nexus beyond mean-variance: New evidence from a quantile approach. (2024). Etienne, Xiaoli ; Wang, Linjie ; Li, Jian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000606.

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2025Media emotion intensity and commodity futures pricing. (2025). Vu, Thanh ; El-Jahel, Lina ; Chi, Yeguang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851325000042.

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2025Commodity correlation risk. (2025). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000170.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2025Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers. (2025). Yuan, Xianghui ; Zhao, Chencheng ; Long, Jun ; Li, Xiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003378.

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2025Natural disaster shocks and commodity market volatility: A machine learning approach. (2025). Samitas, Aristeidis ; Mertzanis, Charilaos ; Kampouris, Ilias. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003706.

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2024Bitcoin market reactions to large price swings of international stock markets. (2024). Shen, Dehua ; Zhang, Wei ; 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). Smimou, K ; Filbeck, G ; Bosch, D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:351-379.

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2024Time-varying exchange rate pass-through over 2005–2021 using dynamic model averaging. (2024). Erden, Lutfi ; Colak, Yasemin ; Ozkan, Ibrahim. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005069.

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2025The clout of happiness and uncertainty in the environmental transition: Insights from CO2 and clean energy dynamic spillovers. (2025). Benmabrouk, Houda ; Abid, Ilyes ; Mansour, Abir ; Guesmi, Khaled. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004926.

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2025How does macroeconomic uncertainty influence energy futures?: Evidence from extraordinary events. (2025). Chen, Fengwen ; Yin, Libo ; Lu, Man. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000716.

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2024What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?. (2024). Zhang, Zhaowei ; Gao, Xiaohui ; Bakshi, Gurdip. In: Commodities. RePEc:gam:jcommo:v:3:y:2024:i:2:p:14-247:d:1403633.

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2024Does Crime Influence Investment in Renewable Energy Sources? Empirical Evidence from Italy. (2024). Scandurra, Giuseppe ; Thomas, Antonio ; Carfora, Alfonso. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:14:p:3393-:d:1432648.

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2024Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653.

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2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

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2024The Cost of Borrowing as a Limiting Factor of Non-Life Insurance Development: The Italian Case. (2024). Millo, Giovanni. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:189-:d:1530883.

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2025Commodity Risk and Forecastability of International Stock Returns: The Role of Oil Returns Skewness. (2025). Salisu, Afees ; GUPTA, RANGAN. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:3:p:49-:d:1606878.

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2025How Does Global Supply Chain Pressure Affect Oil Prices in Futures Markets?. (2025). Yu, Cong ; Wang, QI ; Wei, Yuchen ; Jiao, Dongdan. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:16:p:7241-:d:1721814.

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2025The Impact of Environmental Governance on Energy Transitions: Evidence from a Global Perspective. (2025). Ben-Salha, Ousama ; Bergougui, Brahim. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:19:p:8759-:d:1761252.

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2024Fiscal consolidation and its growth effects in euro area countries: Past, present and future outlook. (2024). Heimberger, Philipp. In: FMM Working Paper. RePEc:imk:fmmpap:109-2024.

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

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2025Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. (2025). Jiang, Kunliang ; Song, Jiashan ; Luo, Pengfei ; Wei, Siyao. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10621-5.

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2025Nonlinearity in exchange rate pass-through across BRICS: Role of business cycle and inflation. (2025). Parray, Waseem Ahmad ; Bhat, Sajad Ahmad. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:22:y:2025:i:1:d:10.1007_s10368-024-00635-7.

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2025Examination and predictions of risk tolerance levels and thresholds in sovereigns’ external debt defaults. (2025). Ghulam, Yaseen. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:22:y:2025:i:2:d:10.1007_s10368-025-00655-x.

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2024Core-satellite investing with commodity futures momentum. (2024). Stadtmuller, Immo ; Schuhmacher, Frank ; Auer, Benjamin R. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:3:d:10.1057_s41260-024-00352-5.

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2025Currency harmonisation in the Southern African Development Community: a pathway to addressing the PPP puzzle. (2025). Zonda, Joe Maganga ; Tarigan, Dinarti. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04496-6.

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2025The Dynamics of Wealth Inequality: Distributional Effects of Asset Prices in Europe. (2025). Walk, Marten. In: MPRA Paper. RePEc:pra:mprapa:126040.

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2024The lending implications of banks holding excess capital. (2024). Pillay, Neryvia ; Makrelov, Konstantin. In: Working Papers. RePEc:rbz:wpaper:11056.

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

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2024The International Capital Flows and Domestic Savings€“domestic Investment Nexus: A Comparative Evidence Between Heterogeneous Developing Regions. (2024). Pal, Shreya. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:13:y:2024:i:2:p:169-212.

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2024Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. (2024). Shahzad, Syed Jawad Hussain ; Krištoufek, Ladislav ; Bouri, Elie ; Ahmad, Tanveer. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04568-9.

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2024Does one size fit all in the Euro Area? Some counterfactual evidence. (2024). Gasteiger, Emanuel ; Fragetta, Matteo ; Destefanis, Sergio. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:4:d:10.1007_s00181-024-02597-w.

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2025The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w.

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2025Trading behavior-stock market volatility nexus among institutional and individual investors. (2025). Zolfaghari, Mehdi ; Saranj, Alireza. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00717-0.

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2024Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes. (2024). Zhang, Dingwen. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01343-3.

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2024Wagner’s law revisited: investigating the asymmetric relationship between national income and public expenditure in India. (2024). Abusaad, MD ; Ali, Nazim ; Asif, Mohammad ; Itoo, Haider Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:10:d:10.1007_s43546-024-00706-6.

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2024Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model. (2024). Khan, Ramzan Nazim ; Mohd, Muhammad Jaffri ; Nair, Gopalan ; Nur, Darfiana. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01472-7.

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2024Pass-through with volatile exchange rates and inflation targeting. (2024). Alexius, Annika ; Holmberg, Mikaela. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:160:y:2024:i:2:d:10.1007_s10290-023-00502-8.

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2024Modelling the composition of household portfolios: A latent class approach. (2024). Taylor, Karl ; Harris, Mark ; Brown, Sarah ; Alzuabi, Raslan. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:57:y:2024:i:1:p:243-275.

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2025Sovereign bonds risk‐based heterogeneity. (2025). Migiakis, Petros ; Georgoutsos, Dimitris A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2108-2129.

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2024Predictability of commodity futures returns with machine learning models. (2024). Zhang, Tianyang ; Wang, Shirui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:302-322.

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2024Commodity premia and risk management. (2024). Zhang, Tingxi ; Fan, John Hua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1097-1116.

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2024Trading commodity ETFs: Price behavior, investment insights, and performance analysis. (2024). Nippani, Srinivas ; Hadad, Elroi ; Malhotra, Davinder. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1257-1276.

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2025Cross‐Sectoral Crash Risk and Expected Commodity Futures Returns. (2025). Jiang, Ying ; Liu, Xiaoquan ; Lu, Zhenyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1636-1664.

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2025Optimal Versus Naive Diversification in Commodity Futures Markets. (2025). Schuhmacher, Frank ; Auer, Benjamin R ; Heide, Max. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22.

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2025Term Structure and Risk Premiums of Commodity Futures With Linear Regressions. (2025). Kim, Daejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:2:p:118-142.

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2025ChatGPT and Commodity Return. (2025). Zhang, Qunzi ; Wang, Yuanzhi ; Gao, Shen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:3:p:161-175.

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2025Commodity Futures Characteristics and Asset Pricing Models. (2025). Zhu, Jie ; Webb, Robert ; Cai, Jun ; Yiyi, Qin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:3:p:176-207.

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2025Commodity Price Crash Risk and Crash Risk Contagion. (2025). Jain, Prachi ; Maitra, Debasish. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:343-378.

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2024Why foreign agricultural investment fails? Five lessons from Ethiopia. (2024). Husain, Mustahid M ; Dejene, Melisew ; Cochrane, Logan. In: Journal of International Development. RePEc:wly:jintdv:v:36:y:2024:i:1:p:541-558.

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2025Impact of technological advancement and greener energy on sustainable agriculture in Asia: Evidence from selected Asian countries. (2025). Chopra, Ritika ; Rao, Amar ; Shahzad, Umer ; Sharma, Gagan Deep. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:1:p:221-237.

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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]		paper148
2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		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.
[Full Text][Citation analysis]		article19
2016Heads 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: 19		paper
2019Preface to the papers on ‘Credit risk modelling’ In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article0
2000Short‐run Real Exchange Rate Dynamics In: Manchester School.
[Full Text][Citation analysis]		article0
2000Short-Run Real Exchange Rate Dynamics. In: Manchester School.
[Full Text][Citation analysis]		article2
2001A Non-linear Analysis of Excess Foreign Exchange Returns. In: Manchester School.
[Full Text][Citation analysis]		article7
2001A Non‐Linear Analysis of Excess Foreign Exchange Returns In: Manchester School.
[Full Text][Citation analysis]		article5
2004Is the Feldstein–Horioka Puzzle History? In: Manchester School.
[Full Text][Citation analysis]		article77
2001Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article17
2002A 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]		paper68
2000Evaluating The Persistence And Structuralist Theories Of Unemployment In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2006Early warning systems for sovereign debt crises: The role of heterogeneity In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article44
2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article23
2006On 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
2008Sieve bootstrap t-tests on long-run average parameters In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2003Numerical issues in threshold autoregressive modeling of time series In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article25
2003Numerical 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: 25		article
2006Testing for sign and amplitude asymmetries using threshold autoregressions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
1997New panel unit root tests of PPP In: Economics Letters.
[Full Text][Citation analysis]		article68
2021The risk premia of energy futures In: Energy Economics.
[Full Text][Citation analysis]		article2
2021The Risk Premia of Energy Futures.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article14
2017In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article9
2021Bank credit risk events and peers equity value In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2021Bank Credit Risk Events and Peers’ Equity Value.(2021) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2007Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting.
[Full Text][Citation analysis]		article39
2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
[Full Text][Citation analysis]		article42
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article24
2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article6
2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
[Full Text][Citation analysis]		article20
2019A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2020Fear of hazards in commodity futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2020Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2020Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article36
2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article96
2018The skewness of commodity futures returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article72
2018The skewness of commodity futures returns.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article49
2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article63
2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article66
2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2016Hot money in bank credit flows to emerging markets during the banking globalization era In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article12
2016On 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]		article12
2018On the predictability of emerging market sovereign credit spreads In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article2
2019Uncovered equity “disparity” in emerging markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2023A Bayesian perspective on commodity style integration In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article0
2023A Bayesian Perspective on Commodity Style Integration.(2023) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2001Border costs and real exchange rate dynamics in Europe In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article6
2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM.
[Full Text][Citation analysis]		article2
2020Speculative Pressure In: Post-Print.
[Full Text][Citation analysis]		paper13
2020Speculative pressure.(2020) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2023The Negative Pricing of the May 2020 WTI Contract In: Post-Print.
[Full Text][Citation analysis]		paper6
2021The Negative Pricing of the May 2020 WTI Contract.(2021) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2023The Negative Pricing of the May 2020 WTI Contract.(2023) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2009Interest rate transmission in the UK: a comparative analysis across financial firms and products In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article15
2000Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article14
2004A new interpretation of the exchange rate-yield differential nexus In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0
2003A 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
2005A guided tour of TSMod 4.03 In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article4
2010How do UK Banks React to Changing Central Bank Rates? In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article15
2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article12
2004The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003.
[Full Text][Citation analysis]		paper8
2004A new interpretation of the real exchange rate - yield differential nexus In: Money Macro and Finance (MMF) Research Group Conference 2003.
[Full Text][Citation analysis]		paper0
2004Market-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]		paper0
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article7
2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
[Full Text][Citation analysis]		article14
2000A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS In: Computing in Economics and Finance 2000.
[Citation analysis]		paper0
2001Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach In: Computing in Economics and Finance 2001.
[Citation analysis]		paper0
2001Small sample properties of panel time-series estimators with I(1) errors In: Computing in Economics and Finance 2001.
[Citation analysis]		paper31
2001Bootstrap LR Tests for Sign and Amplitude Asymmetries In: Computing in Economics and Finance 2001.
[Citation analysis]		paper2
2002Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
2002Exchange Rate Overshooting and the Forward Premium Puzzle In: Computing in Economics and Finance 2002.
[Citation analysis]		paper1
2002An MTAR Test for Stock Market Bubbles In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
2003ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS In: Computing in Economics and Finance 2003.
[Citation analysis]		paper0
2004Forecasting sovereign default using panel models: A comparative analysis In: Computing in Economics and Finance 2004.
[Citation analysis]		paper1
2004Elements in the Design of an Early Warning System for Sovereign Default In: Computing in Economics and Finance 2004.
[Citation analysis]		paper2
2001Nonparametric cointegration analysis of real exchange rates In: Applied Financial Economics.
[Full Text][Citation analysis]		article22
2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
[Full Text][Citation analysis]		article10
2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
[Full Text][Citation analysis]		article7
2014A behavioral analysis of investor diversification In: The European Journal of Finance.
[Full Text][Citation analysis]		article13
2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
[Citation analysis]		article9
2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article34
2022Risk‐neutral skewness and commodity futures pricing In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team