Ana-Maria Fuertes : Citation Profile

Are you Ana-Maria Fuertes?

City University

20

H index

33

i10 index

1228

Citations

RESEARCH PRODUCTION:

55

Articles

26

Papers

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 49
   Journals where Ana-Maria Fuertes has often published
   Relations with other researchers
   Recent citing documents: 189.    Total self citations: 29 (2.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfu3
   Updated: 2023-08-19    RAS profile: 2022-12-06    
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Relations with other researchers

Works with:

Frijns, Bart (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 (23)

Eberhardt, Markus (21)

Kapetanios, George (15)

Holmes, Mark (12)

Afonso, Antonio (11)

Tosetti, Elisa (11)

Taylor, Mark (10)

Snaith, Stuart (9)

Coakley, Jerry (9)

Fantazzini, Dean (9)

Zaremba, Adam (9)

Cites to:

Pesaran, Mohammad (44)

Coakley, Jerry (38)

Smith, Ronald (35)

Reinhart, Carmen (27)

Rogoff, Kenneth (26)

Sarno, Lucio (26)

Campbell, John (25)

Moon, Hyungsik (21)

Phillips, Peter (21)

Diebold, Francis (20)

Shiller, Robert (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
Journal of Futures Markets4
Journal of Economic Dynamics and Control3
International Review of Financial Analysis3
Manchester School3
International Journal of Finance & Economics3
Journal of the Royal Statistical Society Series A2

Working Papers Series with more than one paper published# docs
Post-Print / HAL4
Computing in Economics and Finance 2001 / Society for Computational Economics3
Computing in Economics and Finance 2002 / Society for Computational Economics3
MPRA Paper / University Library of Munich, Germany3
Computing in Economics and Finance 2003 / Society for Computational Economics2
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

Recent works citing Ana-Maria Fuertes (2022 and 2021)

YearTitle of citing document
2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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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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2021Can large-scale R&I funding stimulate post-crisis recovery growth? Evidence for Finland during COVID-19. (2021). Makkonen, Teemu ; Mitze, Timo. In: Papers. RePEc:arx:papers:2112.11562.

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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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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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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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2021Public debt, sovereign spreads and the unpleasant arithmetic of fiscal consolidations. (2021). Minetti, Raoul ; Marattin, Luigi ; di Pietro, Marco. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:155-178.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2021Product?level estimates of exchange rate pass?through: Evidence from Turkey?. (2021). Tumen, Semih ; Demiroglu, Ufuk ; Akgunduz, Yusuf Emre ; Bastan, Emine Meltem. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:7:p:2203-2226.

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2021Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8921.

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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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2022Capital Mobility vs. Labor Mobility:Theory and Implications. (2022). Song, Garrison Hongyu. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-04-7.

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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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202150 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Muoz, Alejandro ; Camarero, Mariam ; Tamarit, Cecilio. In: Working Papers. RePEc:eec:wpaper:2102.

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2022Which are the long-run determinants of US outward FDI? Evidence using large long-memory panels. (2022). Tamarit, Salvador Cecilio ; Moliner, Silviano Sergi ; Camarero, Mariam. In: Working Papers. RePEc:eec:wpaper:2210.

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2022The rise and fall of global financial flows in EU 15: new evidence using dynamic panels with common correlated effects. (2022). Tamarit, Cecilio ; Camarero, Mariam ; Muoz, Silviano Alejandro. In: Working Papers. RePEc:eec:wpaper:2212.

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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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2022Busy auditors, financial reporting timeliness and quality. (2022). Singh, Abhijeet ; Islam, Ariful ; Sultana, Nigar. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:3:s0890838922000099.

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2021Financial advice and gender: Wealthy individual investors in the UK. (2021). Silvester, Joanne ; Marsh, Ian W ; Baeckstrom, Ylva. In: Journal of Corporate Finance. RePEc:eee:corfin:v:71:y:2021:i:c:s092911992100002x.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2022Heterogeneity in the long-run remittance-output relationship: Theory and new evidence. (2022). Keinsley, Andrew ; Ahmad, Nazneen ; Francois, John Nana ; Nti-Addae, Akwasi . In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000396.

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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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2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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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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2021Inferential theory for heterogeneity and cointegration in large panels. (2021). Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:474-503.

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2021State-level wage Phillips curves. (2021). Price, Simon ; Kapetanios, George ; Ventouri, Alexia ; Tasiou, Menelaos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:1-11.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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2022Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408.

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2022The dual shocks of the COVID-19 and the oil price collapse: A spark or a setback for the circular economy?. (2022). Sousa, Ricardo ; Selmi, Refk ; kasmaoui, kamal ; Errami, Youssef ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322000937.

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2022The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market. (2022). Zhang, Gongqiu ; Xu, Yahua ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200127x.

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2022What do we know about the idiosyncratic risk of clean energy equities?. (2022). Phani, B V ; Sadorsky, Perry ; Ahmad, Wasim ; Roy, Preeti. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003218.

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2022Twitter and market efficiency in energy markets: Evidence using LDA clustered topic extraction. (2022). Wang, Fang ; Polyzos, Efstathios. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004017.

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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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2021The alpha momentum effect in commodity markets. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szczygielski, Jan Jakub ; Zaremba, Adam. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301902.

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2021The skewness of oil price returns and equity premium predictability. (2021). Wen, Fenghua ; Kang, Jie ; Zhou, Huiting ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304096.

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2021Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS. (2021). Dhesi, Gurjeet ; Wang, Qunwei ; Xiao, Ling ; Dai, Xingyu. In: Energy Policy. RePEc:eee:enepol:v:156:y:2021:i:c:s0301421521002986.

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2021A novel asynchronous deep reinforcement learning model with adaptive early forecasting method and reward incentive mechanism for short-term load forecasting. (2021). Zhang, Shuai ; Yan, Jianyong ; Chen, Qian ; Xu, Jiyuan. In: Energy. RePEc:eee:energy:v:236:y:2021:i:c:s0360544221017400.

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2022Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression. (2022). Wang, Yudong ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:241:y:2022:i:c:s0360544221027663.

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2021Dividend or growth funds: What drives individual investors choices?. (2021). Liu, Pei ; Wu, Yanran ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001939.

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2022Impacts of sovereign risk premium on bank profitability: Evidence from euro area. (2022). Junttila, Juha ; Sang, Vo Cao. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000783.

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2022Market co-movement between credit default swap curves and option volatility surfaces. (2022). Shi, Yukun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001533.

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2022Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change. (2022). Zhang, Hongwei ; Huang, Jianbai ; Ding, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001831.

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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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2022The Effect of Investment Literacy on the Likelihood of Retail Investor Margin Trading and Having a Margin Call. (2022). Hanna, Sherman D ; Kim, Kyoung Tae. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002270.

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2022On the time-varying dynamics of stock and commodity momentum returns. (2022). Schuhmacher, Frank ; Auer, Benjamin R ; Stadtmuller, Immo. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s154461232100386x.

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2022Can skewness predict CNY-CNH spread?. (2022). Wu, You ; Han, Liyan ; Liu, Yiye. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003925.

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2022A closed-form mean–variance–skewness portfolio strategy. (2022). Chen, Jingnan ; Zhen, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001957.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2022Pandemic-induced fear and stock market returns: Evidence from China. (2022). Fang, Tong ; Liu, Peng ; Su, Zhi. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000429.

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2021On the information content of sovereign credit rating reports: Improving the predictability of rating transitions?. (2021). Lonarski, Igor ; Slapnik, Ursula. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000639.

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2021Emerging stock market exuberance and international short-term flows. (2021). Gözgör, Giray ; Gozgor, Giray ; Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001323.

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2022Commodity 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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2022Explaining cryptocurrency returns: A prospect theory perspective. (2022). Sung, Ming-Chien ; Tai, Chung-Ching ; Lepori, Gabriele M ; Chen, Rongxin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000804.

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2022Financial market resilience and financial development: A global perspective. (2022). Tang, Chun ; Liu, Xiaoxing ; Zhou, Donghai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001226.

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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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2022Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2022). Shang, Han Lin ; Kearney, Fearghal. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1025-1049.

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2021Investable commodity premia in China. (2021). Zhang, Tingxi ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000856.

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2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

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2022The illusion of oil return predictability: The choice of data matters!. (2022). cotter, john ; Eyiah-Donkor, Emmanuel ; Conlon, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s037842662100282x.

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2022Measuring commodity market quality. (2022). Prokopczuk, Marcel ; Lauter, Tobias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002382.

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2021European depositors’ behavior and crisis sentiment. (2021). Anastasiou, Dimitrios ; Drakos, Konstantinos. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:184:y:2021:i:c:p:117-136.

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2021The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x.

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2021Bank risks and lending outcomes: Evidence from QE. (2021). Girardone, Claudia ; Paltrinieri, Andrea ; Beltrame, Federico ; Sclip, Alex. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:118:y:2021:i:c:s0261560621001261.

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2022Debt is not free. (2022). Xiang, Yuan ; Gupta, Pranav ; Medas, Paulo ; Badia, Marialuz Moreno. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:127:y:2022:i:c:s0261560622000572.

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2022The “necessary evil” in Chinese commodity markets. (2022). Zhang, Tingxi ; Mo, DI ; Fan, John Hua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000209.

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2022Commodity market indicators of a 2023 Texas winter freeze. (2022). Ronn, Ehud I. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851322000277.

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2022The strategic allocation to style-integrated portfolios of commodity futures. (2022). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000174.

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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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2021Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. (2021). Czudaj, Robert ; van Hoang, Thi Hong ; Borgards, Oliver. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309946.

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2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

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2021The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels. (2021). Teplova, Tamara ; Gubareva, Mariya ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001781.

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2022Natural resources commodity prices volatility: Evidence from COVID-19 for the US economy. (2022). Zhou, Yang ; Wang, Xiaoxiao ; Dong, Rebecca Kechen ; Pu, Ruihui ; Yue, Xiao-Guang. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003403.

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2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model. (2021). Arian, Hamidreza ; Sharifi, Azin ; Sina, Seyed Mohammad. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:190:y:2021:i:c:p:1056-1079.

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2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement. (2022). Zamani, Shiva ; Tabatabaei, Ehsan ; Moghimi, Mehrdad ; Arian, Hamid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:202:y:2022:i:c:p:500-525.

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2021Determinants of non-compliant equity funds with EU portfolio concentration limits. (2021). Vicente, Luis ; Sarto, Jose Luis ; Loban, Lidia. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:62:y:2021:i:c:s1042444x21000311.

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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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2021Enhanced factor investing in the Korean stock market. (2021). Kim, Saejoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000652.

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2021EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. (2021). Chatziantoniou, Ioannis ; Gabauer, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:1-14.

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2022On the benefits of active stock selection strategies for diversified investors. (2022). Auer, Benjamin R ; Stadtmuller, Immo ; Schuhmacher, Frank. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:342-354.

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2022Doubts on natural rate of unemployment: Evidence and policy implications. (2022). Cheng, Ka Ming. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:230-239.

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2022Unlocking private investment as a new determinant of green finance for renewable development in China. (2022). Wang, Yanan ; Kasimov, Ikboljon ; Xu, Nuo. In: Renewable Energy. RePEc:eee:renene:v:198:y:2022:i:c:p:1121-1130.

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2021Commodity futures returns and policy uncertainty. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383.

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2022Traders’ motivation and hedging pressure in commodity futures markets. (2022). Smimou, K ; Bosch, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001501.

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2022THE REVIVAL OF THE FELDSTEIN-HORIOKA PUZZLE AND MODERATION OF CAPITAL FLOWS AFTER THE GLOBAL FINANCIAL CRISIS (2008/09). (2022). Lopes, Alexandra ; Ferreira-Lopes, Alexandra ; Duran, Hasan Engin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002014.

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2022Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis. (2022). Di, Qian ; Xu, Fangming ; Li, Lifang ; Tang, Shenfeng ; Jiang, Hai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000058.

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2022The evolution of debtor-creditor relationships within a monetary union: Trade imbalances, excess reserves and economic policy. (2022). Schutz, Bernhard ; Landesmann, Michael ; Kapeller, Jakob ; Heimberger, Philipp ; Grabner-Radkowitsch, Claudius. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:262-289.

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2022ICT and economic growth in Sub-Saharan Africa: Transmission channels and effects. (2022). Albaity, Mohamed ; Awad, Atif. In: Telecommunications Policy. RePEc:eee:telpol:v:46:y:2022:i:8:s0308596122000830.

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2021Long-Term Relationship Between Prices and Exchange Rates. (2021). , Zenonwisniewski ; Wisniewski, Zenon. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:1:p:63-86.

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2021Does Media Visibility Make EU Fiscal Rules More Effective?. (2021). Langedijk, Sven ; Mourre, Gilles ; Mohl, Philipp ; Hoogeland, Martijn. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:155.

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2021Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic. (2021). TERESIENE, DEIMANTE ; Guobuait, Renata. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:86-:d:564401.

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2022Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601.

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2021Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index. (2021). Moroke, Ntebogang ; Makatjane, Katleho. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:2:p:18-:d:523945.

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2021Sovereign Default Forecasting in the Era of the COVID-19 Crisis. (2021). Kristof, Tamas. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:494-:d:657397.

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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]		paper139
2006Unobserved heterogeneity in panel time series models.(2006) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 139		article
2012Credit Rating Migration Risk and Business Cycles In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article26
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]		article15
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 another version. Agregated cites: 15		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
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]		article75
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]		paper64
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]		article42
2007On sovereign credit migration: A study of alternative estimators and rating dynamics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article22
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 another version. Agregated cites: 22		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]		article23
2003Numerical issues in threshold autoregressive modeling of time series.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		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]		article67
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 another version. Agregated cites: 2		paper
2016Is idiosyncratic volatility priced in commodity futures markets? In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article11
2017In good times and in bad: Bank capital ratios and lending rates In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article6
2021Bank credit risk events and peers equity value In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2007Optimal design of early warning systems for sovereign debt crises In: International Journal of Forecasting.
[Full Text][Citation analysis]		article35
2009On forecasting daily stock volatility: The role of intraday information and market conditions In: International Journal of Forecasting.
[Full Text][Citation analysis]		article38
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article21
2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article4
2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching In: International Journal of Forecasting.
[Full Text][Citation analysis]		article14
2019A comprehensive appraisal of style-integration methods In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2020Fear of hazards in commodity futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2020Fear of Hazards in Commodity Futures Markets.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2020Fear of Hazards in Commodity Futures Markets.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2006Valuation ratios and price deviations from fundamentals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article33
2006Large market shocks and abnormal closed-end-fund price behaviour In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2010Tactical allocation in commodity futures markets: Combining momentum and term structure signals In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article75
2018The skewness of commodity futures returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article51
2018The skewness of commodity futures returns.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2005Purchasing power parity and the theory of general relativity: the first tests In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article48
2012Exchange rate pass-through into import prices revisited: What drives it? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article57
2015ECB policy and Eurozone fragility: Was De Grauwe right? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article59
2014ECB Policy and Eurozone Fragility: Was De Grauwe Right?.(2014) In: CEPS Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		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]		article11
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]		article8
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
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]		paper7
2020Speculative pressure.(2020) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		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]		article14
2000Is There a Base Currency Effect in Long-Run PPP? In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article12
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 another 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]		article14
2015Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article11
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: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2017Commodity Markets, Long-Run Predictability, and Intertemporal Pricing In: Review of Finance.
[Full Text][Citation analysis]		article8
2021The Negative Pricing of the May 2020 WTI Contract In: MPRA Paper.
[Full Text][Citation analysis]		paper0
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]		paper29
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]		article23
2002Asymmetric dynamics in UK real interest rates In: Applied Financial Economics.
[Full Text][Citation analysis]		article11
2009Momentum profits, nonnormality risks and the business cycle In: Applied Financial Economics.
[Full Text][Citation analysis]		article6
2014A behavioral analysis of investor diversification In: The European Journal of Finance.
[Full Text][Citation analysis]		article9
2013Strategic and Tactical Roles of Enhanced Commodity Indices In: Journal of Futures Markets.
[Citation analysis]		article8
2015Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article26
2022Risk?neutral skewness and commodity futures pricing In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0

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