44
H index
78
i10 index
8804
Citations
Lucio Sarno : Citation Profile
University of Cambridge (99% share) | RESEARCH PRODUCTION: 101 Articles 103 Papers 1 Books 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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28 years (1997 - 2025). Relations with other researchers
Main data
Where Lucio Sarno has published?
Recent works citing Lucio Sarno (2026 and 2025)
| Year | Title of citing document | |
|---|---|---|
| 2025 | Analyzing the impact of macroeconomic variables on agricultural derivatives performance in the SAFEX market. (2025). Mudau, Tanganedzani ; Mokatsanyane, Daniel. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:7:y:2025:i:1:p:16-29. Full description at Econpapers || Download paper | |
| 2024 | Arbitraging Covered Interest Rate Parity Deviations and Bank Lending. (2024). Keller, Lorena. In: American Economic Review. RePEc:aea:aecrev:v:114:y:2024:i:9:p:2633-67. Full description at Econpapers || Download paper | |
| 2025 | The Decline of Too Big to Fail. (2025). Duffie, Darrell ; Zhu, Yichao ; Berndt, Antje. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:945-74. Full description at Econpapers || Download paper | |
| 2026 | Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738. Full description at Econpapers || Download paper | |
| 2024 | What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244. Full description at Econpapers || Download paper | |
| 2025 | Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies. (2025). Chen, Heming. In: Papers. RePEc:arx:papers:2501.12841. Full description at Econpapers || Download paper | |
| 2025 | Kalman Filter in the Problem of the Exchange and the Inflation Rates Adequacy To Determining Factors. (2025). Kozyrski, W H ; Gonchar, N S ; Dovzhyk, O P ; Zhokhin, A S. In: Papers. RePEc:arx:papers:2503.10117. Full description at Econpapers || Download paper | |
| 2025 | Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks. (2025). Wang, Victor Xiaoqi. In: Papers. RePEc:arx:papers:2503.16974. Full description at Econpapers || Download paper | |
| 2025 | Export proceeds repatriation policies: A shield against exchange rate volatility in emerging markets?. (2025). Uli, Sondang Marsinta ; Djuranovik, Leslie ; Gitaharie, Beta Yulianita ; Ekananda, Mahjus. In: Papers. RePEc:arx:papers:2506.09168. Full description at Econpapers || Download paper | |
| 2025 | 100-Day Analysis of USD/IDR Exchange Rate Dynamics Around the 2025 U.S. Presidential Inauguration. (2025). , Sandy ; Kaban, Siti N ; Nugraha, Cahya. In: Papers. RePEc:arx:papers:2506.18738. Full description at Econpapers || Download paper | |
| 2025 | A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408. Full description at Econpapers || Download paper | |
| 2025 | FX-constrained growth: Fundamentalists, chartists and the dynamic trade-multiplier. (2025). Sordi, Serena ; Davila-Fernandez, Marwil J. In: Papers. RePEc:arx:papers:2508.02252. Full description at Econpapers || Download paper | |
| 2025 | Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14784. Full description at Econpapers || Download paper | |
| 2025 | Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578. Full description at Econpapers || Download paper | |
| 2025 | Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets. (2025). Lee, Ting-Jung ; Rachev, Svetlozar T ; Lindquist, Brent W ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2512.10823. Full description at Econpapers || Download paper | |
| 2025 | FedSight AI: Multi-Agent System Architecture for Federal Funds Target Rate Prediction. (2025). Ye, David ; Viton, Adler ; Paul, Aditya ; Kodi, Abhishek ; Hou, Yuhan ; Feng, Yikai ; Zhang, Xiyue ; Rao, Tianji ; Dulam, Sanjana ; Tan, Jeremy. In: Papers. RePEc:arx:papers:2512.15728. Full description at Econpapers || Download paper | |
| 2025 | When Low Rates Speak Loud: exchange rate dynamics under different interest rate regimes. (2025). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jos Valentim. In: Working Papers Series. RePEc:bcb:wpaper:630. Full description at Econpapers || Download paper | |
| 2025 | Effects of Exchange Rate, Inflation, and Interest Rates on Tea Exports in Kenya. (2025). Collins, Mutai. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:i:10:p:3454-3483. Full description at Econpapers || Download paper | |
| 2025 | Impulse Response to Exchange Rate, Exports and Imports Shocks in Kenya 1990-2023. (2025). Wainaina, Martin Chege. In: International Journal of Economics. RePEc:bdu:ijecon:v:10:y:2025:i:1:p:39-67:id:3150. Full description at Econpapers || Download paper | |
| 2025 | The transformation of the life insurance industry: systemic risks and policy challenges. (2025). Gelos, Gaston ; Packer, Frank ; Garavito, Fabian ; Sushko, Vladyslav ; Todorov, Karamfil ; Aquilina, Matteo ; Pinter, Gabor ; Lewrick, Ulf. In: BIS Papers. RePEc:bis:bisbps:161. Full description at Econpapers || Download paper | |
| 2024 | Covered interest parity: a forecasting approach to estimate the neutral band. (2024). Hernandez, Juan. In: BIS Working Papers. RePEc:bis:biswps:1206. Full description at Econpapers || Download paper | |
| 2025 | Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320. Full description at Econpapers || Download paper | |
| 2024 | 30 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007. Full description at Econpapers || Download paper | |
| 2025 | Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606. Full description at Econpapers || Download paper | |
| 2025 | The Perks and Perils of Machine Learning in Business and Economic Research. (2025). Hornuf, Lars ; Dudda, Tom L. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11721. Full description at Econpapers || Download paper | |
| 2025 | An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852. Full description at Econpapers || Download paper | |
| 2025 | Persistence and Nonlinearities in the US Federal Funds Rate. (2025). Caporale, Guglielmo Maria ; Gil-Alana, Luis Alberiko. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11913. Full description at Econpapers || Download paper | |
| 2024 | UIP Deviations: Insights from Event Studies. (2024). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1007. Full description at Econpapers || Download paper | |
| 2025 | Policy Mix in An Oil Exporting Country: Effectiveness of Countercyclical Measures in Mitigating External Shocks. (2025). Diaf, Sami ; Zakane, Ahmed. In: Dynare Working Papers. RePEc:cpm:dynare:083. Full description at Econpapers || Download paper | |
| 2025 | Nominal Exchange Rate Dynamics for the Taka. (2025). Fullerton, Thomas ; Walke, Adam G ; Barai, Dipanwita. In: Journal of Social and Administrative Sciences. RePEc:cvv:journ4:v:12:y:2025:i:3:p:64-86. Full description at Econpapers || Download paper | |
| 2025 | The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Trombetta, Martin ; Tastan, Huseyin ; Szczygielski, Krzysztof ; Spantig, Lisa ; Smith, Brock ; Salamanca, Nicolas ; Samudra, Aparna ; Sariyev, Orkhan ; Samahita, Margaret ; Roy, Jayjit ; Ricks, Michael ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; Petroulakis, Filippos ; Paudel, Jayash ; Meinzen-Dick, Laura ; Marino Fages, Diego ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Jakobsson, Niklas ; Huntington-Klein, Nick ; Holzmeister, Felix ; Hernæs, Øystein ; Henningsen, Arne ; Henderson, Daniel ; Harris, Mark ; Girardi, Daniele ; Gay, Victor ; Gauriot, Romain ; Gallegos, Sebastian ; Gamino, Aaron ; Gazeaud, Jules ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; Duquette, Nicolas ; de Gendre, Alexandra ; Deer, Lachlan ; Crawfurd, Lee ; Collins, Matthew ; Buisson, Florent ; Brehm, Margaret ; Brun, Martín ; Bloem, Jeffrey ; Bhattacharya, Shreya ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Bennett, Christopher ; Berniell, Inés ; Avdeev, Stanislav ; Andresen, Martin ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Weinberg, Stephen E ; Bansal, Avijit ; Segel, Joel E ; Hill, Andrew ; Herman, Clment ; Ahmad, Imtiaz ; Sorensen, Lucy ; Dorsey-Palmateer, Reid ; bech -Wysocka, Katarzyna ; Fiala, Nathan ; Nmadu, Job ; Bacher-Hicks, Andrew ; Prtner, Claus C ; Chen, Weiwei ; Bandara, Imesh Nuwan ; Najam, Rafiuddin ; Woahid, S M ; Kameshwara, Kalyan Kumar ; Zahid, Muhammad Umer ; Lang, David ; Huysmans, Martijn ; Pua, Andrew Adrian ; Kronenberg, Christoph ; McCarthy, Ian M ; Zanoli, Raffaele ; Riosavila, Fernando ; Henry, Junita ; Vernet, Antoine ; Bartram, David ; Bjoerkheim, Markus ; Arenas, Andreu ; Pitknen, Visa ; Tatan, Hseyin ; Burli, Pralhad H ; Galrraga, Julio ; Smet, Mike ; Clement, Jeffrey ; Farquharson, Christine ; Schaak, Henning ; French, Evaewero ; Roeckert, Julian ; Rodriguez, Abel ; Westheide, Christian ; Sievertsen, Hans Henrik ; Agasa, Lameck Ondieki ; Aslim, Erkmen Giray ; Tagat, Anirudh ; Peukert, Christian ; Sanogo, Vassiki ; Gilpin, Gregory ; Gayaker, Savas ; Merkus, Erik ; Kaire, Jos ; Ligey, Maxime ; Jain, Anil ; Karney, Daniel ; Wang, Yue ; Prakash, Manab ; Klotzbcher, Valentin ; Falken, Grace ; Imtiaz, Saad M ; Weber, Ellerie ; Antn, Jos-Ignacio ; Adamkovic, Matus ; Berha, Andu ; Reimao, Maira ; Baker, Bradley ; Waters, Tom ; Ozer, Gorkem Turgut ; Weissmller, Kristina S ; Lee, Ryan ; Naumann, Elias ; Adema, Joop ; Fradkin, Andrey ; Herns, Ystein ; Ropovik, Ivan ; Venkatesan, Madhavi ; Wagner, Gary A ; Miller, Klaus M ; Cerutti, Nicola ; Heller, Blake H ; Volkov, Eden ; Cullinan, John ; Camp, Andrew M ; Goldhaber, Dan ; Feyman, Yevgeniy ; Mogge, Lukas. In: HEC Research Papers Series. RePEc:ebg:heccah:1551. Full description at Econpapers || Download paper | |
| 2025 | The responsiveness of the income balance to the exchange rate. (2025). Behar, Alberto ; Hassan, Ramin. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00231. Full description at Econpapers || Download paper | |
| 2025 | Investment funds and euro disaster risk. (2025). Kaufmann, Christoph ; Georgiadis, Georgios ; Longaric, Pablo Anaya ; Cera, Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20253029. Full description at Econpapers || Download paper | |
| 2026 | Dual reinforcement learning synergy in resource allocation: Emergence of momentum strategy. (2026). Zhang, Zhen-Na ; Deng, Sheng-Feng ; Chen, LI ; Zheng, Guo-Zhong ; Cai, Chao-Ran ; Li, Bin-Quan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:202:y:2026:i:p1:s0960077925014547. Full description at Econpapers || Download paper | |
| 2025 | Regime-specific exchange rate predictability. (2025). Beckmann, Joscha ; Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000612. Full description at Econpapers || Download paper | |
| 2025 | Optimal N-state endogenous Markov-switching model for currency liquidity timing. (2025). Wang, Luqi ; Urga, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001034. Full description at Econpapers || Download paper | |
| 2025 | Stock prices and monetary policy: Analysis of a Bayesian DSGE model. (2025). Ida, Daisuke ; Hoshino, Satoshi. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000707. Full description at Econpapers || Download paper | |
| 2025 | Covered interest parity: A forecasting approach to estimate the neutral band. (2025). Hernandez, Juan ; Hernndez, Juan R. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000719. Full description at Econpapers || Download paper | |
| 2025 | Global financial risk and uncovered interest parity premia in Central and Eastern Europe. (2025). Janus, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000732. Full description at Econpapers || Download paper | |
| 2025 | Should economic theories guide the machine learning model in forecasting exchange rate?. (2025). Liu, Tao ; Vincent, Kendro ; Lin, Chien-Hsiu. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002196. Full description at Econpapers || Download paper | |
| 2025 | Liquidity returns, global risk, and exchange rates: An explanation based on scapegoat theory. (2025). Park, Cheolbeom. In: Economic Modelling. RePEc:eee:ecmode:v:153:y:2025:i:c:s0264999325003426. Full description at Econpapers || Download paper | |
| 2025 | A 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. Full description at Econpapers || Download paper | |
| 2025 | Foreign exchange intervention: A comparative analysis of announcements versus trades. (2025). Villamizar-Villegas, mauricio ; Pinzon-Puerto, Freddy. In: European Economic Review. RePEc:eee:eecrev:v:178:y:2025:i:c:s0014292125001692. Full description at Econpapers || Download paper | |
| 2025 | Unveiling the drivers of portfolio equity and bond investment in the European Union: The interplay of tax havens and gravity factors. (2025). Tamarit, Cecilio ; Camarero, Mariam ; Muoz, Alejandro. In: European Economic Review. RePEc:eee:eecrev:v:179:y:2025:i:c:s0014292125001801. Full description at Econpapers || Download paper | |
| 2025 | The role of diagnostic ability in markets for expert services. (2025). Schwarz, Marco ; Liu, Fang ; Waibel, Christian ; Rasch, Alexander. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s001429212500176x. Full description at Econpapers || Download paper | |
| 2024 | Are FX communications effective? Evidence from emerging markets. (2024). Sanchez-Jabba, Andres ; Parra-Polanía, Julián ; Sarmiento, Miguel ; Parra-Polania, Julian. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000961. Full description at Econpapers || Download paper | |
| 2024 | Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426. Full description at Econpapers || Download paper | |
| 2025 | Foreign exchange intervention and capital flow measures under external tail risks. (2025). Pienknagura, Samuel ; Magud, Nicolas. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001407. Full description at Econpapers || Download paper | |
| 2025 | On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance. (2025). Taylor, Mark ; HSU, Po-Hsuan ; Wang, Zigan ; Li, Yan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000623. Full description at Econpapers || Download paper | |
| 2025 | Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?. (2025). Phylaktis, Kate ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000635. Full description at Econpapers || Download paper | |
| 2025 | Geopolitical risk and extreme spillovers among oil-based energy commodities. (2025). Pastorek, Daniel ; Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: Energy Economics. RePEc:eee:eneeco:v:152:y:2025:i:c:s0140988325008072. Full description at Econpapers || Download paper | |
| 2025 | Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability. (2025). Afshan, Sahar ; Sharif, Arshian ; Shams, Syed ; Sarker, Tapan ; Razi, Ummara. In: Energy. RePEc:eee:energy:v:331:y:2025:i:c:s0360544225025903. Full description at Econpapers || Download paper | |
| 2025 | The informational role of forex option volume. (2025). Wang, Muhan ; Stan, Raluca ; Papakroni, Erlina ; Gu, Chen ; Chen, Denghui ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000651. Full description at Econpapers || Download paper | |
| 2025 | Through the looking glass: Unveiling geopolitical risks and sovereign bond spillovers in the eurozone. (2025). Jiang, Yong ; Dai, Jia-Hang ; Ren, Yi-Shuai ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002777. Full description at Econpapers || Download paper | |
| 2024 | Volatility connectedness on the central European forex markets. (2024). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400111x. Full description at Econpapers || Download paper | |
| 2024 | Exchange rate stability and expectation management under heterogeneous expectations. (2024). Li, Xiaoping ; Shi, Wenming ; Wang, Nan ; Duan, Jihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003855. Full description at Econpapers || Download paper | |
| 2025 | EPU spillovers and exchange rate volatility. (2025). He, Zhongzhi ; Gong, Yuting ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567. Full description at Econpapers || Download paper | |
| 2025 | Conditional currency momentum portfolios. (2025). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000511. Full description at Econpapers || Download paper | |
| 2025 | Forecasting the daily exchange rate of the UK pound sterling against the US dollar. (2025). Darvas, Zsolt ; Schepp, Zoltn. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014806. Full description at Econpapers || Download paper | |
| 2025 | Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets. (2025). Muck, Matthias ; Schmidl, Thomas ; Wolf, Julian. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401537x. Full description at Econpapers || Download paper | |
| 2025 | Political stability as a risk factor in global markets. (2025). Jeutang, Noel Pavel ; Kesse, Kwabena ; Payne, Brian C. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016878. Full description at Econpapers || Download paper | |
| 2025 | Can switching between predictive models and the historical average improve bond return predictability?. (2025). Xing, Bingxin Ann ; Wan, Runqing. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001394. Full description at Econpapers || Download paper | |
| 2025 | A profitable currency portfolio strategy: Learning from connectedness. (2025). Zhang, Qingyi ; Liu, Ruiqi ; Hong, Ziyi ; Cai, Feifei ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002168. Full description at Econpapers || Download paper | |
| 2025 | Stochastic ESG scores and nonpecuniary ESG preferences: An extension to CAPM. (2025). Sakemoto, Ryuta ; Nakagawa, Kei ; Morita, Keisuke. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004428. Full description at Econpapers || Download paper | |
| 2025 | Uncovering nonlinear dependencies in the Treasury-funds rate spread: Quantile-based explanation. (2025). Meng, Fanyu. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004799. Full description at Econpapers || Download paper | |
| 2025 | Making waves in a calm sea: The dual role of uncertainty and reserve adequacy in FX interventions. (2025). Ramachandran, M ; George, Keerthana Sunny. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325022019. Full description at Econpapers || Download paper | |
| 2025 | A unified factor model for emerging market currency comovements. (2025). Ling, Yufan. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325022135. Full description at Econpapers || Download paper | |
| 2024 | Stabilizing the financial markets through communication and informed trading. (2024). Wang, Gaowang ; Huang, Shaoan ; Guo, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000156. Full description at Econpapers || Download paper | |
| 2025 | Auction-based tests of inventory control and private information in a centralized interdealer FX market. (2025). Villamizar-Villegas, mauricio ; Bonaldi, Jean. In: Journal of Financial Markets. RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000217. Full description at Econpapers || Download paper | |
| 2024 | The effectiveness of FX interventions: A meta-analysis. (2024). Villamizar-Villegas, mauricio ; Rodríguez-Novoa, Daniela ; Menkhoff, Lukas ; Arango-Lozano, Lucia ; Rodriguez-Novoa, Daniela. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308920300930. Full description at Econpapers || Download paper | |
| 2025 | Toward open science in marketing research. (2025). Mizik, Natalie ; Sarstedt, Marko ; Datta, Hannes ; Adler, Susanne J ; Deer, Lachlan. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:42:y:2025:i:1:p:212-233. Full description at Econpapers || Download paper | |
| 2024 | UIP deviations: Insights from event studies. (2024). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias. In: Journal of International Economics. RePEc:eee:inecon:v:148:y:2024:i:c:s0022199624000011. Full description at Econpapers || Download paper | |
| 2025 | Measuring the contemporal and lead connectedness level between investor sentiment and exchange rate dynamics in Vietnam: Novel findings from TVP-VAR-SV technique. (2025). Ha, Le Thanh. In: International Economics. RePEc:eee:inteco:v:181:y:2025:i:c:s2110701725000010. Full description at Econpapers || Download paper | |
| 2025 | News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368. Full description at Econpapers || Download paper | |
| 2025 | An intertemporal international asset pricing model: Theory and evidence. (2025). Jacoby, Gady ; Liao, Rose C ; Wang, Yan ; Wu, Zhenyu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000526. Full description at Econpapers || Download paper | |
| 2025 | The role of US bank liquidity and regulations in Covered Interest Parity deviations. (2025). Winkelried, Diego ; Terrones, Marco ; Ortiz, Marco ; Bazn-Palomino, Walter. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000630. Full description at Econpapers || Download paper | |
| 2025 | The effects of structural reforms on gross capital inflows in OECD countries. (2025). Tagkalakis, Athanasios ; Mavrogiannis, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:104:y:2025:i:c:s1042443125001118. Full description at Econpapers || Download paper | |
| 2025 | Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525. Full description at Econpapers || Download paper | |
| 2025 | Fundamental determinants of exchange rate expectations. (2025). Czudaj, Robert ; Beckmann, Joscha. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1003-1021. Full description at Econpapers || Download paper | |
| 2025 | Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310. Full description at Econpapers || Download paper | |
| 2025 | Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462. Full description at Econpapers || Download paper | |
| 2025 | Fear propagation and return dynamics. (2025). Wang, Kai ; Sun, Yulong ; Zhou, Zhiping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000305. Full description at Econpapers || Download paper | |
| 2025 | Global foreign exchange volatility, ambiguity, and currency carry trades. (2025). Sakemoto, Ryuta ; Asano, Takao ; Cai, Xiaojing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001281. Full description at Econpapers || Download paper | |
| 2025 | Media tone is a priced risk factor in currency markets. (2025). Pukthuanthong, Kuntara ; Heimonen, Kari ; Lehkonen, Heikki. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001621. Full description at Econpapers || Download paper | |
| 2025 | All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns. (2025). Wiedemann, Timo ; Beckmeyer, Heiner. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001852. Full description at Econpapers || Download paper | |
| 2026 | Psychological anchoring effect and cross section of cryptocurrency returns. (2026). Yan, Shu ; Jia, yuecheng ; Zhao, Jiangyu ; Zhang, Hongyu ; Simkins, Betty. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:182:y:2026:i:c:s0378426625002122. Full description at Econpapers || Download paper | |
| 2025 | The cross section of stock returns in an artificial stock market. (2025). van Cappelle, Tjeerd ; Pokidin, Dmytro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:239:y:2025:i:c:s0167268125003774. Full description at Econpapers || Download paper | |
| 2025 | Constrained liquidity provision in currency markets. (2025). Schrimpf, Andreas ; Ranaldo, Angelo ; Somogyi, Fabricius ; Huang, Wenqian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000364. Full description at Econpapers || Download paper | |
| 2025 | Pension fund flows, exchange rates, and covered interest rate parity. (2025). Sialm, Clemens ; Aldunate, Felipe ; Da, Zhi ; Larrain, Borja. In: Journal of Financial Economics. RePEc:eee:jfinec:v:170:y:2025:i:c:s0304405x25000832. Full description at Econpapers || Download paper | |
| 2025 | Pricing and constructing international government bond portfolios. (2025). Randl, Otto ; Zechner, Josef ; Simion, Giorgia. In: Journal of Financial Economics. RePEc:eee:jfinec:v:173:y:2025:i:c:s0304405x25001606. Full description at Econpapers || Download paper | |
| 2025 | Lending relationships and access to currency hedging: Evidence from Brazil. (2025). Araujo, Gustavo ; Schiozer, Rafael ; Oliveira, Raquel F ; Leao, Sergio. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:63:y:2025:i:c:s104295732500021x. Full description at Econpapers || Download paper | |
| 2024 | Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention. (2024). Naef, Alain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001165. Full description at Econpapers || Download paper | |
| 2024 | Do FX interventions lead to higher FX debt? Evidence from firm-level data. (2024). Mano, Rui ; Kim, Minsuk ; Mrkaic, Mico. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001475. Full description at Econpapers || Download paper | |
| 2025 | Geopolitical risk and U.S. foreign portfolio investment: A tale of advanced and emerging markets. (2025). Choi, Sangyup ; Havel, Jiri. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:151:y:2025:i:c:s0261560624002407. Full description at Econpapers || Download paper | |
| 2025 | Stablecoin price dynamics under a peg-stabilising mechanism. (2025). Lo, Chi-Fai ; Wong, Andrew ; Hui, Cho-Hoi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:152:y:2025:i:c:s0261560625000154. Full description at Econpapers || Download paper | |
| 2025 | The development of local currency bond markets and uncovered interest rate parity. (2025). Park, Cyn-Young ; Shin, Kwanho. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000452. Full description at Econpapers || Download paper | |
| 2025 | The role of hedge funds in the Swiss franc foreign exchange market. (2025). Gentner, Jessica. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000464. Full description at Econpapers || Download paper | |
| 2025 | Signal in the noise: Trump tweets and the currency market. (2025). Filippou, Ilias ; Gozluklu, Arie E ; Nguyen, My T ; Viswanath-Natraj, Ganesh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:156:y:2025:i:c:s0261560625000786. Full description at Econpapers || Download paper | |
| 2025 | The trend effect of foreign exchange intervention. (2025). Yamamoto, Yohei ; Fatum, Rasmus ; Chen, Binwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:156:y:2025:i:c:s0261560625000907. Full description at Econpapers || Download paper | |
| 2025 | Global and local drivers of Bitcoin trading vis-à-vis fiat currencies. (2025). di Casola, Paola ; Habib, Maurizio Michael ; Tercero-Lucas, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:158:y:2025:i:c:s0261560625001408. Full description at Econpapers || Download paper | |
| 2026 | The lasting effect of yen-buying interventions: Two cases of Japanese FX interventions in 1997–98 and 2022. (2026). Esaka, Taro ; Fujii, Takao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625001809. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Lucio Sarno has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Lucio Sarno:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 142 |
| 2017 | When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
| 2015 | When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
| 2019 | When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2019) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | article | |
| 2001 | Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 659 |
| 2001 | Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 659 | paper | |
| 2026 | A general randomized test for Alpha In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | A General Randomized Test for Alpha.(2025) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Risky bank guarantees In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 9 |
| 2019 | Risky Bank Guarantees.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2020 | Risky bank guarantees.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2023 | Currency risk premiums redux? In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 8 |
| 2024 | Currency Risk Premiums Redux.(2024) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2014 | The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 86 |
| 2012 | The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2013 | The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2012 | The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2015 | The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | article | |
| 2011 | The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers. [Full Text][Citation analysis] | paper | 65 |
| 2010 | The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2012 | The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
| 2011 | Currency Momentum Strategies In: BIS Working Papers. [Full Text][Citation analysis] | paper | 239 |
| 2012 | Currency Momentum Strategies.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 239 | paper | |
| 2012 | Currency momentum strategies.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 239 | article | |
| 2012 | Currency Momentum Strategies.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 239 | paper | |
| 2013 | Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers. [Full Text][Citation analysis] | paper | 75 |
| 2016 | Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
| 2001 | Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica. [Full Text][Citation analysis] | article | 4 |
| 2000 | Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2004 | Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 6 |
| 2012 | Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 434 |
| 2011 | Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 434 | paper | |
| 2024 | Nonstandard Errors In: Journal of Finance. [Full Text][Citation analysis] | article | 32 |
| 2024 | Nonstandard errors.(2024) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2024 | Nonstandard Errors.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 1998 | Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies. [Citation analysis] | article | 27 |
| 1999 | European Capital Flows and Regional Risk In: Manchester School. [Full Text][Citation analysis] | article | 9 |
| 2002 | Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 8 |
| 2007 | Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2002 | Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1997 | Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison In: Scottish Journal of Political Economy. [Full Text][Citation analysis] | article | 1 |
| 2005 | Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003.(2006) In: Contributions to Economic Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2005 | Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper. [Full Text][Citation analysis] | paper | 217 |
| 2008 | Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 217 | paper | |
| 2008 | Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 217 | article | |
| 2006 | Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 217 | paper | |
| 2007 | Exchange rate forecasting, order flow and macroeconomic information In: Working Paper. [Full Text][Citation analysis] | paper | 156 |
| 2009 | Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
| 2010 | Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | article | |
| 2008 | Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper. [Full Text][Citation analysis] | paper | 34 |
| 2009 | Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2015 | What do stock markets tell us about exchange rates? In: Bank of England working papers. [Full Text][Citation analysis] | paper | 56 |
| 2015 | What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
| 2016 | What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | article | |
| 2004 | Monetary policy and learning in an open economy In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2001 | Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 39 |
| 2005 | Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 161 |
| 2005 | Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | article | |
| 2016 | Currency Premia and Global Imbalances In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 91 |
| 2016 | Currency Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Currency Value.(2017) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2019 | Business Cycles and Currency Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
| 2020 | Business cycles and currency returns.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
| 2019 | Business Cycles and Currency Returns.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 1997 | The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 466 |
| 1998 | The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 466 | article | |
| 1999 | The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2001 | Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 767 |
| 2001 | Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review. [Citation analysis] This paper has nother version. Agregated cites: 767 | article | |
| 2001 | Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 303 |
| 2002 | Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 303 | article | |
| 2002 | The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 92 |
| 2003 | The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 92 | article | |
| 2002 | The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 92 | paper | |
| 2002 | Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2003 | Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2002 | The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 181 |
| 2003 | The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 181 | article | |
| 2001 | The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 181 | paper | |
| 2002 | Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 200 |
| 2004 | Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 200 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 65 |
| 2004 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003. [Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2003 | Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 121 |
| 2004 | Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 121 | article | |
| 2004 | Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 96 |
| 2005 | Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | article | |
| 2004 | Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Federal Funds Rate Prediction In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 29 |
| 2003 | Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2004 | Federal funds rate prediction.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2005 | Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2004 | Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2007 | CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2007 | Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2006 | Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2005 | The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 67 |
| 2006 | The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | article | |
| 2005 | A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2007 | A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2005 | The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 81 |
| 2007 | The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
| 2005 | The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | paper | |
| 2006 | Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 125 |
| 2006 | Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 125 | paper | |
| 2006 | Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 125 | article | |
| 2007 | The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 60 |
| 2008 | The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | article | |
| 2007 | The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
| 2007 | An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 167 |
| 2009 | An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 167 | article | |
| 2008 | Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 142 |
| 2009 | Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | article | |
| 2009 | Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 117 |
| 2007 | Asset prices, exchange rates and the current account.(2007) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | paper | |
| 2010 | Asset prices, exchange rates and the current account.(2010) In: European Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | article | |
| 2008 | Asset prices, exchange rates and the current account.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | paper | |
| 2010 | Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
| 2011 | Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
| 2011 | Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 83 |
| 2012 | Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
| 2012 | Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
| 2013 | Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 44 |
| 2014 | Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
| 2013 | Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 93 |
| 2016 | Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
| 2003 | The Economics of Exchange Rates In: Cambridge Books. [Citation analysis] | book | 937 |
| 2020 | Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Foreign Exchange Intervention: A New Database.(2023) In: IMF Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2008 | Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2002 | Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 40 |
| 2005 | Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
| 2005 | Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
| 2004 | The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics. [Full Text][Citation analysis] | article | 133 |
| 2024 | Risks and risk premia in the US Treasury market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 1998 | Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters. [Full Text][Citation analysis] | article | 114 |
| 2000 | Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters. [Full Text][Citation analysis] | article | 59 |
| 2001 | The behavior of US public debt: a nonlinear perspective In: Economics Letters. [Full Text][Citation analysis] | article | 42 |
| 2010 | A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 29 |
| 2016 | The economic value of predicting bond risk premia In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 38 |
| 2017 | The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 35 |
| 2022 | The cost of foreign-currency lending In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | The cost of foreign-currency lending.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2006 | Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 79 |
| 2010 | Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 39 |
| 2014 | Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 53 |
| 2014 | Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2025 | The trade imbalance network and currency returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 1999 | Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 85 |
| 2005 | Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 31 |
| 2012 | Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 52 |
| 2012 | How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 211 |
| 2009 | How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
| 2012 | How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2012) In: Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
| 2016 | What drives international portfolio flows? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 76 |
| 2015 | What Drives International Portfolio Flows?.(2015) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 1998 | Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 36 |
| 1999 | Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 1 |
| 2001 | Toward a new paradigm in open economy modeling: where do we stand? In: Review. [Full Text][Citation analysis] | article | 6 |
| 2002 | How well do monetary fundamentals forecast exchange rates? In: Review. [Full Text][Citation analysis] | article | 75 |
| 2002 | How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2004 | The efficient market hypothesis and identification in structural VARs In: Review. [Full Text][Citation analysis] | article | 6 |
| 2003 | The efficient market hypothesis and identification in structural VARs.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
| 2006 | Special issue on advances in international money, macro and finance In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
| 1999 | Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 28 |
| 2004 | International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 27 |
| 2003 | Nonlinear Exchange Rate Models: A Selective Overview In: IMF Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2003 | Nonlinear Exchange Rate Models: A Selective Overview.(2003) In: Rivista di Politica Economica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2022 | Exchange Rates and Sovereign Risk In: Management Science. [Full Text][Citation analysis] | article | 21 |
| 2004 | Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
| 2002 | Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2009 | The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking. [Citation analysis] | article | 39 |
| 2009 | The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?.(2009) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
| 2005 | New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 2 |
| 2006 | New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market.(2006) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| In: . [Full Text][Citation analysis] | paper | 2 | |
| 2016 | Currency Premia and Global Imbalances In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 95 |
| 2015 | Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 95 | paper | |
| 2022 | Foreign Exchange Volume In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 10 |
| 1997 | Capital Flows to Developing Countries: Long- and Short-Term Determinants. In: The World Bank Economic Review. [Citation analysis] | article | 153 |
| 2009 | Carry Trades and Global FX Volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Properties of Foreign Exchange Risk Premia In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Foreign currency lending In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Composantes permanente et transitoire de lépargne et de linvestissement : une étude empirique des flux internationaux de capitaux au Japon In: Économie et Prévision. [Full Text][Citation analysis] | article | 0 |
| 2000 | Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 11 |
| 1998 | Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 27 |
| 2000 | Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 11 |
| 2000 | Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters. [Full Text][Citation analysis] | article | 26 |
| 2003 | An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 35 |
| 1997 | Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 1997 | Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity In: Applied Economics. [Full Text][Citation analysis] | article | 15 |
| 1999 | The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
| 2000 | The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 19 |
| 2002 | Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 15 |
| 2004 | Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal. [Full Text][Citation analysis] | article | 3 |
| 2004 | Monetary policy and learning in an open economy In: Macroeconomics. [Full Text][Citation analysis] | paper | 10 |
| 2004 | Monetary policy and learning in an open economy.(2004) In: Bank of Finland Research Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper |
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