Lucio Sarno : Citation Profile

Are you Lucio Sarno?

Centre for Economic Policy Research (CEPR) (1% share)
University of Cambridge (99% share)

43

H index

74

i10 index

8098

Citations

RESEARCH PRODUCTION:

95

Articles

93

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 323
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 297.    Total self citations: 105 (1.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa95
   Updated: 2023-11-04    RAS profile: 2023-04-06    
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Relations with other researchers

Works with:

Heidland, Tobias (4)

Menkhoff, Lukas (4)

Fratzscher, Marcel (3)

Delis, Manthos (3)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Walther, Thomas (2)

Dreber, Anna (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Ait-Sahalia, Yacine (2)

Schuerhoff, Norman (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Abudy, Menachem (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Ødegaard, Bernt (2)

Smales, Lee (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Stefanova, Denitsa (2)

Frömmel, Michael (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Wilhelmsson, Anders (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Mäkinen, Taneli (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Gehrig, Thomas (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Alexeev, Vitali (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Pasquariello, Paolo (2)

Schmeling, Maik (2)

Bos, Charles (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Caporin, Massimiliano (2)

Colliard, Jean-Edouard (2)

Nielsson, Ulf (2)

Putnins, Talis (2)

Vilkov, Grigory (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Pastor, Lubos (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Deev, Oleg (2)

Zinna, Gabriele (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Park, Andreas (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Politsidis, Panagiotis (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Rakowski, David (2)

Xia, Shuo (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lucio Sarno.

Is cited by:

Beckmann, Joscha (157)

Taylor, Mark (145)

Chang, Tsangyao (118)

Menkhoff, Lukas (112)

Claessens, Stijn (100)

Kose, Ayhan (100)

Czudaj, Robert (84)

MacDonald, Ronald (67)

Reitz, Stefan (57)

Peel, David (57)

Byrne, Joseph (53)

Cites to:

Taylor, Mark (143)

Rogoff, Kenneth (121)

Obstfeld, Maurice (99)

Campbell, John (67)

Engel, Charles (65)

Clarida, Richard (60)

Bekaert, Geert (59)

West, Kenneth (52)

Verdelhan, Adrien (47)

Hodrick, Robert (46)

Shiller, Robert (44)

Main data

Where Lucio Sarno has published?

Journals with more than one article published# docs
Journal of International Money and Finance7
Journal of Financial Economics7
Journal of Banking & Finance6
Journal of International Economics5
Review of Financial Studies4
Journal of Futures Markets4
Review3
Economics Letters3
Journal of Money, Credit and Banking3
International Journal of Finance & Economics3
IMF Staff Papers2
Journal of Macroeconomics2
Journal of Empirical Finance2
Journal of Money, Credit and Banking2
Review of World Economics (Weltwirtschaftliches Archiv)2
Oxford Bulletin of Economics and Statistics2
Review of Finance2
Journal of Finance2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers40
Working Papers / Federal Reserve Bank of St. Louis8
Working Paper series / Rimini Centre for Economic Analysis4
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research3
NBER Working Papers / National Bureau of Economic Research, Inc3
Working Paper Series / European Central Bank3
MPRA Paper / University Library of Munich, Germany3
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
BIS Working Papers / Bank for International Settlements2
IMF Working Papers / International Monetary Fund2

Recent works citing Lucio Sarno (2023 and 2022)

YearTitle of citing document
2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2022Leaning-against-the-wind Intervention and the “Carry-Trade” View of the Cost of Reserves. (2022). Gomez, Juna Francisco ; Levyyeyati, Eduardo. In: Working Papers. RePEc:aoz:wpaper:163.

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2022Synchronization analysis between exchange rates based on purchasing power parity using the Hilbert transform. (2020). Saiki, Yoshitaka ; Muto, Makoto. In: Papers. RePEc:arx:papers:2010.08825.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2023Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2023The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2023Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data. (2023). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:23-4.

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2022Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565.

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2022.

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2022The impact of sovereign tensions on bank lending: identifying the channels at work. (2022). Sabatini, Fabiana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1397_22.

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2022Oral FX Interventions in Emerging Markets: the Colombian case. (2022). Sanchez-Jabba, Andres ; Parra-Polanía, Julián ; Sarmiento, Miguel ; Sanchez -Jabba, Andres ; Parra-Polania, Julian A. In: Borradores de Economia. RePEc:bdr:borrec:1194.

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2022Monetary Policy and Portfolio Flows in an Emerging Market Economy. (2022). López, Martha ; Sarmiento, Miguel ; Rodriguez-Nio, Norberto ; Lopez-Pieros, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1200.

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2022The Expected Effects of Climate Change on Colombia’s Current Account. (2022). Sanchez-Jabba, Andres ; Agudelo-Rivera, Camila ; Granger-Castao, Clark ; Sanchez -Jabba, Andres . In: Borradores de Economia. RePEc:bdr:borrec:1214.

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2022Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach. (2022). Restrepo-Ángel, Sergio ; Garavito, Aaron ; Arcila-Agudelo, Leidy Viviana ; Restrepo-Angel, Sergio ; Garavito-Acosta, Aaron Levi ; Salazar-Diaz, Andrea. In: Borradores de Economia. RePEc:bdr:borrec:1221.

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2023Do Actions Speak Louder than Words? A Foreign Exchange Intervention Analysis. (2023). Villamizar-Villegas, mauricio ; Pinzon-Puerto, Freddy A. In: Borradores de Economia. RePEc:bdr:borrec:1223.

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2022Impacto macroeconómico del cambio climático en Colombia. (2022). Toro-Córdoba, Jorge Hernán ; Sanchez-Jabba, Andres ; Ramos-Forero, Jorge ; Pulido, Jose ; Parra-Amado, Daniel ; Osorio-Rodriguez, Daniel ; Ojeda-Joya, Jair ; Granger, Clark ; Bernal, Joaquin ; Granger-Castao, Clark ; Durana-Angel, Carolina ; Clavijo-Ramirez, Felipe ; Agudelo-Rivera, Camila ; Toro-Cordoba, Jorge ; Bernal-Ramirez, Joaquin ; Rodriguez-Novoa, Daniela. In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:y:2022:i:102:p:1-62.

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Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2023). Naef, Alain. In: Working papers. RePEc:bfr:banfra:911.

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2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

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2022FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability. (2022). Sandri, Damiano. In: BIS Working Papers. RePEc:bis:biswps:1059.

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2023The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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2023Bilateral capital flows: Gravity, push and pull. (2023). Mercado, Rogelio. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:36-63.

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2023Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81.

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2023.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2022Currency returns and systematic risk. (2022). Scatimburgo, Pedro ; Ferreira, Alex ; Gonalves, Fernanda. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:6:p:609-647.

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2022Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379.

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2022Central bank securities and foreign exchange market intervention in a developing economy. (2022). Khemraj, Tarron ; Direye, Eli. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:280-297.

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2022Market competition, exchange rate uncertainty, and foreign direct investment. (2022). Chen, Kunming ; Lin, Chiaching. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:405-422.

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2023Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.

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2022The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316.

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2023Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041.

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2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023Intervening against the Fed. (2023). Yago, N ; Timmer, Y ; Rodnyansky, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2357.

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2022THE LAW OF ONE PRICE, BORDERS AND PURCHASING POWER PARITY. (2022). Pippenger, John. In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt5b17d1dr.

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2023Liquidity and Exchange Rates: An Empirical Investigation. (2023). Yeung, Steve Pak ; Engel, Charles. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt4z80w6cd.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2023Intervening against the Fed. (2023). Yago, Naoki ; Timmer, Yannick ; Rodnyansky, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10575.

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2022Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows. (2022). Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof ; Alves, Jose. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9872.

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2022Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market. (2022). Melvin, Michael ; Giovanardi, Davide ; Franolic, Rob ; Barrios, Aldo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9921.

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2022Exchange rate volatility and the effectiveness of FX interventions: the case of Chile. (2022). Pia, Marco ; Jara, Alejandro. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:962.

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2023Effectiveness of Foreign Exchange Interventions: Evidence and Lessons from Chile. (2023). Griffith-Jones, Stephany ; Arenas, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:983.

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2022Leaning-against-the-wind Intervention and the “carry-trade” View of the Cost of Reserves. (2022). Gomez, Juan Francisco ; Yeyati, Eduardo Levy. In: CID Working Papers. RePEc:cid:wpfacu:419.

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2022Impacto macroeconómico del cambio climático en Colombia. (2022). Parra-Amado, Daniel ; Osorio-Rodriguez, Daniel ; Ojeda-Joya, Jair ; Granger, Clark ; Bernal, Joaquin ; Clavijo-Ramirez, Felipe ; Agudelo-Rivera, Camila ; Bernal-Ramirez, Joaquin ; Granger-Castao, Clark ; Durana-Angel, Carolina. In: Revista ESPE - Ensayos Sobre Política Económica. RePEc:col:000107:020296.

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2022Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic. (2022). Schellekens, Kai ; Duijm, Patty. In: Working Papers. RePEc:dnb:dnbwpp:752.

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2022Greenfield Foreign Direct Investment: Social Learning drives Persistence. (2022). Leung, Charles ; Ping, Byron Kwok ; Hung, Thomas Chao ; Yiu, Joe Cho. In: ISER Discussion Paper. RePEc:dpr:wpaper:1171.

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2023Recent advances in the literature on capital flow management. (2023). Wesołowski, Grzegorz ; Theofilakou, Anastasia ; CEZAR, Rafael ; van den Hove, Floriane ; Eijking, Carlijn ; Scheubel, Beatrice ; Bruggemann, Axel ; Landi, Valerio Nispi ; Berganza, Juan Carlos ; Naef, Alain ; Beck, Roland ; Sanchez, Luis Molina ; Moder, Isabella ; Marsilli, Clement ; Kreitz, Lilian ; Alves, Joel Graa ; Fuentes, Alberto ; Wesoowski, Grzegorz ; Eller, Markus. In: Occasional Paper Series. RePEc:ecb:ecbops:2023317.

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2022Boosting carry with equilibrium exchange rate estimates. (2022). Kwas, Marek ; Ca, Michele ; Michele Ca, ; Beckmann, Joscha ; Rubaszek, Micha. In: Working Paper Series. RePEc:ecb:ecbwps:20222731.

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2022Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum. (2022). Schmitz, Martin ; Carvalho, Daniel. In: Working Paper Series. RePEc:ecb:ecbwps:20222734.

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2022It’s not time to make a change: sovereign fragility and the corporate credit risk. (2022). Zaghini, Andrea ; Fornari, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222740.

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2022Global momentum: The optimal trading approach. (2022). Muradoglu, Yaz ; Tsitsianis, Nicholas ; Muradolu, Yaz Gulnur ; Wouassom, Alain. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000788.

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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

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2023Quantitative easing in the US and financial cycles in emerging markets. (2023). Wesołowski, Grzegorz ; Kolasa, Marcin ; Wesoowski, Grzegorz. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000374.

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2022Why exchange rate pass-through matters in forward exchange markets. (2022). Choi, Kwan E. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000414.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2022Output determination and autonomous demand multipliers: An empirical investigation for the US economy. (2022). Deleidi, Matteo ; Barbieri, Maria Cristina. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002449.

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2022Exchange rate predictability, risk premiums, and predictive system. (2022). Park, Cheolbeom ; Bak, Yuhyeon. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002632.

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2022Introducing house prices to the intertemporal current account model: An application to the European Union. (2022). Irina-Marilena, Ban. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s026499932200298x.

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2023How many fundamentals should we include in the behavioral equilibrium exchange rate model?. (2023). Rubaszek, Michał ; Ca, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s026499932200308x.

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2023Global uncertainty shocks and exchange-rate expectations in Latin America. (2023). Romero, José ; Ojeda-Joya, Jair. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004229.

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2022Rigid payment breaking, default spread and yields of Chinese treasury bonds. (2022). Xu, Xiangyun ; Jia, Fei ; Chen, Yunping ; Yu, Cong ; Huang, Xiaoyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001777.

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2022Hedging local currency risk with precious metals. (2022). Kunkler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001923.

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2022Exchange rate misalignments, capital flows and volatility. (2022). Orlov, Alexei G ; Grossmann, Axel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s106294082200002x.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2022Exchange-rate and news: Evidence from the COVID pandemic. (2022). Masolo, Riccardo M. ; Di Pace, Federico ; Dipace, Federico ; Aquilante, Tommaso. In: Economics Letters. RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000647.

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2022Real-time Bayesian learning and bond return predictability. (2022). Li, Junye ; Fulop, Andras ; Wan, Runqing. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:114-130.

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2023Public debt management and private financial development. (2023). Presbitero, Andrea F ; Pedersoli, Silvia. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s0939362522000723.

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2022Early warning system for risk of external liquidity shock in BRICS countries. (2022). Yu, Xiao ; Cottrell, Simon ; Delpachitra, Sarath ; Wang, Hao. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000868.

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2023Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091.

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2022Isolating momentum crashes. (2022). Krupski, Jan ; Dierkes, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:1-22.

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2022Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151.

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2022Multiple testing of the forward rate unbiasedness hypothesis across currencies. (2022). Luger, Richard ; Fu, Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:232-245.

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2022Coskewness and reversal of momentum returns: The US and international evidence. (2022). Yamada, Takeshi ; Kot, Hung Wan ; Haque, Tariq ; Dai, Yiqing ; Dong, Liang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:241-264.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2022Evolving a policy framework discovering the dynamic association between determinants of oil consumption in India. (2022). Siddiqui, Mujahid ; Sinha, Avik ; Sharma, Rajesh ; Kautish, Pradeep. In: Energy Policy. RePEc:eee:enepol:v:169:y:2022:i:c:s0301421522004001.

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2023Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078.

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2022Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x.

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2022Exchange rate return predictability in times of geopolitical risk. (2022). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Iyke, Bernard Njindan. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000692.

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2022Are carry, momentum and value still there in currencies?. (2022). Sharma, Tripti ; O'Reilly, Philip ; O'Brien, John ; Kyziropoulos, Panagiotis E ; Hutchinson, Mark C. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002058.

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2022A regime-switching real-time copula GARCH model for optimal futures hedging. (2022). Lee, Chien-Chiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003453.

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2023Who are the vectors of contagion? Evidence from emerging markets. (2023). Munera, Daimer J ; Agudelo, Diego A. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001151.

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2023Factor investing and currency portfolio management. (2023). Cerrato, Mario ; Zhang, Zhekai ; Li, Danyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001424.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2022Liquidity spillover in foreign exchange markets. (2022). Hsu, Chih-Chiang ; Gau, Yin-Feng ; Chang, Ya-Ting. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001860.

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2022Stock return predictability in China: Power of oil price trend. (2022). Zhang, Qunzi ; Cao, Zhen. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005006.

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2022Disaster risk matters in the bond market. (2022). Zhu, Xiaoneng ; Ying, Chengwei ; Su, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322000800.

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2022Investor reactions to major events in the sub-prime mortgage crisis. (2022). Bulut, Emre ; Gunsur, Baak Tanyeri. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000319.

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2022Do terrorist attacks matter for currency excess returns?. (2022). Yin, Libo ; Wu, You ; Han, Liyan ; Liu, Yiye. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003130.

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2023The informational role of fund flow in the profitable predictability of mutual funds. (2023). Yamani, Ehab. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006225.

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2023Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533.

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

Lucio Sarno has edited the books:

YearTitleTypeCited

Works by Lucio Sarno:

YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article106
2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
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2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
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This paper has another version. Agregated cites: 106		paper
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2019) In: EconStor Open Access Articles and Book Chapters.
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This paper has another version. Agregated cites: 106		article
2001Official 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]		article624
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 624		paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper63
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
[Full Text][Citation analysis]		paper59
2010The 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 another version. Agregated cites: 59		paper
2012The 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 another version. Agregated cites: 59		article
2011Currency Momentum Strategies In: BIS Working Papers.
[Full Text][Citation analysis]		paper199
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 199		paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 199		article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 199		paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]		paper63
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		article
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
[Full Text][Citation analysis]		article4
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2004Time?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]		article6
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article376
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 376		paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
[Citation analysis]		article27
1999European Capital Flows and Regional Risk In: Manchester School.
[Full Text][Citation analysis]		article9
2002Short? 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]		article8
2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1997Estimating the Mean?reverting Component in Stock Prices: A Cross?country comparison In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article1
2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
[Full Text][Citation analysis]		paper2
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This paper has another version. Agregated cites: 2		chapter
2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]		paper200
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 200		paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 200		article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 200		paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]		paper141
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
[Full Text][Citation analysis]		paper33
2009Does 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 another version. Agregated cites: 33		article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
[Full Text][Citation analysis]		paper49
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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2004Monetary policy and learning in an open economy In: Research Discussion Papers.
[Full Text][Citation analysis]		paper15
2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article39
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article155
2005Viewpoint: 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 another version. Agregated cites: 155		article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper70
2016Currency Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2017Currency Value.(2017) In: Review of Financial Studies.
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2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper22
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper450
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 450		article
1999The 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]		paper8
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper746
2001Nonlinear 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 another version. Agregated cites: 746		article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper288
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 288		article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper86
2003The 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 another version. Agregated cites: 86		article
2002The 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 another version. Agregated cites: 86		paper
2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2003 Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 15		article
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper176
2003The 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 another version. Agregated cites: 176		article
2001The 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 another version. Agregated cites: 176		paper
2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper199
2004Nonlinear 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]
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2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper61
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
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2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
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2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper116
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper90
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
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2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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2004Federal funds rate prediction.(2004) In: Working Papers.
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2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
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This paper has another version. Agregated cites: 6		article
2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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This paper has another version. Agregated cites: 6		paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
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2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper63
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper13
2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
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2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
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2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
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2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
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2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
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2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics.
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2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
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2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
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2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
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2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
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2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
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2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
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2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
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2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
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2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper34
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
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2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper78
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
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2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2014Which Fundamentals Drive Exchange Rates? A Cross?Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper73
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
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2003The Economics of Exchange Rates In: Cambridge Books.
[Citation analysis]		book915
2020Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin.
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2020Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers.
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2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
[Full Text][Citation analysis]		paper7
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]		paper40
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
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