9
H index
8
i10 index
232
Citations
University of Glasgow | 9 H index 8 i10 index 232 Citations RESEARCH PRODUCTION: 19 Articles 60 Papers RESEARCH ACTIVITY: 18 years (2002 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pce69 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with mario cerrato. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Manchester School | 2 |
Journal of Banking & Finance | 2 |
Journal of Empirical Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Business School - Economics, University of Glasgow | 27 |
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE) | 20 |
CESifo Working Paper Series / CESifo | 3 |
Year | Title of citing document |
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2023 | Factor 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. Full description at Econpapers || Download paper |
2024 | Coskewness and the short-term predictability for Bitcoin return. (2024). Zhang, Feipeng ; Liu, Yakun ; Chen, Yan. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008818. Full description at Econpapers || Download paper |
2023 | Foreign exchange order flow as a risk factor. (2023). Zhang, Zhekai ; Cerrato, Mario ; Burnside, Craig. In: Working Papers. RePEc:gla:glaewp:2023-03. Full description at Econpapers || Download paper |
2023 | Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z. Full description at Econpapers || Download paper |
2023 | Solvency determinants: evidence from the Takaful insurance industry. (2023). Tzouvanas, Panagiotis ; Pagas, Paraskevas ; Daynes, Arief ; Alokla, Jassem. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:4:d:10.1057_s41288-021-00263-1. Full description at Econpapers || Download paper |
2023 | Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers. (2023). Materne, Stefan ; Fortmann, Michael ; Shannon, Darren ; Humberg, Christian ; Sheehan, Barry. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:4:d:10.1057_s41288-022-00269-3. Full description at Econpapers || Download paper |
2023 | Risk, technical efficiency and capital requirements of Ghanaian insurers. (2023). Kuttu, Saint ; Andoh, Charles ; Attah-Kyei, Daniel. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:4:d:10.1057_s41283-023-00127-z. Full description at Econpapers || Download paper |
2023 | Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty. (2023). Belkacem, Lotfi ; Peretti, Christian ; Ghaddab, Sarra. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02371-4. Full description at Econpapers || Download paper |
2023 | Does information and communication technologies affect economic complexity?. (2023). Ndzana, Alain Mekia ; Djeunankan, Ronald ; Oumbe, Honore Tekam. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:4:d:10.1007_s43546-023-00467-8. Full description at Econpapers || Download paper |
2023 | Internal and External Determinants of Risk Based Capital. (2023). Harly, John Edward ; MacHdar, Nera Marinda ; Manurung, Adler Haymans ; Sinaga, Jhonni. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:2:f:13_2_5. Full description at Econpapers || Download paper |
2023 | Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises. (2023). Stephan, Andreas ; Sahamkhadam, Maziar. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2139-2166. Full description at Econpapers || Download paper |
2023 | Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES* In: Manchester School. [Full Text][Citation analysis] | article | 1 |
2013 | IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES In: Manchester School. [Full Text][Citation analysis] | article | 12 |
2008 | Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries.(2008) In: SIRE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2015 | Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation In: The World Economy. [Full Text][Citation analysis] | article | 12 |
2006 | Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2008 | Using Chebyshev Polynomials to Approximate Partial Differential Equations In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
2010 | Using Chebyshev Polynomials to Approximate Partial Differential Equations.(2010) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2016 | Analysing the Determinants of Credit Risk for General Insurance Firms in the UK In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2016 | Analysing the Determinants of Credit Risk for General Insurance Firms in the UK.(2016) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2006 | Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies In: Economics Bulletin. [Full Text][Citation analysis] | article | 9 |
2002 | The Cross Sectional Dependence Puzzle In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 8 |
2003 | Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 2 |
2009 | Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2) In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | 3-Regime symmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | 3-Regime symmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | An investigation of customer order flow in the foreign exchange market In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
2011 | An investigation of customer order flow in the foreign exchange market.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2010 | An investigation of customer order flow in the foreign exchange market.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2008 | Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1) In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Equilibrium Exchange Rate Determination and Multiple Structural Changes In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Equilibrium exchange rate determination and multiple structural changes.(2013) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2010 | Nominal Interest Rates and Stationarity In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Nominal interest rates and stationarity.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2013 | Nominal interest rates and stationarity.(2013) In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2010 | Does the euro dominate Central and Eastern European money markets? In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Does the euro dominate Central and Eastern European money markets?.(2013) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2010 | Does the euro dominate Central and Eastern European money markets?.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2010 | The Rise and Fall of the ABS Market In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | The rise and fall of the ABS market.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2015) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2010 | Microstructure order flow: statistical and economic evaluation of nonlinear forecasts.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2011 | A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 36 |
2007 | A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2008 | A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2009 | A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2011 | A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2012 | Why do UK banks securitize? In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | Why do UK banks securitize?.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2011 | Measuring the Economic Significance of Structural Exchange Rate Models In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Measuring the economic significance of structural exchange rate models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | No Good Deals - No Bad Models In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | No good deals—no bad models.(2012) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2013 | No Good Deals - No Bad Models.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2008 | Optimal Martingales and American Option Pricing In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Optimal Martingales and American Option Pricing.(2009) In: SIRE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Optimal martingales and American option pricing.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2008 | Valuing American Derivatives by Least Squares Methods In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Valuing American Derivatives by Least Squares Methods.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2014 | Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
2017 | Relation between higher order comoments and dependence structure of equity portfolio In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
2017 | Analysing the determinants of insolvency risk for general insurance firms in the UK In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
2008 | Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 8 |
2008 | Chebyshev polynomial approximation to approximate partial differential equations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Adaptive continuous time Markov chain approximation model to general jump-diffusions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Risk Sharing in International Economies and Market Incompleteness In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Correlated Defaults of UK Banks: Dynamics and Asymmetries In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Foreign exchange order fl ow as a risk factor In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Foreign Exchange Order Flow as a Risk Factor.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Factor Investing and forex Portfolio Management In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | The Informational Content of Default Risk in UK Insurance Firms In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Panel Data Tests of PPP. A Critical Overview In: Economics Series. [Full Text][Citation analysis] | paper | 23 |
2006 | Panel data tests of PPP: a critical overview.(2006) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2007 | Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 12 |
2010 | Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion In: Journal of Money, Credit and Banking. [Citation analysis] | article | 6 |
2005 | The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 1 |
2007 | Valuing American Style Options by Least Squares Methods In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] | paper | 2 |
2018 | Implications of Incomplete Markets for International Economies In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
2005 | No euro please, We’re British! In: CELPE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
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