12
H index
14
i10 index
1004
Citations
Mico Loretan : Citation Profile
Schweizerische Nationalbank (SNB) | RESEARCH PRODUCTION: 14 Articles 17 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1989 - 2018). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mico Loretan. | Is cited by:
| Cites to:
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Main data
Where Mico Loretan has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 2 |
| BIS Quarterly Review | 2 |
| Journal of Empirical Finance | 2 |
Recent works citing Mico Loretan (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2024). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper |
| 2024 | Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203. Full description at Econpapers || Download paper |
| 2024 | Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks. (2024). STUPFLER, Gilles ; Yang, Fan ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2411.07212. Full description at Econpapers || Download paper |
| 2025 | Interpretable Company Similarity with Sparse Autoencoders. (2024). Ryder, Sebastian Kuznetsov ; Mikolajczak, Mateusz ; Pandey, Abhimanyu ; Tregubiak, Vladimir ; Shao, Victor ; Molinari, Marco. In: Papers. RePEc:arx:papers:2412.02605. Full description at Econpapers || Download paper |
| 2025 | Commonality under pressure: banks and funds. (2025). Cornelli, Giulio ; Aquilina, Matteo ; Tarashev, Nikola. In: BIS Quarterly Review. RePEc:bis:bisqtr:2503e. Full description at Econpapers || Download paper |
| 2024 | Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671. Full description at Econpapers || Download paper |
| 2024 | Asymptotic inference of the ARMA model with time‐functional variance noises. (2024). Ling, Shiqing ; Zhu, Enwen ; Cai, Bibi. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1230-1258. Full description at Econpapers || Download paper |
| 2025 | Optimal Estimation In A Multicointegrated System. (2025). Phillips, Peter ; Kheifets, Igor L. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2463. Full description at Econpapers || Download paper |
| 2024 | A contagion test with unspecified heteroscedastic errors. (2024). Ko, Stanley Iat-Meng ; Peng, Liang ; Aboagye, Ernest ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105. Full description at Econpapers || Download paper |
| 2025 | The Big Mac index: An exact multilateral clarification. (2025). Kunkler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000385. Full description at Econpapers || Download paper |
| 2024 | High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x. Full description at Econpapers || Download paper |
| 2024 | Highlighting some of the issues with multicurrency numéraires. (2024). Kunkler, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012418. Full description at Econpapers || Download paper |
| 2024 | Global power and Stock market co-movements: A study of G20 markets. (2024). Gupta, Rakesh ; Selvanathan, E A ; Haddad, Sama. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001005. Full description at Econpapers || Download paper |
| 2024 | Endowment asset allocations: insights and strategies. (2024). Arnold, Tom ; Farizo, Joseph ; Earl, John H ; North, David. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:4:d:10.1057_s41260-023-00346-9. Full description at Econpapers || Download paper |
| 2024 | Natural resources and development: new insights from strong curse to strong blessing. (2024). DAW, Georges. In: MPRA Paper. RePEc:pra:mprapa:125145. Full description at Econpapers || Download paper |
| 2024 | Flexible Inflation Targeting and Macroeconomic Performance: Evidence from ASEAN. (2024). Nookhwun, Nuwat ; Waiyawatjakorn, Rawipha. In: PIER Discussion Papers. RePEc:pui:dpaper:208. Full description at Econpapers || Download paper |
| 2024 | RMB exchange rate forecasting using machine learning methods: Can multimodel select powerful predictors?. (2024). Li, Yanyan ; Wang, Xinxin ; Yu, Xing. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:644-660. Full description at Econpapers || Download paper |
Works by Mico Loretan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1992 | Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers. [Citation analysis] | paper | 178 |
| 1994 | Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets.(1994) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 178 | article | |
| 2010 | The international financial crisis: timeline, impact and policy responses in Asia and the Pacific In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 31 |
| 2010 | Private information, stock markets, and exchange rates In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 12 |
| 2009 | Private information, stock markets, and exchange rates.(2009) In: BIS Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2009 | Private information, stock markets, and exchange rates.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 25 |
| 2010 | Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market.(2010) In: Journal of Asian Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2000 | Evaluating changes in correlations during periods of high market volatility In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 21 |
| 2008 | The development of money markets in Asia In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 4 |
| 2008 | Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets In: BIS Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2010 | Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2007 | Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2007) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2009 | International portfolio rebalancing and exchange rate fluctuations in Thailand In: BIS Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 1989 | The Durbin-Watson Ratio Under Infinite Variance Errors In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 1991 | The Durbin-Watson ratio under infinite-variance errors.(1991) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1989 | Estimating Long Run Economic Equilibria In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 427 |
| 1991 | Estimating Long-run Economic Equilibria.(1991) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 427 | article | |
| 1990 | Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
| 2009 | Contagion and Risk in the Amplification of Crisis : Evidence from Asian Names in the CDS Market In: EABER Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 1996 | Economic models of systemic risk in financial systems In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
| 2014 | On the properties of the coefficient of determination in regression models with infinite variance variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2014 | Exchange rate fluctuations and international portfolio rebalancing In: Emerging Markets Review. [Full Text][Citation analysis] | article | 10 |
| 2018 | Private information, capital flows, and exchange rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
| 2012 | Private Information, Capital Flows, and Exchange Rates.(2012) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2015 | Private information, capital flows, and exchange rates.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 1997 | Pitfalls in tests for changes in correlations In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 88 |
| 2000 | Evaluating \correlation breakdowns\ during periods of market volatility In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 74 |
| 2007 | A note on the coefficient of determination in models with infinite variance variables In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1995 | Systemic risk in a model economy with a stylized banking system In: Proceedings. [Citation analysis] | article | 1 |
| 2005 | Indexes of the foreign exchange value of the dollar In: Federal Reserve Bulletin. [Full Text][Citation analysis] | article | 47 |
| 2012 | Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand In: IMF Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Rate-optimal tests for jumps in diffusion processes In: Statistical Papers. [Full Text][Citation analysis] | article | 2 |
| 2007 | A note on the coefficient of determination in regression models with infinite-variance variables In: Discussion Paper Series 1: Economic Studies. [Full Text][Citation analysis] | paper | 4 |
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