Ivan Paya : Citation Profile


Are you Ivan Paya?

Universidad de Alicante (50% share)
Lancaster University (50% share)

13

H index

18

i10 index

523

Citations

RESEARCH PRODUCTION:

48

Articles

36

Papers

3

Chapters

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 26
   Journals where Ivan Paya has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 35 (6.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa363
   Updated: 2024-12-03    RAS profile: 2024-06-17    
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Relations with other researchers


Works with:

Peel, David (5)

Georgalos, Konstantinos (4)

Pavlidis, Efthymios (2)

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

Is cited by:

GUPTA, RANGAN (20)

Perote, Javier (18)

Cortés, Lina (13)

Mora-Valencia, Andrés (12)

Ahmad, Yamin (9)

Shi, Shuping (9)

Phillips, Peter (8)

Georgescu, Irina (7)

Raputsoane, Leroi (7)

Chikhi, Mohamed (6)

Miller, Stephen (6)

Cites to:

Peel, David (105)

Taylor, Mark (77)

Kilian, Lutz (52)

Sarno, Lucio (38)

Obstfeld, Maurice (33)

Phillips, Peter (30)

Rogoff, Kenneth (29)

EECKHOUDT, LOUIS (29)

Taylor, Alan (27)

Yu, Jun (22)

Teräsvirta, Timo (22)

Main data


Where Ivan Paya has published?


Journals with more than one article published# docs
Economics Letters5
Applied Economics Letters3
Journal of Money, Credit and Banking3
Applied Financial Economics3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Money, Credit and Banking2
Manchester School2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Working Papers / Lancaster University Management School, Economics Department22
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)7

Recent works citing Ivan Paya (2024 and 2023)


YearTitle of citing document
2023Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2023.

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2023Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

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2023Testing for Co?explosive Behaviour in Financial Time Series. (2022). Leybourne, Stephen J ; Harvey, David I ; Evripidou, Andria C ; Sollis, Robert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:624-650.

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2023Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158.

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2023Monetary policy spillovers and the role of prudential policies in the European Union. (2023). Coman, Andra. In: Working Paper Series. RePEc:ecb:ecbwps:20232854.

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2023Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726.

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2023Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586.

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2023Preventing financial disasters: Macroprudential policy and financial crises. (2023). Fernandez-Gallardo, Alvaro. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122002306.

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2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596.

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2023Can the global financial cycle explain the episodes of exuberance in international housing markets?. (2023). Liu, Qingya ; Wang, Xichen. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005438.

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2023Financially sustainable optimal currency areas. (2023). Gimet, Céline ; Gagnon, Marie-Helene ; Cartapanis, Andre. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004312.

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2024Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices. (2024). de Schryder, Selien ; Coulier, Lara. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000093.

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2023Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities. (2023). Charfeddine, Lanouar ; Belhoula, Mohamed Malek ; el Montasser, Ghassen. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000399.

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2023Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate. (2023). Ran, Alexandra-Mdlina ; Chang, Hsu-Ling ; Qin, Meng ; Su, Chiwei. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000892.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2024Credit risk and bubble behavior of credit default swaps in the corporate energy sector. (2024). Figuerola-Ferretti, Isabel ; Cervera, Ignacio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:702-731.

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2023Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

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2023.

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2023RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833.

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2023Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia. (2023). Škrinjarić, Tihana. In: Working Papers. RePEc:hnb:wpaper:72.

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2023IsSouthAfricafallingintoafiscaldominantregime. (2023). Viegi, Nicola ; Mamburu, Mulalo ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:11041.

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2023IsSouthAfricafallingintoafiscaldominantregime. (2023). Soobyah, Luchelle ; Viegi, Nicola ; Mamburu, Mulalo. In: Working Papers. RePEc:rbz:wpaper:11046.

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2023A tale of two recession-derivative indicators. (2023). Yang, Cheng ; Lahiri, Kajal. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02361-6.

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2023.

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2023Leaning against housing booms fueled by credit. (2023). Martinez, Carlos Canizares. In: Working and Discussion Papers. RePEc:svk:wpaper:1101.

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2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

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2023An Investigation on Real Estate Market Dynamics and Bubble Formation Modeling. (2023). Cristina, Rogojan Luana ; Elena, Croicu Andreea ; Andreea, Iancu Laura. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:17:y:2023:i:1:p:1603-1616:n:30.

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2023Nowcasting the state of the Italian economy: The role of financial markets. (2023). Silvestrini, Andrea ; Ceci, Donato. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1569-1593.

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Works by Ivan Paya:


YearTitleTypeCited
2015Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers.
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paper1
2012THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002 In: Economic Affairs.
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article2
2003On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA In: Manchester School.
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article0
2003Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend In: Manchester School.
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article9
2003Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS In: Oxford Bulletin of Economics and Statistics.
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article28
2010Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form In: Studies in Nonlinear Dynamics & Econometrics.
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article15
2009Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 15
paper
2013Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2020Temporal aggregation of random walk processes and implications for economic analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2018A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP In: Macroeconomic Dynamics.
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article0
2010Further empirical evidence of nonlinearity in the us monetary policy rule In: Economics Bulletin.
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article2
2010The forward premium puzzle in the interwar period and deviations from covered interest parity In: Economics Letters.
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article7
2012On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty In: Economics Letters.
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article11
2015Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters.
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article4
2006On the speed of adjustment in ESTAR models when allowance is made for bias in estimation In: Economics Letters.
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article10
2007Deterministic impulse response in a nonlinear model. An analytical expression In: Economics Letters.
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article1
2016Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance.
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article5
2016Pure higher-order effects in the portfolio choice model In: Finance Research Letters.
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article9
2005Predicting real growth and the probability of recession in the Euro area using the yield spread In: International Journal of Forecasting.
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article51
2004PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD.(2004) In: Working Papers. Serie AD.
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This paper has nother version. Agregated cites: 51
paper
2012Forecasting monetary policy rules in South Africa In: International Journal of Forecasting.
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article22
2010Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 22
paper
2019Who benefits from being self-employed in urban Ghana?.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 22
paper
2021On the contribution of the Markowitz model of utility to explain risky choice in experimental research In: Journal of Economic Behavior & Organization.
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article0
2011Real exchange rates and time-varying trade costs In: Journal of International Money and Finance.
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article11
2009Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 11
paper
2005The term spread and real economic activity in the US inter-war period In: Journal of Macroeconomics.
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article2
2003Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach In: International Review of Economics & Finance.
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article30
2007Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics.
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paper5
2013Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization Institute Working Papers.
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paper72
2016Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.(2016) In: The Journal of Real Estate Finance and Economics.
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This paper has nother version. Agregated cites: 72
article
2004NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD.
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paper0
2004TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD.
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paper7
2006Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 7
article
2006Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 7
article
2004ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD.
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paper5
2004Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 5
article
2005THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED? In: Working Papers. Serie AD.
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2006The long memory story of real interest rates. Can it be supported?.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2005A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994 In: Working Papers. Serie AD.
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paper4
2005A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2005THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS In: Working Papers. Serie AD.
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paper10
2005The process followed by PPP data. On the properties of linearity tests.(2005) In: Applied Economics.
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This paper has nother version. Agregated cites: 10
article
2023Higher order risk attitudes: new model insights and heterogeneity of preferences In: Experimental Economics.
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article0
2023On the predictions of cumulative prospect theory for third and fourth order risk preferences In: Theory and Decision.
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2017Exuberance in the U.K. Regional Housing Markets In: Working Papers.
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paper5
2013Higher-order moments in the theory of diversification and portfolio composition In: Working Papers.
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paper5
2012A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation In: Working Papers.
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paper20
2019House Prices, (Un)Affordability and Systemic Risk In: Working Papers.
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2021House prices, (un)affordability and systemic risk.(2021) In: New Zealand Economic Papers.
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This paper has nother version. Agregated cites: 0
article
2020On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences In: Working Papers.
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paper0
2020Macroprudential Policy in the Euro Area In: Working Papers.
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paper8
2010Further empirical evidence on the consumption-real exchange rate anomaly. In: Working Papers.
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paper0
2005Temporal aggregation of an ESTAR process In: Working Papers.
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paper1
2006On the relationship between Nominal Exchange Rates and domestic and foreign prices In: Working Papers.
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paper3
2007On the relationship between nominal exchange rates and domestic and foreign prices.(2007) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 3
article
2006On the relationship between inflation persistence and temporal aggregation In: Working Papers.
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paper12
2007On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 12
article
2007On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 12
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2007Estimating Argentinas imports elasticities In: Working Papers.
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2009ESTAR model with multiple fixed points. Testing and Estimation In: Working Papers.
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paper2
2009Linkages between Shanghai and Hong Kong stock indices In: Working Papers.
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paper16
2009Linkages between Shanghai and Hong Kong stock indices.(2009) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 16
article
2009Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear In: Working Papers.
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paper1
2009Bubbles in House Prices and their Impact on Consumption: Evidence for the US In: Working Papers.
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2011On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers.
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paper1
2014Episodes of exuberance in housing markets In: Working Papers.
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paper14
2004Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability. In: Estudios de Economia Aplicada.
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2010Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion In: Journal of Money, Credit and Banking.
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2010Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion.(2010) In: Journal of Money, Credit and Banking.
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article
2009The Econometrics of Exchange Rates In: Palgrave Macmillan Books.
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chapter3
2010Forecasting Monetary Rules in South Africa In: Working Papers.
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paper2
2005Ex ante Real Returns in Forward Market Speculation in the Inter-War Period: Evidence and Prediction In: Springer Books.
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chapter0
2004Estimates of US monetary policy rules with allowance for changes in the output gap In: Applied Economics Letters.
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2004Term spread and real economic activity in Korea: was the crisis predictable? In: Applied Economics Letters.
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article2
2012The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters.
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article1
2003On the equilibrium value of the peseta In: Applied Financial Economics.
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article0
2013Nonlinear dynamics in economics and finance and unit root testing In: The European Journal of Finance.
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article0
2019Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance.
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article7
2014Temporal Aggregation of Random Walk Processes and Implications for Asset Prices In: Working Papers.
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paper3
2017TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES In: International Economic Review.
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article17
2012Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates In: Journal of Forecasting.
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article5
2011Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets In: Journal of Futures Markets.
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article0
2018Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market In: Journal of Money, Credit and Banking.
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article25
2004Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal.
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article0
2004The long memory story of ex post real interest rates. Can it be supported? In: Econometrics.
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paper0
2008TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION In: World Scientific Book Chapters.
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