13
H index
18
i10 index
538
Citations
Ivan Paya : Citation Profile
Universidad de Alicante (50% share) | RESEARCH PRODUCTION: 48 Articles 37 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2003 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Ivan Paya. | Is cited by:
| Cites to:
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Main data
Where Ivan Paya has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Lancaster University Management School, Economics Department | 22 |
| Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econ�micas, S.A. (Ivie) | 7 |
Recent works citing Ivan Paya (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper |
| 2024 | Price exuberance episodes in private real estate. (2024). Urga, Giovanni ; Tsolacos, Sotiris ; Cincinelli, Peter. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924000858. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Assessing 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. Full description at Econpapers || Download paper |
| 2024 | Credit 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. Full description at Econpapers || Download paper |
| 2024 | Real exchange rate and import substitution episodes: Evidence from a developing economy. (2024). Palazzo, Gabriel. In: World Development. RePEc:eee:wdevel:v:184:y:2024:i:c:s0305750x24002225. Full description at Econpapers || Download paper |
| 2025 | Testing PPP hypothesis under considerations of nonlinear and asymmetric adjustments: new international evidence. (2025). Hsieh, Chun-Kuei ; Chen, Shyh-Wei ; Xie, Zixiong. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:1:d:10.1007_s10663-024-09628-w. Full description at Econpapers || Download paper |
| 2025 | Shades of inflation targeting: insights from fractional integration. (2025). Janus, Jakub ; Dbrowski, Marek A ; Mucha, Krystian. In: MPRA Paper. RePEc:pra:mprapa:123455. Full description at Econpapers || Download paper |
| 2025 | The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w. Full description at Econpapers || Download paper |
| 2025 | Spatial analysis of speculation in the US housing market. (2025). Mamkhezri, Jamal ; Amani, Ramin ; Manochehri, Salaheddin. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00439-4. Full description at Econpapers || Download paper |
Works by Ivan Paya:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002 In: Economic Affairs. [Full Text][Citation analysis] | article | 2 |
| 2003 | On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA In: Manchester School. [Full Text][Citation analysis] | article | 0 |
| 2003 | Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend In: Manchester School. [Full Text][Citation analysis] | article | 9 |
| 2003 | Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 28 |
| 2010 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2009 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2013 | Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2020 | Temporal aggregation of random walk processes and implications for economic analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2018 | A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Further empirical evidence of nonlinearity in the us monetary policy rule In: Economics Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2010 | The forward premium puzzle in the interwar period and deviations from covered interest parity In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2012 | On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty In: Economics Letters. [Full Text][Citation analysis] | article | 11 |
| 2015 | Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2006 | On the speed of adjustment in ESTAR models when allowance is made for bias in estimation In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2007 | Deterministic impulse response in a nonlinear model. An analytical expression In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2016 | Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2016 | Pure higher-order effects in the portfolio choice model In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
| 2005 | Predicting real growth and the probability of recession in the Euro area using the yield spread In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 52 |
| 2004 | PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD.(2004) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2012 | Forecasting monetary policy rules in South Africa In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 20 |
| 2010 | Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2021 | On the contribution of the Markowitz model of utility to explain risky choice in experimental research In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 0 |
| 2011 | Real exchange rates and time-varying trade costs In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
| 2009 | Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2005 | The term spread and real economic activity in the US inter-war period In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 2 |
| 2003 | Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 30 |
| 2007 | Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 6 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | ||
| 2013 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 75 |
| 2016 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.(2016) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
| 2004 | NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2004 | TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 7 |
| 2006 | Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2006 | Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2004 | ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2005 | THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED? In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The long memory story of real interest rates. Can it be supported?.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994 In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 4 |
| 2005 | A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 10 |
| 2005 | The process followed by PPP data. On the properties of linearity tests.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2023 | Higher order risk attitudes: new model insights and heterogeneity of preferences In: Experimental Economics. [Full Text][Citation analysis] | article | 1 |
| 2023 | On the predictions of cumulative prospect theory for third and fourth order risk preferences In: Theory and Decision. [Full Text][Citation analysis] | article | 1 |
| 2017 | Exuberance in the U.K. Regional Housing Markets In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Higher-order moments in the theory of diversification and portfolio composition In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2019 | House Prices, (Un)Affordability and Systemic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | House prices, (un)affordability and systemic risk.(2021) In: New Zealand Economic Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Macroprudential Policy in the Euro Area In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Further empirical evidence on the consumption-real exchange rate anomaly. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Temporal aggregation of an ESTAR process In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | On the relationship between Nominal Exchange Rates and domestic and foreign prices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | On the relationship between nominal exchange rates and domestic and foreign prices.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2006 | On the relationship between inflation persistence and temporal aggregation In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2007 | On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | Estimating Argentinas imports elasticities In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | ESTAR model with multiple fixed points. Testing and Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices.(2009) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2009 | Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Bubbles in House Prices and their Impact on Consumption: Evidence for the US In: Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2011 | On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Episodes of exuberance in housing markets In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2004 | Curva 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. [Full Text][Citation analysis] | article | 0 |
| 2010 | Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion In: Journal of Money, Credit and Banking. [Citation analysis] | article | 18 |
| 2010 | Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion.(2010) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2009 | The Econometrics of Exchange Rates In: Palgrave Macmillan Books. [Citation analysis] | chapter | 3 |
| 2010 | Forecasting Monetary Rules in South Africa In: Working Papers. [Citation analysis] | paper | 2 |
| 2019 | Who benefits from being self-employed in urban Ghana? In: Working Papers. [Citation analysis] | paper | 4 |
| 2005 | Ex ante Real Returns in Forward Market Speculation in the Inter-War Period: Evidence and Prediction In: Springer Books. [Citation analysis] | chapter | 0 |
| 2004 | Estimates of US monetary policy rules with allowance for changes in the output gap In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2004 | Term spread and real economic activity in Korea: was the crisis predictable? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2012 | The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2003 | On the equilibrium value of the peseta In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Nonlinear dynamics in economics and finance and unit root testing In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2014 | Temporal Aggregation of Random Walk Processes and Implications for Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES In: International Economic Review. [Full Text][Citation analysis] | article | 17 |
| 2012 | Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates In: Journal of Forecasting. [Citation analysis] | article | 5 |
| 2011 | Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2018 | Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 26 |
| 2004 | Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 2004 | The long memory story of ex post real interest rates. Can it be supported? In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | TESTING 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. [Full Text][Citation analysis] | chapter | 0 |
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