13
H index
18
i10 index
517
Citations
Universidad de Alicante (50% share) | 13 H index 18 i10 index 517 Citations RESEARCH PRODUCTION: 47 Articles 36 Papers 3 Chapters RESEARCH ACTIVITY: 20 years (2003 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppa363 |
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: |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Lancaster University Management School, Economics Department | 22 |
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie) | 7 |
Year | Title of citing document |
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2023 | Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240. Full description at Econpapers || Download paper |
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 |
2023 | . Full description at Econpapers || Download paper |
2023 | Diagnosing 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. Full description at Econpapers || Download paper |
2023 | Exploring 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. Full description at Econpapers || Download paper |
2023 | Monetary policy spillovers and the role of prudential policies in the European Union. (2023). Coman, Andra. In: Working Paper Series. RePEc:ecb:ecbwps:20232854. Full description at Econpapers || Download paper |
2023 | Rational 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. Full description at Econpapers || Download paper |
2023 | Extensions 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. Full description at Econpapers || Download paper |
2023 | Preventing 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. Full description at Econpapers || Download paper |
2023 | Multivariate 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. Full description at Econpapers || Download paper |
2023 | Can 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. Full description at Econpapers || Download paper |
2023 | Financially 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. 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 |
2023 | Co-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. Full description at Econpapers || Download paper |
2023 | Which 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. Full description at Econpapers || Download paper |
2023 | Skewness 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. 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 |
2023 | Re-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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833. Full description at Econpapers || Download paper |
2023 | Macroprudential 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. Full description at Econpapers || Download paper |
2023 | IsSouthAfricafallingintoafiscaldominantregime. (2023). Viegi, Nicola ; Mamburu, Mulalo ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:11041. Full description at Econpapers || Download paper |
2023 | IsSouthAfricafallingintoafiscaldominantregime. (2023). Soobyah, Luchelle ; Viegi, Nicola ; Mamburu, Mulalo. In: Working Papers. RePEc:rbz:wpaper:11046. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Leaning against housing booms fueled by credit. (2023). Martinez, Carlos Canizares. In: Working and Discussion Papers. RePEc:svk:wpaper:1101. Full description at Econpapers || Download paper |
2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
2023 | An 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. Full description at Econpapers || Download paper |
2023 | Do stock price bubbles correlate between China and Pakistan? An inquiry of pre†and postâ€Chinese investment in Pakistani capital market under Chinaâ€Pakistan Economic Corridor regime. (2020). Liaqat, Ayesha ; Anwar, Farooq ; Mirza, Hammad Hassan ; Ahmad, Iftikhar ; Nazir, Mian Sajid. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:3:p:323-335. Full description at Econpapers || Download paper |
2023 | Nowcasting 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 51 |
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: 51 | paper | |
2012 | Forecasting monetary policy rules in South Africa In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 22 |
2010 | Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2019 | Who benefits from being self-employed in urban Ghana?.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | 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 | 5 |
2013 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 72 |
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: 72 | 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 | 0 |
2023 | On the predictions of cumulative prospect theory for third and fourth order risk preferences In: Theory and Decision. [Full Text][Citation analysis] | article | 0 |
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 | 5 |
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 | 19 |
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 | 12 |
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: 12 | 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: 12 | article | |
2007 | Estimating Argentinas imports elasticities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 17 |
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 |
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 |
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 | 25 |
2004 | Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal. [Full Text][Citation analysis] | article | 0 |
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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