Lucio Sarno : Citation Profile


Are you Lucio Sarno?

Centre for Economic Policy Research (CEPR) (1% share)
University of Cambridge (99% share)

43

H index

75

i10 index

8336

Citations

RESEARCH PRODUCTION:

96

Articles

97

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 308
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 277.    Total self citations: 109 (1.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa95
   Updated: 2024-12-03    RAS profile: 2024-05-06    
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Relations with other researchers


Works with:

Heidland, Tobias (5)

Menkhoff, Lukas (5)

Deev, Oleg (4)

Jurkatis, Simon (4)

Renault, Thomas (4)

Korajczyk, Robert (4)

CAPELLE-BLANCARD, Gunther (4)

Gehrig, Thomas (4)

Dreber, Anna (4)

Pastor, Lubos (4)

Wolff, Christian (4)

FERROUHI, EL MEHDI (4)

Reitz, Stefan (4)

Palan, Stefan (4)

Stefanova, Denitsa (4)

Horenstein, Alex (4)

Walther, Thomas (4)

Talavera, Oleksandr (4)

Deku, Solomon (4)

Liew, Chee (4)

Bos, Charles (4)

Füllbrunn, Sascha (4)

Sojli, Elvira (4)

Pasquariello, Paolo (4)

Smales, Lee (4)

Frijns, Bart (4)

Vilkov, Grigory (4)

Schenk-Hoppé, Klaus (4)

Zhang, S. Sarah (4)

Chernov, Mikhail (4)

Dimpfl, Thomas (4)

Colliard, Jean-Edouard (4)

Lof, Matthijs (4)

Huang, Wenqian (4)

Davies, Ryan (4)

Schwarz, Marco (4)

Verousis, Thanos (4)

Caporin, Massimiliano (4)

Schuerhoff, Norman (4)

Foucault, Thierry (4)

Ranaldo, Angelo (4)

Rinne, Kalle (4)

Johannesson, Magnus (4)

Jalkh, Naji (4)

Frömmel, Michael (4)

Harris, Jeffrey (4)

Ødegaard, Bernt (4)

Brownlees, Christian (4)

Hurlin, Christophe (4)

Ait-Sahalia, Yacine (4)

Hautsch, Nikolaus (4)

Nielsson, Ulf (4)

Menkveld, Albert (4)

Shachar, Or (4)

Voigt, Stefan (3)

Degryse, Hans (3)

Koetter, Michael (3)

Bohorquez Correa, Santiago (3)

Neszveda, Gabor (3)

Holzmeister, Felix (3)

Alexeev, Vitali (3)

Xiu, Dacheng (3)

Schmeling, Maik (3)

Wilhelmsson, Anders (3)

Xia, Shuo (3)

Eugster, Nicolas (3)

Mihet, Roxana (3)

Roy, Saurabh (3)

Aloosh, Arash (3)

Taylor, Nick (3)

Zinna, Gabriele (3)

Güçbilmez, Ufuk (3)

Fratzscher, Marcel (3)

Kassner, Bernhard (2)

Gorbenko, Arseny (2)

Lajaunie, Quentin (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Pelizzon, Loriana (2)

Gloede, Oliver (2)

Rakowski, David (2)

Bouri, Elie (2)

Patel, Vinay (2)

Chow, Nikolai Sheung-Chi (2)

Gerritsen, Dirk (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Putnins, Talis (2)

Patton, Andrew (2)

Theissen, Erik (2)

Kearney, Fearghal (2)

van Kervel, Vincent (2)

Heath, Davidson (2)

Abudy, Menachem (2)

LINTON, OLIVER (2)

He, Xuezhong (Tony) (2)

Scaillet, Olivier (2)

PASCUAL, ROBERTO (2)

Moinas, Sophie (2)

Bjønnes, Geir (2)

Mäkinen, Taneli (2)

Ferrara, Gerardo (2)

Dumitrescu, Ariadna (2)

Söderlind, Paul (2)

Lopez-Lira, Alejandro (2)

Tonks, Ian (2)

Park, Andreas (2)

Zhou, Chen (2)

Delis, Manthos (2)

Vogel, Sebastian (2)

Regis, Luca (2)

Gil-Bazo, Javier (2)

Adrian, Tobias (2)

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

Is cited by:

Beckmann, Joscha (172)

Taylor, Mark (151)

Chang, Tsangyao (118)

Menkhoff, Lukas (112)

Kose, Ayhan (100)

Claessens, Stijn (100)

Czudaj, Robert (88)

MacDonald, Ronald (67)

Peel, David (58)

Reitz, Stefan (57)

Byrne, Joseph (52)

Cites to:

Taylor, Mark (143)

Rogoff, Kenneth (123)

Obstfeld, Maurice (99)

Campbell, John (73)

Bekaert, Geert (67)

Engel, Charles (65)

Clarida, Richard (56)

West, Kenneth (53)

Verdelhan, Adrien (48)

Shiller, Robert (46)

Hodrick, Robert (46)

Main data


Where Lucio Sarno has published?


Journals with more than one article published# docs
Journal of Financial Economics7
Journal of International Money and Finance7
Journal of Banking & Finance6
The Review of Financial Studies5
Journal of International Economics5
Journal of Futures Markets3
International Journal of Finance & Economics3
Economics Letters3
Review3
Journal of Money, Credit and Banking3
Applied Financial Economics2
Journal of Finance2
Review of Finance2
Journal of Macroeconomics2
Journal of Money, Credit and Banking2
Review of World Economics (Weltwirtschaftliches Archiv)2
Journal of Empirical Finance2
IMF Staff Papers2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers40
Working Papers / Federal Reserve Bank of St. Louis8
Working Paper series / Rimini Centre for Economic Analysis4
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research3
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area3
Working Paper Series / European Central Bank3
NBER Working Papers / National Bureau of Economic Research, Inc3
MPRA Paper / University Library of Munich, Germany3
IMF Working Papers / International Monetary Fund2
BIS Working Papers / Bank for International Settlements2

Recent works citing Lucio Sarno (2024 and 2023)


YearTitle of citing document
2023Foreign Exchange Interventions and Foreign Shocks: The case of Uruguay. (2023). Elizabeth, Bucacos ; Javier, Garcia-Cicco ; Miguel, Mello. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4657.

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2023PURCHASING POWER PARITY IN RUSSIA AND THE TRANSITIONING ECONOMY 1990-1995. (2023). Eberle, Paul B ; Bradley, Thomas L. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:bradleyt.

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2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2024Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2024The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2023Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data. (2023). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:23-4.

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2023Do Actions Speak Louder than Words? A Foreign Exchange Intervention Analysis. (2023). Villamizar-Villegas, mauricio ; Pinzon-Puerto, Freddy A. In: Borradores de Economia. RePEc:bdr:borrec:1223.

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2023Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243.

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2023Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2023). Naef, Alain. In: Working papers. RePEc:bfr:banfra:911.

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2023The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

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2023Bilateral capital flows: Gravity, push and pull. (2023). Mercado, Rogelio. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:36-63.

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2023Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81.

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2024HIGH-FREQUENCY ANALYSIS OF FOREIGN EXCHANGE INTERVENTIONS: WHAT DO WE LEARN?. (2010). Menkhoff, Lukas. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:24:y:2010:i:1:p:85-112.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394.

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2023Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.

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2023Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023Foreign exchange hedging using regime-switching models: the case of pound sterling. (2023). Fatouh, Mahmoud ; Papapostolou, Nikos C ; Moutzouris, Ioannis C ; Lee, Taehyun. In: Bank of England working papers. RePEc:boe:boeewp:1042.

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2023Intervening against the Fed. (2023). Yago, N ; Timmer, Y ; Rodnyansky, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2357.

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2023Liquidity and Exchange Rates: An Empirical Investigation. (2023). Yeung, Steve Pak ; Engel, Charles. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt4z80w6cd.

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2023Intervening against the Fed. (2023). Yago, Naoki ; Timmer, Yannick ; Rodnyansky, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10575.

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2023Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2023Effectiveness of Foreign Exchange Interventions: Evidence and Lessons from Chile. (2023). Griffith-Jones, Stephany ; Arenas, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:983.

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2023HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading. (2023). Ranaldo, Angelo ; Huang, Wenqian ; Yu, Shihao ; O'Neill, Peter. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2348.

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2023Recent advances in the literature on capital flow management. (2023). Wesołowski, Grzegorz ; Theofilakou, Anastasia ; CEZAR, Rafael ; van den Hove, Floriane ; Eijking, Carlijn ; Scheubel, Beatrice ; Bruggemann, Axel ; Landi, Valerio Nispi ; Berganza, Juan Carlos ; Naef, Alain ; Beck, Roland ; Sanchez, Luis Molina ; Moder, Isabella ; Marsilli, Clement ; Kreitz, Lilian ; Alves, Joel Graa ; Fuentes, Alberto ; Wesoowski, Grzegorz ; Eller, Markus. In: Occasional Paper Series. RePEc:ecb:ecbops:2023317.

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2023Exchange Rate (MIS-) Alignment: An Application of the Behavioural Equilibrium Exchange Rate (beer) Approach to Zimbabwe (1990-2018). (2023). Mugwira, Vincent ; Pasara, Michael Takudzwa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-15.

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2023Foreign institutional ownership externalities and supplier innovation. (2023). Lin, Bingxuan ; Wei, Minghai ; Xu, Xiaowei ; Yi, Zhaoying. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000706.

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2023Quantitative easing in the US and financial cycles in emerging markets. (2023). Wesołowski, Grzegorz ; Kolasa, Marcin ; Wesoowski, Grzegorz. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000374.

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2023Time-variation in the effects of push and pull factors on portfolio flows: Evidence from a Bayesian dynamic factor model. (2023). Karadimitropoulou, Aikaterini ; Bettendorf, Timo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001628.

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2024Bonds, currencies and expectational errors. (2024). Sihvonen, Markus ; Granziera, Eleonora. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001963.

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2023Assessment of Fiji’s exchange rate. (2023). Vuniivi, Viliame ; Prakash, Branesh ; Prabheesh, K P. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1282-1305.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023Asymmetries in multi-target monetary policy rule and the role of uncertainty: Evidence from China. (2023). Tian, Hao ; Zuo, Yulan ; Long, Shaobo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:278-296.

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2023How many fundamentals should we include in the behavioral equilibrium exchange rate model?. (2023). Rubaszek, Michał ; Ca, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s026499932200308x.

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2023Global uncertainty shocks and exchange-rate expectations in Latin America. (2023). Romero, José ; Ojeda-Joya, Jair. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004229.

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2023Portfolio capital flows before and after the Global Financial Crisis. (2023). Boonman, Tjeerd. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002523.

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2023Transition risk of a petroleum currency. (2023). Hammersland, Roger ; Benedictow, Andreas. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003085.

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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2024Nonlinear dynamics of Kimchi premium. (2024). Yang, Yangzhuoran Fin ; Koo, Bonsoo ; Seo, Myung Hwan. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000828.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Public debt management and private financial development. (2023). Presbitero, Andrea F ; Pedersoli, Silvia. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s0939362522000723.

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2023Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620.

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2023The global financial cycle and capital flows during the COVID-19 pandemic. (2023). Davis, Jonathan ; Zlate, Andrei. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s001429212300106x.

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2023Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091.

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2024Are FX communications effective? Evidence from emerging markets. (2024). Parra-Polanía, Julián ; Sanchez-Jabba, Andres ; Parra-Polania, Julian ; Sarmiento, Miguel. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000961.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023The money-inflation nexus revisited. (2023). Zorner, Thomas O ; Ringwald, Leopold. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:293-333.

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2023On the driving forces of real exchange rates: Is the Japanese Yen different?. (2023). Zeng, Ming ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000907.

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2023A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies. (2023). Yan, Shu ; Jia, yuecheng ; Liu, Yuzheng ; Wu, Yangru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000956.

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2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

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2024Factor momentum in the Chinese stock market. (2024). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251.

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2023Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078.

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2023Who are the vectors of contagion? Evidence from emerging markets. (2023). Munera, Daimer J ; Agudelo, Diego A. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001151.

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2023Factor 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.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2023Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors. (2023). Wegener, Christoph ; Saft, Danilo ; Desmyter, Steven ; Basse, Tobias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002818.

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2023Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356.

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2023Capital liberalization, growth and moral hazard: Lessons from the global financial crisis. (2023). Sugozu, Ibrahim Halil ; Yasar, Sema ; Verberi, Can. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004179.

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2024Political risks, excess and carry trade returns in global markets. (2024). Blenman, Lloyd P ; Kesse, Kwabena. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004222.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Donald Trumps tweets, political value judgment, and the Renminbi exchange rate. (2024). Frömmel, Michael ; Baidoo, Edwin ; Frommel, Michael ; Zhang, Qisi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000917.

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2024Volatility connectedness on the central European forex markets. (2024). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400111x.

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2024Numerological superstitions and market-wide herding: Evidence from China. (2024). Gebka, Bartosz ; Gavriilidis, Konstantinos ; Cui, Yueting ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001315.

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2024Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis. (2024). Li, Hongmei ; Chen, Fengwen ; Wang, Wei ; Lu, Man. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001856.

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2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

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2023The informational role of fund flow in the profitable predictability of mutual funds. (2023). Yamani, Ehab. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006225.

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2023Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533.

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2023Bibliometric review of research on exchange rate predictability and fundamentals. (2023). Gulati, Vishal. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006001.

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2023Beyond the dollar: A global perspective on exchange rate dynamics via currency factors. (2023). Gomes, Sofia ; Trancoso, Tiago. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006335.

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2024Spillover effects of monetary policy and information shocks. (2024). Suardi, Sandy ; Khrashchevskyi, Ian ; Hou, Ai Jun ; Xu, Caihong. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001016.

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2023Arbitrage in the market for cryptocurrencies. (2023). Zeisberger, Stefan ; Pelster, Matthias ; Crepelliere, Tommy. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000150.

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More than 100 citations found, this list is not complete...

Lucio Sarno has edited the books:


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YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
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article119
2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
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2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
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2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2019) In: EconStor Open Access Articles and Book Chapters.
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2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
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article634
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
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2019Risky bank guarantees In: Temi di discussione (Economic working papers).
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2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
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2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
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2023Currency risk premiums redux? In: Temi di discussione (Economic working papers).
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paper1
2024Currency Risk Premiums Redux.(2024) In: The Review of Financial Studies.
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2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
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paper72
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
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2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
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2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
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2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
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article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
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paper60
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
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2012The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics.
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article
2011Currency Momentum Strategies In: BIS Working Papers.
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paper214
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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2012Currency Momentum Strategies.(2012) In: Working Paper series.
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2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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paper67
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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article
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
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article4
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
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2004Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
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article6
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article399
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
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1999European Capital Flows and Regional Risk In: Manchester School.
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2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics.
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2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
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2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
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2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
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paper208
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
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2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
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article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
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paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
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paper145
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
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2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
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2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
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2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
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2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
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paper52
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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2004Monetary policy and learning in an open economy In: Research Discussion Papers.
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2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
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2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: The Review of Financial Studies.
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2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
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2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
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article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
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paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
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paper458
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
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article
1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
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paper8
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
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paper754
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
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This paper has nother version. Agregated cites: 754
article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
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paper294
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
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article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
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paper89
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
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2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
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2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
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2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
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paper178
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
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2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
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2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
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paper198
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
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2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
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paper62
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
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2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
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2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
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paper118
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
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2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
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2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
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2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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2004Federal funds rate prediction.(2004) In: Working Papers.
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2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
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2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
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2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
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2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
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2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
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2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
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2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
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2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
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2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
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2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
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2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
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2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics.
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2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
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2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
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2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: The Review of Financial Studies.
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2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
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2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
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2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
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2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
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2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
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2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
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2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
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2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
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2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
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2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
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2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
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2020Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin.
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2020Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers.
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2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
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2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
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2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
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1999Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics.
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2024Risks and risk premia in the US Treasury market In: Journal of Economic Dynamics and Control.
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1998Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters.
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2000Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters.
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2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
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2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
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2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
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2022The cost of foreign-currency lending In: Journal of Banking & Finance.
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2010Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance.
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2014Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance.
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2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
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2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance.
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2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers.
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1999Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics.
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2004The efficient market hypothesis and identification in structural VARs In: Review.
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2004International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum In: International Journal of Finance & Economics.
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2003Nonlinear Exchange Rate Models: A Selective Overview.(2003) In: Rivista di Politica Economica.
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2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
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2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking.
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2000Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv).
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2000Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters.
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2003An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics.
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1997Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics.
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1997Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity In: Applied Economics.
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1999The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence In: Journal of Futures Markets.
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2000The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets.
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2002Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets.
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2004Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal.
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