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

8171

Citations

RESEARCH PRODUCTION:

98

Articles

95

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 302
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 108 (1.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa95
   Updated: 2024-04-18    RAS profile: 2024-03-06    
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Relations with other researchers

Works with:

Menkhoff, Lukas (5)

Heidland, Tobias (5)

Rinne, Kalle (3)

CAPELLE-BLANCARD, Gunther (3)

Ødegaard, Bernt (3)

Johannesson, Magnus (3)

Bohorquez Correa, Santiago (3)

Lof, Matthijs (3)

Taylor, Nick (3)

Deev, Oleg (3)

Deku, Solomon (3)

Frömmel, Michael (3)

Nielsson, Ulf (3)

Wolff, Christian (3)

Gehrig, Thomas (3)

Reitz, Stefan (3)

Korajczyk, Robert (3)

Menkveld, Albert (3)

Pastor, Lubos (3)

Pasquariello, Paolo (3)

Talavera, Oleksandr (3)

Harris, Jeffrey (3)

Alexeev, Vitali (3)

Palan, Stefan (3)

Xiu, Dacheng (3)

Schenk-Hoppé, Klaus (3)

Wilhelmsson, Anders (3)

Ranaldo, Angelo (3)

Schwarz, Marco (3)

Voigt, Stefan (3)

Stefanova, Denitsa (3)

FERROUHI, EL MEHDI (3)

Fratzscher, Marcel (3)

Colliard, Jean-Edouard (3)

Roy, Saurabh (3)

Degryse, Hans (3)

Smales, Lee (3)

Huang, Wenqian (3)

Zinna, Gabriele (3)

Shachar, Or (3)

Schmeling, Maik (3)

Dreber, Anna (3)

Xia, Shuo (3)

Zhang, S. Sarah (3)

Foucault, Thierry (3)

Holzmeister, Felix (3)

Brownlees, Christian (3)

Bjønnes, Geir (2)

Scaillet, Olivier (2)

Liew, Chee (2)

Abudy, Menachem (2)

Heath, Davidson (2)

Gorbenko, Arseny (2)

Schuerhoff, Norman (2)

Verousis, Thanos (2)

Adrian, Tobias (2)

Dimpfl, Thomas (2)

Theissen, Erik (2)

Gerritsen, Dirk (2)

Zhou, Chen (2)

Patel, Vinay (2)

Söderlind, Paul (2)

PASCUAL, ROBERTO (2)

Park, Andreas (2)

Hurlin, Christophe (2)

Lajaunie, Quentin (2)

Putnins, Talis (2)

Lopez-Lira, Alejandro (2)

Füllbrunn, Sascha (2)

Ait-Sahalia, Yacine (2)

LINTON, OLIVER (2)

Jalkh, Naji (2)

Prokopczuk, Marcel (2)

Jurkatis, Simon (2)

Vogel, Sebastian (2)

Chernov, Mikhail (2)

Vilkov, Grigory (2)

Hjalmarsson, Erik (2)

Renault, Thomas (2)

Koetter, Michael (2)

Sojli, Elvira (2)

Moinas, Sophie (2)

Roy, Saurabh (2)

van Kervel, Vincent (2)

Dumitrescu, Ariadna (2)

Rakowski, David (2)

Regis, Luca (2)

Tonks, Ian (2)

Güçbilmez, Ufuk (2)

Kassner, Bernhard (2)

Davies, Ryan (2)

Gloede, Oliver (2)

Mihet, Roxana (2)

He, Xuezhong (Tony) (2)

Bos, Charles (2)

Delis, Manthos (2)

Mäkinen, Taneli (2)

Ferrara, Gerardo (2)

Frijns, Bart (2)

Horenstein, Alex (2)

Hautsch, Nikolaus (2)

Caporin, Massimiliano (2)

Kearney, Fearghal (2)

Walther, Thomas (2)

Patton, Andrew (2)

Pelizzon, Loriana (2)

Wong, Wing-Keung (2)

Chow, Nikolai Sheung-Chi (2)

Bouri, Elie (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 (161)

Taylor, Mark (145)

Chang, Tsangyao (118)

Menkhoff, Lukas (112)

Claessens, Stijn (100)

Kose, Ayhan (100)

Czudaj, Robert (84)

MacDonald, Ronald (67)

Peel, David (57)

Reitz, Stefan (55)

Byrne, Joseph (53)

Cites to:

Taylor, Mark (143)

Rogoff, Kenneth (123)

Obstfeld, Maurice (99)

Campbell, John (67)

Bekaert, Geert (65)

Engel, Charles (65)

Clarida, Richard (60)

West, Kenneth (53)

Verdelhan, Adrien (48)

Hodrick, Robert (47)

Shiller, Robert (44)

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
Journal of International Economics5
The Review of Financial Studies4
Journal of Futures Markets4
Economics Letters3
Review3
International Journal of Finance & Economics3
Journal of Money, Credit and Banking3
Applied Financial Economics2
IMF Staff Papers2
Journal of Finance2
Journal of Empirical Finance2
Review of World Economics (Weltwirtschaftliches Archiv)2
Oxford Bulletin of Economics and Statistics2
Journal of Money, Credit and Banking2
Journal of Macroeconomics2
Review of Finance2

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
Working Paper Series / European Central Bank3
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area3
NBER Working Papers / National Bureau of Economic Research, Inc3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research3
MPRA Paper / University Library of Munich, Germany3
BIS Working Papers / Bank for International Settlements2
IMF Working Papers / International Monetary Fund2

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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2023Efficiently 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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2023The 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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2023.

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2023.

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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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2023.

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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 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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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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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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2023Global and local drivers of Bitcoin trading vis-à-vis fiat currencies. (2023). Habib, Maurizio Michael ; di Casola, Paola ; Tercero-Lucas, David. In: Working Paper Series. RePEc:ecb:ecbwps:20232868.

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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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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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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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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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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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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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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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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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2023Addressing Spillovers from Prolonged U.S. Monetary Policy Easing. (2023). Sahay, Ratna ; Rawat, Umang ; Narita, Machiko ; Cecchetti, Stephen G. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001085.

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2023Volatility and correlation of Islamic and conventional indices during crises. (2023). Azad, A. S. M. Sohel, ; Samet, Anis ; Chazi, Abdelaziz. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322001028.

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2023The open-economy ELB: Contractionary monetary easing and the trilemma. (2023). Sandri, Damiano ; Cavallino, Paolo. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001234.

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2023Forecasting the U.S. Dollar in the 21st Century. (2023). Engel, Charles ; Yeung, Steve Pak. In: Journal of International Economics. RePEc:eee:inecon:v:141:y:2023:i:c:s0022199623000016.

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2023Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts. (2023). Hertrich, Daniel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001822.

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2023What explains the benefits of international portfolio diversification?. (2023). Sy, Oumar ; Nazaire, Gregory ; Guedhami, Omrane ; Attig, Najah. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002013.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2023Cross-currency basis swap spreads and corporate dollar funding. (2023). Shapir, Offer Moshe ; Rosenboim, Mosi ; Galil, Koresh ; David-Pur, Lior. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000483.

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2023State-dependent effects of the unconventional monetary policy in stock markets. (2023). Shirota, Toyoichiro. In: Japan and the World Economy. RePEc:eee:japwor:v:67:y:2023:i:c:s0922142523000348.

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2023Currency carry trades and global funding risk. (2023). Suominen, Matti ; Nissinen, Juuso ; Filipe, Sara Ferreira. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000158.

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2023Cross-asset time-series momentum: Crude oil volatility and global stock markets. (2023). Xu, Yahua ; Tse, Yiuman ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002849.

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2023Origins of international factor structures. (2023). Richmond, Robert J ; Jiang, Zhengyang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:1-26.

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2023A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496.

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2023International trade and the risk in bilateral exchange rates. (2023). Loualiche, Erik ; Hassan, Ramin ; Ward, Colin ; Pecora, Alexandre R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001435.

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2023Is domestic uncertainty a local pull factor driving foreign capital inflows? New cross-country evidence. (2023). Furceri, Davide ; Choi, Sangyup ; Ciminelli, Gabriele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s026156062200167x.

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2023What keeps stablecoins stable?. (2023). Viswanath-Natraj, Ganesh ; Lyons, Richard K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001802.

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2023FX intervention to stabilize or manipulate the exchange rate? Inference from profitability. (2023). Sandri, Damiano. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001899.

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2023Inflation, interest rate, and firm efficiency: The impact of policy uncertainty. (2023). Tarkom, Augustine ; Ujah, Nacasius U. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622002029.

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2023Currency exchange rate predictability: The new power of Bitcoin prices. (2023). Zhang, Zhengjun ; Feng, Wenjun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000128.

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2023An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311.

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2023Liquidity yield and exchange rate predictability. (2023). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001043.

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2023Capital controls and foreign reserves against external shocks: Combined or alone?. (2023). CEZAR, Rafael ; Monnet, Eric. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001079.

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2023Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

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2023Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460.

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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2023A network analysis of the structure and dynamics of FX derivatives markets. (2023). Granados, Oscar M ; Ospina-Forero, Luis. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s0378437123001048.

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2023Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty. (2023). Nguyen, Duc Khuong ; Nasir, Muhammad Ali ; Duc, Toan Luu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:191-199.

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2023The volatility index and volatility risk premium in China. (2023). Zhang, Jin E ; Gehricke, Sebastian ; Ruan, Xinfeng ; Yue, Tian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55.

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2023Global risk and market conditions. (2023). Carrieri, Francesca ; Akbari, Amir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:51-70.

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2023Forecasting exchange rate: A bibliometric and content analysis. (2023). Junior, Eli Hadad ; de Souza, Camila. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:607-628.

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2023Does central bank communication on financial stability work? ——An empirical study based on Chinese stock market. (2023). Xing, Mengyue ; Zhu, Degao ; Cheng, Jinfeng ; Du, Xiuli. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:390-407.

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2023Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.

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2023Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456.

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2023The predictability of skewness risk premium on stock returns: Evidence from Chinese market. (2023). Wang, Linyu ; Ni, Zhongxin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:576-594.

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2023Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets. (2023). Sohu, Jan Muhammad ; Alhussam, Mohammed Ismail ; Ali, Shoaib ; Memon, Bilal Ahmed ; Hongxing, Yao ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:190:y:2023:i:c:s0040162523001555.

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

Lucio Sarno has edited the books:

YearTitleTypeCited

Works by Lucio Sarno:

YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article111
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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This paper has nother version. Agregated cites: 111		paper
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2019) In: EconStor Open Access Articles and Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111		article
2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
[Full Text][Citation analysis]		article626
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 626		paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2023Currency risk premiums redux? In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper0
2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper65
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
[Full Text][Citation analysis]		paper59
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2012The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		article
2011Currency Momentum Strategies In: BIS Working Papers.
[Full Text][Citation analysis]		paper202
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 202		paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]		paper64
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		article
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
[Full Text][Citation analysis]		article4
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2004Time?Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article6
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article381
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 381		paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
[Citation analysis]		article27
1999European Capital Flows and Regional Risk In: Manchester School.
[Full Text][Citation analysis]		article9
2002Short? and long?run price level uncertainty under different monetary policy regimes: an international comparison In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article8
2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
1997Estimating the Mean?reverting Component in Stock Prices: A Cross?country comparison In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article1
2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
[Full Text][Citation analysis]		paper2
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		chapter
2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]		paper203
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 203		paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 203		article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 203		paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]		paper142
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
[Full Text][Citation analysis]		paper33
2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
[Full Text][Citation analysis]		paper50
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		article
2004Monetary policy and learning in an open economy In: Research Discussion Papers.
[Full Text][Citation analysis]		paper15
2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article39
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article157
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 157		article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper72
2016Currency Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2017Currency Value.(2017) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper23
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper451
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 451		article
1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper8
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper747
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
[Citation analysis]
This paper has nother version. Agregated cites: 747		article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper290
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 290		article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper87
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		article
2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper176
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		article
2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		paper
2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper198
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 198		article
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper61
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		article
2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper117
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117		article
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper90
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		article
2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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This paper has nother version. Agregated cites: 27		paper
2004Federal funds rate prediction.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 27		article
2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper64
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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This paper has nother version. Agregated cites: 64		article
2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper13
2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 13		article
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper78
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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This paper has nother version. Agregated cites: 78		article
2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper119
2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 119		paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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This paper has nother version. Agregated cites: 119		article
2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper55
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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This paper has nother version. Agregated cites: 55		paper
2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper146
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		article
2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper126
2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
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This paper has nother version. Agregated cites: 126		article
2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper116
2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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This paper has nother version. Agregated cites: 116		article
2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper35
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		article
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper78
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 78		article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2014Which Fundamentals Drive Exchange Rates? A Cross?Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper79
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		article
2003The Economics of Exchange Rates In: Cambridge Books.
[Citation analysis]		book911
2020Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper1
2023Foreign Exchange Intervention: A New Database.(2023) In: IMF Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
[Full Text][Citation analysis]		paper7
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]		paper40
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 40		article
2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]		paper0
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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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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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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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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2005New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market In: Money Macro and Finance (MMF) Research Group Conference 2005.
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2006New evidence on the forward unbiasedness hypothesis in the foreign?exchange market.(2006) In: Journal of Futures Markets.
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1999Composantes permanente et transitoire de lépargne et de linvestissement : une étude empirique des flux internationaux de capitaux au Japon In: Économie et Prévision.
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2000Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics.
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1998Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation In: Review of World Economics (Weltwirtschaftliches Archiv).
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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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