Lucio Sarno : Citation Profile

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

44

H index

77

i10 index

8624

Citations

RESEARCH PRODUCTION:

101

Articles

102

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   28 years (1997 - 2025). See details.
   Cites by year: 308
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 244.    Total self citations: 110 (1.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa95
   Updated: 2025-12-20    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Dumitrescu, Ariadna (8)

Ødegaard, Bernt (8)

Gehrig, Thomas (8)

Menkveld, Albert (8)

Frijns, Bart (8)

Renault, Thomas (8)

Lof, Matthijs (8)

Caporin, Massimiliano (8)

Foucault, Thierry (8)

Taylor, Nick (8)

Bos, Charles (8)

Liew, Chee (8)

Johannesson, Magnus (8)

Deev, Oleg (8)

Harris, Jeffrey (8)

Palan, Stefan (8)

Schwarz, Marco (8)

Hurlin, Christophe (8)

Alexeev, Vitali (8)

Sojli, Elvira (8)

Ferrara, Gerardo (8)

Scaillet, Olivier (8)

Pastor, Lubos (8)

Korajczyk, Robert (8)

Wolff, Christian (8)

Rinne, Kalle (8)

Brownlees, Christian (8)

Moinas, Sophie (8)

Tonks, Ian (8)

Smales, Lee (8)

Stefanova, Denitsa (8)

Talavera, Oleksandr (8)

Nielsson, Ulf (8)

FERROUHI, EL MEHDI (8)

Schuerhoff, Norman (8)

Dreber, Anna (8)

Frömmel, Michael (8)

Neszveda, Gabor (7)

Shui, Jessica (7)

Schenk-Hoppé, Klaus (7)

Bohorquez Correa, Santiago (7)

Hambuckers, Julien (7)

Xiu, Dacheng (6)

Gil-Bazo, Javier (6)

Degryse, Hans (6)

Wilhelmsson, Anders (6)

Reitz, Stefan (6)

Füllbrunn, Sascha (6)

Gerritsen, Dirk (6)

Ranaldo, Angelo (6)

Jurkatis, Simon (6)

Park, Andreas (6)

Chernov, Mikhail (6)

Xia, Shuo (6)

Shachar, Or (6)

LINTON, OLIVER (6)

Roy, Saurabh (6)

Pasquariello, Paolo (6)

Zhang, S. Sarah (6)

Holzmeister, Felix (6)

Vilkov, Grigory (6)

Huang, Wenqian (5)

Davies, Ryan (5)

Koetter, Michael (5)

Dimpfl, Thomas (5)

Hautsch, Nikolaus (5)

Deku, Solomon (5)

Verousis, Thanos (5)

Jalkh, Naji (5)

Eugster, Nicolas (5)

Walther, Thomas (5)

Horenstein, Alex (5)

CAPELLE-BLANCARD, Gunther (5)

Ait-Sahalia, Yacine (4)

van Kervel, Vincent (4)

Aloosh, Arash (4)

Güçbilmez, Ufuk (4)

Colliard, Jean-Edouard (4)

Schmeling, Maik (3)

Mihet, Roxana (3)

Heidland, Tobias (3)

Abudy, Menachem (3)

Menkhoff, Lukas (3)

Capera Romero, Laura (3)

Voigt, Stefan (3)

He, Xuezhong (Tony) (3)

Chow, Nikolai Sheung-Chi (3)

Pelizzon, Loriana (2)

Prokopczuk, Marcel (2)

Putnins, Talis (2)

Theissen, Erik (2)

Adrian, Tobias (2)

PASCUAL, ROBERTO (2)

Rakowski, David (2)

Söderlind, Paul (2)

Lajaunie, Quentin (2)

Heath, Davidson (2)

Delis, Manthos (2)

Hasse, Jean-Baptiste (2)

Wong, Wing-Keung (2)

Bjønnes, Geir (2)

Bouri, Elie (2)

Patel, Vinay (2)

Patton, Andrew (2)

Hjalmarsson, Erik (2)

Lopez-Lira, Alejandro (2)

Vogel, Sebastian (2)

Gorbenko, Arseny (2)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Zhou, Chen (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Fratzscher, Marcel (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 (186)

Taylor, Mark (156)

Chang, Tsangyao (118)

Menkhoff, Lukas (114)

Kose, Ayhan (100)

Claessens, Stijn (100)

Czudaj, Robert (88)

Sakemoto, Ryuta (69)

MacDonald, Ronald (67)

Peel, David (58)

Reitz, Stefan (57)

Cites to:

Taylor, Mark (145)

Rogoff, Kenneth (123)

Obstfeld, Maurice (100)

Campbell, John (74)

Bekaert, Geert (67)

Engel, Charles (65)

Clarida, Richard (60)

West, Kenneth (53)

Verdelhan, Adrien (48)

Hodrick, Robert (48)

Shiller, Robert (46)

Main data

Where Lucio Sarno has published?

Journals with more than one article published# docs
Journal of Financial Economics8
Journal of International Money and Finance7
Journal of Banking & Finance6
The Review of Financial Studies5
Journal of International Economics5
Journal of Futures Markets4
Journal of Money, Credit and Banking3
International Journal of Finance & Economics3
Review3
Economics Letters3
Journal of Finance3
Journal of Empirical Finance2
Review of World Economics (Weltwirtschaftliches Archiv)2
Journal of Macroeconomics2
Applied Financial Economics2
Review of Finance2
Oxford Bulletin of Economics and Statistics2
Journal of Money, Credit and Banking2
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
NBER Working Papers / National Bureau of Economic Research, Inc3
MPRA Paper / University Library of Munich, Germany3
Post-Print / HAL3
Working Paper Series / European Central Bank3
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
IMF Working Papers / International Monetary Fund2
BIS Working Papers / Bank for International Settlements2

Recent works citing Lucio Sarno (2025 and 2024)

YearTitle of citing document
2025Analyzing the impact of macroeconomic variables on agricultural derivatives performance in the SAFEX market. (2025). Mudau, Tanganedzani ; Mokatsanyane, Daniel. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:7:y:2025:i:1:p:16-29.

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2025The Decline of Too Big to Fail. (2025). Duffie, Darrell ; Zhu, Yichao ; Berndt, Antje. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:945-74.

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

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

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2025Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies. (2025). Chen, Heming. In: Papers. RePEc:arx:papers:2501.12841.

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2025Export proceeds repatriation policies: A shield against exchange rate volatility in emerging markets?. (2025). Uli, Sondang Marsinta ; Djuranovik, Leslie ; Gitaharie, Beta Yulianita ; Ekananda, Mahjus. In: Papers. RePEc:arx:papers:2506.09168.

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2025100-Day Analysis of USD/IDR Exchange Rate Dynamics Around the 2025 U.S. Presidential Inauguration. (2025). , Sandy ; Kaban, Siti N ; Nugraha, Cahya. In: Papers. RePEc:arx:papers:2506.18738.

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2025FX-constrained growth: Fundamentalists, chartists and the dynamic trade-multiplier. (2025). Sordi, Serena ; Davila-Fernandez, Marwil J. In: Papers. RePEc:arx:papers:2508.02252.

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2025Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14784.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2024Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run. (2024). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:588.

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2025When Low Rates Speak Loud: exchange rate dynamics under different interest rate regimes. (2025). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jos Valentim. In: Working Papers Series. RePEc:bcb:wpaper:630.

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2025Effects of Exchange Rate, Inflation, and Interest Rates on Tea Exports in Kenya. (2025). Collins, Mutai. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:i:10:p:3454-3483.

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2025Impulse Response to Exchange Rate, Exports and Imports Shocks in Kenya 1990-2023. (2025). Wainaina, Martin Chege. In: International Journal of Economics. RePEc:bdu:ijecon:v:10:y:2025:i:1:p:39-67:id:3150.

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2025The transformation of the life insurance industry: systemic risks and policy challenges. (2025). Pinter, Gabor ; Lewrick, Ulf ; Gelos, Gaston ; Packer, Frank ; Garavito, Fabian ; Sushko, Vladyslav ; Todorov, Karamfil ; Aquilina, Matteo. In: BIS Papers. RePEc:bis:bisbps:161.

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2024Covered interest parity: a forecasting approach to estimate the neutral band. (2024). Hernandez, Juan. In: BIS Working Papers. RePEc:bis:biswps:1206.

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2024Does Portfolio Momentum Beat Analyst Advice?. (2024). Batten, Jonathan A ; Lee, Jae Yong ; Ham, Hyuna ; Ryu, Doojin. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:2:p:338-364.

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2024International financial integration and financial depth: New evidence from an asymmetry analysis. (2024). Hayes, Linda A ; Niroomand, Farhang ; Hajilee, Massomeh. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:4:p:729-745.

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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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202430 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007.

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2024Currency Management by International Fixed‐Income Mutual Funds. (2024). Sialm, Clemens ; Zhu, Qifei. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4037-4081.

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2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

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

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2024Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels. (2024). Caporale, Guglielmo Maria ; Menla-Ali, Faek. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11337.

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2024Mean Reversion of the German City System After the WWII Bombing of Cities: What Is the Mean?. (2024). Kohl, Tristan ; Garretsen, Harry ; Brakman, Steven ; Nguyen, Duc A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11423.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852.

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2025Persistence and Nonlinearities in the US Federal Funds Rate. (2025). Caporale, Guglielmo Maria ; Gil-Alana, Luis Alberiko. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11913.

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2024UIP Deviations: Insights from Event Studies. (2024). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1007.

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2024Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements. (2024). Ngo, Ngoc Anh ; Malovana, Simona ; Hodula, Martin ; Janku, Jan. In: Working Papers. RePEc:cnb:wpaper:2024/8.

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2024Term Spread Spillovers to Latin America and Emergence of the ‘Twin Ds’. (2024). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: Documentos de trabajo. RePEc:col:000566:021169.

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2025The responsiveness of the income balance to the exchange rate. (2025). Behar, Alberto ; Hassan, Ramin. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00231.

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2024The role of comovement and time-varying dynamics in forecasting commodity prices. (2024). Venditti, Fabrizio ; Allayioti, Anastasia. In: Working Paper Series. RePEc:ecb:ecbwps:20242901.

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2025Investment funds and euro disaster risk. (2025). Kaufmann, Christoph ; Georgiadis, Georgios ; Longaric, Pablo Anaya ; Cera, Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20253029.

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2024An Econometric Analysis of Inflation, Exchange Rate, and Interest Rate on Stock Market Performance in South Africa. (2024). Maponya, Lethabo ; Kanayo, Ogujiuba ; Donald, Semosa ; Trecy, Maake. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-06-39.

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2024Analysis of the Effect of Renewable Energy Consumption and Industrial Production on CO2 Emissions in Turkic Republics by Panel Data Analysis Method. (2024). Turalina, Svetlana ; Yessenbekova, Sapargul ; Nurgabylov, Murat ; Myrzabekkyzy, Kundyz ; Baytaeva, Gulnara ; Yesbolova, Ainur Yergazievna ; Abdulova, Tolkyn. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-01-52.

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2024The Effect of Energy Production and Foreign Trade on the Economic Growth of Turkic Republics: A Study Using Panel Data Analysis Method. (2024). Sultanova, Zamzagul ; Abdibekov, Saken Ualikhanovich ; Myrzabekkyzy, Kundyz ; Tastanbekova, Karlygash ; Mustafayeva, Bagila ; Ibyzhanova, Aizhan ; Aliyeva, Zhanna T. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-13.

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2024Relationship between Oil Price, Inflation, and Economic Growth in BRICS Countries: Panel Cointegration Analysis. (2024). Imanbayev, Aliy ; Jaxybekova, Galiya ; Baisholanova, Karlygash ; Ramashova, Aissulu Nurmambekovna ; Aidarova, Aina B ; Kenzhebekova, Indira ; Kelesbayev, Dinmukhamed. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-06-3.

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2024Relationship between Oil Exports, Renewable Energy Consumption, Agriculture Industry, and Economic Growth in Selected OPEC Countries: A Panel ARDL Analysis. (2024). Mustafayeva, Bagila ; Tastanbekova, Karlygash ; Utemissova, Guliya ; Yessentayeva, Aizhan A ; Mukhamediyeva, Gulzada ; Aidarova, Aina B ; Myrzabekkyzy, Kundyz. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-06-33.

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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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2024Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964.

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2025Regime-specific exchange rate predictability. (2025). Beckmann, Joscha ; Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000612.

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2025Optimal N-state endogenous Markov-switching model for currency liquidity timing. (2025). Wang, Luqi ; Urga, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001034.

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2024What explains foreign portfolio investment inflows to BRICS countries?. (2024). Dua, Pami ; Kumar, Virender. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:32-46.

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

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2024Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: The case of developed countries. (2024). Alves, José ; Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002591.

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2025Stock prices and monetary policy: Analysis of a Bayesian DSGE model. (2025). Ida, Daisuke ; Hoshino, Satoshi. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000707.

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2025Covered interest parity: A forecasting approach to estimate the neutral band. (2025). Hernandez, Juan ; Hernndez, Juan R. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000719.

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2025Global financial risk and uncovered interest parity premia in Central and Eastern Europe. (2025). Janus, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000732.

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2024Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform. (2024). Saiki, Yoshitaka ; Muto, Makoto. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001165.

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2025A further examination of sovereign domestic and external debt defaults. (2025). Ghulam, Yaseen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400247x.

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2024The local to unity dynamic Tobit model. (2024). Duffy, James A ; Bykhovskaya, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001106.

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

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2024Expectations, sentiments and capital flows to emerging market economies. (2024). Boonman, Tjeerd ; Beckmann, Joscha ; Schreiber, Sven. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000670.

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2024Impact of asymmetry on exchange rate determination: The role of fundamentals. (2024). Korap, Levent. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124001018.

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2025Foreign exchange intervention and capital flow measures under external tail risks. (2025). Pienknagura, Samuel ; Magud, Nicolas. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001407.

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

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024Oil price shocks and bond risk premia: Evidence from a panel of 15 countries. (2024). Lyrio, Marco ; Nersisyan, Liana ; Iania, Leonardo. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006480.

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2024Novel and old news sentiment in commodity futures markets. (2024). El-Jahel, Lina ; Chi, Yeguang ; Vu, Thanh. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x.

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2025Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability. (2025). Afshan, Sahar ; Sharif, Arshian ; Shams, Syed ; Sarker, Tapan ; Razi, Ummara. In: Energy. RePEc:eee:energy:v:331:y:2025:i:c:s0360544225025903.

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2025The informational role of forex option volume. (2025). Wang, Muhan ; Stan, Raluca ; Papakroni, Erlina ; Gu, Chen ; Chen, Denghui ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000651.

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2025Through the looking glass: Unveiling geopolitical risks and sovereign bond spillovers in the eurozone. (2025). Jiang, Yong ; Dai, Jia-Hang ; Ren, Yi-Shuai ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002777.

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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 ; Palwishah, Rana ; Kashif, Muhammad ; Ur, Mobeen. 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). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. 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). ZHANG, QISI ; Frömmel, Michael ; Frommel, Michael ; Baidoo, Edwin. 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 ; Albrecht, Peter ; Koenda, Even. 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 ; Cui, Yueting ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. 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). Wang, Wei ; Lu, Man ; Li, Hongmei ; Chen, Fengwen. 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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2024The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates. (2024). Kitamura, Yoshihiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002941.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Exchange rate stability and expectation management under heterogeneous expectations. (2024). Li, Xiaoping ; Shi, Wenming ; Wang, Nan ; Duan, Jihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003855.

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2024Commodity sectors and factor investment strategies. (2024). Sakemoto, Ryuta ; Nakagawa, Kei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004253.

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2024The macro driving factors of co-movement of RMB with other currencies in FX markets. (2024). Dai, Yixin ; Teng, Fengfan ; Zhou, Jindie ; Xu, Xiangyun ; Yu, Cong. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005131.

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2024Sovereign momentum currency returns. (2024). Lin, Ming-Tsung ; Calice, Giovanni. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924004046.

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2025EPU spillovers and exchange rate volatility. (2025). He, Zhongzhi ; Gong, Yuting ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567.

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2025Conditional currency momentum portfolios. (2025). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000511.

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

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2024Currency portfolios and global foreign exchange ambiguity. (2024). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005646.

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2025Forecasting the daily exchange rate of the UK pound sterling against the US dollar. (2025). Darvas, Zsolt ; Schepp, Zoltn. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014806.

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2025Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets. (2025). Muck, Matthias ; Schmidl, Thomas ; Wolf, Julian. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401537x.

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2025Political stability as a risk factor in global markets. (2025). Jeutang, Noel Pavel ; Kesse, Kwabena ; Payne, Brian C. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016878.

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2025Can switching between predictive models and the historical average improve bond return predictability?. (2025). Xing, Bingxin Ann ; Wan, Runqing. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001394.

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2025A profitable currency portfolio strategy: Learning from connectedness. (2025). Zhang, Qingyi ; Liu, Ruiqi ; Hong, Ziyi ; Cai, Feifei ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002168.

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2024Stabilizing the financial markets through communication and informed trading. (2024). Wang, Gaowang ; Huang, Shaoan ; Guo, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000156.

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2024The effectiveness of FX interventions: A meta-analysis. (2024). Villamizar-Villegas, mauricio ; Rodríguez-Novoa, Daniela ; Menkhoff, Lukas ; Arango-Lozano, Lucia ; Rodriguez-Novoa, Daniela. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308920300930.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2024UIP deviations: Insights from event studies. (2024). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias. In: Journal of International Economics. RePEc:eee:inecon:v:148:y:2024:i:c:s0022199624000011.

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2024Cross-country price dispersion: Retail network or national border?. (2024). Strasser, Georg ; Rumler, Fabio ; Messner, Teresa. In: Journal of International Economics. RePEc:eee:inecon:v:152:y:2024:i:c:s0022199624001235.

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2025Measuring the contemporal and lead connectedness level between investor sentiment and exchange rate dynamics in Vietnam: Novel findings from TVP-VAR-SV technique. (2025). Ha, Le Thanh. In: International Economics. RePEc:eee:inteco:v:181:y:2025:i:c:s2110701725000010.

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2025News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368.

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2024Green bond issuance and credit risk: International evidence. (2024). Shen, Long ; Ballester, Laura ; Gonzalez-Urteaga, Ana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000799.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2024Limits to arbitrage and the term structure of CIP violations. (2024). Chen, Xiaohong ; Wohlfarth, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124000970.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2025Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525.

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

Lucio Sarno has edited the books:

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Works by Lucio Sarno:

YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article137
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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This paper has nother version. Agregated cites: 137		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]		article648
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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This paper has nother version. Agregated cites: 648		paper
2025A general randomized test for Alpha In: Papers.
[Full Text][Citation analysis]		paper0
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper8
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 8		paper
2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 8		article
2023Currency risk premiums redux? In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2024Currency Risk Premiums Redux.(2024) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 2		article
2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper79
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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This paper has nother version. Agregated cites: 79		paper
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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This paper has nother version. Agregated cites: 79		article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
[Full Text][Citation analysis]		paper63
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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This paper has nother version. Agregated cites: 63		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: 63		article
2011Currency Momentum Strategies In: BIS Working Papers.
[Full Text][Citation analysis]		paper229
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 229		paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 229		article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 229		paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]		paper73
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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This paper has nother version. Agregated cites: 73		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.
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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]		article420
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 420		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2024Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2024Nonstandard Errors.(2024) In: Post-Print.
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2024Nonstandard Errors.(2024) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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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
2006Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003.(2006) In: Contributions to Economic Analysis.
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2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]		paper216
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 216		paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
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2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
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This paper has nother version. Agregated cites: 216		paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]		paper152
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 152		paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 152		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]		paper54
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 54		paper
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.
[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]		article160
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: 160		article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper86
2016Currency Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2017Currency Value.(2017) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 6		article
2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper32
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 32		article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
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1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper463
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 463		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]		paper7
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper762
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: 762		article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper296
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
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2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper90
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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This paper has nother version. Agregated cites: 90		article
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.
[Full Text][Citation analysis]		paper16
2003 Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking.
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2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper180
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.
[Full Text][Citation analysis]		paper200
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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This paper has nother version. Agregated cites: 200		article
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper63
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.
[Full Text][Citation analysis]		paper120
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.
[Full Text][Citation analysis]		paper95
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 95		article
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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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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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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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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2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
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2003The Economics of Exchange Rates In: Cambridge Books.
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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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2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
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2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 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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2014Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper series.
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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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2012Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance.
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2015What Drives International Portfolio Flows?.(2015) In: Working Paper series.
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1998Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics.
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1999Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics.
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2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
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2003The efficient market hypothesis and identification in structural VARs.(2003) In: Working Papers.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2006Special issue on advances in international money, macro and finance In: International Journal of Finance & Economics.
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1999Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics.
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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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2006New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market.(2006) In: Journal of Futures Markets.
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2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
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1997Capital Flows to Developing Countries: Long- and Short-Term Determinants. In: The World Bank Economic Review.
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2009Carry Trades and Global FX Volatility In: MPRA Paper.
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2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
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2018Foreign currency lending In: MPRA Paper.
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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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2004Monetary policy and learning in an open economy In: Macroeconomics.
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2004Monetary policy and learning in an open economy.(2004) In: Bank of Finland Research Discussion Papers.
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