Lucio Sarno : Citation Profile

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

43

H index

76

i10 index

8471

Citations

RESEARCH PRODUCTION:

100

Articles

99

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 313
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 165.    Total self citations: 110 (1.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa95
   Updated: 2025-04-12    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Zhang, S. Sarah (6)

Ranaldo, Angelo (6)

Brownlees, Christian (6)

Hurlin, Christophe (6)

Scaillet, Olivier (6)

Foucault, Thierry (6)

Nielsson, Ulf (6)

Xiu, Dacheng (6)

Ødegaard, Bernt (6)

LINTON, OLIVER (6)

Reitz, Stefan (6)

Pastor, Lubos (6)

Dreber, Anna (6)

Shachar, Or (6)

Bos, Charles (6)

Harris, Jeffrey (6)

Wolff, Christian (6)

Xia, Shuo (6)

FERROUHI, EL MEHDI (6)

Wilhelmsson, Anders (6)

Johannesson, Magnus (6)

Holzmeister, Felix (6)

Gerritsen, Dirk (6)

Park, Andreas (6)

Smales, Lee (6)

Jurkatis, Simon (6)

Schwarz, Marco (6)

Alexeev, Vitali (6)

Gehrig, Thomas (6)

Liew, Chee (6)

Schuerhoff, Norman (6)

Palan, Stefan (6)

Stefanova, Denitsa (6)

Lof, Matthijs (6)

Deev, Oleg (6)

Rinne, Kalle (6)

Pasquariello, Paolo (6)

Korajczyk, Robert (6)

Füllbrunn, Sascha (6)

Talavera, Oleksandr (6)

Chernov, Mikhail (6)

Sojli, Elvira (6)

Renault, Thomas (6)

Frömmel, Michael (6)

Ferrara, Gerardo (6)

Menkveld, Albert (5)

Eugster, Nicolas (5)

Hautsch, Nikolaus (5)

Bohorquez Correa, Santiago (5)

Vilkov, Grigory (5)

Horenstein, Alex (5)

Walther, Thomas (5)

Huang, Wenqian (5)

Neszveda, Gabor (5)

Schenk-Hoppé, Klaus (5)

Davies, Ryan (5)

Frijns, Bart (5)

Koetter, Michael (5)

Caporin, Massimiliano (5)

Verousis, Thanos (5)

Dimpfl, Thomas (5)

Deku, Solomon (5)

Jalkh, Naji (5)

CAPELLE-BLANCARD, Gunther (5)

Colliard, Jean-Edouard (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

Ait-Sahalia, Yacine (4)

Aloosh, Arash (4)

Abudy, Menachem (3)

Gil-Bazo, Javier (3)

He, Xuezhong (Tony) (3)

Roy, Saurabh (3)

Menkhoff, Lukas (3)

Schmeling, Maik (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Mihet, Roxana (3)

Taylor, Nick (3)

Chow, Nikolai Sheung-Chi (3)

Heidland, Tobias (3)

PASCUAL, ROBERTO (2)

Kassner, Bernhard (2)

Patton, Andrew (2)

Moinas, Sophie (2)

Tonks, Ian (2)

Fratzscher, Marcel (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Rakowski, David (2)

Wong, Wing-Keung (2)

Pelizzon, Loriana (2)

Hasse, Jean-Baptiste (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Adrian, Tobias (2)

Vogel, Sebastian (2)

Patel, Vinay (2)

Bouri, Elie (2)

Zhou, Chen (2)

Bjønnes, Geir (2)

Delis, Manthos (2)

Heath, Davidson (2)

Hjalmarsson, Erik (2)

Dumitrescu, Ariadna (2)

Lopez-Lira, Alejandro (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Putnins, Talis (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 (173)

Taylor, Mark (156)

Chang, Tsangyao (118)

Menkhoff, Lukas (114)

Kose, Ayhan (100)

Claessens, Stijn (100)

Czudaj, Robert (88)

MacDonald, Ronald (67)

Sakemoto, Ryuta (58)

Peel, David (58)

Reitz, Stefan (57)

Cites to:

Taylor, Mark (145)

Rogoff, Kenneth (123)

Obstfeld, Maurice (99)

Campbell, John (74)

Bekaert, Geert (67)

Engel, Charles (65)

Clarida, Richard (60)

West, Kenneth (53)

Verdelhan, Adrien (48)

Hodrick, Robert (47)

Shiller, Robert (46)

Main data

Production by document typepaperchapterarticlebook199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,5002,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 43Most cited documents12345678910111213141516171819202122232425262728293031323334353637383940414243444505001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040204060h-index Highcharts.comExport to raster or vector imagePrint the chart

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 Studies5
Journal of Futures Markets4
Review3
Economics Letters3
Journal of Finance3
Journal of Money, Credit and Banking3
International Journal of Finance & Economics3
Oxford Bulletin of Economics and Statistics2
Applied Financial Economics2
Journal of Empirical Finance2
Review of Finance2
Review of World Economics (Weltwirtschaftliches Archiv)2
Journal of Macroeconomics2
IMF Staff Papers2
Journal of Money, Credit and Banking2

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
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
NBER Working Papers / National Bureau of Economic Research, Inc3
MPRA Paper / University Library of Munich, Germany3
IMF Working Papers / International Monetary Fund2
Post-Print / HAL2
BIS Working Papers / Bank for International Settlements2

Recent works citing Lucio Sarno (2025 and 2024)

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

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

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

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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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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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2024.

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

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

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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). Kanayo, Ogujiuba ; Donald, Semosa ; Trecy, Maake ; Maponya, Lethabo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-06-39.

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2024Relationship between Oil Price, Inflation, and Economic Growth in BRICS Countries: Panel Cointegration Analysis. (2024). Ramashova, Aissulu Nurmambekovna ; Aidarova, Aina B ; Kenzhebekova, Indira ; Kelesbayev, Dinmukhamed ; Imanbayev, Aliy ; Jaxybekova, Galiya ; Baisholanova, Karlygash. 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). Yessentayeva, Aizhan A ; Mukhamediyeva, Gulzada ; Aidarova, Aina B ; Myrzabekkyzy, Kundyz ; Mustafayeva, Bagila ; Tastanbekova, Karlygash ; Utemissova, Guliya. 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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2024Nonlinear dynamics of Kimchi premium. (2024). Yang, Yangzhuoran Fin ; Koo, Bonsoo ; Seo, Myung Hwan. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000828.

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

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

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

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

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

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

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

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

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

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

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

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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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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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2024Are consensus FX forecasts valuable for investors?. (2024). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:268-284.

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2024On the role of fundamentals, private signals, and beauty contests to predict exchange rates. (2024). Pancotto, Francesca ; Raggi, Davide ; Pignataro, Giuseppe. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:687-705.

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2024Geopolitical risk and currency returns. (2024). Zhang, Xueyong ; Liu, XI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000177.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024GMM weighting matrices in cross-sectional asset pricing tests. (2024). Thimme, Julian ; Schlag, Christian ; Meinerding, Christoph ; Laurinaityte, Nora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024Information spillover and cross-predictability of currency returns: An analysis via Machine Learning. (2024). Yan, Shu ; Wu, Yangru ; Liu, Yuzheng ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002279.

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2024Concealed carry. (2024). Andrews, Spencer ; Colacito, Riccardo ; Croce, Mariano M ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24000977.

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2024Importance of transaction costs for asset allocation in foreign exchange markets. (2024). Taylor, Mark ; Maurer, Thomas A ; Pezzo, Luca ; Filippou, Ilias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001090.

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2024Chinese monetary policy spillovers on its international portfolio investment flows. (2024). Liu, Zixi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002085.

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2024RMB exchange rate volatility and the cross-section of Chinese A-share returns. (2024). Li, Donghui ; Han, Liyan ; Ding, Wenjie ; Qiao, Tongshuai. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000111.

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2024Exchange rate predictability: Fact or fiction?. (2024). Magkonis, Georgios ; Jackson, Karen. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000135.

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2024The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.

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2024Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention. (2024). Naef, Alain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001165.

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2024Do FX interventions lead to higher FX debt? Evidence from firm-level data. (2024). Mano, Rui ; Kim, Minsuk ; Mrkaic, Mico. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001475.

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2024Cross-momentum strategies in the equity futures and currency markets. (2024). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Cotter, John ; Conlon, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2024Noisy market, machine learning and fundamental momentum. (2024). Wang, Yuejie ; Ma, Tian ; Sheng, Haoyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002257.

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2024Navigating the “twin titans” of global manufacturing: The impact of US and China on industrial production forecasting in G20 nations. (2024). Ahmad, Wasim ; Kumar, Utkarsh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002610.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Smyrnakis, Dimitris ; Tzavalis, Elias ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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2024Mechanisms of overpricing: An investigation on momentum crashes. (2024). Huang, Alex Yihou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:118-142.

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2024The effect of economic and political uncertainty on sovereign CDS spreads. (2024). Pan, Wei-Fong ; Wang, Xinjie ; Zhang, Jinfan ; Xu, Weike ; Xiao, Yaqing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:143-155.

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2024Globalisation and governance: Thresholds for the impacts of the main determinants of capital inflows?. (2024). Taşdemir, Fatma ; Tademir, Fatma ; Ozmen, Erdal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:168-176.

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2024Monetary policy and currency variance risk premia. (2024). Dossani, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000813.

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2024Predicting consumption-wealth ratio changes and stock market returns. (2024). Wang, Jingya ; Taylor, Alex P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002678.

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2025Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis. (2025). Pandey, Dharen ; Kakran, Shubham ; Bajaj, Parminder Kaur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003659.

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2024Technological transformation in HRM through knowledge and training: Innovative business decision making. (2024). Gavrila, Sorin Gavrila ; de Lucas, Antonio ; del Val, Maria Teresa ; Gomez, Jose Andres. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008533.

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2024Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007.

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2024Co-variance in Action: Analyzing the Impact of EUR/USD Exchange Rate Changes on Polish Zloty (PLN) Valuation (2019–2022) as a Predictive Tool in Forex Markets. (2024). Klepacki, Jaroslaw. In: European Research Studies Journal. RePEc:ers:journl:v:xxvii:y:2024:i:2:p:952-966.

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2024Real Exchange Rates and the Global Financial Cycle. (2024). Zlate, Andrei ; Davis, Jonathan. In: Working Papers. RePEc:fip:feddwp:99214.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2024Analysis of Long-Term Bond Yields Using Deviations from Covered Interest Rate Parity. (2024). Jo, Gab-Je. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:117-:d:1355973.

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

Lucio Sarno has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Lucio Sarno:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article128
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: 128		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]		article642
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: 642		paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper8
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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]		paper74
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 74		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: 74		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: 74		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: 74		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.
[Full Text][Citation analysis]
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]		paper222
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 222		paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 222		article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 222		paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]		paper70
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: 70		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]		article408
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 408		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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This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
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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This paper has nother version. Agregated cites: 14		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: .
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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]		paper212
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: 212		paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
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This paper has nother version. Agregated cites: 212		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: 212		paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]		paper148
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		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: 148		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		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: 54		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]		article159
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: 159		article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper83
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]		paper29
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper461
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: 461		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]		paper758
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: 758		article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper295
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
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This paper has nother version. Agregated cites: 295		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]		paper89
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: 89		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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This paper has nother version. Agregated cites: 89		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 16		article
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper179
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: 179		article
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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This paper has nother version. Agregated cites: 179		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]		paper200
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: 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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This paper has nother version. Agregated cites: 63		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: 63		paper
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper118
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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This paper has nother version. Agregated cites: 118		article
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper91
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: 91		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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2004Federal funds rate prediction.(2004) In: Working Papers.
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2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
[Citation analysis]
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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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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.
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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]		paper65
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: 65		article
2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
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.
[Full Text][Citation analysis]		paper79
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.
[Full Text][Citation analysis]		paper123
2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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This paper has nother version. Agregated cites: 123		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]		paper57
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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This paper has nother version. Agregated cites: 57		article
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: 57		paper
2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper158
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 158		article
2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper131
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: 131		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.
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2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 116		paper
2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper36
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 36		article
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper79
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 79		article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 79		paper
2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 42		article
2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper87
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		article
2003The Economics of Exchange Rates In: Cambridge Books.
[Citation analysis]		book920
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.
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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.
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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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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.
[Full Text][Citation analysis]		article133
2024Risks and risk premia in the US Treasury market In: Journal of Economic Dynamics and Control.
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2000Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters.
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2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
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2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
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2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
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2022The cost of foreign-currency lending In: Journal of Banking & Finance.
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2022The cost of foreign-currency lending.(2022) In: Post-Print.
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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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1999Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests In: Journal of International Money and Finance.
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2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
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2012Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance.
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2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance.
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2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers.
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2016What drives international portfolio flows? 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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2001Toward a new paradigm in open economy modeling: where do we stand? In: Review.
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2002How well do monetary fundamentals forecast exchange rates? In: Review.
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2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
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2004The efficient market hypothesis and identification in structural VARs In: Review.
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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 In: IMF Working Papers.
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2003Nonlinear Exchange Rate Models: A Selective Overview.(2003) In: Rivista di Politica Economica.
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2022Exchange Rates and Sovereign Risk In: Management Science.
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2004Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting.
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2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
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2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking.
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2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?.(2009) 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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2016Currency Premia and Global Imbalances In: The Review of Financial Studies.
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2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
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2022Foreign Exchange Volume In: The Review of Financial Studies.
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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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