Details about Celso Brunetti

Access statistics for papers by Celso Brunetti.

Last updated 2008-09-28. Update your information in the RePEc Author Service.

Short-id: pbr67

Working Papers

2007

1. Markov switching GARCH models of currency turmoil in southeast Asia
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article in Emerging Markets Review (2008)

2006

2. Asset Prices and asset Correlations in Illiquid Markets
   Computing in Economics and Finance 2006, Society for Computational Economics
   Also in 2005 Meeting Papers, Society for Economic Dynamics (2005)

2003

3. Markov Switching Garch Models of Currency Crises in Southeast Asia
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations

1999

4. Bivariate FIGARCH and Fractional Cointegration
   Working Papers, Queen Mary, University of London, Department of Economics
   See also Journal Article in Journal of Empirical Finance (2000)

Journal Articles

2008

1. Markov switching GARCH models of currency turmoil in Southeast Asia
   Emerging Markets Review, 2008, 9, (2), 104-128
   See also Working Paper (2007)

2000

2. Bivariate FIGARCH and fractional cointegration
   Journal of Empirical Finance, 2000, 7, (5), 509-530 View citations
   See also Working Paper (1999)

1995

3. Metals price volatility, 1972-1995
   Resources Policy, 1995, 21, (4), 237-254