Details about Mario Cerrato

Access statistics for papers by Mario Cerrato.

Last updated 2013-03-11. Update your information in the RePEc Author Service.

Short-id: pce69

Working Papers

2013

1. No Good Deals - No Bad Models
   Working Papers, Business School - Economics, University of Glasgow
   Also in Staff Reports, Federal Reserve Bank of New York (2012)

2012

2. Why do UK banks securitize?
   Working Papers, Business School - Economics, University of Glasgow
   Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012)

2011

3. A Nonlinear Panel Unit Root Test under Cross Section Dependence
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
   Also in Working Papers, Business School - Economics, University of Glasgow (2011)
   Working Papers, Business School - Economics, University of Glasgow (2009) View citations (4)
   Working Papers, Business School - Economics, University of Glasgow (2008) View citations (4)
4. Adaptive continuous time Markov chain approximation model to general jump-diffusions
   Working Papers, Business School - Economics, University of Glasgow View citations (1)
5. Measuring the Economic Significance of Structural Exchange Rate Models
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
   Also in Working Papers, Business School - Economics, University of Glasgow (2011)

2010

6. A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
   Working Papers, Business School - Economics, University of Glasgow
   Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010)
7. An investigation of customer order flow in the foreign exchange market
   Working Papers, Business School - Economics, University of Glasgow
   Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010)
   See also Journal Article in Journal of Banking & Finance (2011)
8. Does the euro dominate Central and Eastern European money markets?
   Working Papers, Business School - Economics, University of Glasgow
   Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010)
   See also Journal Article in Journal of International Money and Finance (2013)
9. Equilibrium Exchange Rate Determination and Multiple Structural Changes
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
10. Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)
11. Nominal Interest Rates and Stationarity
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (1)
12. The Rise and Fall of the ABS Market
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)

2009

13. 3-Regime symmetric STAR modeling and exchange rate reversion
    Working Papers, Business School - Economics, University of Glasgow
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009)
14. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities
    Working Papers, Business School - Economics, University of Glasgow
15. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
16. Optimal Martingales and American Option Pricing
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2009)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008)
17. Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2009)

2008

18. Chebyshev polynomial approximation to approximate partial differential equations
    Working Papers, Business School - Economics, University of Glasgow
19. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
20. Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries
    Working Papers, Business School - Economics, University of Glasgow View citations (1)
21. Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    See also Journal Article in Manchester School (2013)
22. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    CESifo Working Paper Series, CESifo Group Munich
    See also Journal Article in Computational Economics (2010)
23. Valuing American Derivatives by Least Squares Methods
    Working Papers, Business School - Economics, University of Glasgow View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (1)

2007

24. Valuing American Style Options by Least Squares Methods
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group

2006

25. Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
    CESifo Working Paper Series, CESifo Group Munich
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) View citations (1)
    See also Journal Article in Review of International Economics (2008)

2005

26. No euro please, We’re British!
    CELPE Discussion Papers, CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy
27. The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (2)
28. VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)

2004

29. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
    See also Journal Article in Applied Financial Economics Letters (2005)
30. PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (2)
    Also in Economics Series, Institute for Advanced Studies (2004) View citations (2)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (5)
    See also Journal Article in Applied Financial Economics (2006)

2003

31. Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (1)

2002

32. The Cross Sectional Dependence Puzzle
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (1)

Journal Articles

2013

1. Does the euro dominate Central and Eastern European money markets?
   Journal of International Money and Finance, 2013, 32, (C), 700-718
   See also Working Paper (2010)
2. IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES
   Manchester School, 2013, 81, (1), 102-120
   See also Working Paper (2008)

2011

3. An investigation of customer order flow in the foreign exchange market
   Journal of Banking & Finance, 2011, 35, (8), 1892-1906 View citations (1)
   See also Working Paper (2010)

2010

4. Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion
   Journal of Money, Credit and Banking, 2010, 42, (7), 1447-1467 View citations (1)
5. Using Chebyshev Polynomials to Approximate Partial Differential Equations
   Computational Economics, 2010, 35, (3), 235-244 View citations (1)
   See also Working Paper (2008)

2008

6. Black Market and Official Exchange Rates: Long-run Equilibrium and Short-run Dynamics
   Review of International Economics, 2008, 16, (3), 401-412
   See also Working Paper (2006)
7. Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests
   International Review of Economics & Finance, 2008, 17, (1), 56-65 View citations (2)
8. THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES
   Manchester School, 2008, 76, (4), 405-423 View citations (2)

2007

9. A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
   Computational Statistics & Data Analysis, 2007, 51, (8), 4028-4037 View citations (6)
10. Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates
    International Journal of Finance & Economics, 2007, 12, (4), 427-444 View citations (6)

2006

11. Panel data tests of PPP: a critical overview
    Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (3)
    See also Working Paper (2004)
12. TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 341-358

2005

13. Measuring half-lives: using a non-parametric bootstrap approach
    Applied Financial Economics Letters, 2005, 1, (1), 1-4 View citations (4)
    See also Working Paper (2004)