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Details about Mark Salmon

E-mail:
Phone:0044 (0)2476574168
Postal address:Warwick Business School University of Warwick Coventry CV4 7AL UK
Workplace:Finance Group, Warwick Business School, University of Warwick, (more information at EDIRC)
Financial Econometrics Research Centre, Warwick Business School, University of Warwick, (more information at EDIRC)

Access statistics for papers by Mark Salmon.

Last updated 2011-05-29. Update your information in the RePEc Author Service.

Short-id: psa111


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Working Papers

2008

  1. On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)
  2. Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2009)

2007

  1. Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
    Bank of England working papers, Bank of England Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (6)
    Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (7)

2006

  1. Pricing Multivariate Currency Options with Copulas
    Working Papers, Warwick Business School, Finance Group Downloads View citations (12)

2005

  1. Performance Measurement with Loss Aversion
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2005) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads
  2. Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)

2004

  1. Market Stress and Herding
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (74)
    See also Journal Article in Journal of Empirical Finance (2004)

2001

  1. A New Measure of Herding and Empirical Evidence
    Working Papers, Warwick Business School, Finance Group Downloads View citations (3)
  2. An Analysis of Performance Measures Using Copulae
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
  3. Investigating Dynamic Dependence Using Copulae
    Working Papers, Warwick Business School, Finance Group Downloads View citations (4)
  4. On Preferred Point Geometry in Statistics
    Working Papers, Warwick Business School, Finance Group Downloads
  5. Robust Decision Theory and the Lucas Critique
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    See also Journal Article in Macroeconomic Dynamics (2002)

1999

  1. An Elementary Account of Amari's Expected Geometry
    Working Papers, Warwick Business School, Finance Group Downloads
  2. An Introduction to Differential Geometry in Econometrics
    Working Papers, Warwick Business School, Finance Group Downloads
  3. From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?
    Working Papers, Warwick Business School, Finance Group Downloads
  4. On the Evolution of Credibility and Flexible Exchange Rate Target Zones
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1995) Downloads

1990

  1. When Does Coordination Pay?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1989) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (1990)

1989

  1. Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1987)

    See also Journal Article in Journal of Economic Dynamics and Control (1990)

1988

  1. ERROR CORRECTION MODELS, CO-INTEGRATION AND THE INTERNAL MODEL PRINCIPLE
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1988) Downloads View citations (2)

    See also Journal Article in Journal of Economic Dynamics and Control (1988)

1985

  1. On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Economic Review (1986)

1984

  1. Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1983) View citations (9)

    See also Journal Article in Economic Journal (1985)

1982

  1. Error Correction Mechanisms
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (41)
    See also Journal Article in Economic Journal (1982)
  2. Testing Normality in Econometric Models
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (1983)

1980

  1. Model Validation and Forecast Comparisons: Theoretical and Practical Considerations
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (2)

Journal Articles

2009

  1. Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
    The European Journal of Finance, 2009, 15, (7-8), 721-750 Downloads View citations (20)
  2. Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1106-1122 Downloads View citations (4)
    See also Working Paper (2008)

2004

  1. Market stress and herding
    Journal of Empirical Finance, 2004, 11, (4), 585-616 Downloads View citations (77)
    See also Working Paper (2004)

2002

  1. EDITOR'S INTRODUCTION
    Macroeconomic Dynamics, 2002, 6, (01), 1-4 Downloads View citations (1)
  2. ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
    Macroeconomic Dynamics, 2002, 6, (01), 167-185 Downloads View citations (15)
    See also Working Paper (2001)

1998

  1. Representations of I(2) cointegrated systems using the Smith-McMillan form
    Journal of Econometrics, 1998, 84, (2), 303-325 Downloads View citations (6)

1996

  1. On the Differential Geometry of the Wald Test with Nonlinear Restrictions
    Econometrica, 1996, 64, (5), 1213-22 Downloads View citations (8)

1990

  1. Credibility and the value of information transmission in a model of monetary policy and inflation
    Journal of Economic Dynamics and Control, 1990, 14, (1), 97-116 Downloads View citations (10)
    See also Working Paper (1989)
  2. When does coordination pay?
    Journal of Economic Dynamics and Control, 1990, 14, (3-4), 553-569 Downloads View citations (3)
    See also Working Paper (1990)

1988

  1. Error correction models, cointegration and the internal model principle
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 523-549 Downloads View citations (3)
    See also Working Paper (1988)

1986

  1. On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models
    International Economic Review, 1986, 27, (3), 625-46 Downloads View citations (9)
    See also Working Paper (1985)
  2. The principle of effective demand revisited
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 231-237 Downloads

1985

  1. Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies
    Economic Journal, 1985, 95, (380a), 124-37 Downloads View citations (23)
    See also Working Paper (1984)

1983

  1. Testing normality in econometric models
    Economics Letters, 1983, 11, (1-2), 123-127 Downloads View citations (27)
    See also Working Paper (1982)

1982

  1. Error Correction Mechanisms
    Economic Journal, 1982, 92, (367), 615-29 Downloads View citations (41)
    See also Working Paper (1982)

Edited books

2000

  1. Applications of Differential Geometry to Econometrics
    Cambridge Books, Cambridge University Press View citations (1)

Chapters

1985

  1. Policy Coordination and Dynamic Games
    A chapter in International Economic Policy Coordination, 1985, pp 184-227 Downloads View citations (25)
 
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