Details about Guglielmo Maria Caporale

Workplace:

Department of Economics and Finance, Brunel University, (more information at EDIRC)

Access statistics for papers by Guglielmo Maria Caporale.

Last updated 2021-07-17. Update your information in the RePEc Author Service.

Short-id: pca1139

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Working Papers

2021

1. Exchange Rate Parities and Taylor Rule Deviations
   CESifo Working Paper Series, CESifo
2. Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
   CESifo Working Paper Series, CESifo
3. Persistence in ESG and Conventional Stock Market Indices
   CESifo Working Paper Series, CESifo
4. Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries
   CESifo Working Paper Series, CESifo
5. Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations
   CESifo Working Paper Series, CESifo
6. The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields
   CESifo Working Paper Series, CESifo
7. The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic
   CESifo Working Paper Series, CESifo
8. The Relationship between Prices and Output in the UK and the US
   CESifo Working Paper Series, CESifo
9. The Short-Run and Long-Run Effects of Trade Openness on Financial Development: Some Panel Evidence for Europe
   CESifo Working Paper Series, CESifo

2020

10. Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets
    CESifo Working Paper Series, CESifo
11. Bitcoin Price Co-Movements and Culture
    CESifo Working Paper Series, CESifo
12. Cross-Border Portfolio Flows and News Media Coverage
    CESifo Working Paper Series, CESifo
13. Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
    CESifo Working Paper Series, CESifo
14. Cyber-Attacks, Cryptocurrencies, and Cyber Security
    CESifo Working Paper Series, CESifo
15. Economic Policy Uncertainty: Persistence and Cross-Country Linkages
    CESifo Working Paper Series, CESifo
16. Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects
    CESifo Working Paper Series, CESifo View citations (1)
17. Inflation in the G7 Countries: Persistence and Structural Breaks
    CESifo Working Paper Series, CESifo
18. Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach
    CESifo Working Paper Series, CESifo
19. Non-Linearities and Persistence in US Long-Run Interest Rates
    CESifo Working Paper Series, CESifo
20. Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals
    CESifo Working Paper Series, CESifo
21. Persistence and Long Memory in Monetary Policy Spreads
    CESifo Working Paper Series, CESifo
22. Persistence in the Market Risk Premium: Evidence across Countries
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article in Journal of Economics and Finance (2021)
23. Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market
    CESifo Working Paper Series, CESifo
24. The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6
    CESifo Working Paper Series, CESifo
25. The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX
    CESifo Working Paper Series, CESifo
26. US Sea Level Data: Time Trends and Persistence
    CESifo Working Paper Series, CESifo

2019

27. CO2 Emissions and GDP: Evidence from China
    CESifo Working Paper Series, CESifo
28. Cycles and Long-Range Behaviour in the European Stock Market
    CESifo Working Paper Series, CESifo
    See also Chapter (2021)
29. Energy Consumption in the GCC Countries: Evidence on Persistence
    CESifo Working Paper Series, CESifo View citations (1)
30. Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
    CESifo Working Paper Series, CESifo
    See also Journal Article in Research in International Business and Finance (2020)
31. Financial integration in the GCC region: market size versus national effects
    CESifo Working Paper Series, CESifo
    See also Journal Article in Open Economies Review (2020)
32. High and low prices and the range in the European stock markets: a long-memory approach
    CESifo Working Paper Series, CESifo
    See also Journal Article in Research in International Business and Finance (2020)
33. Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange
    CESifo Working Paper Series, CESifo
    See also Journal Article in International Journal of Finance & Economics (2021)
34. Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility
    CESifo Working Paper Series, CESifo
35. Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns
    CESifo Working Paper Series, CESifo
    See also Journal Article in Financial Markets and Portfolio Management (2020)
36. Non-Linearities, Cyber Attacks and Cryptocurrencies
    CESifo Working Paper Series, CESifo View citations (2)
    See also Journal Article in Finance Research Letters (2020)
37. On the preferences of CoCo bond buyers and sellers
    CESifo Working Paper Series, CESifo
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2021)
38. Persistence, non-linearities and structural breaks in European stock market indices
    CESifo Working Paper Series, CESifo
    See also Journal Article in The Quarterly Review of Economics and Finance (2020)
39. Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
    CESifo Working Paper Series, CESifo
40. Style consistency and mutual fund returns: the case of Russia
    CESifo Working Paper Series, CESifo
41. Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods
    CESifo Working Paper Series, CESifo

2018

42. Bitcoin Fluctuations and the Frequency of Price Overreactions
    CESifo Working Paper Series, CESifo
    See also Journal Article in Financial Markets and Portfolio Management (2019)
43. Brexit and Uncertainty in Financial Markets
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (6)
    See also Journal Article in International Journal of Financial Studies (2018)
44. Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
    CESifo Working Paper Series, CESifo View citations (3)
    See also Journal Article in Research in International Business and Finance (2019)
45. On the Frequency of Price Overreactions
    CESifo Working Paper Series, CESifo View citations (3)
46. On the Persistence of UK Inflation: A Long-Range Dependence Approach
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (2)
47. Persistence in the Russian Stock Market Volatility Indices
    CESifo Working Paper Series, CESifo
48. Political Tension and Stock Markets in the Arabian Peninsula
    CESifo Working Paper Series, CESifo
    See also Journal Article in International Journal of Finance & Economics (2021)
49. Price Overreactions in the Cryptocurrency Market
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (2)
    See also Journal Article in Journal of Economic Studies (2019)
50. Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
    CESifo Working Paper Series, CESifo
    See also Journal Article in South African Journal of Economics (2020)
51. The Impact of Business and Political News on the GCC Stock Markets
    CESifo Working Paper Series, CESifo
    See also Journal Article in Research in International Business and Finance (2020)

2017

52. Central Bank Policy Rates: Are They Cointegrated?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (4)
    See also Journal Article in International Economics (2017)
53. Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2017)
    See also Journal Article in Journal of Economic Integration (2021)
54. Is Market Fear Persistent? A Long-Memory Analysis
    CESifo Working Paper Series, CESifo
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (3)
    See also Journal Article in Finance Research Letters (2018)
55. Long Memory and Data Frequency in Financial Markets
    CESifo Working Paper Series, CESifo View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (3)
56. Persistence in the Cryptocurrency Market
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (17)
    See also Journal Article in Research in International Business and Finance (2018)
57. Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2017)
58. Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
    CESifo Working Paper Series, CESifo
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
    See also Journal Article in International Economics (2019)
59. The Day of the Week Effect in the Crypto Currency Market
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (19)
    See also Journal Article in Finance Research Letters (2019)
60. Trends and Cycles in Macro Series: The Case of US Real GDP
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2017)

2016

61. Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2016)
62. Calendar Anomalies in the Ukrainian Stock Market
    CESifo Working Paper Series, CESifo View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016)
63. Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2016)
64. Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (1)
    See also Journal Article in Empirical Economics (2021)
65. Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
    Also in Research Discussion Papers, Bank of Finland (2016) View citations (1)
    CESifo Working Paper Series, CESifo (2016) View citations (2)
    See also Journal Article in Research in International Business and Finance (2018)
66. Exchange Rates and Macro News in Emerging Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2016)
    See also Journal Article in Research in International Business and Finance (2018)
67. Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
    CESifo Working Paper Series, CESifo
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (3)
    See also Journal Article in International Journal of Finance & Economics (2018)
68. Macro News and Exchange Rates in the BRICS
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (1)
    See also Journal Article in Finance Research Letters (2017)
69. Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (10)
    See also Journal Article in Economic Modelling (2018)
70. Spillovers between food and energy prices and structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra
    Also in CESifo Working Paper Series, CESifo (2015) View citations (1)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
    See also Journal Article in International Economics (2017)
71. The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (2)
72. The Performance of Banks in the MENA Region During the Global Financial Crisis
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (1)
    See also Journal Article in Research in International Business and Finance (2017)
73. Trade flows and trade specialisation: the case of China
    NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (21)
    CESifo Working Paper Series, CESifo (2015) View citations (21)
    See also Journal Article in China Economic Review (2015)

2015

74. African Growth, Non-Linearities and Strong Dependence: An Empirical Study
    NCID Working Papers, Navarra Center for International Development, University of Navarra
75. Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis
    NCID Working Papers, Navarra Center for International Development, University of Navarra
76. How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015)
    See also Journal Article in International Journal of Finance & Economics (2018)
77. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    Also in CESifo Working Paper Series, CESifo (2015)
78. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (2)
    See also Journal Article in International Journal of Finance & Economics (2016)
79. Loan Loss Provision: Some Empirical Evidence for Italian Banks
    CESifo Working Paper Series, CESifo View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (4)
80. Long-Term Price Overreactions: Are Markets Inefficient?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article in Journal of Economics and Finance (2019)
81. Macro News and Commodity Returns
    CESifo Working Paper Series, CESifo
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2017)
82. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
    See also Journal Article in Finance Research Letters (2018)
83. The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (6)
    Also in CESifo Working Paper Series, CESifo (2015) View citations (6)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
    See also Journal Article in Empirical Economics (2018)
84. The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
    See also Journal Article in Journal of Economic Studies (2016)

2014

85. Financial Development and Economic Growth: Evidence from Ten New EU Members
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (47)
86. International Capital Markets Structure, Preferences and Puzzles: The US-China Case
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (11)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (7)
87. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2014) View citations (4)
    See also Journal Article in Computational Economics (2016)
88. Local Banking and Local Economic Growth in Italy: Some Panel Evidence
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article in Applied Economics (2016)
89. Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
90. Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour
    NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
    See also Journal Article in African Development Review (2014)
91. Macro News and Bond Yield Spreads in the Euro Area
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (8)
    See also Journal Article in The European Journal of Finance (2018)
92. Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (4)
    See also Journal Article in International Review of Financial Analysis (2016)
93. Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
    CESifo Working Paper Series, CESifo View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (5)
    See also Journal Article in China Economic Review (2015)
94. Short-Term Price Overreaction: Identification, Testing, Exploitation
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (2)
    See also Journal Article in Computational Economics (2018)
95. Testing Unemployment Theories: A Multivariate Long Memory Approach
    CESifo Working Paper Series, CESifo
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013)
    See also Journal Article in Journal of Applied Economics (2016)
96. The Weekend Effect: A Trading Robot and Fractional Integration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (7)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (2)
97. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    CESifo Working Paper Series, CESifo View citations (12)
    See also Journal Article in Comparative Economic Studies (2014)

2013

98. Bank Lending Procyclicality and Credit Quality during Financial Crises
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
    See also Journal Article in Economic Modelling (2014)
99. Banking Consolidation in Nigeria, 2000-2010
    NCID Working Papers, Navarra Center for International Development, University of Navarra
100. Business Cycles, International Trade and Capital Flows: Evidence from Latin America
     NCID Working Papers, Navarra Center for International Development, University of Navarra
     Also in CESifo Working Paper Series, CESifo (2012) View citations (1)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) View citations (1)
     See also Journal Article in Empirical Economics (2016)
101. Exchange Rate Uncertainty and International Portfolio Flows
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
     Also in CESifo Working Paper Series, CESifo (2013) View citations (2)
102. Fiscal Adjustment and Business Cycle Synchronization
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
     Also in CESifo Working Paper Series, CESifo (2013) View citations (6)
103. Fiscal Spillovers in the Euro Area
     Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli View citations (20)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (14)
     CESifo Working Paper Series, CESifo (2011) View citations (12)
     See also Journal Article in Journal of International Money and Finance (2013)
104. Foreign direct investment in the Asian economies
     NCID Working Papers, Navarra Center for International Development, University of Navarra
105. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
     CESifo Working Paper Series, CESifo View citations (14)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (14)
     See also Journal Article in International Review of Financial Analysis (2013)
106. Long Memory in the Ukrainian Stock Market
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
107. Long memory in the ukrainian stock market and financial crises
     MPRA Paper, University Library of Munich, Germany View citations (6)
108. Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     Also in CESifo Working Paper Series, CESifo (2013)
109. On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
     Also in CESifo Working Paper Series, CESifo (2013) View citations (10)
     See also Journal Article in International Review of Financial Analysis (2014)
110. TRADE INTENSITY AND OUTPUT SYNCHRONISATION: ON THE ENDOGENEITY PROPERTIES OF EMU
     Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli View citations (2)
     Also in CESifo Working Paper Series, CESifo (2013) View citations (9)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (2)
     See also Journal Article in Journal of Financial Stability (2015)
111. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)

2012

112. Banking Consolidation in Nigeria
     CEsA Working Papers, CEsA - Centre for African and Development Studies View citations (2)
113. Efficiency evaluation of Greek equity funds
     MPRA Paper, University Library of Munich, Germany View citations (6)
     See also Journal Article in Research in International Business and Finance (2012)
114. Environmental Regulation and Competitiveness: Evidence from Romania
     CESifo Working Paper Series, CESifo View citations (8)
     Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2010)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2010)
     See also Journal Article in Ecological Economics (2012)
115. Fractional Integration and Cointegration in US Financial Time Series Data
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra
     Also in CESifo Working Paper Series, CESifo (2011)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)
     See also Journal Article in Empirical Economics (2014)
116. Long Memory in German Energy Price Indices
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
     Also in CESifo Working Paper Series, CESifo (2012) View citations (3)
117. Modelling Long Run Trends and Cycles in Financial Time Series Data
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (2)
     See also Journal Article in Journal of Time Series Analysis (2013)
118. Persistence and Cycles in US Hours Worked
     CESifo Working Paper Series, CESifo
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012)
     See also Journal Article in Economic Modelling (2014)
119. Persistence and Cycles in the US Federal Funds Rate
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
     Also in CESifo Working Paper Series, CESifo (2012) View citations (1)
     See also Journal Article in International Review of Financial Analysis (2017)
120. Persistence in Youth Unemployment
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     Also in CESifo Working Paper Series, CESifo (2012)
121. Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     Also in CESifo Working Paper Series, CESifo (2012)
     See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
122. Testing the Marshall-Lerner Condition in Kenya
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
     Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012)
     See also Journal Article in South African Journal of Economics (2015)

2011

123. Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
     CESifo Working Paper Series, CESifo View citations (5)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (4)
     NIPE Working Papers, NIPE - Universidade do Minho (2011) View citations (2)
124. Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
     NIPE Working Papers, NIPE - Universidade do Minho View citations (6)
     Also in CESifo Working Paper Series, CESifo (2011) View citations (5)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (3)
     See also Journal Article in Research in International Business and Finance (2016)
125. Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel
     CESifo Working Paper Series, CESifo View citations (1)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)
126. Europe Agreements and Trade Balance: Evidence form Four New EU Members
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (1)
     Also in CESifo Working Paper Series, CESifo (2011) View citations (1)
127. Interest rate dynamics in Kenya
     NCID Working Papers, Navarra Center for International Development, University of Navarra
128. Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra
129. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (2)
     See also Journal Article in Multinational Finance Journal (2012)
130. Persistence and Cyclical Dependence in the Monthly Euribor Rate
     CESifo Working Paper Series, CESifo View citations (1)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (1)
     See also Journal Article in Journal of Economics and Finance (2016)
131. Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
     CESifo Working Paper Series, CESifo View citations (2)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (2)
     See also Journal Article in Journal of Banking & Finance (2013)
132. Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach
     CESifo Working Paper Series, CESifo View citations (2)
133. The Euro Changeover and Price Adjustments in Italy
     CESifo Working Paper Series, CESifo
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)
     See also Journal Article in Applied Economics Letters (2012)
134. Trade Specialisation and Economic Convergence: Evidence from two Eastern European Countries
     DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade
     Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2009) View citations (7)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (4)
135. US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra
     Also in CESifo Working Paper Series, CESifo (2010)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010)
136. Volatility spillovers and contagion from mature and emerging stock markets
     NCID Working Papers, Navarra Center for International Development, University of Navarra

2010

137. Determinants of Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis
     CESifo Working Paper Series, CESifo
138. EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
     Also in CESifo Working Paper Series, CESifo (2010) View citations (1)
     See also Journal Article in Review of International Economics (2011)
139. Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     See also Journal Article in International Journal of Finance & Economics (2012)
140. Fractional Cointegration in US Term Spreads
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     See also Journal Article in Applied Economics Letters (2012)
141. Inflation and Inflation Uncertainty in the Euro Area
     EcoMod2010, EcoMod View citations (2)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (7)
     CESifo Working Paper Series, CESifo (2009) View citations (18)
     Working Paper Series, European Central Bank (2010) View citations (2)
     See also Journal Article in Empirical Economics (2012)
142. Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
     Also in CESifo Working Paper Series, CESifo (2010)
     See also Journal Article in Manchester School (2013)
143. Long Memory and Fractional Integration in High Frequency Financial Time Series
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
144. POLLUTION ABATEMENT AND CONTROL EXPENDITURE IN ROMANIA: A MULTILEVEL ANALYSIS
     William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010)
145. Price Formation on the EuroMTS Platform
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     Also in CESifo Working Paper Series, CESifo (2010) View citations (1)
     See also Journal Article in Applied Economics Letters (2011)
146. Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
     Also in CESifo Working Paper Series, CESifo (2010) View citations (2)
     See also Journal Article in The Quarterly Review of Economics and Finance (2012)
147. Stock Market Integration between three CEECs, Russia and the UK
     CESifo Working Paper Series, CESifo View citations (3)
     See also Journal Article in Review of International Economics (2011)
148. Testing Stock Market Convergence: A Non-linear Factor Approach
     EcoMod2010, EcoMod
     See also Journal Article in Empirica (2015)
149. The Weekly Structure of US Stock Prices
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
     Also in CESifo Working Paper Series, CESifo (2010)
     See also Journal Article in Applied Financial Economics (2011)
150. Time-Varying Spot and Futures Oil Price Dynamics
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
     Also in CESifo Working Paper Series, CESifo (2010) View citations (3)
     Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia (2010) View citations (3)
     See also Journal Article in Scottish Journal of Political Economy (2014)

2009

151. DETERMINANTS OF POLLUTION ABATEMENT AND CONTROL EXPENDITURE: EVIDENCE FROM ROMANIA
     William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2008)
152. Evaluating Greek Equity Funds Using Data Envelopment Analysis
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
153. Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
     Also in CESifo Working Paper Series, CESifo (2009) View citations (3)
     See also Journal Article in Emerging Markets Review (2010)
154. INTERNATIONAL FINANCIAL INTEGRATION AND REAL EXCHANGE RATE LONG-RUN DYNAMICS IN EMERGING COUNTRIES
     William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan
155. International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
     CESifo Working Paper Series, CESifo
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (2)
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009)
     See also Journal Article in The Journal of International Trade & Economic Development (2011)
156. Long Memory in US Real Output per Capita
     CESifo Working Paper Series, CESifo View citations (3)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (3)
     See also Journal Article in Empirical Economics (2013)
157. Multi-Factor Gegenbauer Processes and European Inflation Rates
     CESifo Working Paper Series, CESifo View citations (1)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (1)
     See also Journal Article in Journal of Economic Integration (2011)
158. Rating Assignments: Lessons from International Banks
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
     Also in CESifo Working Paper Series, CESifo (2009) View citations (2)
     See also Journal Article in Journal of International Money and Finance (2012)
159. Selectivity, Market Timing and the Morningstar Star-Rating System
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
     Also in CESifo Working Paper Series, CESifo (2009) View citations (1)
160. Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
     CESifo Working Paper Series, CESifo View citations (10)
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (10)
161. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (45)
     Also in CESifo Working Paper Series, CESifo (2009) View citations (26)
     Working Paper Series, European Central Bank (2009) View citations (18)
     IMF Working Papers, International Monetary Fund (2008) View citations (16)
     See also Journal Article in Review of International Economics (2013)

2008

162. Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach
     CESifo Working Paper Series, CESifo View citations (1)
     See also Journal Article in Manchester School (2011)
163. Chebyshev polynomial approximation to approximate partial differential equations
     Working Papers, Business School - Economics, University of Glasgow
     Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008)
164. Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model
     CESifo Working Paper Series, CESifo View citations (1)
     See also Journal Article in Intelligent Systems in Accounting, Finance and Management (2009)
165. Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America
     CESifo Working Paper Series, CESifo View citations (1)
     See also Journal Article in Journal of International Money and Finance (2011)
166. Fractional integration and data frequency
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
167. Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (21)
     See also Journal Article in Computational Statistics & Data Analysis (2008)
168. ON THE TRADE BALANCE EFFECTS OF FREE TRADE AGREEMENTS BETWEEN THE EU-15 AND THE CEEC-4 COUNTRIES
     William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (4)
     Also in Post-Print, HAL (2008) View citations (1)
     Post-Print, HAL (2008) View citations (1)
169. On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries
     Post-Print, HAL View citations (2)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (8)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2008) View citations (20)
     See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2009)
170. Using Chebyshev Polynomials to Approximate Partial Differential Equations
     CESifo Working Paper Series, CESifo
     See also Journal Article in Computational Economics (2010)

2007

171. A Multivariate Long-Memory Model with Structural Breaks
     CESifo Working Paper Series, CESifo View citations (1)
172. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
     CESifo Working Paper Series, CESifo View citations (4)
173. Identification of Segments of European Banks with a Latent Class Frontier Model
     CESifo Working Paper Series, CESifo
174. Income and Happiness across Europe: Do Reference Values Matter?
     CESifo Working Paper Series, CESifo View citations (3)
     See also Journal Article in Journal of Economic Psychology (2009)
175. Long Run and Cyclical Dynamics in the US Stock Market
     CESifo Working Paper Series, CESifo View citations (6)
     Also in Econometric Society 2004 Latin American Meetings, Econometric Society (2004)
     Economics Series, Institute for Advanced Studies (2004)
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
     See also Journal Article in Journal of Forecasting (2014)
176. The Euro and Inflation Uncertainty in the European Monetary Union
     CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy
     Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2006)
     CESifo Working Paper Series, CESifo (2006)
     See also Journal Article in Journal of International Money and Finance (2009)

2006

177. A COMPARISON BETWEEN TESTS FOR CHANGES IN THE ADJUSTMENT COEFFICIENTS IN COINTEGRATED SYSTEMS
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (2)
178. Are PPP Tests Erratically Behaved? Some Panel Evidence
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
     See also Journal Article in International Review of Applied Economics (2010)
179. Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
     CESifo Working Paper Series, CESifo
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) View citations (4)
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
     See also Journal Article in Review of International Economics (2008)
180. COINTEGRATION TESTS OF PPP:DO THEY ALSO EXHIBIT ERRATIC BEHAVIOUR?
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in CESifo Working Paper Series, CESifo (2006) View citations (1)
     See also Journal Article in Applied Economics Letters (2009)
181. ETA TERRORISM:POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON ECONOMIC ACTIVITY IN THE BASQUE COUNTRY
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
182. FRACTIONAL INTEGRATION AND IMPULSE RESPONSES: A BIVARIATE APPLICATION TO REAL OUTPUT IN THE US AND THE SCANDINAVIAN COUNTRIES
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
183. MODELLING STRUCTURAL BREAKS IN THE US, UK AND JAPANESE UNEMPLOYMENT RATES
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
184. Nonlinearities and fractional integration in the US unemployment rate
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
     Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
     HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) View citations (2)
     Discussion Paper Series, Hamburg Institute of International Economics (2004) View citations (1)
     Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (1)
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
185. TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     See also Journal Article in Empirica (2008)

2005

186. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
     See also Journal Article in Manchester School (2005)
187. LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     See also Journal Article in Applied Economics Letters (2006)
188. Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994
     Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     See also Journal Article in Empirical Economics (2006)
189. MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     See also Journal Article in Applied Financial Economics Letters (2006)
190. TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     See also Journal Article in Empirica (2007)
191. TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
     Also in Economics Working Paper Archive, Levy Economics Institute (2003)
     See also Journal Article in International Journal of Finance & Economics (2005)
192. THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     See also Journal Article in Journal of Economic Integration (2009)
193. 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

194. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     See also Journal Article in Applied Financial Economics Letters (2005)
195. NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
196. PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
     Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Economics Series, Institute for Advanced Studies (2004) View citations (5)
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     See also Journal Article in Applied Financial Economics (2006)
197. Parameter Instability and Forecasting Performance. A Monte Carlo Study
     Economics Series, Institute for Advanced Studies
     See also Journal Article in International Journal of Business Forecasting and Marketing Intelligence (2008)
198. Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence
     Economics Series, Institute for Advanced Studies
199. TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
     International Finance, University Library of Munich, Germany View citations (2)
     See also Journal Article in Journal of Empirical Finance (2005)
200. TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
     Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
     See also Chapter (2007)
201. THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
     Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
     Also in Economics Series, Institute for Advanced Studies (2004) View citations (2)
     Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (6)
     See also Journal Article in Journal of Financial Econometrics (2005)
202. THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
     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 Stochastic Models in Business and Industry (2007)

2003

203. Endogenous growth and Stock Market Development
     Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol
204. Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity
     CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
     Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2002) View citations (8)
     See also Journal Article in Journal of International Money and Finance (2005)

2002

205. The Banking System in Bulgaria
     Post-Print, HAL View citations (3)

2000

206. Fractional cointegration and real exchange rates
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Review of Financial Economics (2004)
207. Fractional cointegration and tests of present value models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     See also Journal Article in Review of Financial Economics (2004)
208. Unemployment and input prices: A fractional cointegration approach
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Applied Economics Letters (2002)

Journal Articles

2021

1. Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis
   Empirical Economics, 2021, 60, (2), 539-555
   See also Working Paper (2016)
2. Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
   Journal of Economic Integration, 2021, 36, (2), 185-202
   See also Working Paper (2017)
3. Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange
   International Journal of Finance & Economics, 2021, 26, (3), 4441-4461
   See also Working Paper (2019)
4. On the preferences of CoCo bond buyers and sellers
   Journal of International Financial Markets, Institutions and Money, 2021, 72, (C)
   See also Working Paper (2019)
5. Persistence in the market risk premium: evidence across countries
   Journal of Economics and Finance, 2021, 45, (3), 413-427
   See also Working Paper (2020)
6. Political tension and stock markets in the Arabian Peninsula
   International Journal of Finance & Economics, 2021, 26, (1), 679-683
   See also Working Paper (2018)

2020

7. Daily abnormal price changes and trading strategies in the FOREX
   Journal of Economic Studies, 2020, 48, (1), 211-222
8. Estimation of conditional asset pricing models with integrated variables in the beta specification
   Research in International Business and Finance, 2020, 52, (C)
   See also Working Paper (2019)
9. Financial Integration in the GCC Region: Market Size Versus National Effects
   Open Economies Review, 2020, 31, (2), 309-316
   See also Working Paper (2019)
10. Fractional Integration and the Persistence of UK Inflation, 1210–2016
    Economic Papers, 2020, 39, (2), 162-166
11. High and low prices and the range in the European stock markets: A long-memory approach
    Research in International Business and Finance, 2020, 52, (C)
    See also Working Paper (2019)
12. Momentum effects in the cryptocurrency market after one-day abnormal returns
    Financial Markets and Portfolio Management, 2020, 34, (3), 251-266 View citations (3)
    See also Working Paper (2019)
13. Non-linearities, cyber attacks and cryptocurrencies
    Finance Research Letters, 2020, 32, (C) View citations (2)
    See also Working Paper (2019)
14. Persistence, non-linearities and structural breaks in European stock market indices
    The Quarterly Review of Economics and Finance, 2020, 77, (C), 50-61 View citations (1)
    See also Working Paper (2019)
15. Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
    South African Journal of Economics, 2020, 88, (2), 174-185
    See also Working Paper (2018)
16. The bank lending channel in the Malaysian Islamic and conventional banking system
    Global Finance Journal, 2020, 45, (C) View citations (1)
17. The impact of business and political news on the GCC stock markets
    Research in International Business and Finance, 2020, 52, (C)
    See also Working Paper (2018)
18. Volatility persistence in the Russian stock market
    Finance Research Letters, 2020, 32, (C) View citations (1)

2019

19. Bitcoin fluctuations and the frequency of price overreactions
    Financial Markets and Portfolio Management, 2019, 33, (2), 109-131 View citations (4)
    See also Working Paper (2018)
20. Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
    Real Estate Economics, 2019, 47, (4), 935-976 View citations (3)
21. Global and regional stock market integration in Asia: A panel convergence approach
    International Review of Financial Analysis, 2019, 65, (C) View citations (2)
22. Long-term interest rates in Europe: A fractional cointegration analysis
    International Review of Economics & Finance, 2019, 61, (C), 170-178 View citations (1)
23. Long-term price overreactions: are markets inefficient?
    Journal of Economics and Finance, 2019, 43, (4), 657-680 View citations (3)
    See also Working Paper (2015)
24. Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
    Research in International Business and Finance, 2019, 48, (C), 143-155 View citations (12)
    See also Working Paper (2018)
25. On stock price overreactions: frequency, seasonality and information content
    Journal of Applied Economics, 2019, 22, (1), 602-621
26. Price overreactions in the cryptocurrency market
    Journal of Economic Studies, 2019, 46, (5), 1137-1155 View citations (8)
    See also Working Paper (2018)
27. Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
    International Economics, 2019, (159), 140-150
    Also in International Economics, 2019, 159, (C), 140-150 (2019)
    See also Working Paper (2017)
28. The day of the week effect in the cryptocurrency market
    Finance Research Letters, 2019, 31, (C) View citations (15)
    See also Working Paper (2017)
29. UK overseas visitors: Seasonality and persistence
    Tourism Economics, 2019, 25, (5), 827-831

2018

30. Brexit and Uncertainty in Financial Markets
    International Journal of Financial Studies, 2018, 6, (1), 1-9 View citations (6)
    See also Working Paper (2018)
31. Competitive devaluations in commodity†based economies: Colombia and the Pacific Alliance Group
    Review of Development Economics, 2018, 22, (2), 558-572
32. Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
    Research in International Business and Finance, 2018, 44, (C), 227-238 View citations (3)
    See also Working Paper (2016)
33. Exchange rates and macro news in emerging markets
    Research in International Business and Finance, 2018, 46, (C), 516-527 View citations (1)
    See also Working Paper (2016)
34. How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China
    International Journal of Finance & Economics, 2018, 23, (4), 478-491 View citations (1)
    See also Working Paper (2015)
35. Is market fear persistent? A long-memory analysis
    Finance Research Letters, 2018, 27, (C), 140-147 View citations (6)
    See also Working Paper (2017)
36. Islamic banking, credit, and economic growth: Some empirical evidence
    International Journal of Finance & Economics, 2018, 23, (4), 456-477 View citations (4)
    See also Working Paper (2016)
37. Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis
    Finance Research Letters, 2018, 25, (C), 239-243 View citations (3)
38. Macro news and bond yield spreads in the euro area
    The European Journal of Finance, 2018, 24, (2), 114-134 View citations (6)
    See also Working Paper (2014)
39. Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?
    Economic Modelling, 2018, 72, (C), 306-319 View citations (17)
    See also Working Paper (2016)
40. Persistence in the cryptocurrency market
    Research in International Business and Finance, 2018, 46, (C), 141-148 View citations (33)
    See also Working Paper (2017)
41. Short-Term Price Overreactions: Identification, Testing, Exploitation
    Computational Economics, 2018, 51, (4), 913-940 View citations (7)
    See also Working Paper (2014)
42. The EMBI in Latin America: Fractional integration, non-linearities and breaks
    Finance Research Letters, 2018, 24, (C), 34-41 View citations (1)
    See also Working Paper (2015)
43. The asymmetric behaviour of spanish unemployment persistence
    Economics Bulletin, 2018, 38, (1), 98-104 View citations (1)
44. The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
    Empirical Economics, 2018, 55, (3), 913-935
    See also Working Paper (2015)
45. Unemployment in Africa: A Fractional Integration Approach
    South African Journal of Economics, 2018, 86, (1), 76-81 View citations (4)

2017

46. Analysing the determinants of insolvency risk for general insurance firms in the UK
    Journal of Banking & Finance, 2017, 84, (C), 107-122 View citations (5)
47. Calendar anomalies in the Russian stock market
    Russian Journal of Economics, 2017, 3, (1), 101-108 View citations (1)
48. Central bank policy rates: Are they cointegrated?
    International Economics, 2017, 152, (C), 116-123 View citations (4)
    Also in International Economics, 2017, (152), 116-123 (2017) View citations (4)
    See also Working Paper (2017)
49. HOW DO FISCAL CONSOLIDATION AND FISCAL STIMULI IMPACT ON THE SYNCHRONIZATION OF BUSINESS CYCLES?
    Bulletin of Economic Research, 2017, 69, (4), 309-329 View citations (1)
50. International portfolio flows and exchange rate volatility in emerging Asian markets
    Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (11)
51. Macro News and Commodity Returns
    International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (12)
    See also Working Paper (2015)
52. Macro news and exchange rates in the BRICS
    Finance Research Letters, 2017, 21, (C), 140-143 View citations (11)
    See also Working Paper (2016)
53. Persistence and cycles in the us federal funds rate
    International Review of Financial Analysis, 2017, 52, (C), 1-8 View citations (2)
    See also Working Paper (2012)
54. Searching for Inefficiencies in Exchange Rate Dynamics
    Computational Economics, 2017, 49, (3), 405-432 View citations (1)
55. Spillovers between food and energy prices and structural breaks
    International Economics, 2017, 150, (C), 1-18 View citations (26)
    Also in International Economics, 2017, (150), 1-18 (2017) View citations (24)
    See also Working Paper (2016)
56. The fisher relationship in Nigeria
    Journal of Economics and Finance, 2017, 41, (2), 343-353
57. The performance of banks in the MENA region during the global financial crisis
    Research in International Business and Finance, 2017, 42, (C), 583-590 View citations (2)
    See also Working Paper (2016)
58. The weekend effect: a fractional integration and trading robot analysis
    International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 View citations (2)

2016

59. Business cycles, international trade and capital flows: evidence from Latin America
    Empirical Economics, 2016, 50, (2), 231-252 View citations (3)
    See also Working Paper (2013)
60. Consumption, wealth, stock and housing returns: Evidence from emerging markets
    Research in International Business and Finance, 2016, 36, (C), 562-578 View citations (4)
    See also Working Paper (2011)
61. Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate
    Journal of International Development, 2016, 28, (2), 214-232 View citations (1)
62. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Computational Economics, 2016, 47, (2), 275-295 View citations (6)
    See also Working Paper (2014)
63. Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
    International Journal of Finance & Economics, 2016, 21, (2), 143-153 View citations (6)
    See also Working Paper (2015)
64. Local banking and local economic growth in Italy: some panel evidence
    Applied Economics, 2016, 48, (28), 2665-2674 View citations (2)
    See also Working Paper (2014)
65. Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
    International Review of Financial Analysis, 2016, 45, (C), 180-188 View citations (7)
    See also Working Paper (2014)
66. Persistence and cyclical dependence in the monthly euribor rate
    Journal of Economics and Finance, 2016, 40, (1), 157-171 View citations (3)
    See also Working Paper (2011)
67. Testing Unemployment Theories: A Multivariate Long Memory Approach
    Journal of Applied Economics, 2016, 19, (1), 95-112
    Also in Journal of Applied Economics, 2016, 19, 95-112 (2016) View citations (6)
    See also Working Paper (2014)
68. The weekend effect: an exploitable anomaly in the Ukrainian stock market?
    Journal of Economic Studies, 2016, 43, (6), 954-965 View citations (2)
    See also Working Paper (2015)

2015

69. Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
    Journal of International Money and Finance, 2015, 54, (C), 70-92 View citations (23)
70. Financial Development and Economic Growth: Evidence from 10 New European Union Members
    International Journal of Finance & Economics, 2015, 20, (1), 48-60 View citations (27)
71. Gender, style diversity, and their effect on fund performance
    Research in International Business and Finance, 2015, 35, (C), 57-74 View citations (3)
72. Infant mortality rates: time trends and fractional integration
    Journal of Applied Statistics, 2015, 42, (3), 589-602 View citations (2)
73. International capital markets structure, preferences and puzzles: A “US–China World”
    Journal of International Financial Markets, Institutions and Money, 2015, 36, (C), 85-99 View citations (3)
74. Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
    Applied Economics Letters, 2015, 22, (5), 421-424 View citations (3)
75. Oil price uncertainty and sectoral stock returns in China: A time-varying approach
    China Economic Review, 2015, 34, (C), 311-321 View citations (48)
    See also Working Paper (2014)
76. Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
    African Development Review, 2015, 27, (2), 161-170 View citations (5)
77. Testing stock market convergence: a non-linear factor approach
    Empirica, 2015, 42, (3), 481-498 View citations (7)
    See also Working Paper (2010)
78. Testing the Marshall–Lerner Condition in Kenya
    South African Journal of Economics, 2015, 83, (2), 253-268 View citations (2)
    See also Working Paper (2012)
79. The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20
    African Journal of Economic and Sustainable Development, 2015, 4, (3), 254-277 View citations (3)
80. Trade flows and trade specialisation: The case of China
    China Economic Review, 2015, 34, (C), 261-273 View citations (21)
    See also Working Paper (2016)
81. Trade intensity and output synchronisation: On the endogeneity properties of EMU
    Journal of Financial Stability, 2015, 16, (C), 154-163 View citations (14)
    See also Working Paper (2013)

2014

82. Bank lending procyclicality and credit quality during financial crises
    Economic Modelling, 2014, 43, (C), 142-157 View citations (5)
    See also Working Paper (2013)
83. Fractional integration and cointegration in US financial time series data
    Empirical Economics, 2014, 47, (4), 1389-1410 View citations (3)
    See also Working Paper (2012)
84. Improving Environmental Performance: A Challenge for Romania
    Environmental & Resource Economics, 2014, 57, (3), 431-452 View citations (1)
85. Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
    African Development Review, 2014, 26, (1), 59-73 View citations (2)
    Also in African Development Review, 2014, 26, (1), 59–73 (2014) View citations (2)
    See also Working Paper (2014)
86. Long‐Run and Cyclical Dynamics in the US Stock Market
    Journal of Forecasting, 2014, 33, (2), 147-161 View citations (9)
    See also Working Paper (2007)
87. On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
    International Review of Financial Analysis, 2014, 33, (C), 87-103 View citations (39)
    See also Working Paper (2013)
88. Persistence and cycles in US hours worked
    Economic Modelling, 2014, 38, (C), 504-511 View citations (4)
    See also Working Paper (2012)
89. SOURCES OF REAL EXCHANGE RATE VOLATILITY AND INTERNATIONAL FINANCIAL INTEGRATION: A DYNAMIC GENERALISED METHOD OF MOMENTS PANEL APPROACH
    Journal of International Development, 2014, 26, (6), 810-820 View citations (1)
90. The nexus between prices, employment and output growth: a global and national evidence
    Journal of Business Economics and Management, 2014, 15, (2), 197-211 View citations (1)
91. Time-Varying Spot and Futures Oil Price Dynamics
    Scottish Journal of Political Economy, 2014, 61, (1), 78-97 View citations (12)
    See also Working Paper (2010)
92. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    Comparative Economic Studies, 2014, 56, (4), 581-591 View citations (12)
    See also Working Paper (2014)

2013

93. Fiscal spillovers in the Euro area
    Journal of International Money and Finance, 2013, 38, (C), 84.e1-84.e16 View citations (20)
    See also Working Paper (2013)
94. LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH
    Manchester School, 2013, 81, (6), 925-940 View citations (1)
    See also Working Paper (2010)
95. Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
    International Review of Financial Analysis, 2013, 29, (C), 1-9 View citations (14)
    See also Working Paper (2013)
96. Long memory in US real output per capita
    Empirical Economics, 2013, 44, (2), 591-611 View citations (6)
    See also Working Paper (2009)
97. Modelling long-run trends and cycles in financial time series data
    Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (1)
    See also Working Paper (2012)
98. Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
    Journal of Banking & Finance, 2013, 37, (2), 227-240 View citations (17)
    See also Working Paper (2011)
99. Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 215-225 View citations (2)
    See also Working Paper (2012)
100. Stock Prices and Monetary Policy: An Impulse Response Analysis
     International Journal of Economics and Financial Issues, 2013, 3, (3), 701-709 View citations (1)
101. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
     Review of International Economics, 2013, 21, (5), 1060-1075 View citations (44)
     See also Working Paper (2009)

2012

102. Efficiency evaluation of Greek equity funds
     Research in International Business and Finance, 2012, 26, (2), 317-333 View citations (11)
     See also Working Paper (2012)
103. Environmental Regulation and Competitiveness: Evidence from Romania
     Ecological Economics, 2012, 81, (C), 130-139 View citations (9)
     See also Working Paper (2012)
104. Estimating persistence in the volatility of asset returns with signal plus noise models
     International Journal of Finance & Economics, 2012, 17, (1), 23-30 View citations (1)
     See also Working Paper (2010)
105. European free trade agreements and trade balance: Evidence from four new European Union members
     The Journal of International Trade & Economic Development, 2012, 21, (6), 839-863 View citations (5)
106. Fractional cointegration in US term spreads
     Applied Economics Letters, 2012, 19, (5), 431-434
     See also Working Paper (2010)
107. Inflation and inflation uncertainty in the euro area
     Empirical Economics, 2012, 43, (2), 597-615 View citations (21)
     See also Working Paper (2010)
108. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
     Multinational Finance Journal, 2012, 16, (1-2), 105-136
     See also Working Paper (2011)
109. Quoted spreads and trade imbalance dynamics in the European Treasury bond market
     The Quarterly Review of Economics and Finance, 2012, 52, (2), 173-182 View citations (5)
     See also Working Paper (2010)
110. Ratings assignments: Lessons from international banks
     Journal of International Money and Finance, 2012, 31, (6), 1593-1606 View citations (12)
     See also Working Paper (2009)
111. Stock Market Integration Between Three CEECs
     Journal of Economic Integration, 2012, 27, 115-122 View citations (10)
112. The euro changeover and price adjustments in Italy
     Applied Economics Letters, 2012, 19, (4), 379-382
     See also Working Paper (2011)

2011

113. ARE THE BALTIC COUNTRIES READY TO ADOPT THE EURO? A GENERALIZED PURCHASING POWER PARITY APPROACH
     Manchester School, 2011, 79, (3), 429-454 View citations (5)
     See also Working Paper (2008)
114. EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?
     Review of International Economics, 2011, 19, (1), 189-206 View citations (7)
     See also Working Paper (2010)
115. Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America
     Journal of International Money and Finance, 2011, 30, (5), 709-723 View citations (7)
     See also Working Paper (2008)
116. Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
     Journal of Applied Statistics, 2011, 38, (1), 71-85 View citations (3)
117. International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence
     The Journal of International Trade & Economic Development, 2011, 20, (6), 789-808 View citations (3)
     See also Working Paper (2009)
118. Introduction
     Review of International Economics, 2011, 19, (1), 46-48
119. Multi-Factor Gegenbauer Processes and European Inflation Rates
     Journal of Economic Integration, 2011, 26, 386-409 View citations (8)
     See also Working Paper (2009)
120. Price formation on the EuroMTS platform
     Applied Economics Letters, 2011, 18, (3), 229-233 View citations (6)
     See also Working Paper (2010)
121. Stock Market Integration between Three CEECs, Russia, and the UK
     Review of International Economics, 2011, 19, (1), 158-169 View citations (19)
     See also Working Paper (2010)
122. The weekly structure of US stock prices
     Applied Financial Economics, 2011, 21, (23), 1757-1764
     See also Working Paper (2010)

2010

123. Are PPP tests erratically behaved? Some panel evidence
     International Review of Applied Economics, 2010, 24, (2), 203-221
     See also Working Paper (2006)
124. Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
     Emerging Markets Review, 2010, 11, (3), 250-260 View citations (65)
     See also Working Paper (2009)
125. Multiple cyclical fractional structures in financial time series
     Applied Economics Letters, 2010, 17, (11), 1079-1081 View citations (1)
126. REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
     Journal of Economic Development, 2010, 35, (2), 1-21 View citations (5)
127. Using Chebyshev Polynomials to Approximate Partial Differential Equations
     Computational Economics, 2010, 35, (3), 235-244 View citations (5)
     See also Working Paper (2008)

2009

128. BASQUE TERRORISM: POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON THE STOCK MARKET IN THE BASQUE COUNTRY
     Defence and Peace Economics, 2009, 20, (4), 287-301 View citations (6)
129. Cointegration tests of PPP: do they also exhibit erratic behaviour?
     Applied Economics Letters, 2009, 16, (1), 9-15 View citations (1)
     See also Working Paper (2006)
130. Financial contagion: evolutionary optimization of a multinational agent‐based model
     Intelligent Systems in Accounting, Finance and Management, 2009, 16, (1‐2), 111-125
     See also Working Paper (2008)
131. Income and happiness across Europe: Do reference values matter?
     Journal of Economic Psychology, 2009, 30, (1), 42-51 View citations (110)
     See also Working Paper (2007)
132. Multiple shifts and fractional integration in the US and UK unemployment rates
     Journal of Economics and Finance, 2009, 33, (4), 364-375 View citations (4)
133. Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?
     Applied Economics Letters, 2009, 16, (3), 223-226
134. On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries
     Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (3), 573-573 View citations (31)
     Also in Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (2), 189-206 (2009) View citations (27)
     See also Working Paper (2008)
135. Risk analysis in complex systems: intelligent systems in finance
     Intelligent Systems in Accounting, Finance and Management, 2009, 16, (1‐2), 1-3
136. The Asymmetric Effects of a Common Monetary Policy in Europe
     Journal of Economic Integration, 2009, 24, 455-475 View citations (4)
     See also Working Paper (2005)
137. The Euro and inflation uncertainty in the European Monetary Union
     Journal of International Money and Finance, 2009, 28, (6), 954-971 View citations (37)
     See also Working Paper (2007)

2008

138. Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
     Review of International Economics, 2008, 16, (3), 401-412 View citations (4)
     See also Working Paper (2006)
139. Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
     Economics Bulletin, 2008, 7, (17), 1-13 View citations (8)
140. Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
     Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (20)
     See also Working Paper (2008)
141. Parameter instability and forecasting performance: a Monte Carlo study
     International Journal of Business Forecasting and Marketing Intelligence, 2008, 1, (1), 1-20
     See also Working Paper (2004)
142. Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market
     The European Journal of Finance, 2008, 14, (8), 735-753 View citations (12)
143. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
     Empirica, 2008, 35, (3), 241-253 View citations (1)
     See also Working Paper (2006)

2007

144. Nonlinearities and Fractional Integration in the US Unemployment Rate*
     Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (56)
     See also Working Paper (2006)
145. Testing for deterministic and stochastic cycles in macroeconomic time series
     Empirica, 2007, 34, (2), 155-169
     See also Working Paper (2005)
146. The stochastic unit root model and fractional integration: An extension to the seasonal case
     Applied Stochastic Models in Business and Industry, 2007, 23, (5), 439-453
     See also Working Paper (2004)

2006

147. Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994
     Empirical Economics, 2006, 31, (1), 83-93 View citations (4)
     See also Working Paper (2005)
148. Long memory at the long-run and the seasonal monthly frequencies in the US money stock
     Applied Economics Letters, 2006, 13, (15), 965-968 View citations (3)
     See also Working Paper (2005)
149. Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
     Applied Financial Economics Letters, 2006, 2, (1), 9-12 View citations (3)
     See also Working Paper (2005)
150. Panel data tests of PPP: a critical overview
     Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (17)
     See also Working Paper (2004)
151. Volatility transmission and financial crises
     Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (59)

2005

152. A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates
     Open Economies Review, 2005, 16, (2), 107-133
153. Endogenous Growth Models and Stock Market Development: Evidence from Four Countries
     Review of Development Economics, 2005, 9, (2), 166-176 View citations (26)
154. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
     Manchester School, 2005, 73, (6), 737-753 View citations (12)
     See also Working Paper (2005)
155. Fiscal Consolidation: An Exercise in the Methodology of Coordination
     Journal of Economic Integration, 2005, 20, 1-25 View citations (1)
156. Interest rate linkages: a Kalman filter approach to detecting structural change
     Economic Modelling, 2005, 22, (2), 253-284 View citations (24)
157. Interest rate linkages: identifying structural relations
     Applied Financial Economics, 2005, 15, (14), 977-986 View citations (10)
158. 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)
159. Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
     Journal of International Money and Finance, 2005, 24, (1), 39-53 View citations (44)
     See also Working Paper (2003)
160. Testing for contagion: a conditional correlation analysis
     Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (144)
     See also Working Paper (2004)
161. Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
     International Journal of Finance & Economics, 2005, 10, (4), 359-367 View citations (3)
     See also Working Paper (2005)
162. The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study
     Journal of Financial Econometrics, 2005, 3, (2), 282-309 View citations (5)
     See also Working Paper (2004)
163. The Feldstein-Horioka puzzle revisited: A Monte Carlo study
     Journal of International Money and Finance, 2005, 24, (7), 1143-1149 View citations (28)

2004

164. Estimator Choice and Fisher's Paradox: A Monte Carlo Study
     Econometric Reviews, 2004, 23, (1), 25-52 View citations (30)
165. Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
     Applied Financial Economics, 2004, 14, (14), 981-989 View citations (13)
166. Fractional cointegration and real exchange rates
     Review of Financial Economics, 2004, 13, (4), 327-340
     Also in Review of Financial Economics, 2004, 13, (4), 327-340 (2004) View citations (14)
     See also Working Paper (2000)
167. Fractional cointegration and tests of present value models
     Review of Financial Economics, 2004, 13, (3), 245-258 View citations (1)
     Also in Review of Financial Economics, 2004, 13, (3), 245-258 (2004) View citations (40)
     See also Working Paper (2000)
168. Long range dependence in daily stock returns
     Applied Financial Economics, 2004, 14, (6), 375-383 View citations (9)
169. Modelling East Asian exchange rates: a Markov-switching approach
     Applied Financial Economics, 2004, 14, (4), 233-242 View citations (13)
170. STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE
     Journal of Economic Development, 2004, 29, (1), 33-50 View citations (86)
171. Testing for Seasonal Fractional Roots in German Real Output
     German Economic Review, 2004, 5, (3), 319-333
     Also in German Economic Review, 2004, 5, (3), 319-333 (2004) View citations (2)

2003

172. Asset prices and output growth volatility: the effects of financial crises
     Economics Letters, 2003, 79, (1), 69-74 View citations (16)
173. Evaluating the Gains to Cooperation in the G-3
     Empirica, 2003, 30, (4), 337-356 View citations (2)
174. IGARCH models and structural breaks
     Applied Economics Letters, 2003, 10, (12), 765-768 View citations (16)
175. Long memory and structural breaks in hyperinflation countries
     Journal of Economics and Finance, 2003, 27, (2), 136-152 View citations (1)
176. Testing for PPP: the erratic behaviour of unit root tests
     Economics Letters, 2003, 80, (2), 277-284 View citations (13)

2002

177. Causality Links between Consumer and Producer Prices: Some Empirical Evidence
     Southern Economic Journal, 2002, 68, (3), 703-711
178. Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?
     Manchester School, 2002, 70, (4), 528-545 View citations (3)
179. Exogeneity and measurement of persistence
     Revista de Economía del Rosario, 2002
180. Fractional integration and mean reversion in stock prices
     The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (27)
181. Long-term nominal interest rates and domestic fundamentals
     Review of Financial Economics, 2002, 11, (2), 119-130 View citations (48)
     Also in Review of Financial Economics, 2002, 11, (2), 119-130 (2002)
182. Manufacturing Wage Differentials and Employment in Some Scandinavian Countries, the U.S. and the U.K.: An Analysis of Variance Approach
     Empirica, 2002, 29, (4), 289-304 View citations (1)
183. Modelling Economic Policy Responses with an Application to the G3
     Annals of Economics and Statistics, 2002, (67-68), 415-433
184. Testing for Causality-in-Variance: An Application to the East Asian Markets
     International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (50)
185. The Euro and Monetary Policy Transparency
     Eastern Economic Journal, 2002, 28, (1), 59-70 View citations (4)
186. Unemployment and input prices: a fractional cointegration approach
     Applied Economics Letters, 2002, 9, (6), 347-351 View citations (15)
     See also Working Paper (2000)
187. Unit Roots versus Other Types of Time Heterogeneity, Parameter Time Dependence and Superexogeneity
     Journal of Forecasting, 2002, 21, (3), 207-23 View citations (5)

2001

188. Bond Markets and Macroeconomic Performance
     Zagreb International Review of Economics and Business, 2001, 4, (1), 27-44 View citations (1)
189. Coordination and price shocks: an empirical analysis
     Economic Modelling, 2001, 18, (4), 569-584 View citations (1)
190. Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates
     International Journal of Finance & Economics, 2001, 6, (2), 127-38 View citations (18)
191. Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption
     Journal of Macroeconomics, 2001, 23, (2), 177-197 View citations (14)
192. Money, Credit and Spending: Drawing Causal Inferences
     Scottish Journal of Political Economy, 2001, 48, (5), 547-557
193. Parameter instability, superexogeneity, and the monetary model of the exchange rate
     Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 View citations (2)
194. Persistence in macroeconomic time series: Is it a model invariant property?
     Revista de Economía del Rosario, 2001
195. Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition
     International Journal of Finance & Economics, 2001, 6, (3), 187-200 View citations (96)
196. Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas
     Ekonomia, 2001, 5, (2), 155-177
197. Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
     Journal of Policy Modeling, 2001, 23, (6), 637-650 View citations (17)

2000

198. International Linkages in Short- and Long-Term Interest Rates
     Zagreb International Review of Economics and Business, 2000, 3, (2), 39-61 View citations (1)

1999

199. Efficient Estimation Of Cointegrating Vectors and Testing for Causality in Vector Autoregressions
     Journal of Economic Surveys, 1999, 13, (1), 1-35 View citations (60)
200. Estimating Income and Price Elasticities of Trade in a Cointegration Framework
     Review of International Economics, 1999, 7, (2), 254-64 View citations (62)
201. Is Europe an Optimum Currency Area? Business Cyc1es in the EU
     Journal of Economic Integration, 1999, 14, 169-202 View citations (5)
202. Unit Root Testing Using Covariates: Some Theory and Evidence
     Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 583-595

1998

203. Cointegration and predictability of asset prices1
     Journal of International Money and Finance, 1998, 17, (3), 441-453 View citations (17)
204. Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
     Journal of Policy Modeling, 1998, 20, (5), 581-601 View citations (3)
205. Term structure and interest differentials as predictors of future inflation changes and inflation differentials
     Applied Financial Economics, 1998, 8, (6), 615-625 View citations (7)
206. Unit roots and long-run causality: investigating the relationship between output, money and interest rates
     Economic Modelling, 1998, 15, (1), 91-112 View citations (11)

1997

207. Common features and output fluctuations in the United Kingdom
     Economic Modelling, 1997, 14, (1), 1-9 View citations (7)
208. Domestic and external factors in interest rate determination
     Applied Financial Economics, 1997, 7, (5), 465-471 View citations (3)
209. Learning about monetary union: An analysis of bounded rational learning in European labor markets
     Journal of Policy Modeling, 1997, 19, (5), 469-489
210. Sectoral shocks and business cycles: a disaggregated analysis of output fluctuations in the UK
     Applied Economics, 1997, 29, (11), 1477-1482 View citations (3)

1996

211. Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
     Journal of Macroeconomics, 1996, 18, (4), 693-714 View citations (17)
212. Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
     Economic Modelling, 1996, 13, (1), 1-14 View citations (5)
213. Testing for Unbiasedness of Term Structure and Interest Differentials as Predictors of Future Inflation Changes and Inflation Differentials
     Canadian Journal of Economics, 1996, 29, (s1), 565-69

1995

214. Inflation convergence in the EMS: Some additional evidence. A reply
     Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 View citations (1)
215. Interest rate linkages within the European Monetary System: an alternative interpretation
     Applied Economics Letters, 1995, 2, (2), 45-47 View citations (7)
216. Nominal exchange rate regimes and the stochastic behavior of real variables
     Journal of International Money and Finance, 1995, 14, (3), 395-415 View citations (14)

1994

217. Persistence in real variables under alternative exchange rate regimes: Some multi-country evidence
     Economics Letters, 1994, 45, (1), 93-102 View citations (2)
218. The Measurement of Productivity and Market Structure in the UK
     Bulletin of Economic Research, 1994, 46, (1), 61-70

1993

219. Common stochastic trends and inflation convergence in the EMS
     Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (2), 207-215 View citations (32)
220. Is Europe an optimum currency area?
     National Institute Economic Review, 1993, 144, (1), 95-113
221. The World Economy
     National Institute Economic Review, 1993, 143, (1), 27-53
     Also in National Institute Economic Review, 1993, 144, (1), 33-54 (1993)
     National Institute Economic Review, 1992, 142, (1), 34-62 (1992)
     National Institute Economic Review, 1992, 139, (1), 27-45 (1992)
     National Institute Economic Review, 1993, 145, (1), 43-63 (1993)

1992

222. Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union
     National Institute Economic Review, 1992, 140, (1), 69-77

Chapters

2021

1. Cycles and Long-Range Behaviour in the European Stock Markets
   Springer
   See also Working Paper (2019)

2014

2. The finance–growth nexus: evidence from ten new EU members
   Chapter 13 in Financial Cycles and the Real Economy, 2014, pp 217-234

2007

3. Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data
   Chapter 2 in Advances In Quantitative Analysis Of Finance And Accounting, 2007, pp 23-50
   See also Working Paper (2004)