Details about Guglielmo Maria Caporale
Access statistics for papers by Guglielmo Maria Caporale.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pca1139
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Working Papers
2024
- A Global Oil Market Model with Shipping Costs
CESifo Working Paper Series, CESifo 
- A Long-Memory Model for Multiple Cycles with an Application to the S&P500
CESifo Working Paper Series, CESifo
- Climate Physical Risk and Asian Stock Market Returns
CESifo Working Paper Series, CESifo
- Cooperative Credit Banks and Economic Fluctuations: The Italian Case
CESifo Working Paper Series, CESifo
- Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity
CESifo Working Paper Series, CESifo
See also Journal Article Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity, Econometrics, MDPI (2024) (2024)
- Expectations and Speculation in the Natural Gas Markets
CESifo Working Paper Series, CESifo
- Functional Oil Price Expectations Shocks and Inflation
CESifo Working Paper Series, CESifo View citations (1)
- Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels
CESifo Working Paper Series, CESifo
- Global Food Prices and Inflation
CESifo Working Paper Series, CESifo
- Persistence of the Sovereign Debt Components and Debt Sustainability: Some Evidence for the US and Europe
CESifo Working Paper Series, CESifo
- Polar Amplification: A Fractional Integration Analysis
CESifo Working Paper Series, CESifo
- Remittances in Latin America: Trends and Persistence
CESifo Working Paper Series, CESifo
- Testing for Persistence in German Green and Brown Stock Market Indices
CESifo Working Paper Series, CESifo
- The Effects of Physical and Transition Climate Risk on Stock Markets: Some Multi-Country Evidence
CESifo Working Paper Series, CESifo
- Trends in the Sea Ice and Snow Cover Extent: A Fractional Integration Analysis
CESifo Working Paper Series, CESifo
2023
- Aggregate Insider Trading and Stock Market Volatility in the UK
CESifo Working Paper Series, CESifo
See also Journal Article Aggregate insider trading and stock market volatility in the UK, Journal of International Financial Markets, Institutions and Money, Elsevier (2023) (2023)
- European SMEs and Resource Efficiency Measures: Firm Characteristics and Contextual Factors
CESifo Working Paper Series, CESifo
- Exponential Time Trends in a Fractional Integration Model
CESifo Working Paper Series, CESifo
See also Journal Article Exponential Time Trends in a Fractional Integration Model, Econometrics, MDPI (2024) (2024)
- Financial Integration and Economic Growth in Europe
CESifo Working Paper Series, CESifo
See also Chapter Financial integration and economic growth in Europe, Chapters, Edward Elgar Publishing (2024) (2024)
- Financial Integration and European Tourism Stocks
CESifo Working Paper Series, CESifo
See also Chapter Financial integration and European tourism stocks, Chapters, Edward Elgar Publishing (2024) (2024)
- Functional Shocks to Inflation Expectations and Real Interest Rates and Their Macroeconomic Effects
CESifo Working Paper Series, CESifo
See also Journal Article Functional shocks to inflation expectations and real interest rates and their macroeconomic effects, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2024) (2024)
- Long-Run Trends and Cycles in US House Prices
CESifo Working Paper Series, CESifo
- Measuring Persistence of the World Population: A Fractional Integration Approach
CESifo Working Paper Series, CESifo
- Persistence and Seasonality in the US Industrial Production Index
CESifo Working Paper Series, CESifo
- Persistence in Tax Revenues: Evidence from Some OECD Countries
CESifo Working Paper Series, CESifo
See also Journal Article Persistence in Tax Revenues: Evidence from Some OECD Countries, Journal of Quantitative Economics, Springer (2024) (2024)
- Persistence in UK Historical Data on Life Expectancy
CESifo Working Paper Series, CESifo
See also Journal Article Persistence in UK Historical Data on Life Expectancy, Population Research and Policy Review, Springer (2023) (2023)
- Seven Pitfalls of Technical Analysis
CESifo Working Paper Series, CESifo
- Shipping Cost Uncertainty, Endogenous Regime Switching and the Global Drivers of Inflation
CESifo Working Paper Series, CESifo
See also Journal Article Shipping cost uncertainty, endogenous regime switching and the global drivers of inflation, International Economics, Elsevier (2024) View citations (1) (2024)
- The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies
CESifo Working Paper Series, CESifo View citations (1)
- Time-Varying Parameters in Monetary Policy Rules: A GMM Approach
CESifo Working Paper Series, CESifo
See also Journal Article Time-varying parameters in monetary policy rules: a GMM approach, Journal of Economic Studies, Emerald Group Publishing Limited (2024) (2024)
- Trends and Persistence in the Greenland Ice Sheet Mass
CESifo Working Paper Series, CESifo
- US Municipal Green Bonds and Financial Integration
CESifo Working Paper Series, CESifo
See also Chapter US municipal green bonds and financial integration, Chapters, Edward Elgar Publishing (2024) (2024)
2022
- Atmospheric Pollution in Chinese Cities: Trends and Persistence
CESifo Working Paper Series, CESifo
- Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis
CESifo Working Paper Series, CESifo
- Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts, Manchester School, University of Manchester (2023) (2023)
- Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings
CESifo Working Paper Series, CESifo
- Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis
CESifo Working Paper Series, CESifo
- Inflation Persistence in Europe: The Effects of the Covid-19 Pandemic and of the Russia-Ukraine War
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Inflation persistence in Europe: The effects of the Covid-19 pandemic and of the Russia-Ukraine war, Economics Bulletin, AccessEcon (2023) (2023)
- Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
CESifo Working Paper Series, CESifo
See also Journal Article Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis, Computational Economics, Springer (2024) (2024)
- Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Modeling persistence and non-linearities in the US treasury 10-year bond yields, Economics Bulletin, AccessEcon (2022) View citations (2) (2022)
- Modelling Profitability of Private Equity: A Fractional Integration Approach
CESifo Working Paper Series, CESifo
See also Journal Article Modelling profitability of private equity: A fractional integration approach, Research in International Business and Finance, Elsevier (2024) (2024)
- Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks
CESifo Working Paper Series, CESifo
See also Journal Article Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaks, SN Business & Economics, Springer (2023) (2023)
- Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Nonlinearities in the exchange rate pass-through: The role of inflation expectations, International Economics, Elsevier (2023) View citations (5) (2023)
- Persistence in High Frequency Financial Data
CESifo Working Paper Series, CESifo
- Persistence in the Passion Investment Market
CESifo Working Paper Series, CESifo View citations (2)
- Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Shadow rates as a measure of the monetary policy stance: Some international evidence, Scottish Journal of Political Economy, Scottish Economic Society (2023) (2023)
- Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis
CESifo Working Paper Series, CESifo
- The Covid-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article The Covid‐19 pandemic and European trade flows: Evidence from a dynamic panel model, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2024) (2024)
- The Covid-19 Pandemic and European Trade Patterns: A Sectoral Analysis
CESifo Working Paper Series, CESifo View citations (1)
- Tourism Persistence in the Southeastern European Countries: The Impact of Covid-19
CESifo Working Paper Series, CESifo
See also Journal Article Tourism persistence in the Southeastern European countries: The impact of covid-19, Cogent Economics & Finance, Taylor & Francis Journals (2023) (2023)
- US House Prices by Census Division: Persistence, Trends and Structural Breaks
CESifo Working Paper Series, CESifo
See also Journal Article U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks, International Advances in Economic Research, Springer (2023) (2023)
2021
- Exchange Rate Parities and Taylor Rule Deviations
CESifo Working Paper Series, CESifo
See also Journal Article Exchange rate parities and Taylor rule deviations, Empirical Economics, Springer (2022) (2022)
- Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
CESifo Working Paper Series, CESifo
See also Journal Article Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations, Journal of Economic Studies, Emerald Group Publishing Limited (2021) (2021)
- Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach
CESifo Working Paper Series, CESifo
- Persistence in ESG and Conventional Stock Market Indices
CESifo Working Paper Series, CESifo
See also Journal Article Persistence in ESG and conventional stock market indices, Journal of Economics and Finance, Springer (2022) View citations (4) (2022)
- Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries
CESifo Working Paper Series, CESifo View citations (3)
See also Journal Article Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries, Applied Economics, Taylor & Francis Journals (2021) View citations (2) (2021)
- Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations
CESifo Working Paper Series, CESifo
- The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields
CESifo Working Paper Series, CESifo
See also Journal Article The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields, The Quarterly Review of Economics and Finance, Elsevier (2022) View citations (3) (2022)
- The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20
CESifo Working Paper Series, CESifo
See also Journal Article The COVID-19 pandemic, policy responses and stock markets in the G20, International Economics, Elsevier (2022) View citations (3) (2022)
- The Effects of the Covid-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe
CESifo Working Paper Series, CESifo
- The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic
CESifo Working Paper Series, CESifo View citations (3)
- The Impact of the Covid-19 Pandemic on Persistence in the European Stock Markets
CESifo Working Paper Series, CESifo
- The Relationship between Prices and Output in the UK and the US
CESifo Working Paper Series, CESifo
See also Journal Article The relationship between prices and output in the UK and the US, SN Business & Economics, Springer (2022) View citations (1) (2022)
- The Short-Run and Long-Run Effects of Trade Openness on Financial Development: Some Panel Evidence for Europe
CESifo Working Paper Series, CESifo
See also Journal Article The short‐run and long‐run effects of trade openness on financial development: Some panel evidence for Europe, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) (2023)
- Trade Flows, Private Credit and the Covid-19-Pandemic: Panel Evidence from 35 OECD Countries
CESifo Working Paper Series, CESifo View citations (3)
- US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach, Applied Economics, Taylor & Francis Journals (2023) (2023)
- Unemployment Persistence in Europe: Evidence from the 27 EU Countries
CESifo Working Paper Series, CESifo
- Witching Days and Abnormal Profits in the US Stock Market
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Witching days and abnormal profits in the us stock market, Cogent Economics & Finance, Taylor & Francis Journals (2023) (2023)
2020
- Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets
CESifo Working Paper Series, CESifo
- Bitcoin Price Co-Movements and Culture
CESifo Working Paper Series, CESifo View citations (1)
- Cross-Border Portfolio Flows and News Media Coverage
CESifo Working Paper Series, CESifo
See also Journal Article Cross-border portfolio flows and news media coverage, Journal of International Money and Finance, Elsevier (2022) View citations (2) (2022)
- Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Cyber-attacks, spillovers and contagion in the cryptocurrency markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) View citations (27) (2021)
- Cyber-Attacks, Cryptocurrencies, and Cyber Security
CESifo Working Paper Series, CESifo
- Economic Policy Uncertainty: Persistence and Cross-Country Linkages
CESifo Working Paper Series, CESifo
See also Journal Article Economic policy uncertainty: Persistence and cross-country linkages, Research in International Business and Finance, Elsevier (2021) View citations (6) (2021)
- Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Gold and oil prices: abnormal returns, momentum and contrarian effects, Financial Markets and Portfolio Management, Springer (2021) View citations (1) (2021)
- Inflation in the G7 Countries: Persistence and Structural Breaks
CESifo Working Paper Series, CESifo
See also Journal Article Inflation in the G7 countries: persistence and structural breaks, Journal of Economics and Finance, Springer (2022) View citations (1) (2022)
- Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach
CESifo Working Paper Series, CESifo
- Non-Linearities and Persistence in US Long-Run Interest Rates
CESifo Working Paper Series, CESifo
See also Journal Article Non-linearities and persistence in US long-run interest rates, Applied Economics Letters, Taylor & Francis Journals (2022) View citations (3) (2022)
- Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals
CESifo Working Paper Series, CESifo
- Persistence and Long Memory in Monetary Policy Spreads
CESifo Working Paper Series, CESifo
See also Journal Article Persistence and long memory in monetary policy spreads, Applied Economics, Taylor & Francis Journals (2024) (2024)
- Persistence in the Market Risk Premium: Evidence across Countries
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Persistence in the market risk premium: evidence across countries, Journal of Economics and Finance, Springer (2021) View citations (1) (2021)
- Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market
CESifo Working Paper Series, CESifo
- The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6
CESifo Working Paper Series, CESifo View citations (4)
See also Journal Article The direct and indirect effects of financial development on international trade: Evidence from the CEEC-6, Journal of International Financial Markets, Institutions and Money, Elsevier (2022) View citations (4) (2022)
- The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX
CESifo Working Paper Series, CESifo
See also Journal Article The frequency of one-day abnormal returns and price fluctuations in the forex, Journal of Applied Economics, Taylor & Francis Journals (2021) (2021)
- US Sea Level Data: Time Trends and Persistence
CESifo Working Paper Series, CESifo
2019
- CO2 Emissions and GDP: Evidence from China
CESifo Working Paper Series, CESifo View citations (1)
- Cycles and Long-Range Behaviour in the European Stock Market
CESifo Working Paper Series, CESifo
See also Chapter Cycles and Long-Range Behaviour in the European Stock Markets, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021) (2021)
- Energy Consumption in the GCC Countries: Evidence on Persistence
CESifo Working Paper Series, CESifo View citations (2)
- Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
CESifo Working Paper Series, CESifo
See also Journal Article Estimation of conditional asset pricing models with integrated variables in the beta specification, Research in International Business and Finance, Elsevier (2020) (2020)
- Financial integration in the GCC region: market size versus national effects
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Financial Integration in the GCC Region: Market Size Versus National Effects, Open Economies Review, Springer (2020) View citations (3) (2020)
- 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 High and low prices and the range in the European stock markets: A long-memory approach, Research in International Business and Finance, Elsevier (2020) (2020)
- 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 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, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
- Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility
CESifo Working Paper Series, CESifo View citations (3)
- Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Momentum effects in the cryptocurrency market after one-day abnormal returns, Financial Markets and Portfolio Management, Springer (2020) View citations (13) (2020)
- Non-Linearities, Cyber Attacks and Cryptocurrencies
CESifo Working Paper Series, CESifo View citations (5)
See also Journal Article Non-linearities, cyber attacks and cryptocurrencies, Finance Research Letters, Elsevier (2020) View citations (18) (2020)
- On the preferences of CoCo bond buyers and sellers
CESifo Working Paper Series, CESifo
See also Journal Article On the preferences of CoCo bond buyers and sellers, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) View citations (1) (2021)
- Persistence, non-linearities and structural breaks in European stock market indices
CESifo Working Paper Series, CESifo
See also Journal Article Persistence, non-linearities and structural breaks in European stock market indices, The Quarterly Review of Economics and Finance, Elsevier (2020) View citations (7) (2020)
- Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
CESifo Working Paper Series, CESifo View citations (1)
- Style consistency and mutual fund returns: the case of Russia
CESifo Working Paper Series, CESifo
- Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods
CESifo Working Paper Series, CESifo
2018
- Bitcoin Fluctuations and the Frequency of Price Overreactions
CESifo Working Paper Series, CESifo
See also Journal Article Bitcoin fluctuations and the frequency of price overreactions, Financial Markets and Portfolio Management, Springer (2019) View citations (7) (2019)
- Brexit and Uncertainty in Financial Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (11)
Also in CESifo Working Paper Series, CESifo (2018) View citations (11)
See also Journal Article Brexit and Uncertainty in Financial Markets, IJFS, MDPI (2018) View citations (11) (2018)
- Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
CESifo Working Paper Series, CESifo View citations (5)
See also Journal Article Modelling volatility of cryptocurrencies using Markov-Switching GARCH models, Research in International Business and Finance, Elsevier (2019) View citations (59) (2019)
- On the Frequency of Price Overreactions
CESifo Working Paper Series, CESifo View citations (3)
- On the Persistence of UK Inflation: A Long-Range Dependence Approach
CESifo Working Paper Series, CESifo View citations (4)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (4)
See also Journal Article On the persistence of UK inflation: A long‐range dependence approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) (2022)
- Persistence in the Russian Stock Market Volatility Indices
CESifo Working Paper Series, CESifo
- Political Tension and Stock Markets in the Arabian Peninsula
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article Political tension and stock markets in the Arabian Peninsula, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2021) View citations (5) (2021)
- Price Overreactions in the Cryptocurrency Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in CESifo Working Paper Series, CESifo (2018) View citations (2)
See also Journal Article Price overreactions in the cryptocurrency market, Journal of Economic Studies, Emerald Group Publishing Limited (2019) View citations (19) (2019)
- Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
CESifo Working Paper Series, CESifo
See also Journal Article Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence, South African Journal of Economics, Economic Society of South Africa (2020) View citations (2) (2020)
- The Impact of Business and Political News on the GCC Stock Markets
CESifo Working Paper Series, CESifo View citations (2)
See also Journal Article The impact of business and political news on the GCC stock markets, Research in International Business and Finance, Elsevier (2020) View citations (8) (2020)
2017
- Central Bank Policy Rates: Are They Cointegrated?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (7)
Also in CESifo Working Paper Series, CESifo (2017) View citations (7)
See also Journal Article Central bank policy rates: Are they cointegrated?, International Economics, Elsevier (2017) View citations (6) (2017)
- 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 Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets, Journal of Economic Integration, Center for Economic Integration, Sejong University (2021) View citations (1) (2021)
- Is Market Fear Persistent? A Long-Memory Analysis
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in CESifo Working Paper Series, CESifo (2017) View citations (2)
See also Journal Article Is market fear persistent? A long-memory analysis, Finance Research Letters, Elsevier (2018) View citations (13) (2018)
- 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 (4)
- 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 Persistence in the cryptocurrency market, Research in International Business and Finance, Elsevier (2018) View citations (107) (2018)
- 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)
- 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) View citations (1)
See also Journal Article Testing the Fisher hypothesis in the G-7 countries using I(d) techniques, International Economics, CEPII research center (2019) View citations (2) (2019)
- The Day of the Week Effect in the Crypto Currency Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (19)
Also in CESifo Working Paper Series, CESifo (2017) View citations (12)
See also Journal Article The day of the week effect in the cryptocurrency market, Finance Research Letters, Elsevier (2019) View citations (37) (2019)
- Trends and Cycles in Macro Series: The Case of US Real GDP
CESifo Working Paper Series, CESifo
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
See also Journal Article Trends and cycles in macro series: The case of US real GDP, Bulletin of Economic Research, Wiley Blackwell (2022) (2022)
2016
- Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (1)
- Calendar Anomalies in the Ukrainian Stock Market
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 (5)
- Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
CESifo Working Paper Series, CESifo
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016)
- 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 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, Springer (2021) View citations (2) (2021)
- 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 Bank of Finland Research Discussion Papers, Bank of Finland (2016)
CESifo Working Paper Series, CESifo (2016) View citations (2)
See also Journal Article Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB, Research in International Business and Finance, Elsevier (2018) View citations (8) (2018)
- Exchange Rates and Macro News in Emerging Markets
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (2)
See also Journal Article Exchange rates and macro news in emerging markets, Research in International Business and Finance, Elsevier (2018) View citations (11) (2018)
- Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (4)
See also Journal Article Islamic banking, credit, and economic growth: Some empirical evidence, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2018) View citations (15) (2018)
- Macro News and Exchange Rates in the BRICS
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 Macro news and exchange rates in the BRICS, Finance Research Letters, Elsevier (2017) View citations (15) (2017)
- 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 (13)
See also Journal Article Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?, Economic Modelling, Elsevier (2018) View citations (40) (2018)
- Spillovers between food and energy prices and structural breaks
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
CESifo Working Paper Series, CESifo (2015) View citations (1)
See also Journal Article Spillovers between food and energy prices and structural breaks, International Economics, CEPII research center (2017) View citations (56) (2017)
- The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
CESifo Working Paper Series, CESifo View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (3)
- The Performance of Banks in the MENA Region During the Global Financial Crisis
CESifo Working Paper Series, CESifo View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (3)
See also Journal Article The performance of banks in the MENA region during the global financial crisis, Research in International Business and Finance, Elsevier (2017) View citations (9) (2017)
- 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 (28)
CESifo Working Paper Series, CESifo (2015) View citations (28)
See also Journal Article Trade flows and trade specialisation: The case of China, China Economic Review, Elsevier (2015) View citations (28) (2015)
2015
- African Growth, Non-Linearities and Strong Dependence: An Empirical Study
NCID Working Papers, Navarra Center for International Development, University of Navarra
- 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
- 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 How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2018) View citations (3) (2018)
- 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) View citations (2)
- Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
Also in CESifo Working Paper Series, CESifo (2015) View citations (2)
See also Journal Article Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2016) View citations (13) (2016)
- Loan Loss Provision: Some Empirical Evidence for Italian Banks
CESifo Working Paper Series, CESifo View citations (6)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (6)
- Long-Term Price Overreactions: Are Markets Inefficient?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
See also Journal Article Long-term price overreactions: are markets inefficient?, Journal of Economics and Finance, Springer (2019) View citations (9) (2019)
- 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 Macro News and Commodity Returns, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2017) View citations (21) (2017)
- 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 The EMBI in Latin America: Fractional integration, non-linearities and breaks, Finance Research Letters, Elsevier (2018) View citations (3) (2018)
- The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
CESifo Working Paper Series, CESifo View citations (6)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (6)
See also Journal Article The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis, Empirical Economics, Springer (2018) View citations (1) (2018)
- 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 The weekend effect: an exploitable anomaly in the Ukrainian stock market?, Journal of Economic Studies, Emerald Group Publishing Limited (2016) View citations (3) (2016)
2014
- Financial Development and Economic Growth: Evidence from Ten New EU Members
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (4)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (56)
- 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 (20)
Also in CESifo Working Paper Series, CESifo (2014) View citations (20)
- 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 (2)
See also Journal Article Intraday Anomalies and Market Efficiency: A Trading Robot Analysis, Computational Economics, Springer (2016) View citations (10) (2016)
- 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 Local banking and local economic growth in Italy: some panel evidence, Applied Economics, Taylor & Francis Journals (2016) View citations (4) (2016)
- 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)
- 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 Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour, African Development Review, African Development Bank (2014) View citations (2) (2014)
- Macro News and Bond Yield Spreads in the Euro Area
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (8)
Also in CESifo Working Paper Series, CESifo (2014) View citations (5)
See also Journal Article Macro news and bond yield spreads in the euro area, The European Journal of Finance, Taylor & Francis Journals (2018) View citations (15) (2018)
- 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 Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis, International Review of Financial Analysis, Elsevier (2016) View citations (17) (2016)
- Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
CESifo Working Paper Series, CESifo View citations (6)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (7)
See also Journal Article Oil price uncertainty and sectoral stock returns in China: A time-varying approach, China Economic Review, Elsevier (2015) View citations (88) (2015)
- 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 Short-Term Price Overreactions: Identification, Testing, Exploitation, Computational Economics, Springer (2018) View citations (16) (2018)
- 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 Testing Unemployment Theories: A Multivariate Long Memory Approach, Journal of Applied Economics, Taylor & Francis Journals (2016) View citations (8) (2016)
- The Weekend Effect: A Trading Robot and Fractional Integration Analysis
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)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
CESifo Working Paper Series, CESifo View citations (21)
See also Journal Article Youth Unemployment in Europe: Persistence and Macroeconomic Determinants, Comparative Economic Studies, Palgrave Macmillan (2014) View citations (21) (2014)
2013
- Bank Lending Procyclicality and Credit Quality during Financial Crises
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (6)
See also Journal Article Bank lending procyclicality and credit quality during financial crises, Economic Modelling, Elsevier (2014) View citations (11) (2014)
- Banking Consolidation in Nigeria, 2000-2010
NCID Working Papers, Navarra Center for International Development, University of Navarra
- Business Cycles, International Trade and Capital Flows: Evidence from Latin America
NCID Working Papers, Navarra Center for International Development, University of Navarra
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) View citations (3)
CESifo Working Paper Series, CESifo (2012) View citations (3)
See also Journal Article Business cycles, international trade and capital flows: evidence from Latin America, Empirical Economics, Springer (2016) View citations (5) (2016)
- Exchange Rate Uncertainty and International Portfolio Flows
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
Also in CESifo Working Paper Series, CESifo (2013) View citations (2)
- 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)
- Fiscal Spillovers in the Euro Area
Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli View citations (24)
Also in CESifo Working Paper Series, CESifo (2011) View citations (21)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (26)
See also Journal Article Fiscal spillovers in the Euro area, Journal of International Money and Finance, Elsevier (2013) View citations (21) (2013)
- Foreign direct investment in the Asian economies
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (1)
- 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 (21)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (21)
See also Journal Article Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate, International Review of Financial Analysis, Elsevier (2013) View citations (21) (2013)
- Long Memory in the Ukrainian Stock Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
- Long memory in the ukrainian stock market and financial crises
MPRA Paper, University Library of Munich, Germany View citations (7)
- 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)
- On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
CESifo Working Paper Series, CESifo View citations (11)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (3)
See also Journal Article On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010, International Review of Financial Analysis, Elsevier (2014) View citations (68) (2014)
- 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 Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (4)
CESifo Working Paper Series, CESifo (2013) View citations (9)
See also Journal Article Trade intensity and output synchronisation: On the endogeneity properties of EMU, Journal of Financial Stability, Elsevier (2015) View citations (17) (2015)
- 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
- Banking Consolidation in Nigeria
CEsA Working Papers, CEsA - Centre for African and Development Studies View citations (5)
- Efficiency evaluation of Greek equity funds
MPRA Paper, University Library of Munich, Germany View citations (9)
See also Journal Article Efficiency evaluation of Greek equity funds, Research in International Business and Finance, Elsevier (2012) View citations (11) (2012)
- Environmental Regulation and Competitiveness: Evidence from Romania
CESifo Working Paper Series, CESifo View citations (30)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010)
William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2010)
See also Journal Article Environmental Regulation and Competitiveness: Evidence from Romania, Ecological Economics, Elsevier (2012) View citations (30) (2012)
- Fractional Integration and Cointegration in US Financial Time Series Data
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 (2011)
CESifo Working Paper Series, CESifo (2011)
See also Journal Article Fractional integration and cointegration in US financial time series data, Empirical Economics, Springer (2014) View citations (5) (2014)
- 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)
- 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 (3)
Also in CESifo Working Paper Series, CESifo (2008) View citations (2)
See also Journal Article Modelling long-run trends and cycles in financial time series data, Journal of Time Series Analysis, Wiley Blackwell (2013) View citations (2) (2013)
- 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 Persistence and cycles in US hours worked, Economic Modelling, Elsevier (2014) View citations (4) (2014)
- 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 Persistence and cycles in the us federal funds rate, International Review of Financial Analysis, Elsevier (2017) View citations (5) (2017)
- Persistence in Youth Unemployment
CESifo Working Paper Series, CESifo View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012)
- Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
CESifo Working Paper Series, CESifo
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012)
See also Journal Article Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (5) (2013)
- Testing the Marshall-Lerner Condition in Kenya
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) View citations (2)
See also Journal Article Testing the Marshall–Lerner Condition in Kenya, South African Journal of Economics, Economic Society of South Africa (2015) View citations (4) (2015)
2011
- Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
NIPE Working Papers, NIPE - Universidade do Minho View citations (5)
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 (5)
- Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
NIPE Working Papers, NIPE - Universidade do Minho View citations (10)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (7)
CESifo Working Paper Series, CESifo (2011) View citations (7)
See also Journal Article Consumption, wealth, stock and housing returns: Evidence from emerging markets, Research in International Business and Finance, Elsevier (2016) View citations (14) (2016)
- 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)
- Europe Agreements and Trade Balance: Evidence form Four New EU Members
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2)
Also in CESifo Working Paper Series, CESifo (2011) View citations (3)
- Interest rate dynamics in Kenya
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (1)
- 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
- 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 (4)
See also Journal Article Long Memory and Volatility Dynamics in the US Dollar Exchange Rate, Multinational Finance Journal, Multinational Finance Journal (2012) (2012)
- Persistence and Cyclical Dependence in the Monthly Euribor Rate
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2011) View citations (1)
See also Journal Article Persistence and cyclical dependence in the monthly euribor rate, Journal of Economics and Finance, Springer (2016) View citations (5) (2016)
- Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in CESifo Working Paper Series, CESifo (2011) View citations (2)
See also Journal Article Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system, Journal of Banking & Finance, Elsevier (2013) View citations (23) (2013)
- Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach
CESifo Working Paper Series, CESifo View citations (4)
- 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 The euro changeover and price adjustments in Italy, Applied Economics Letters, Taylor & Francis Journals (2012) (2012)
- 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 (8)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (7)
- 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 Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (1)
CESifo Working Paper Series, CESifo (2010) View citations (1)
See also Journal Article U.S. Disposable Personal Income and a Housing Price Index: A Fractional Integration Analysis, Journal of Housing Research, Taylor & Francis Journals (2015) (2015)
- Volatility spillovers and contagion from mature and emerging stock markets
NCID Working Papers, Navarra Center for International Development, University of Navarra
2010
- Determinants of Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis
CESifo Working Paper Series, CESifo View citations (1)
- 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 (2)
See also Journal Article EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?, Review of International Economics, Wiley Blackwell (2011) View citations (8) (2011)
- 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 Estimating persistence in the volatility of asset returns with signal plus noise models, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2012) View citations (3) (2012)
- Fractional Cointegration in US Term Spreads
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
See also Journal Article Fractional cointegration in US term spreads, Applied Economics Letters, Taylor & Francis Journals (2012) (2012)
- Inflation and Inflation Uncertainty in the Euro Area
EcoMod2010, EcoMod View citations (12)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (7)
Working Paper Series, European Central Bank (2010) View citations (11)
CESifo Working Paper Series, CESifo (2009) View citations (18)
See also Journal Article Inflation and inflation uncertainty in the euro area, Empirical Economics, Springer (2012) View citations (23) (2012)
- Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
CESifo Working Paper Series, CESifo View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (1)
See also Journal Article LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH, Manchester School, University of Manchester (2013) View citations (1) (2013)
- 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)
- 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)
- Price Formation on the EuroMTS Platform
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2010) View citations (1)
See also Journal Article Price formation on the EuroMTS platform, Applied Economics Letters, Taylor & Francis Journals (2011) View citations (8) (2011)
- 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 Quoted spreads and trade imbalance dynamics in the European Treasury bond market, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (5) (2012)
- Stock Market Integration between three CEECs, Russia and the UK
CESifo Working Paper Series, CESifo View citations (5)
See also Journal Article Stock Market Integration between Three CEECs, Russia, and the UK, Review of International Economics, Wiley Blackwell (2011) View citations (27) (2011)
- Testing Stock Market Convergence: A Non-linear Factor Approach
EcoMod2010, EcoMod
See also Journal Article Testing stock market convergence: a non-linear factor approach, Empirica, Springer (2015) View citations (10) (2015)
- The Weekly Structure of US Stock Prices
CESifo Working Paper Series, CESifo
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010)
See also Journal Article The weekly structure of US stock prices, Applied Financial Economics, Taylor & Francis Journals (2011) (2011)
- Time-Varying Spot and Futures Oil Price Dynamics
CESifo Working Paper Series, CESifo View citations (9)
Also in Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia (2010) View citations (3)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (9)
See also Journal Article Time-Varying Spot and Futures Oil Price Dynamics, Scottish Journal of Political Economy, Scottish Economic Society (2014) View citations (15) (2014)
2009
- 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)
- Evaluating Greek Equity Funds Using Data Envelopment Analysis
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
- 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 (2)
Also in CESifo Working Paper Series, CESifo (2009) View citations (4)
See also Journal Article Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis, Emerging Markets Review, Elsevier (2010) View citations (92) (2010)
- 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 View citations (3)
- International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
CESifo Working Paper Series, CESifo View citations (2)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (3)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (2)
See also Journal Article International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence, The Journal of International Trade & Economic Development, Taylor & Francis Journals (2011) View citations (4) (2011)
- Long Memory in US Real Output per Capita
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
Also in CESifo Working Paper Series, CESifo (2009) View citations (4)
See also Journal Article Long memory in US real output per capita, Empirical Economics, Springer (2013) View citations (9) (2013)
- Multi-Factor Gegenbauer Processes and European Inflation Rates
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)
See also Journal Article Multi-Factor Gegenbauer Processes and European Inflation Rates, Journal of Economic Integration, Center for Economic Integration, Sejong University (2011) View citations (9) (2011)
- Rating Assignments: Lessons from International Banks
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 (2)
See also Journal Article Ratings assignments: Lessons from international banks, Journal of International Money and Finance, Elsevier (2012) View citations (18) (2012)
- 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)
- Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
CESifo Working Paper Series, CESifo View citations (20)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (24)
- Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (51)
Also in IMF Working Papers, International Monetary Fund (2008) View citations (21)
Working Paper Series, European Central Bank (2009) View citations (35)
CESifo Working Paper Series, CESifo (2009) View citations (40)
See also Journal Article Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Review of International Economics, Wiley Blackwell (2013) View citations (64) (2013)
2008
- 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 ARE THE BALTIC COUNTRIES READY TO ADOPT THE EURO? A GENERALIZED PURCHASING POWER PARITY APPROACH, Manchester School, University of Manchester (2011) View citations (5) (2011)
- 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)
- Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Financial contagion: evolutionary optimization of a multinational agent‐based model, Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd. (2009) (2009)
- Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America, Journal of International Money and Finance, Elsevier (2011) View citations (9) (2011)
- Fractional integration and data frequency
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
- 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 (39)
See also Journal Article Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks, Computational Statistics & Data Analysis, Elsevier (2008) View citations (34) (2008)
- 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 (3)
Post-Print, HAL (2008) View citations (3)
- On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries
Post-Print, HAL View citations (6)
Also in CESifo Working Paper Series, CESifo (2008) View citations (14)
IZA Discussion Papers, Institute of Labor Economics (IZA) (2008) View citations (23)
See also Journal Article On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2009) View citations (43) (2009)
- Using Chebyshev Polynomials to Approximate Partial Differential Equations
CESifo Working Paper Series, CESifo
See also Journal Article Using Chebyshev Polynomials to Approximate Partial Differential Equations, Computational Economics, Springer (2010) View citations (5) (2010)
2007
- A Multivariate Long-Memory Model with Structural Breaks
CESifo Working Paper Series, CESifo View citations (1)
- Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
CESifo Working Paper Series, CESifo View citations (4)
- Identification of Segments of European Banks with a Latent Class Frontier Model
CESifo Working Paper Series, CESifo
- Income and Happiness across Europe: Do Reference Values Matter?
CESifo Working Paper Series, CESifo View citations (3)
See also Journal Article Income and happiness across Europe: Do reference values matter?, Journal of Economic Psychology, Elsevier (2009) View citations (129) (2009)
- Long Run and Cyclical Dynamics in the US Stock Market
CESifo Working Paper Series, CESifo View citations (10)
Also in Economics Series, Institute for Advanced Studies (2004)
Econometric Society 2004 Latin American Meetings, Econometric Society (2004)
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
See also Journal Article Long‐Run and Cyclical Dynamics in the US Stock Market, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (10) (2014)
- The Euro and Inflation Uncertainty in the European Monetary Union
CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, 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) View citations (1)
See also Journal Article The Euro and inflation uncertainty in the European Monetary Union, Journal of International Money and Finance, Elsevier (2009) View citations (47) (2009)
2006
- 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
- Are PPP Tests Erratically Behaved? Some Panel Evidence
Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2006)
See also Journal Article Are PPP tests erratically behaved? Some panel evidence, International Review of Applied Economics, Taylor & Francis Journals (2010) (2010)
- Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
CESifo Working Paper Series, CESifo View citations (1)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
See also Journal Article Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics, Review of International Economics, Wiley Blackwell (2008) View citations (6) (2008)
- 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 (2)
See also Journal Article Cointegration tests of PPP: do they also exhibit erratic behaviour?, Applied Economics Letters, Taylor & Francis Journals (2009) View citations (1) (2009)
- 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
- 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
- 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 (5)
- Nonlinearities and fractional integration in the US unemployment rate
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) View citations (2)
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
Discussion Paper Series, Hamburg Institute of International Economics (2004) View citations (2)
See also Journal Article Nonlinearities and Fractional Integration in the US Unemployment Rate*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2007) View citations (68) (2007)
- 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 Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates, Empirica, Springer (2008) View citations (1) (2008)
2005
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
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)
See also Journal Article FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS, Manchester School, University of Manchester (2005) View citations (14) (2005)
- 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 Long memory at the long-run and the seasonal monthly frequencies in the US money stock, Applied Economics Letters, Taylor & Francis Journals (2006) View citations (3) (2006)
- 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 Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Journal Article Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994, Empirical Economics, Springer (2006) View citations (6) (2006)
- 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
- 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 Testing for deterministic and stochastic cycles in macroeconomic time series, Empirica, Springer (2007) (2007)
- 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
Also in Economics Working Paper Archive, Levy Economics Institute (2003) View citations (1)
See also Journal Article Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005) View citations (5) (2005)
- 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 The Asymmetric Effects of a Common Monetary Policy in Europe, Journal of Economic Integration, Center for Economic Integration, Sejong University (2009) View citations (4) (2009)
- 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
- MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
- 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)
- PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics Series, Institute for Advanced Studies (2004) View citations (6)
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Journal Article Panel data tests of PPP: a critical overview, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (18) (2006)
- Parameter Instability and Forecasting Performance. A Monte Carlo Study
Economics Series, Institute for Advanced Studies
See also Journal Article Parameter instability and forecasting performance: a Monte Carlo study, International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd (2008) (2008)
- 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 View citations (3)
- TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
International Finance, University Library of Munich, Germany View citations (2)
See also Journal Article Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, Elsevier (2005) View citations (164) (2005)
- TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
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 Chapter Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2007) (2007)
- THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (3)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
Economics Series, Institute for Advanced Studies (2004) View citations (3)
See also Journal Article The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study, Journal of Financial Econometrics, Oxford University Press (2005) View citations (8) (2005)
- THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
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 The stochastic unit root model and fractional integration: An extension to the seasonal case, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2007) (2007)
2003
- Endogenous growth and Stock Market Development
Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol View citations (3)
- Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity
CEIS Research Paper, Tor Vergata University, CEIS View citations (7)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2002) View citations (9)
See also Journal Article Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity, Journal of International Money and Finance, Elsevier (2005) View citations (53) (2005)
2002
- The Banking System in Bulgaria
Post-Print, HAL View citations (5)
See also Chapter The Banking System in Bulgaria, Chapters, Edward Elgar Publishing (2002) (2002)
2000
- 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 Fractional cointegration and real exchange rates, Review of Financial Economics, Elsevier (2004) View citations (17) (2004)
- 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 Fractional cointegration and tests of present value models, Review of Financial Economics, John Wiley & Sons (2004) View citations (5) (2004)
- 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 Unemployment and input prices: a fractional cointegration approach, Applied Economics Letters, Taylor & Francis Journals (2002) View citations (16) (2002)
Journal Articles
2024
- A Long-Memory Model for Multiple Cycles with an Application to the US Stock Market
Mathematics, 2024, 12, (22), 1-12 View citations (1)
- Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity
Econometrics, 2024, 12, (4), 1-14
See also Working Paper Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity, CESifo Working Paper Series (2024) (2024)
- Exogenous shocks and time-varying price persistence in the EU27
Journal of Applied Economics, 2024, 27, (1), 2329857
- Exponential Time Trends in a Fractional Integration Model
Econometrics, 2024, 12, (2), 1-14
See also Working Paper Exponential Time Trends in a Fractional Integration Model, CESifo Working Paper Series (2023) (2023)
- Functional shocks to inflation expectations and real interest rates and their macroeconomic effects
Review of World Economics (Weltwirtschaftliches Archiv), 2024, 160, (4), 1543-1575
See also Working Paper Functional Shocks to Inflation Expectations and Real Interest Rates and Their Macroeconomic Effects, CESifo Working Paper Series (2023) (2023)
- Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
Computational Economics, 2024, 64, (6), 3543-3553
See also Working Paper Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis, CESifo Working Paper Series (2022) (2022)
- Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets
International Journal of Finance & Economics, 2024, 29, (2), 1581-1608
- Modelling Loans to Non-Financial Corporations in the Eurozone: A Long-Memory Approach
International Advances in Economic Research, 2024, 30, (3), 231-254
- Modelling profitability of private equity: A fractional integration approach
Research in International Business and Finance, 2024, 67, (PA)
See also Working Paper Modelling Profitability of Private Equity: A Fractional Integration Approach, CESifo Working Paper Series (2022) (2022)
- Persistence and long memory in monetary policy spreads
Applied Economics, 2024, 56, (20), 2422-2433
See also Working Paper Persistence and Long Memory in Monetary Policy Spreads, CESifo Working Paper Series (2020) (2020)
- Persistence in Tax Revenues: Evidence from Some OECD Countries
Journal of Quantitative Economics, 2024, 22, (2), 475-491
See also Working Paper Persistence in Tax Revenues: Evidence from Some OECD Countries, CESifo Working Paper Series (2023) (2023)
- Persistence in the Realized Betas: Some Evidence from the Stock Market
JRFM, 2024, 17, (4), 1-28
- Shipping cost uncertainty, endogenous regime switching and the global drivers of inflation
International Economics, 2024, 178, (C) View citations (1)
See also Working Paper Shipping Cost Uncertainty, Endogenous Regime Switching and the Global Drivers of Inflation, CESifo Working Paper Series (2023) (2023)
- Stock market indices and interest rates in the US and Europe: persistence and long-run linkages
Studies in Economics and Finance, 2024, 41, (5), 1044-1056
- The Covid‐19 pandemic and European trade flows: Evidence from a dynamic panel model
International Journal of Finance & Economics, 2024, 29, (3), 2563-2580
See also Working Paper The Covid-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model, CESifo Working Paper Series (2022) View citations (2) (2022)
- Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe
Empirica, 2024, 51, (2), 529-558
- Time-varying parameters in monetary policy rules: a GMM approach
Journal of Economic Studies, 2024, 51, (9), 148-176
See also Working Paper Time-Varying Parameters in Monetary Policy Rules: A GMM Approach, CESifo Working Paper Series (2023) (2023)
2023
- Aggregate insider trading and stock market volatility in the UK
Journal of International Financial Markets, Institutions and Money, 2023, 89, (C)
See also Working Paper Aggregate Insider Trading and Stock Market Volatility in the UK, CESifo Working Paper Series (2023) (2023)
- Asymmetries, uncertainty and inflation: evidence from developed and emerging economies
Journal of Economics and Finance, 2023, 47, (4), 984-1017
- Connectedness between fossil and renewable energy stock indices: The impact of the COP policies
Economic Modelling, 2023, 123, (C) View citations (13)
- Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts
Manchester School, 2023, 91, (3), 171-232
See also Working Paper Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts, CESifo Working Paper Series (2022) View citations (2) (2022)
- Inflation persistence in Europe: The effects of the Covid-19 pandemic and of the Russia-Ukraine war
Economics Bulletin, 2023, 43, (1), 137 - 145
See also Working Paper Inflation Persistence in Europe: The Effects of the Covid-19 Pandemic and of the Russia-Ukraine War, CESifo Working Paper Series (2022) View citations (2) (2022)
- Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaks
SN Business & Economics, 2023, 3, (8), 1-10
See also Working Paper Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks, CESifo Working Paper Series (2022) (2022)
- Nonlinearities in the exchange rate pass-through: The role of inflation expectations
International Economics, 2023, 173, (C), 86-101 View citations (5)
See also Working Paper Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations, CESifo Working Paper Series (2022) View citations (2) (2022)
- Persistence in UK Historical Data on Life Expectancy
Population Research and Policy Review, 2023, 42, (4), 1-11
See also Working Paper Persistence in UK Historical Data on Life Expectancy, CESifo Working Paper Series (2023) (2023)
- Shadow rates as a measure of the monetary policy stance: Some international evidence
Scottish Journal of Political Economy, 2023, 70, (5), 399-422
See also Working Paper Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence, CESifo Working Paper Series (2022) View citations (1) (2022)
- Small and medium sized European firms and energy saving measures: The role of financing
Energy Policy, 2023, 179, (C)
- The short‐run and long‐run effects of trade openness on financial development: Some panel evidence for Europe
International Journal of Finance & Economics, 2023, 28, (4), 3891-3901
See also Working Paper The Short-Run and Long-Run Effects of Trade Openness on Financial Development: Some Panel Evidence for Europe, CESifo Working Paper Series (2021) (2021)
- Tourism persistence in the Southeastern European countries: The impact of covid-19
Cogent Economics & Finance, 2023, 11, (2), 2280349
See also Working Paper Tourism Persistence in the Southeastern European Countries: The Impact of Covid-19, CESifo Working Paper Series (2022) (2022)
- U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks
International Advances in Economic Research, 2023, 29, (1), 79-90
See also Working Paper US House Prices by Census Division: Persistence, Trends and Structural Breaks, CESifo Working Paper Series (2022) (2022)
- US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach
Applied Economics, 2023, 55, (3), 283-292
See also Working Paper US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach, CESifo Working Paper Series (2021) View citations (2) (2021)
- Witching days and abnormal profits in the us stock market
Cogent Economics & Finance, 2023, 11, (1), 2182016
See also Working Paper Witching Days and Abnormal Profits in the US Stock Market, CESifo Working Paper Series (2021) View citations (1) (2021)
2022
- Cross-border portfolio flows and news media coverage
Journal of International Money and Finance, 2022, 126, (C) View citations (2)
See also Working Paper Cross-Border Portfolio Flows and News Media Coverage, CESifo Working Paper Series (2020) (2020)
- Exchange rate parities and Taylor rule deviations
Empirical Economics, 2022, 63, (4), 1809-1835
See also Working Paper Exchange Rate Parities and Taylor Rule Deviations, CESifo Working Paper Series (2021) (2021)
- Inflation in the G7 countries: persistence and structural breaks
Journal of Economics and Finance, 2022, 46, (3), 493-506 View citations (1)
See also Working Paper Inflation in the G7 Countries: Persistence and Structural Breaks, CESifo Working Paper Series (2020) (2020)
- Modeling persistence and non-linearities in the US treasury 10-year bond yields
Economics Bulletin, 2022, 42, (3), 1221 - 1229 View citations (2)
See also Working Paper Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields, CESifo Working Paper Series (2022) View citations (2) (2022)
- Non-linearities and persistence in US long-run interest rates
Applied Economics Letters, 2022, 29, (4), 366-370 View citations (3)
See also Working Paper Non-Linearities and Persistence in US Long-Run Interest Rates, CESifo Working Paper Series (2020) (2020)
- Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach
Resources Policy, 2022, 79, (C) View citations (2)
- On the persistence of UK inflation: A long‐range dependence approach
International Journal of Finance & Economics, 2022, 27, (1), 439-454
See also Working Paper On the Persistence of UK Inflation: A Long-Range Dependence Approach, CESifo Working Paper Series (2018) View citations (4) (2018)
- Persistence in ESG and conventional stock market indices
Journal of Economics and Finance, 2022, 46, (4), 678-703 View citations (4)
See also Working Paper Persistence in ESG and Conventional Stock Market Indices, CESifo Working Paper Series (2021) (2021)
- Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach
Emerging Markets Finance and Trade, 2022, 58, (5), 1502-1514 View citations (5)
- Testing for UIP-Type Relationships: Nonlinearities, Monetary Announcements and Interest Rate Expectations
Open Economies Review, 2022, 33, (4), 705-749 View citations (1)
- The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields
The Quarterly Review of Economics and Finance, 2022, 86, (C), 118-123 View citations (3)
See also Working Paper The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields, CESifo Working Paper Series (2021) (2021)
- The COVID-19 pandemic, policy responses and stock markets in the G20
International Economics, 2022, 172, (C), 77-90 View citations (3)
Also in International Economics, 2022, (172), 77-90 (2022) View citations (2)
See also Working Paper The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20, CESifo Working Paper Series (2021) (2021)
- The direct and indirect effects of financial development on international trade: Evidence from the CEEC-6
Journal of International Financial Markets, Institutions and Money, 2022, 78, (C) View citations (4)
See also Working Paper The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6, CESifo Working Paper Series (2020) View citations (4) (2020)
- The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysis
Cogent Economics & Finance, 2022, 10, (1), 2159736 View citations (1)
- The relationship between prices and output in the UK and the US
SN Business & Economics, 2022, 2, (6), 1-13 View citations (1)
See also Working Paper The Relationship between Prices and Output in the UK and the US, CESifo Working Paper Series (2021) (2021)
- Trends and cycles in macro series: The case of US real GDP
Bulletin of Economic Research, 2022, 74, (1), 123-134
See also Working Paper Trends and Cycles in Macro Series: The Case of US Real GDP, CESifo Working Paper Series (2017) (2017)
2021
- Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach
Journal of Innovation and Entrepreneurship, 2021, 10, (1), 1-16 View citations (8)
- Cyber-attacks, spillovers and contagion in the cryptocurrency markets
Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (27)
See also Working Paper Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets, CESifo Working Paper Series (2020) View citations (2) (2020)
- Economic policy uncertainty: Persistence and cross-country linkages
Research in International Business and Finance, 2021, 58, (C) View citations (6)
See also Working Paper Economic Policy Uncertainty: Persistence and Cross-Country Linkages, CESifo Working Paper Series (2020) (2020)
- 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 View citations (2)
See also Working Paper 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 (2016) View citations (1) (2016)
- Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
Journal of Economic Integration, 2021, 36, (2), 185-202 View citations (1)
See also Working Paper Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets, Discussion Papers of DIW Berlin (2017) (2017)
- Gold and oil prices: abnormal returns, momentum and contrarian effects
Financial Markets and Portfolio Management, 2021, 35, (3), 353-368 View citations (1)
See also Working Paper Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects, CESifo Working Paper Series (2020) View citations (1) (2020)
- 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 View citations (1)
See also Working Paper Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange, CESifo Working Paper Series (2019) (2019)
- Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations
Journal of Economic Studies, 2021, 49, (6), 937-959
See also Working Paper Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations, CESifo Working Paper Series (2021) (2021)
- On the preferences of CoCo bond buyers and sellers
Journal of International Financial Markets, Institutions and Money, 2021, 72, (C) View citations (1)
See also Working Paper On the preferences of CoCo bond buyers and sellers, CESifo Working Paper Series (2019) (2019)
- Persistence in the market risk premium: evidence across countries
Journal of Economics and Finance, 2021, 45, (3), 413-427 View citations (1)
See also Working Paper Persistence in the Market Risk Premium: Evidence across Countries, CESifo Working Paper Series (2020) View citations (2) (2020)
- Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries
Applied Economics, 2021, 53, (43), 5018-5027 View citations (2)
See also Working Paper Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries, CESifo Working Paper Series (2021) View citations (3) (2021)
- Political tension and stock markets in the Arabian Peninsula
International Journal of Finance & Economics, 2021, 26, (1), 679-683 View citations (5)
See also Working Paper Political Tension and Stock Markets in the Arabian Peninsula, CESifo Working Paper Series (2018) View citations (2) (2018)
- The frequency of one-day abnormal returns and price fluctuations in the forex
Journal of Applied Economics, 2021, 24, (1), 401-415
See also Working Paper The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX, CESifo Working Paper Series (2020) (2020)
2020
- Daily abnormal price changes and trading strategies in the FOREX
Journal of Economic Studies, 2020, 48, (1), 211-222
- 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 Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification, CESifo Working Paper Series (2019) (2019)
- Financial Integration in the GCC Region: Market Size Versus National Effects
Open Economies Review, 2020, 31, (2), 309-316 View citations (3)
See also Working Paper Financial integration in the GCC region: market size versus national effects, CESifo Working Paper Series (2019) View citations (1) (2019)
- Fractional Integration and the Persistence of UK Inflation, 1210–2016
Economic Papers, 2020, 39, (2), 162-166 View citations (1)
- 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 High and low prices and the range in the European stock markets: a long-memory approach, CESifo Working Paper Series (2019) (2019)
- Momentum effects in the cryptocurrency market after one-day abnormal returns
Financial Markets and Portfolio Management, 2020, 34, (3), 251-266 View citations (13)
See also Working Paper Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns, CESifo Working Paper Series (2019) View citations (1) (2019)
- Non-linearities, cyber attacks and cryptocurrencies
Finance Research Letters, 2020, 32, (C) View citations (18)
See also Working Paper Non-Linearities, Cyber Attacks and Cryptocurrencies, CESifo Working Paper Series (2019) View citations (5) (2019)
- 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 (7)
See also Working Paper Persistence, non-linearities and structural breaks in European stock market indices, CESifo Working Paper Series (2019) (2019)
- Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
South African Journal of Economics, 2020, 88, (2), 174-185 View citations (2)
See also Working Paper Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence, CESifo Working Paper Series (2018) (2018)
- The bank lending channel in the Malaysian Islamic and conventional banking system
Global Finance Journal, 2020, 45, (C) View citations (8)
- The impact of business and political news on the GCC stock markets
Research in International Business and Finance, 2020, 52, (C) View citations (8)
See also Working Paper The Impact of Business and Political News on the GCC Stock Markets, CESifo Working Paper Series (2018) View citations (2) (2018)
- Volatility persistence in the Russian stock market
Finance Research Letters, 2020, 32, (C) View citations (5)
2019
- Bitcoin fluctuations and the frequency of price overreactions
Financial Markets and Portfolio Management, 2019, 33, (2), 109-131 View citations (7)
See also Working Paper Bitcoin Fluctuations and the Frequency of Price Overreactions, CESifo Working Paper Series (2018) (2018)
- Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Real Estate Economics, 2019, 47, (4), 935-976 View citations (6)
- Global and regional stock market integration in Asia: A panel convergence approach
International Review of Financial Analysis, 2019, 65, (C) View citations (10)
- Long-term interest rates in Europe: A fractional cointegration analysis
International Review of Economics & Finance, 2019, 61, (C), 170-178 View citations (3)
- Long-term price overreactions: are markets inefficient?
Journal of Economics and Finance, 2019, 43, (4), 657-680 View citations (9)
See also Working Paper Long-Term Price Overreactions: Are Markets Inefficient?, Discussion Papers of DIW Berlin (2015) (2015)
- Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Research in International Business and Finance, 2019, 48, (C), 143-155 View citations (59)
See also Working Paper Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models, CESifo Working Paper Series (2018) View citations (5) (2018)
- On stock price overreactions: frequency, seasonality and information content
Journal of Applied Economics, 2019, 22, (1), 602-621 View citations (5)
- Price overreactions in the cryptocurrency market
Journal of Economic Studies, 2019, 46, (5), 1137-1155 View citations (19)
See also Working Paper Price Overreactions in the Cryptocurrency Market, Discussion Papers of DIW Berlin (2018) View citations (3) (2018)
- Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
International Economics, 2019, (159), 140-150 View citations (2)
Also in International Economics, 2019, 159, (C), 140-150 (2019) View citations (2)
See also Working Paper Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques, CESifo Working Paper Series (2017) (2017)
- The day of the week effect in the cryptocurrency market
Finance Research Letters, 2019, 31, (C) View citations (37)
See also Working Paper The Day of the Week Effect in the Crypto Currency Market, Discussion Papers of DIW Berlin (2017) View citations (19) (2017)
- UK overseas visitors: Seasonality and persistence
Tourism Economics, 2019, 25, (5), 827-831 View citations (2)
2018
- Brexit and Uncertainty in Financial Markets
IJFS, 2018, 6, (1), 1-9 View citations (11)
See also Working Paper Brexit and Uncertainty in Financial Markets, Discussion Papers of DIW Berlin (2018) View citations (11) (2018)
- Competitive devaluations in commodity†based economies: Colombia and the Pacific Alliance Group
Review of Development Economics, 2018, 22, (2), 558-572
- 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 (8)
See also Working Paper Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB, Discussion Papers of DIW Berlin (2016) View citations (2) (2016)
- Exchange rates and macro news in emerging markets
Research in International Business and Finance, 2018, 46, (C), 516-527 View citations (11)
See also Working Paper Exchange Rates and Macro News in Emerging Markets, CESifo Working Paper Series (2016) View citations (2) (2016)
- 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 (3)
See also Working Paper How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China, CESifo Working Paper Series (2015) View citations (1) (2015)
- Is market fear persistent? A long-memory analysis
Finance Research Letters, 2018, 27, (C), 140-147 View citations (13)
See also Working Paper Is Market Fear Persistent? A Long-Memory Analysis, Discussion Papers of DIW Berlin (2017) View citations (3) (2017)
- Islamic banking, credit, and economic growth: Some empirical evidence
International Journal of Finance & Economics, 2018, 23, (4), 456-477 View citations (15)
See also Working Paper Islamic Banking, Credit and Economic Growth: Some Empirical Evidence, CESifo Working Paper Series (2016) View citations (2) (2016)
- 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 (11)
- Macro news and bond yield spreads in the euro area
The European Journal of Finance, 2018, 24, (2), 114-134 View citations (15)
See also Working Paper Macro News and Bond Yield Spreads in the Euro Area, Discussion Papers of DIW Berlin (2014) View citations (8) (2014)
- Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?
Economic Modelling, 2018, 72, (C), 306-319 View citations (40)
See also Working Paper Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?, Discussion Papers of DIW Berlin (2016) View citations (5) (2016)
- Persistence in the cryptocurrency market
Research in International Business and Finance, 2018, 46, (C), 141-148 View citations (107)
See also Working Paper Persistence in the Cryptocurrency Market, CESifo Working Paper Series (2017) View citations (2) (2017)
- Short-Term Price Overreactions: Identification, Testing, Exploitation
Computational Economics, 2018, 51, (4), 913-940 View citations (16)
See also Working Paper Short-Term Price Overreaction: Identification, Testing, Exploitation, Discussion Papers of DIW Berlin (2014) View citations (2) (2014)
- The EMBI in Latin America: Fractional integration, non-linearities and breaks
Finance Research Letters, 2018, 24, (C), 34-41 View citations (3)
See also Working Paper The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks, CESifo Working Paper Series (2015) View citations (1) (2015)
- The asymmetric behaviour of spanish unemployment persistence
Economics Bulletin, 2018, 38, (1), 98-104 View citations (3)
- 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 View citations (1)
See also Working Paper The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis, CESifo Working Paper Series (2015) View citations (6) (2015)
- Unemployment in Africa: A Fractional Integration Approach
South African Journal of Economics, 2018, 86, (1), 76-81 View citations (7)
2017
- Analysing the determinants of insolvency risk for general insurance firms in the UK
Journal of Banking & Finance, 2017, 84, (C), 107-122 View citations (15)
- Calendar anomalies in the Russian stock market
Russian Journal of Economics, 2017, 3, (1), 101-108 View citations (5)
- Central bank policy rates: Are they cointegrated?
International Economics, 2017, 152, (C), 116-123 View citations (6)
Also in International Economics, 2017, (152), 116-123 (2017) View citations (7)
See also Working Paper Central Bank Policy Rates: Are They Cointegrated?, Discussion Papers of DIW Berlin (2017) View citations (7) (2017)
- 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 (3)
- International portfolio flows and exchange rate volatility in emerging Asian markets
Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (24)
- Macro News and Commodity Returns
International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (21)
See also Working Paper Macro News and Commodity Returns, CESifo Working Paper Series (2015) (2015)
- Macro news and exchange rates in the BRICS
Finance Research Letters, 2017, 21, (C), 140-143 View citations (15)
See also Working Paper Macro News and Exchange Rates in the BRICS, Discussion Papers of DIW Berlin (2016) View citations (1) (2016)
- Persistence and cycles in the us federal funds rate
International Review of Financial Analysis, 2017, 52, (C), 1-8 View citations (5)
See also Working Paper Persistence and Cycles in the US Federal Funds Rate, Discussion Papers of DIW Berlin (2012) View citations (1) (2012)
- Searching for Inefficiencies in Exchange Rate Dynamics
Computational Economics, 2017, 49, (3), 405-432 View citations (2)
- Spillovers between food and energy prices and structural breaks
International Economics, 2017, (150), 1-18 View citations (56)
Also in International Economics, 2017, 150, (C), 1-18 (2017) View citations (52)
See also Working Paper Spillovers between food and energy prices and structural breaks, NCID Working Papers (2016) View citations (2) (2016)
- The fisher relationship in Nigeria
Journal of Economics and Finance, 2017, 41, (2), 343-353 View citations (1)
- 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 (9)
See also Working Paper The Performance of Banks in the MENA Region During the Global Financial Crisis, CESifo Working Paper Series (2016) View citations (3) (2016)
- The weekend effect: a fractional integration and trading robot analysis
International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 View citations (3)
2016
- Business cycles, international trade and capital flows: evidence from Latin America
Empirical Economics, 2016, 50, (2), 231-252 View citations (5)
See also Working Paper Business Cycles, International Trade and Capital Flows: Evidence from Latin America, NCID Working Papers (2013) (2013)
- Consumption, wealth, stock and housing returns: Evidence from emerging markets
Research in International Business and Finance, 2016, 36, (C), 562-578 View citations (14)
See also Working Paper Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets, NIPE Working Papers (2011) View citations (10) (2011)
- 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)
- Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Computational Economics, 2016, 47, (2), 275-295 View citations (10)
See also Working Paper Intraday Anomalies and Market Efficiency: A Trading Robot Analysis, Discussion Papers of DIW Berlin (2014) (2014)
- Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
International Journal of Finance & Economics, 2016, 21, (2), 143-153 View citations (13)
See also Working Paper Linkages between the US and European Stock Markets: A Fractional Cointegration Approach, Discussion Papers of DIW Berlin (2015) View citations (2) (2015)
- Local banking and local economic growth in Italy: some panel evidence
Applied Economics, 2016, 48, (28), 2665-2674 View citations (4)
See also Working Paper Local Banking and Local Economic Growth in Italy: Some Panel Evidence, Discussion Papers of DIW Berlin (2014) (2014)
- 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 (17)
See also Working Paper Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis, Discussion Papers of DIW Berlin (2014) View citations (4) (2014)
- Persistence and cyclical dependence in the monthly euribor rate
Journal of Economics and Finance, 2016, 40, (1), 157-171 View citations (5)
See also Working Paper Persistence and Cyclical Dependence in the Monthly Euribor Rate, Discussion Papers of DIW Berlin (2011) View citations (1) (2011)
- Testing Unemployment Theories: A Multivariate Long Memory Approach
Journal of Applied Economics, 2016, 19, (1), 95-112 View citations (8)
Also in Journal of Applied Economics, 2016, 19, 95-112 (2016) View citations (8)
See also Working Paper Testing Unemployment Theories: A Multivariate Long Memory Approach, CESifo Working Paper Series (2014) (2014)
- The weekend effect: an exploitable anomaly in the Ukrainian stock market?
Journal of Economic Studies, 2016, 43, (6), 954-965 View citations (3)
See also Working Paper The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?, Discussion Papers of DIW Berlin (2015) View citations (3) (2015)
2015
- 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 (45)
- Financial Development and Economic Growth: Evidence from 10 New European Union Members
International Journal of Finance & Economics, 2015, 20, (1), 48-60 View citations (56)
- Gender, style diversity, and their effect on fund performance
Research in International Business and Finance, 2015, 35, (C), 57-74 View citations (13)
- Infant mortality rates: time trends and fractional integration
Journal of Applied Statistics, 2015, 42, (3), 589-602 View citations (4)
- 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 (4)
- Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
Applied Economics Letters, 2015, 22, (5), 421-424 View citations (4)
- Oil price uncertainty and sectoral stock returns in China: A time-varying approach
China Economic Review, 2015, 34, (C), 311-321 View citations (88)
See also Working Paper Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach, CESifo Working Paper Series (2014) View citations (6) (2014)
- 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 (7)
- Testing stock market convergence: a non-linear factor approach
Empirica, 2015, 42, (3), 481-498 View citations (10)
See also Working Paper Testing Stock Market Convergence: A Non-linear Factor Approach, EcoMod2010 (2010) (2010)
- Testing the Marshall–Lerner Condition in Kenya
South African Journal of Economics, 2015, 83, (2), 253-268 View citations (4)
See also Working Paper Testing the Marshall-Lerner Condition in Kenya, Discussion Papers of DIW Berlin (2012) View citations (3) (2012)
- 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)
- Trade flows and trade specialisation: The case of China
China Economic Review, 2015, 34, (C), 261-273 View citations (28)
See also Working Paper Trade flows and trade specialisation: the case of China, NCID Working Papers (2016) View citations (1) (2016)
- Trade intensity and output synchronisation: On the endogeneity properties of EMU
Journal of Financial Stability, 2015, 16, (C), 154-163 View citations (17)
See also Working Paper TRADE INTENSITY AND OUTPUT SYNCHRONISATION: ON THE ENDOGENEITY PROPERTIES OF EMU, Working Papers LuissLab (2013) View citations (2) (2013)
- U.S. Disposable Personal Income and a Housing Price Index: A Fractional Integration Analysis
Journal of Housing Research, 2015, 24, (1), 73-86
See also Working Paper US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis, Faculty Working Papers (2011) (2011)
2014
- Bank lending procyclicality and credit quality during financial crises
Economic Modelling, 2014, 43, (C), 142-157 View citations (11)
See also Working Paper Bank Lending Procyclicality and Credit Quality during Financial Crises, Discussion Papers of DIW Berlin (2013) View citations (6) (2013)
- Fractional integration and cointegration in US financial time series data
Empirical Economics, 2014, 47, (4), 1389-1410 View citations (5)
See also Working Paper Fractional Integration and Cointegration in US Financial Time Series Data, Faculty Working Papers (2012) (2012)
- Improving Environmental Performance: A Challenge for Romania
Environmental & Resource Economics, 2014, 57, (3), 431-452 View citations (2)
- 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 Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour, NCID Working Papers (2014) View citations (2) (2014)
- Long‐Run and Cyclical Dynamics in the US Stock Market
Journal of Forecasting, 2014, 33, (2), 147-161 View citations (10)
See also Working Paper Long Run and Cyclical Dynamics in the US Stock Market, CESifo Working Paper Series (2007) View citations (10) (2007)
- 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 (68)
See also Working Paper On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010, CESifo Working Paper Series (2013) View citations (11) (2013)
- Persistence and cycles in US hours worked
Economic Modelling, 2014, 38, (C), 504-511 View citations (4)
See also Working Paper Persistence and Cycles in US Hours Worked, CESifo Working Paper Series (2012) (2012)
- 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 (4)
- 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)
- Time-Varying Spot and Futures Oil Price Dynamics
Scottish Journal of Political Economy, 2014, 61, (1), 78-97 View citations (15)
See also Working Paper Time-Varying Spot and Futures Oil Price Dynamics, CESifo Working Paper Series (2010) View citations (9) (2010)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
Comparative Economic Studies, 2014, 56, (4), 581-591 View citations (21)
See also Working Paper Youth Unemployment in Europe: Persistence and Macroeconomic Determinants, CESifo Working Paper Series (2014) View citations (21) (2014)
2013
- Fiscal spillovers in the Euro area
Journal of International Money and Finance, 2013, 38, (C), 84.e1-84.e16 View citations (21)
See also Working Paper Fiscal Spillovers in the Euro Area, Working Papers LuissLab (2013) View citations (24) (2013)
- 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 Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach, CESifo Working Paper Series (2010) View citations (1) (2010)
- 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 (21)
See also Working Paper Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate, CESifo Working Paper Series (2013) View citations (21) (2013)
- Long memory in US real output per capita
Empirical Economics, 2013, 44, (2), 591-611 View citations (9)
See also Working Paper Long Memory in US Real Output per Capita, Discussion Papers of DIW Berlin (2009) View citations (4) (2009)
- Modelling long-run trends and cycles in financial time series data
Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (2)
See also Working Paper Modelling Long Run Trends and Cycles in Financial Time Series Data, Faculty Working Papers (2012) View citations (3) (2012)
- 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 (23)
See also Working Paper Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System, Discussion Papers of DIW Berlin (2011) View citations (3) (2011)
- 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 (5)
See also Working Paper Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal, CESifo Working Paper Series (2012) (2012)
- Stock Prices and Monetary Policy: An Impulse Response Analysis
International Journal of Economics and Financial Issues, 2013, 3, (3), 701-709 View citations (1)
- Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Review of International Economics, 2013, 21, (5), 1060-1075 View citations (64)
See also Working Paper Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Discussion Papers of DIW Berlin (2009) View citations (51) (2009)
2012
- Efficiency evaluation of Greek equity funds
Research in International Business and Finance, 2012, 26, (2), 317-333 View citations (11)
See also Working Paper Efficiency evaluation of Greek equity funds, MPRA Paper (2012) View citations (9) (2012)
- Environmental Regulation and Competitiveness: Evidence from Romania
Ecological Economics, 2012, 81, (C), 130-139 View citations (30)
See also Working Paper Environmental Regulation and Competitiveness: Evidence from Romania, CESifo Working Paper Series (2012) View citations (30) (2012)
- 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 (3)
See also Working Paper Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models, Discussion Papers of DIW Berlin (2010) (2010)
- 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)
- Fractional cointegration in US term spreads
Applied Economics Letters, 2012, 19, (5), 431-434
See also Working Paper Fractional Cointegration in US Term Spreads, Discussion Papers of DIW Berlin (2010) (2010)
- Inflation and inflation uncertainty in the euro area
Empirical Economics, 2012, 43, (2), 597-615 View citations (23)
See also Working Paper Inflation and Inflation Uncertainty in the Euro Area, EcoMod2010 (2010) View citations (12) (2010)
- Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Multinational Finance Journal, 2012, 16, (1-2), 105-136
See also Working Paper Long Memory and Volatility Dynamics in the US Dollar Exchange Rate, Faculty Working Papers (2011) (2011)
- 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 Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market, Discussion Papers of DIW Berlin (2010) View citations (2) (2010)
- Ratings assignments: Lessons from international banks
Journal of International Money and Finance, 2012, 31, (6), 1593-1606 View citations (18)
See also Working Paper Rating Assignments: Lessons from International Banks, CESifo Working Paper Series (2009) View citations (3) (2009)
- Stock Market Integration Between Three CEECs
Journal of Economic Integration, 2012, 27, 115-122 View citations (11)
- Stock market, economic growth and EU accession: evidence from three CEECs
International Journal of Monetary Economics and Finance, 2012, 5, (2), 183-191 View citations (6)
- The euro changeover and price adjustments in Italy
Applied Economics Letters, 2012, 19, (4), 379-382
See also Working Paper The Euro Changeover and Price Adjustments in Italy, CESifo Working Paper Series (2011) (2011)
2011
- 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 Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach, CESifo Working Paper Series (2008) View citations (1) (2008)
- EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?
Review of International Economics, 2011, 19, (1), 189-206 View citations (8)
See also Working Paper EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?, Discussion Papers of DIW Berlin (2010) View citations (2) (2010)
- 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 (9)
See also Working Paper Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America, CESifo Working Paper Series (2008) View citations (1) (2008)
- Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
American Journal of Economics and Business Administration, 2011, 3, (4), 586-588
- 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)
- 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 (4)
See also Working Paper International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence, CESifo Working Paper Series (2009) View citations (2) (2009)
- Introduction
Review of International Economics, 2011, 19, (1), 46-48
- Multi-Factor Gegenbauer Processes and European Inflation Rates
Journal of Economic Integration, 2011, 26, 386-409 View citations (9)
See also Working Paper Multi-Factor Gegenbauer Processes and European Inflation Rates, Discussion Papers of DIW Berlin (2009) View citations (1) (2009)
- Price formation on the EuroMTS platform
Applied Economics Letters, 2011, 18, (3), 229-233 View citations (8)
See also Working Paper Price Formation on the EuroMTS Platform, Discussion Papers of DIW Berlin (2010) View citations (1) (2010)
- Stock Market Integration between Three CEECs, Russia, and the UK
Review of International Economics, 2011, 19, (1), 158-169 View citations (27)
See also Working Paper Stock Market Integration between three CEECs, Russia and the UK, CESifo Working Paper Series (2010) View citations (5) (2010)
- The weekly structure of US stock prices
Applied Financial Economics, 2011, 21, (23), 1757-1764
See also Working Paper The Weekly Structure of US Stock Prices, CESifo Working Paper Series (2010) (2010)
2010
- Are PPP tests erratically behaved? Some panel evidence
International Review of Applied Economics, 2010, 24, (2), 203-221
See also Working Paper Are PPP Tests Erratically Behaved? Some Panel Evidence, Technical Reports (2006) (2006)
- Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
Emerging Markets Review, 2010, 11, (3), 250-260 View citations (92)
See also Working Paper Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis, Discussion Papers of DIW Berlin (2009) View citations (2) (2009)
- Multiple cyclical fractional structures in financial time series
Applied Economics Letters, 2010, 17, (11), 1079-1081 View citations (1)
- REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
Journal of Economic Development, 2010, 35, (2), 1-21 View citations (6)
- Using Chebyshev Polynomials to Approximate Partial Differential Equations
Computational Economics, 2010, 35, (3), 235-244 View citations (5)
See also Working Paper Using Chebyshev Polynomials to Approximate Partial Differential Equations, CESifo Working Paper Series (2008) (2008)
2009
- 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 (7)
- 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 COINTEGRATION TESTS OF PPP:DO THEY ALSO EXHIBIT ERRATIC BEHAVIOUR?, Economics and Finance Discussion Papers (2006) (2006)
- 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 Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model, CESifo Working Paper Series (2008) View citations (1) (2008)
- Income and happiness across Europe: Do reference values matter?
Journal of Economic Psychology, 2009, 30, (1), 42-51 View citations (129)
See also Working Paper Income and Happiness across Europe: Do Reference Values Matter?, CESifo Working Paper Series (2007) View citations (3) (2007)
- 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)
- Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?
Applied Economics Letters, 2009, 16, (3), 223-226
- 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, (2), 189-206 View citations (43)
Also in Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (3), 573-573 (2009) View citations (47)
See also Working Paper On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries, Post-Print (2008) View citations (6) (2008)
- Risk analysis in complex systems: intelligent systems in finance
Intelligent Systems in Accounting, Finance and Management, 2009, 16, (1‐2), 1-3
- 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 THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE, Economics and Finance Discussion Papers (2005) (2005)
- The Euro and inflation uncertainty in the European Monetary Union
Journal of International Money and Finance, 2009, 28, (6), 954-971 View citations (47)
See also Working Paper The Euro and Inflation Uncertainty in the European Monetary Union, CELPE Discussion Papers (2007) (2007)
2008
- Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
Review of International Economics, 2008, 16, (3), 401-412 View citations (6)
See also Working Paper Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics, CESifo Working Paper Series (2006) View citations (1) (2006)
- Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
Economics Bulletin, 2008, 7, (17), 1-13 View citations (11)
- Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (34)
See also Working Paper Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks, Faculty Working Papers (2008) View citations (39) (2008)
- 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 Parameter Instability and Forecasting Performance. A Monte Carlo Study, Economics Series (2004) (2004)
- 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)
- 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 TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES, Economics and Finance Discussion Papers (2006) (2006)
2007
- Nonlinearities and Fractional Integration in the US Unemployment Rate*
Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (68)
See also Working Paper Nonlinearities and fractional integration in the US unemployment rate, Faculty Working Papers (2006) View citations (3) (2006)
- Testing for deterministic and stochastic cycles in macroeconomic time series
Empirica, 2007, 34, (2), 155-169
See also Working Paper TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES, Economics and Finance Discussion Papers (2005) (2005)
- 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 THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE, Economics and Finance Discussion Papers (2004) (2004)
2006
- 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 (6)
See also Working Paper Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994, Faculty Working Papers (2005) View citations (2) (2005)
- 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 LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK, Economics and Finance Discussion Papers (2005) (2005)
- Panel data tests of PPP: a critical overview
Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (18)
See also Working Paper PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW, Economics and Finance Discussion Papers (2004) (2004)
- Volatility transmission and financial crises
Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (65)
2005
- 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
- Endogenous Growth Models and Stock Market Development: Evidence from Four Countries
Review of Development Economics, 2005, 9, (2), 166-176 View citations (32)
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
Manchester School, 2005, 73, (6), 737-753 View citations (14)
See also Working Paper FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS, Public Policy Discussion Papers (2005) (2005)
- Fiscal Consolidation: An Exercise in the Methodology of Coordination
Journal of Economic Integration, 2005, 20, 1-25 View citations (1)
- Interest rate linkages: a Kalman filter approach to detecting structural change
Economic Modelling, 2005, 22, (2), 253-284 View citations (25)
- Interest rate linkages: identifying structural relations
Applied Financial Economics, 2005, 15, (14), 977-986 View citations (11)
- 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 (53)
See also Working Paper Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity, CEIS Research Paper (2003) View citations (7) (2003)
- Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (164)
See also Working Paper TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS, International Finance (2004) View citations (2) (2004)
- 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 (5)
See also Working Paper TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS, Economics and Finance Discussion Papers (2005) (2005)
- 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 (8)
See also Working Paper THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY, Public Policy Discussion Papers (2004) View citations (3) (2004)
- The Feldstein-Horioka puzzle revisited: A Monte Carlo study
Journal of International Money and Finance, 2005, 24, (7), 1143-1149 View citations (30)
2004
- Estimator Choice and Fisher's Paradox: A Monte Carlo Study
Econometric Reviews, 2004, 23, (1), 25-52 View citations (31)
- 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)
- Fractional cointegration and real exchange rates
Review of Financial Economics, 2004, 13, (4), 327-340 View citations (17)
Also in Review of Financial Economics, 2004, 13, (4), 327-340 (2004) View citations (2)
See also Working Paper Fractional cointegration and real exchange rates, SFB 373 Discussion Papers (2000) (2000)
- Fractional cointegration and tests of present value models
Review of Financial Economics, 2004, 13, (3), 245-258 View citations (5)
Also in Review of Financial Economics, 2004, 13, (3), 245-258 (2004) View citations (42)
See also Working Paper Fractional cointegration and tests of present value models, SFB 373 Discussion Papers (2000) View citations (1) (2000)
- Long range dependence in daily stock returns
Applied Financial Economics, 2004, 14, (6), 375-383 View citations (10)
- Modelling East Asian exchange rates: a Markov-switching approach
Applied Financial Economics, 2004, 14, (4), 233-242 View citations (18)
- STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE
Journal of Economic Development, 2004, 29, (1), 33-50 View citations (100)
- Testing for Seasonal Fractional Roots in German Real Output
German Economic Review, 2004, 5, (3), 319-333 View citations (2)
Also in German Economic Review, 2004, 5, (3), 319-333 (2004) View citations (2)
2003
- Asset prices and output growth volatility: the effects of financial crises
Economics Letters, 2003, 79, (1), 69-74 View citations (19)
- Evaluating the Gains to Cooperation in the G-3
Empirica, 2003, 30, (4), 337-356 View citations (2)
- IGARCH models and structural breaks
Applied Economics Letters, 2003, 10, (12), 765-768 View citations (19)
- Long memory and structural breaks in hyperinflation countries
Journal of Economics and Finance, 2003, 27, (2), 136-152 View citations (2)
- Testing for PPP: the erratic behaviour of unit root tests
Economics Letters, 2003, 80, (2), 277-284 View citations (14)
2002
- Causality Links between Consumer and Producer Prices: Some Empirical Evidence
Southern Economic Journal, 2002, 68, (3), 703-711 View citations (2)
- Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?
Manchester School, 2002, 70, (4), 528-545 View citations (17)
- Exogeneity and measurement of persistence
Revista de Economía del Rosario, 2002
- Fractional integration and mean reversion in stock prices
The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (32)
- Long-term nominal interest rates and domestic fundamentals
Review of Financial Economics, 2002, 11, (2), 119-130 View citations (55)
Also in Review of Financial Economics, 2002, 11, (2), 119-130 (2002) View citations (5)
- 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)
- Modelling Economic Policy Responses with an Application to the G3
Annals of Economics and Statistics, 2002, (67-68), 415-433 View citations (1)
- Testing for Causality-in-Variance: An Application to the East Asian Markets
International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (61)
- The Euro and Monetary Policy Transparency
Eastern Economic Journal, 2002, 28, (1), 59-70 View citations (4)
- Unemployment and input prices: a fractional cointegration approach
Applied Economics Letters, 2002, 9, (6), 347-351 View citations (16)
See also Working Paper Unemployment and input prices: A fractional cointegration approach, SFB 373 Discussion Papers (2000) (2000)
- 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
- Bond Markets and Macroeconomic Performance
Zagreb International Review of Economics and Business, 2001, 4, (1), 27-44 View citations (1)
- Coordination and price shocks: an empirical analysis
Economic Modelling, 2001, 18, (4), 569-584 View citations (1)
- 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 (23)
- Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption
Journal of Macroeconomics, 2001, 23, (2), 177-197 View citations (15)
- Money, Credit and Spending: Drawing Causal Inferences
Scottish Journal of Political Economy, 2001, 48, (5), 547-557 View citations (18)
- Parameter instability, superexogeneity, and the monetary model of the exchange rate
Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 View citations (3)
- Persistence in macroeconomic time series: Is it a model invariant property?
Revista de Economía del Rosario, 2001
- 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 (113)
- 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
- 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
- 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
- Efficient Estimation Of Cointegrating Vectors and Testing for Causality in Vector Autoregressions
Journal of Economic Surveys, 1999, 13, (1), 1-35 View citations (65)
- Estimating Income and Price Elasticities of Trade in a Cointegration Framework
Review of International Economics, 1999, 7, (2), 254-64 View citations (75)
- Is Europe an Optimum Currency Area? Business Cyc1es in the EU
Journal of Economic Integration, 1999, 14, 169-202 View citations (10)
- Unit Root Testing Using Covariates: Some Theory and Evidence
Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 583-595 View citations (15)
1998
- Cointegration and predictability of asset prices1
Journal of International Money and Finance, 1998, 17, (3), 441-453 View citations (17)
- Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
Journal of Policy Modeling, 1998, 20, (5), 581-601 View citations (3)
- 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)
- Unit roots and long-run causality: investigating the relationship between output, money and interest rates
Economic Modelling, 1998, 15, (1), 91-112 View citations (12)
1997
- Common features and output fluctuations in the United Kingdom
Economic Modelling, 1997, 14, (1), 1-9 View citations (8)
- Domestic and external factors in interest rate determination
Applied Financial Economics, 1997, 7, (5), 465-471 View citations (4)
- Learning about monetary union: An analysis of bounded rational learning in European labor markets
Journal of Policy Modeling, 1997, 19, (5), 469-489
- 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
- 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 (20)
- Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
Economic Modelling, 1996, 13, (1), 1-14 View citations (5)
- 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
- Inflation convergence in the EMS: Some additional evidence. A reply
Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 View citations (1)
- Interest rate linkages within the European Monetary System: an alternative interpretation
Applied Economics Letters, 1995, 2, (2), 45-47 View citations (7)
- 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
- Persistence in real variables under alternative exchange rate regimes: Some multi-country evidence
Economics Letters, 1994, 45, (1), 93-102 View citations (2)
- The Measurement of Productivity and Market Structure in the UK
Bulletin of Economic Research, 1994, 46, (1), 61-70
1993
- Common stochastic trends and inflation convergence in the EMS
Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (2), 207-215 View citations (33)
- Is Europe an optimum currency area?
National Institute Economic Review, 1993, 144, (1), 95-113 View citations (11)
- Is Europe an optimum currency area?∗
National Institute Economic Review, 1993, 144, 95-113
- The World Economy
National Institute Economic Review, 1993, 144, (1), 33-54
Also in National Institute Economic Review, 1993, 145, 43-63 (1993)
National Institute Economic Review, 1993, 143, 27-53 (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, 1992, 139, 27-45 (1992)
National Institute Economic Review, 1993, 145, (1), 43-63 (1993)
National Institute Economic Review, 1993, 143, (1), 27-53 (1993)
National Institute Economic Review, 1992, 142, 34-62 (1992)
1992
- Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union
National Institute Economic Review, 1992, 140, 69-77 View citations (1)
Also in National Institute Economic Review, 1992, 140, (1), 69-77 (1992) View citations (4)
Chapters
2024
- Financial integration and European tourism stocks
Chapter 21 in Handbook of Financial Integration, 2024, pp 495-538
See also Working Paper Financial Integration and European Tourism Stocks, CESifo (2023) (2023)
- Financial integration and economic growth in Europe
Chapter 23 in Handbook of Financial Integration, 2024, pp 550-563
See also Working Paper Financial Integration and Economic Growth in Europe, CESifo (2023) (2023)
- Introduction to the Handbook of Financial Integration: new research developments
Chapter 1 in Handbook of Financial Integration, 2024, pp 2-9
- US municipal green bonds and financial integration
Chapter 8 in Handbook of Financial Integration, 2024, pp 192-205
See also Working Paper US Municipal Green Bonds and Financial Integration, CESifo (2023) (2023)
2021
- Cycles and Long-Range Behaviour in the European Stock Markets
Springer
See also Working Paper Cycles and Long-Range Behaviour in the European Stock Market, CESifo (2019) (2019)
2014
- The finance–growth nexus: evidence from ten new EU members
Chapter 13 in Financial Cycles and the Real Economy, 2014, pp 217-234 View citations (1)
2007
- 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 TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA, Economics and Finance Section, School of Social Sciences, Brunel University (2004) (2004)
2002
- The Banking System in Bulgaria
Chapter 11 in Banking Reforms in South-East Europe, 2002, pp 219-240
See also Working Paper The Banking System in Bulgaria, HAL (2002) View citations (5) (2002)
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