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Details about Guglielmo Maria Caporale

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

Access statistics for papers by Guglielmo Maria Caporale.

Last updated 2019-11-12. Update your information in the RePEc Author Service.

Short-id: pca1139


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Working Papers

2019

  1. CO2 Emissions and GDP: Evidence from China
    CESifo Working Paper Series, CESifo Group Munich Downloads
  2. Energy Consumption in the GCC Countries: Evidence on Persistence
    CESifo Working Paper Series, CESifo Group Munich Downloads
  3. Financial integration in the GCC region: market size versus national effects
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. High and low prices and the range in the European stock markets: a long-memory approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
  5. Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns
    CESifo Working Paper Series, CESifo Group Munich Downloads
  6. Non-Linearities, Cyber Attacks and Cryptocurrencies
    CESifo Working Paper Series, CESifo Group Munich Downloads
  7. On the preferences of CoCo bond buyers and sellers: a logistic regression analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads
  8. Persistence, non-linearities and structural breaks in European stock market indices
    CESifo Working Paper Series, CESifo Group Munich Downloads
  9. Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
  10. Style consistency and mutual fund returns: the case of Russia
    CESifo Working Paper Series, CESifo Group Munich Downloads
  11. Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods
    CESifo Working Paper Series, CESifo Group Munich Downloads

2018

  1. Bitcoin Fluctuations and the Frequency of Price Overreactions
    CESifo Working Paper Series, CESifo Group Munich Downloads
    See also Journal Article in Financial Markets and Portfolio Management (2019)
  2. Brexit and Uncertainty in Financial Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) Downloads View citations (4)

    See also Journal Article in International Journal of Financial Studies (2018)
  3. Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    See also Journal Article in Research in International Business and Finance (2019)
  4. On the Frequency of Price Overreactions
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
  5. On the Persistence of UK Inflation: A Long-Range Dependence Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) Downloads View citations (1)
  6. Persistence in the Russian Stock Market Volatility Indices
    CESifo Working Paper Series, CESifo Group Munich Downloads
  7. Political Tension and Stock Markets in the Arabian Peninsula
    CESifo Working Paper Series, CESifo Group Munich Downloads
  8. Price Overreactions in the Cryptocurrency Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) Downloads View citations (2)
  9. Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
    CESifo Working Paper Series, CESifo Group Munich Downloads
  10. The Impact of Business and Political News on the GCC Stock Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads

2017

  1. Central Bank Policy Rates: Are They Cointegrated?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (1)

    See also Journal Article in International Economics (2017)
  2. Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads
  3. Is Market Fear Persistent? A Long-Memory Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads View citations (2)

    See also Journal Article in Finance Research Letters (2018)
  4. Long Memory and Data Frequency in Financial Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (1)
  5. Persistence in the Cryptocurrency Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (2)

    See also Journal Article in Research in International Business and Finance (2018)
  6. Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads
  7. Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads

    See also Journal Article in International Economics (2019)
  8. The Day of the Week Effect in the Crypto Currency Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads View citations (13)
  9. Trends and Cycles in Macro Series: The Case of US Real GDP
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads

2016

  1. Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads
  2. Calendar Anomalies in the Ukrainian Stock Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads
  3. Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads
  4. 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 Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads
  5. Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Research Discussion Papers, Bank of Finland (2016) Downloads View citations (1)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads View citations (2)

    See also Journal Article in Research in International Business and Finance (2018)
  6. Exchange Rates and Macro News in Emerging Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads

    See also Journal Article in Research in International Business and Finance (2018)
  7. Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads View citations (2)

    See also Journal Article in International Journal of Finance & Economics (2018)
  8. Macro News and Exchange Rates in the BRICS
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads

    See also Journal Article in Finance Research Letters (2017)
  9. 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 Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (2)

    See also Journal Article in Economic Modelling (2018)
  10. Spillovers between food and energy prices and structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (1)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (1)

    See also Journal Article in International Economics (2017)
  11. The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (1)
  12. The Performance of Banks in the MENA Region During the Global Financial Crisis
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads View citations (1)

    See also Journal Article in Research in International Business and Finance (2017)
  13. Trade flows and trade specialisation: the case of China
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (13)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (13)

    See also Journal Article in China Economic Review (2015)

2015

  1. African Growth, Non-Linearities and Strong Dependence: An Empirical Study
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  2. 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 Downloads
  3. How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (1)

    See also Journal Article in International Journal of Finance & Economics (2018)
  4. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (1)
  5. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (2)

    See also Journal Article in International Journal of Finance & Economics (2016)
  6. Loan Loss Provision: Some Empirical Evidence for Italian Banks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (2)
  7. Long-Term Price Overreactions: Are Markets Inefficient?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Journal of Economics and Finance (2019)
  8. Macro News and Commodity Returns
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads

    See also Journal Article in International Journal of Finance & Economics (2017)
  9. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (1)

    See also Journal Article in Finance Research Letters (2018)
  10. The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (4)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)

    See also Journal Article in Empirical Economics (2018)
  11. The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    See also Journal Article in Journal of Economic Studies (2016)

2014

  1. Financial Development and Economic Growth: Evidence from Ten New EU Members
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (40)
  2. International Capital Markets Structure, Preferences and Puzzles: The US-China Case
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (7)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (10)
  3. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (1)

    See also Journal Article in Computational Economics (2016)
  4. Local Banking and Local Economic Growth in Italy: Some Panel Evidence
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Applied Economics (2016)
  5. Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
  6. Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (2)
    See also Journal Article in African Development Review (2014)
  7. Macro News and Bond Yield Spreads in the Euro Area
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (3)

    See also Journal Article in The European Journal of Finance (2018)
  8. 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 Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (4)

    See also Journal Article in International Review of Financial Analysis (2016)
  9. Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (4)

    See also Journal Article in China Economic Review (2015)
  10. Short-Term Price Overreaction: Identification, Testing, Exploitation
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (2)

    See also Journal Article in Computational Economics (2018)
  11. Testing Unemployment Theories: A Multivariate Long Memory Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads

    See also Journal Article in Journal of Applied Economics (2016)
  12. The Weekend Effect: A Trading Robot and Fractional Integration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (5)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads
  13. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (10)
    See also Journal Article in Comparative Economic Studies (2014)

2013

  1. Bank Lending Procyclicality and Credit Quality during Financial Crises
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    See also Journal Article in Economic Modelling (2014)
  2. Banking Consolidation in Nigeria, 2000-2010
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  3. Business Cycles, International Trade and Capital Flows: Evidence from Latin America
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2012) Downloads View citations (1)

    See also Journal Article in Empirical Economics (2016)
  4. Exchange Rate Uncertainty and International Portfolio Flows
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (1)
  5. Fiscal Adjustment and Business Cycle Synchronization
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2013) Downloads View citations (6)
  6. Fiscal Spillovers in the Euro Area
    Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli Downloads View citations (15)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads View citations (14)
    CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (12)

    See also Journal Article in Journal of International Money and Finance (2013)
  7. Foreign direct investment in the Asian economies
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  8. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (11)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (11)

    See also Journal Article in International Review of Financial Analysis (2013)
  9. Long Memory in the Ukrainian Stock Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  10. Long memory in the ukrainian stock market and financial crises
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  11. Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2013) Downloads
  12. On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (2)

    See also Journal Article in International Review of Financial Analysis (2014)
  13. TRADE INTENSITY AND OUTPUT SYNCHRONISATION: ON THE ENDOGENEITY PROPERTIES OF EMU
    Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (2)
    CESifo Working Paper Series, CESifo Group Munich (2013) Downloads View citations (9)

    See also Journal Article in Journal of Financial Stability (2015)
  14. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)

2012

  1. Banking Consolidation in Nigeria
    CEsA Working Papers, CEsA - Center for African, Asian and Latin American Studies Downloads View citations (1)
  2. Efficiency evaluation of Greek equity funds
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Research in International Business and Finance (2012)
  3. Environmental Regulation and Competitiveness: Evidence from Romania
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2010) Downloads
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) Downloads

    See also Journal Article in Ecological Economics (2012)
  4. Fractional Integration and Cointegration in US Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2011) Downloads

    See also Journal Article in Empirical Economics (2014)
  5. Long Memory in German Energy Price Indices
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) Downloads View citations (3)
  6. Modelling Long Run Trends and Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (1)

    See also Journal Article in Journal of Time Series Analysis (2013)
  7. Persistence and Cycles in US Hours Worked
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads

    See also Journal Article in Economic Modelling (2014)
  8. Persistence and Cycles in the US Federal Funds Rate
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads View citations (1)

    See also Journal Article in International Review of Financial Analysis (2017)
  9. Persistence in Youth Unemployment
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads
  10. Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) Downloads

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
  11. Testing the Marshall-Lerner Condition in Kenya
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) Downloads

    See also Journal Article in South African Journal of Economics (2015)

2011

  1. Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (5)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads View citations (4)
  2. Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads View citations (3)
    NIPE Working Papers, NIPE - Universidade do Minho (2011) Downloads View citations (5)

    See also Journal Article in Research in International Business and Finance (2016)
  3. Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads
  4. Europe Agreements and Trade Balance: Evidence form Four New EU Members
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (1)
  5. Interest rate dynamics in Kenya
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  6. 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 Downloads
  7. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (2)

    See also Journal Article in Multinational Finance Journal (2012)
  8. Persistence and Cyclical Dependence in the Monthly Euribor Rate
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (1)

    See also Journal Article in Journal of Economics and Finance (2016)
  9. 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 Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2013)
  10. Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
  11. The Euro Changeover and Price Adjustments in Italy
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads

    See also Journal Article in Applied Economics Letters (2012)
  12. Trade Specialisation and Economic Convergence: Evidence from two Eastern European Countries
    DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade Downloads
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2009) Downloads View citations (7)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (4)
  13. US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2010) Downloads
  14. Volatility spillovers and contagion from mature and emerging stock markets
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads

2010

  1. Determinants of Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads
  2. EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (2)

    See also Journal Article in Review of International Economics (2011)
  3. 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 Downloads
    See also Journal Article in International Journal of Finance & Economics (2012)
  4. Fractional Cointegration in US Term Spreads
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Applied Economics Letters (2012)
  5. Inflation and inflation uncertainty in the euro area
    Working Paper Series, European Central Bank Downloads View citations (1)
    Also in EcoMod2010, EcoMod Downloads View citations (2)
    CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (18)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (4)

    See also Journal Article in Empirical Economics (2012)
  6. Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (3)

    See also Journal Article in Manchester School (2013)
  7. Long Memory and Fractional Integration in High Frequency Financial Time Series
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  8. POLLUTION ABATEMENT AND CONTROL EXPENDITURE IN ROMANIA: A MULTILEVEL ANALYSIS
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) Downloads
  9. Price Formation on the EuroMTS Platform
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2010) Downloads View citations (1)

    See also Journal Article in Applied Economics Letters (2011)
  10. Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (2)

    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  11. Stock Market Integration between three CEECs, Russia and the UK
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    See also Journal Article in Review of International Economics (2011)
  12. The Weekly Structure of US Stock Prices
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2010) Downloads

    See also Journal Article in Applied Financial Economics (2011)
  13. Time-Varying Spot and Futures Oil Price Dynamics
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia (2010) Downloads View citations (3)
    CESifo Working Paper Series, CESifo Group Munich (2010) Downloads View citations (3)

    See also Journal Article in Scottish Journal of Political Economy (2014)

2009

  1. DETERMINANTS OF POLLUTION ABATEMENT AND CONTROL EXPENDITURE: EVIDENCE FROM ROMANIA
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2008) Downloads
  2. Evaluating Greek Equity Funds Using Data Envelopment Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
  3. 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 Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (3)

    See also Journal Article in Emerging Markets Review (2010)
  4. 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 Downloads
  5. International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) Downloads View citations (2)

    See also Journal Article in The Journal of International Trade & Economic Development (2011)
  6. Long Memory in US Real Output per Capita
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (3)

    See also Journal Article in Empirical Economics (2013)
  7. Multi-Factor Gegenbauer Processes and European Inflation Rates
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (1)

    See also Journal Article in Journal of Economic Integration (2011)
  8. Rating Assignments: Lessons from International Banks
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2012)
  9. Selectivity, Market Timing and the Morningstar Star-Rating System
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads
  10. Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (9)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (9)
  11. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (32)
    Also in IMF Working Papers, International Monetary Fund (2008) Downloads View citations (16)
    Working Paper Series, European Central Bank (2009) Downloads View citations (16)
    CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (13)

    See also Journal Article in Review of International Economics (2013)

2008

  1. Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    See also Journal Article in Manchester School (2011)
  2. Chebyshev polynomial approximation to approximate partial differential equations
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) Downloads
  3. Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
  4. Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2011)
  5. Fractional integration and data frequency
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
  6. 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 Downloads View citations (19)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
  7. 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 Downloads View citations (4)
    Also in Post-Print, HAL (2008) View citations (1)
    Post-Print, HAL (2008) View citations (1)
  8. On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries
    Post-Print, HAL View citations (2)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2008) Downloads View citations (20)
    CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (8)

    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2009)
  9. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    CESifo Working Paper Series, CESifo Group Munich Downloads
    See also Journal Article in Computational Economics (2010)

2007

  1. A Multivariate Long-Memory Model with Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
  2. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
  3. Identification of Segments of European Banks with a Latent Class Frontier Model
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. Income and Happiness across Europe: Do Reference Values Matter?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    See also Journal Article in Journal of Economic Psychology (2009)
  5. Long Run and Cyclical Dynamics in the US Stock Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (6)
    Also in Economics Series, Institute for Advanced Studies (2004) Downloads
    Econometric Society 2004 Latin American Meetings, Econometric Society (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

    See also Journal Article in Journal of Forecasting (2014)
  6. The Euro and Inflation Uncertainty in the European Monetary Union
    CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2006) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads

    See also Journal Article in Journal of International Money and Finance (2009)

2006

  1. 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 Downloads View citations (2)
  2. Are PPP Tests Erratically Behaved? Some Panel Evidence
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2006) Downloads

    See also Journal Article in International Review of Applied Economics (2010)
  3. Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads View citations (4)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

    See also Journal Article in Review of International Economics (2008)
  4. 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 Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)

    See also Journal Article in Applied Economics Letters (2009)
  5. 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 Downloads
  6. 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 Downloads
  7. 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 Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)
  8. Nonlinearities and fractional integration in the US unemployment rate
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads
    Discussion Paper Series, Hamburg Institute of International Economics (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads View citations (1)
    HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
  9. 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 Downloads
    See also Journal Article in Empirica (2008)

2005

  1. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

    See also Journal Article in Manchester School (2005)
  2. 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 Downloads
    See also Journal Article in Applied Economics Letters (2006)
  3. 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 Downloads View citations (2)
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Empirical Economics (2006)
  4. 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 Downloads
    See also Journal Article in Applied Financial Economics Letters (2006)
  5. 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 Downloads
    See also Journal Article in Empirica (2007)
  6. 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 Downloads
    Also in Economics Working Paper Archive, Levy Economics Institute (2003) Downloads

    See also Journal Article in International Journal of Finance & Economics (2005)
  7. 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 Downloads
    See also Journal Article in Journal of Economic Integration (2009)
  8. VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

2004

  1. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Applied Financial Economics Letters (2005)
  2. NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
  3. PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Economics Series, Institute for Advanced Studies (2004) Downloads View citations (5)

    See also Journal Article in Applied Financial Economics (2006)
  4. Parameter Instability and Forecasting Performance. A Monte Carlo Study
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article in International Journal of Business Forecasting and Marketing Intelligence (2008)
  5. 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 Downloads
  6. TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
    International Finance, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2005)
  7. 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 Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Chapter (2007)
  8. THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations (1)
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads View citations (7)
    Economics Series, Institute for Advanced Studies (2004) Downloads View citations (2)

    See also Journal Article in Journal of Financial Econometrics (2005)
  9. THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Applied Stochastic Models in Business and Industry (2007)

2003

  1. Endogenous growth and Stock Market Development
    Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol Downloads
  2. Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (6)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2002) Downloads View citations (7)

    See also Journal Article in Journal of International Money and Finance (2005)

2002

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

2000

  1. Fractional cointegration and real exchange rates
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Review of Financial Economics (2004)
  2. 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 Downloads View citations (1)
    See also Journal Article in Review of Financial Economics (2004)
  3. 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 Downloads
    See also Journal Article in Applied Economics Letters (2002)

Undated

  1. Testing Stock Market Convergence: A Non-linear Factor Approach
    EcoMod2010, EcoMod Downloads
    See also Journal Article in Empirica (2015)

Journal Articles

2019

  1. Bitcoin fluctuations and the frequency of price overreactions
    Financial Markets and Portfolio Management, 2019, 33, (2), 109-131 Downloads
    See also Working Paper (2018)
  2. Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
    Real Estate Economics, 2019, 47, (4), 935-976 Downloads
  3. Long-term interest rates in Europe: A fractional cointegration analysis
    International Review of Economics & Finance, 2019, 61, (C), 170-178 Downloads
  4. Long-term price overreactions: are markets inefficient?
    Journal of Economics and Finance, 2019, 43, (4), 657-680 Downloads
    See also Working Paper (2015)
  5. Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
    Research in International Business and Finance, 2019, 48, (C), 143-155 Downloads
    See also Working Paper (2018)
  6. Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
    International Economics, 2019, 159, (C), 140-150 Downloads
    Also in International Economics, 2019, (159), 140-150 (2019) Downloads

    See also Working Paper (2017)

2018

  1. Brexit and Uncertainty in Financial Markets
    International Journal of Financial Studies, 2018, 6, (1), 1-9 Downloads View citations (4)
    See also Working Paper (2018)
  2. Competitive devaluations in commodity†based economies: Colombia and the Pacific Alliance Group
    Review of Development Economics, 2018, 22, (2), 558-572 Downloads
  3. 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 Downloads View citations (1)
    See also Working Paper (2016)
  4. Exchange rates and macro news in emerging markets
    Research in International Business and Finance, 2018, 46, (C), 516-527 Downloads View citations (1)
    See also Working Paper (2016)
  5. 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 Downloads View citations (1)
    See also Working Paper (2015)
  6. Is market fear persistent? A long-memory analysis
    Finance Research Letters, 2018, 27, (C), 140-147 Downloads View citations (1)
    See also Working Paper (2017)
  7. Islamic banking, credit, and economic growth: Some empirical evidence
    International Journal of Finance & Economics, 2018, 23, (4), 456-477 Downloads
    See also Working Paper (2016)
  8. Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis
    Finance Research Letters, 2018, 25, (C), 239-243 Downloads View citations (3)
  9. Macro news and bond yield spreads in the euro area
    The European Journal of Finance, 2018, 24, (2), 114-134 Downloads
    See also Working Paper (2014)
  10. Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?
    Economic Modelling, 2018, 72, (C), 306-319 Downloads View citations (4)
    See also Working Paper (2016)
  11. Persistence in the cryptocurrency market
    Research in International Business and Finance, 2018, 46, (C), 141-148 Downloads View citations (13)
    See also Working Paper (2017)
  12. Short-Term Price Overreactions: Identification, Testing, Exploitation
    Computational Economics, 2018, 51, (4), 913-940 Downloads
    See also Working Paper (2014)
  13. The EMBI in Latin America: Fractional integration, non-linearities and breaks
    Finance Research Letters, 2018, 24, (C), 34-41 Downloads View citations (1)
    See also Working Paper (2015)
  14. The asymmetric behaviour of spanish unemployment persistence
    Economics Bulletin, 2018, 38, (1), 98-104 Downloads View citations (1)
  15. 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 Downloads
    See also Working Paper (2015)
  16. Unemployment in Africa: A Fractional Integration Approach
    South African Journal of Economics, 2018, 86, (1), 76-81 Downloads View citations (1)

2017

  1. Analysing the determinants of insolvency risk for general insurance firms in the UK
    Journal of Banking & Finance, 2017, 84, (C), 107-122 Downloads
  2. Calendar anomalies in the Russian stock market
    Russian Journal of Economics, 2017, 3, (1), 101-108 Downloads View citations (1)
  3. Central bank policy rates: Are they cointegrated?
    International Economics, 2017, 152, (C), 116-123 Downloads View citations (1)
    Also in International Economics, 2017, (152), 116-123 (2017) Downloads View citations (1)

    See also Working Paper (2017)
  4. HOW DO FISCAL CONSOLIDATION AND FISCAL STIMULI IMPACT ON THE SYNCHRONIZATION OF BUSINESS CYCLES?
    Bulletin of Economic Research, 2017, 69, (4), 309-329 Downloads View citations (1)
  5. International portfolio flows and exchange rate volatility in emerging Asian markets
    Journal of International Money and Finance, 2017, 76, (C), 1-15 Downloads View citations (3)
  6. Macro News and Commodity Returns
    International Journal of Finance & Economics, 2017, 22, (1), 68-80 Downloads View citations (7)
    See also Working Paper (2015)
  7. Macro news and exchange rates in the BRICS
    Finance Research Letters, 2017, 21, (C), 140-143 Downloads View citations (3)
    See also Working Paper (2016)
  8. Persistence and cycles in the us federal funds rate
    International Review of Financial Analysis, 2017, 52, (C), 1-8 Downloads
    See also Working Paper (2012)
  9. Searching for Inefficiencies in Exchange Rate Dynamics
    Computational Economics, 2017, 49, (3), 405-432 Downloads View citations (1)
  10. Spillovers between food and energy prices and structural breaks
    International Economics, 2017, (150), 1-18 Downloads View citations (10)
    Also in International Economics, 2017, 150, (C), 1-18 (2017) Downloads View citations (12)

    See also Working Paper (2016)
  11. The fisher relationship in Nigeria
    Journal of Economics and Finance, 2017, 41, (2), 343-353 Downloads
  12. The performance of banks in the MENA region during the global financial crisis
    Research in International Business and Finance, 2017, 42, (C), 583-590 Downloads View citations (1)
    See also Working Paper (2016)
  13. The weekend effect: a fractional integration and trading robot analysis
    International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 Downloads View citations (1)

2016

  1. Business cycles, international trade and capital flows: evidence from Latin America
    Empirical Economics, 2016, 50, (2), 231-252 Downloads View citations (2)
    See also Working Paper (2013)
  2. Consumption, wealth, stock and housing returns: Evidence from emerging markets
    Research in International Business and Finance, 2016, 36, (C), 562-578 Downloads View citations (3)
    See also Working Paper (2011)
  3. Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate
    Journal of International Development, 2016, 28, (2), 214-232 Downloads
  4. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Computational Economics, 2016, 47, (2), 275-295 Downloads View citations (2)
    See also Working Paper (2014)
  5. Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
    International Journal of Finance & Economics, 2016, 21, (2), 143-153 Downloads View citations (3)
    See also Working Paper (2015)
  6. Local banking and local economic growth in Italy: some panel evidence
    Applied Economics, 2016, 48, (28), 2665-2674 Downloads View citations (1)
    See also Working Paper (2014)
  7. 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 Downloads View citations (2)
    See also Working Paper (2014)
  8. Persistence and cyclical dependence in the monthly euribor rate
    Journal of Economics and Finance, 2016, 40, (1), 157-171 Downloads View citations (1)
    See also Working Paper (2011)
  9. Testing unemployment theories: A multivariate long memory approach
    Journal of Applied Economics, 2016, 19, 95-112 Downloads View citations (4)
    See also Working Paper (2014)
  10. The weekend effect: an exploitable anomaly in the Ukrainian stock market?
    Journal of Economic Studies, 2016, 43, (6), 954-965 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
    Journal of International Money and Finance, 2015, 54, (C), 70-92 Downloads View citations (15)
  2. Financial Development and Economic Growth: Evidence from 10 New European Union Members
    International Journal of Finance & Economics, 2015, 20, (1), 48-60 Downloads View citations (16)
  3. Gender, style diversity, and their effect on fund performance
    Research in International Business and Finance, 2015, 35, (C), 57-74 Downloads View citations (1)
  4. Infant mortality rates: time trends and fractional integration
    Journal of Applied Statistics, 2015, 42, (3), 589-602 Downloads View citations (2)
  5. International capital markets structure, preferences and puzzles: A “US–China World”
    Journal of International Financial Markets, Institutions and Money, 2015, 36, (C), 85-99 Downloads View citations (2)
  6. Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
    Applied Economics Letters, 2015, 22, (5), 421-424 Downloads View citations (2)
  7. Oil price uncertainty and sectoral stock returns in China: A time-varying approach
    China Economic Review, 2015, 34, (C), 311-321 Downloads View citations (30)
    See also Working Paper (2014)
  8. Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
    African Development Review, 2015, 27, (2), 161-170 Downloads View citations (4)
  9. Testing stock market convergence: a non-linear factor approach
    Empirica, 2015, 42, (3), 481-498 Downloads View citations (6)
    See also Working Paper
  10. Testing the Marshall–Lerner Condition in Kenya
    South African Journal of Economics, 2015, 83, (2), 253-268 Downloads View citations (1)
    See also Working Paper (2012)
  11. 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 Downloads View citations (3)
  12. Trade flows and trade specialisation: The case of China
    China Economic Review, 2015, 34, (C), 261-273 Downloads View citations (13)
    See also Working Paper (2016)
  13. Trade intensity and output synchronisation: On the endogeneity properties of EMU
    Journal of Financial Stability, 2015, 16, (C), 154-163 Downloads View citations (13)
    See also Working Paper (2013)

2014

  1. Bank lending procyclicality and credit quality during financial crises
    Economic Modelling, 2014, 43, (C), 142-157 Downloads View citations (4)
    See also Working Paper (2013)
  2. Fractional integration and cointegration in US financial time series data
    Empirical Economics, 2014, 47, (4), 1389-1410 Downloads View citations (3)
    See also Working Paper (2012)
  3. Improving Environmental Performance: A Challenge for Romania
    Environmental & Resource Economics, 2014, 57, (3), 431-452 Downloads View citations (1)
  4. Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
    African Development Review, 2014, 26, (1), 59-73 Downloads View citations (2)
    Also in African Development Review, 2014, 26, (1), 59–73 (2014) View citations (2)

    See also Working Paper (2014)
  5. Long‐Run and Cyclical Dynamics in the US Stock Market
    Journal of Forecasting, 2014, 33, (2), 147-161 Downloads View citations (5)
    See also Working Paper (2007)
  6. 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 Downloads View citations (25)
    See also Working Paper (2013)
  7. Persistence and cycles in US hours worked
    Economic Modelling, 2014, 38, (C), 504-511 Downloads View citations (3)
    See also Working Paper (2012)
  8. 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 Downloads View citations (1)
  9. The nexus between prices, employment and output growth: a global and national evidence
    Journal of Business Economics and Management, 2014, 15, (2), 197-211 Downloads View citations (1)
  10. Time-Varying Spot and Futures Oil Price Dynamics
    Scottish Journal of Political Economy, 2014, 61, (1), 78-97 Downloads View citations (10)
    See also Working Paper (2010)
  11. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    Comparative Economic Studies, 2014, 56, (4), 581-591 Downloads View citations (10)
    See also Working Paper (2014)

2013

  1. Fiscal spillovers in the Euro area
    Journal of International Money and Finance, 2013, 38, (C), 84.e1-84.e16 Downloads View citations (16)
    See also Working Paper (2013)
  2. LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH
    Manchester School, 2013, 81, (6), 925-940 Downloads View citations (1)
    See also Working Paper (2010)
  3. 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 Downloads View citations (11)
    See also Working Paper (2013)
  4. Long memory in US real output per capita
    Empirical Economics, 2013, 44, (2), 591-611 Downloads View citations (5)
    See also Working Paper (2009)
  5. Modelling long-run trends and cycles in financial time series data
    Journal of Time Series Analysis, 2013, 34, (3), 405-421 Downloads View citations (1)
    See also Working Paper (2012)
  6. Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
    Journal of Banking & Finance, 2013, 37, (2), 227-240 Downloads View citations (12)
    See also Working Paper (2011)
  7. 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 Downloads View citations (1)
    See also Working Paper (2012)
  8. Stock Prices and Monetary Policy: An Impulse Response Analysis
    International Journal of Economics and Financial Issues, 2013, 3, (3), 701-709 Downloads View citations (1)
  9. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Review of International Economics, 2013, 21, (5), 1060-1075 Downloads View citations (32)
    See also Working Paper (2009)

2012

  1. Efficiency evaluation of Greek equity funds
    Research in International Business and Finance, 2012, 26, (2), 317-333 Downloads View citations (6)
    See also Working Paper (2012)
  2. Environmental Regulation and Competitiveness: Evidence from Romania
    Ecological Economics, 2012, 81, (C), 130-139 Downloads View citations (4)
    See also Working Paper (2012)
  3. Estimating persistence in the volatility of asset returns with signal plus noise models
    International Journal of Finance & Economics, 2012, 17, (1), 23-30
    See also Working Paper (2010)
  4. 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 Downloads View citations (5)
  5. Fractional cointegration in US term spreads
    Applied Economics Letters, 2012, 19, (5), 431-434 Downloads
    See also Working Paper (2010)
  6. Inflation and inflation uncertainty in the euro area
    Empirical Economics, 2012, 43, (2), 597-615 Downloads View citations (16)
    See also Working Paper (2010)
  7. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    Multinational Finance Journal, 2012, 16, (1-2), 105-136 Downloads
    See also Working Paper (2011)
  8. Quoted spreads and trade imbalance dynamics in the European Treasury bond market
    The Quarterly Review of Economics and Finance, 2012, 52, (2), 173-182 Downloads View citations (3)
    See also Working Paper (2010)
  9. Ratings assignments: Lessons from international banks
    Journal of International Money and Finance, 2012, 31, (6), 1593-1606 Downloads View citations (10)
    See also Working Paper (2009)
  10. Stock Market Integration Between Three CEECs
    Journal of Economic Integration, 2012, 27, 115-122 Downloads View citations (3)
  11. The euro changeover and price adjustments in Italy
    Applied Economics Letters, 2012, 19, (4), 379-382 Downloads
    See also Working Paper (2011)

2011

  1. ARE THE BALTIC COUNTRIES READY TO ADOPT THE EURO? A GENERALIZED PURCHASING POWER PARITY APPROACH
    Manchester School, 2011, 79, (3), 429-454 Downloads View citations (3)
    See also Working Paper (2008)
  2. EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?
    Review of International Economics, 2011, 19, (1), 189-206 View citations (7)
    See also Working Paper (2010)
  3. Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America
    Journal of International Money and Finance, 2011, 30, (5), 709-723 Downloads View citations (3)
    See also Working Paper (2008)
  4. Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
    American Journal of Economics and Business Administration, 2011, 3, (4), 586-588 Downloads
  5. 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 Downloads View citations (3)
  6. 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 Downloads View citations (2)
    See also Working Paper (2009)
  7. Introduction
    Review of International Economics, 2011, 19, (1), 46-48
  8. Multi-Factor Gegenbauer Processes and European Inflation Rates
    Journal of Economic Integration, 2011, 26, 386-409 View citations (7)
    See also Working Paper (2009)
  9. Price formation on the EuroMTS platform
    Applied Economics Letters, 2011, 18, (3), 229-233 Downloads View citations (5)
    See also Working Paper (2010)
  10. Stock Market Integration between Three CEECs, Russia, and the UK
    Review of International Economics, 2011, 19, (1), 158-169 View citations (15)
    See also Working Paper (2010)
  11. The weekly structure of US stock prices
    Applied Financial Economics, 2011, 21, (23), 1757-1764 Downloads
    See also Working Paper (2010)

2010

  1. Are PPP tests erratically behaved? Some panel evidence
    International Review of Applied Economics, 2010, 24, (2), 203-221 Downloads
    See also Working Paper (2006)
  2. Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
    Emerging Markets Review, 2010, 11, (3), 250-260 Downloads View citations (52)
    See also Working Paper (2009)
  3. Multiple cyclical fractional structures in financial time series
    Applied Economics Letters, 2010, 17, (11), 1079-1081 Downloads View citations (1)
  4. REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
    Journal of Economic Development, 2010, 35, (2), 1-21 Downloads View citations (4)
  5. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    Computational Economics, 2010, 35, (3), 235-244 Downloads View citations (3)
    See also Working Paper (2008)

2009

  1. 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 Downloads View citations (4)
  2. Cointegration tests of PPP: do they also exhibit erratic behaviour?
    Applied Economics Letters, 2009, 16, (1), 9-15 Downloads View citations (1)
    See also Working Paper (2006)
  3. Income and happiness across Europe: Do reference values matter?
    Journal of Economic Psychology, 2009, 30, (1), 42-51 Downloads View citations (97)
    See also Working Paper (2007)
  4. Multiple shifts and fractional integration in the US and UK unemployment rates
    Journal of Economics and Finance, 2009, 33, (4), 364-375 Downloads View citations (3)
  5. Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?
    Applied Economics Letters, 2009, 16, (3), 223-226 Downloads
  6. On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries
    Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (3), 573-573 Downloads View citations (28)
    Also in Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (2), 189-206 (2009) Downloads View citations (24)

    See also Working Paper (2008)
  7. The Asymmetric Effects of a Common Monetary Policy in Europe
    Journal of Economic Integration, 2009, 24, 455-475 View citations (4)
    See also Working Paper (2005)
  8. The Euro and inflation uncertainty in the European Monetary Union
    Journal of International Money and Finance, 2009, 28, (6), 954-971 Downloads View citations (31)
    See also Working Paper (2007)

2008

  1. Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
    Review of International Economics, 2008, 16, (3), 401-412 Downloads View citations (4)
    See also Working Paper (2006)
  2. Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
    Economics Bulletin, 2008, 7, (17), 1-13 Downloads View citations (6)
  3. Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
    Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 Downloads View citations (17)
    See also Working Paper (2008)
  4. Parameter instability and forecasting performance: a Monte Carlo study
    International Journal of Business Forecasting and Marketing Intelligence, 2008, 1, (1), 1-20 Downloads
    See also Working Paper (2004)
  5. 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 Downloads View citations (10)
  6. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
    Empirica, 2008, 35, (3), 241-253 Downloads View citations (1)
    See also Working Paper (2006)

2007

  1. Nonlinearities and Fractional Integration in the US Unemployment Rate*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 Downloads View citations (48)
    See also Working Paper (2006)
  2. Testing for deterministic and stochastic cycles in macroeconomic time series
    Empirica, 2007, 34, (2), 155-169 Downloads
    See also Working Paper (2005)
  3. 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 Downloads
    See also Working Paper (2004)

2006

  1. 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 Downloads View citations (4)
    See also Working Paper (2005)
  2. Long memory at the long-run and the seasonal monthly frequencies in the US money stock
    Applied Economics Letters, 2006, 13, (15), 965-968 Downloads View citations (2)
    See also Working Paper (2005)
  3. Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
    Applied Financial Economics Letters, 2006, 2, (1), 9-12 Downloads View citations (3)
    See also Working Paper (2005)
  4. Panel data tests of PPP: a critical overview
    Applied Financial Economics, 2006, 16, (1-2), 73-91 Downloads View citations (15)
    See also Working Paper (2004)
  5. Volatility transmission and financial crises
    Journal of Economics and Finance, 2006, 30, (3), 376-390 Downloads View citations (49)

2005

  1. 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 Downloads
  2. Endogenous Growth Models and Stock Market Development: Evidence from Four Countries
    Review of Development Economics, 2005, 9, (2), 166-176 Downloads View citations (22)
  3. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*
    Manchester School, 2005, 73, (6), 737-753 Downloads View citations (10)
    See also Working Paper (2005)
  4. Fiscal Consolidation: An Exercise in the Methodology of Coordination
    Journal of Economic Integration, 2005, 20, 1-25 View citations (1)
  5. Interest rate linkages: a Kalman filter approach to detecting structural change
    Economic Modelling, 2005, 22, (2), 253-284 Downloads View citations (24)
  6. Interest rate linkages: identifying structural relations
    Applied Financial Economics, 2005, 15, (14), 977-986 Downloads View citations (8)
  7. Measuring half-lives: using a non-parametric bootstrap approach
    Applied Financial Economics Letters, 2005, 1, (1), 1-4 Downloads View citations (4)
    See also Working Paper (2004)
  8. Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
    Journal of International Money and Finance, 2005, 24, (1), 39-53 Downloads View citations (39)
    See also Working Paper (2003)
  9. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 Downloads View citations (136)
    See also Working Paper (2004)
  10. 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 Downloads View citations (2)
    See also Working Paper (2005)
  11. 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 Downloads View citations (4)
    See also Working Paper (2004)
  12. The Feldstein-Horioka puzzle revisited: A Monte Carlo study
    Journal of International Money and Finance, 2005, 24, (7), 1143-1149 Downloads View citations (27)

2004

  1. Estimator Choice and Fisher's Paradox: A Monte Carlo Study
    Econometric Reviews, 2004, 23, (1), 25-52 Downloads View citations (24)
  2. Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
    Applied Financial Economics, 2004, 14, (14), 981-989 Downloads View citations (12)
  3. Fractional cointegration and real exchange rates
    Review of Financial Economics, 2004, 13, (4), 327-340 Downloads View citations (14)
    See also Working Paper (2000)
  4. Fractional cointegration and tests of present value models
    Review of Financial Economics, 2004, 13, (3), 245-258 Downloads View citations (36)
    See also Working Paper (2000)
  5. Long range dependence in daily stock returns
    Applied Financial Economics, 2004, 14, (6), 375-383 Downloads View citations (8)
  6. Modelling East Asian exchange rates: a Markov-switching approach
    Applied Financial Economics, 2004, 14, (4), 233-242 Downloads View citations (10)
  7. STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE
    Journal of Economic Development, 2004, 29, (1), 33-50 Downloads View citations (63)
  8. Testing for Seasonal Fractional Roots in German Real Output
    German Economic Review, 2004, 5, (3), 319-333 Downloads View citations (2)

2003

  1. Asset prices and output growth volatility: the effects of financial crises
    Economics Letters, 2003, 79, (1), 69-74 Downloads View citations (13)
  2. Evaluating the Gains to Cooperation in the G-3
    Empirica, 2003, 30, (4), 337-356 Downloads View citations (2)
  3. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 Downloads View citations (15)
  4. Long memory and structural breaks in hyperinflation countries
    Journal of Economics and Finance, 2003, 27, (2), 136-152 Downloads View citations (1)
  5. Testing for PPP: the erratic behaviour of unit root tests
    Economics Letters, 2003, 80, (2), 277-284 Downloads View citations (13)

2002

  1. Causality Links between Consumer and Producer Prices: Some Empirical Evidence
    Southern Economic Journal, 2002, 68, (3), 703-711 View citations (18)
  2. Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?
    Manchester School, 2002, 70, (4), 528-45 Downloads View citations (19)
  3. Exogeneity and measurement of persistence
    Revista de Economía del Rosario, 2002 Downloads
  4. Fractional integration and mean reversion in stock prices
    The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 Downloads View citations (23)
  5. Long-term nominal interest rates and domestic fundamentals
    Review of Financial Economics, 2002, 11, (2), 119-130 Downloads View citations (48)
  6. 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 Downloads View citations (1)
  7. Modelling Economic Policy Responses with an Application to the G3
    Annals of Economics and Statistics, 2002, (67-68), 415-433 Downloads
  8. Testing for Causality-in-Variance: An Application to the East Asian Markets
    International Journal of Finance & Economics, 2002, 7, (3), 235-45 Downloads View citations (46)
  9. The Euro and Monetary Policy Transparency
    Eastern Economic Journal, 2002, 28, (1), 59-70 Downloads View citations (4)
  10. Unemployment and input prices: a fractional cointegration approach
    Applied Economics Letters, 2002, 9, (6), 347-351 Downloads View citations (12)
    See also Working Paper (2000)
  11. 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

  1. Bond Markets and Macroeconomic Performance
    Zagreb International Review of Economics and Business, 2001, 4, (1), 27-44 Downloads View citations (1)
  2. Coordination and price shocks: an empirical analysis
    Economic Modelling, 2001, 18, (4), 569-584 Downloads View citations (1)
  3. 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 Downloads View citations (16)
  4. Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption
    Journal of Macroeconomics, 2001, 23, (2), 177-197 Downloads View citations (13)
  5. Money, Credit and Spending: Drawing Causal Inferences
    Scottish Journal of Political Economy, 2001, 48, (5), 547-57 Downloads View citations (19)
  6. Parameter instability, superexogeneity, and the monetary model of the exchange rate
    Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 Downloads View citations (2)
  7. Persistence in macroeconomic time series: Is it a model invariant property?
    Revista de Economía del Rosario, 2001 Downloads
  8. 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 Downloads View citations (87)
  9. 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
  10. Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
    Journal of Policy Modeling, 2001, 23, (6), 637-650 Downloads View citations (16)

2000

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

1999

  1. Efficient Estimation of Cointegrating Vectors and Testing for Causality in Vector Autoregressions
    Journal of Economic Surveys, 1999, 13, (1), 1-35 Downloads View citations (57)
  2. Estimating Income and Price Elasticities of Trade in a Cointegration Framework
    Review of International Economics, 1999, 7, (2), 254-64 View citations (59)
  3. Is Europe an Optimum Currency Area? Business Cyc1es in the EU
    Journal of Economic Integration, 1999, 14, 169-202 View citations (5)
  4. Unit Root Testing Using Covariates: Some Theory and Evidence
    Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 583-95 Downloads View citations (13)

1998

  1. Cointegration and predictability of asset prices1
    Journal of International Money and Finance, 1998, 17, (3), 441-453 Downloads View citations (17)
  2. Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
    Journal of Policy Modeling, 1998, 20, (5), 581-601 Downloads View citations (3)
  3. Term structure and interest differentials as predictors of future inflation changes and inflation differentials
    Applied Financial Economics, 1998, 8, (6), 615-625 Downloads View citations (7)
  4. Unit roots and long-run causality: investigating the relationship between output, money and interest rates
    Economic Modelling, 1998, 15, (1), 91-112 Downloads View citations (10)

1997

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

1996

  1. Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
    Journal of Macroeconomics, 1996, 18, (4), 693-714 Downloads View citations (16)
  2. Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
    Economic Modelling, 1996, 13, (1), 1-14 Downloads View citations (5)
  3. 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 Downloads

1995

  1. Inflation convergence in the EMS: Some additional evidence. A reply
    Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 Downloads View citations (1)
  2. Interest rate linkages within the European Monetary System: an alternative interpretation
    Applied Economics Letters, 1995, 2, (2), 45-47 Downloads View citations (7)
  3. Nominal exchange rate regimes and the stochastic behavior of real variables
    Journal of International Money and Finance, 1995, 14, (3), 395-415 Downloads View citations (13)

1994

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

1993

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

1992

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

Chapters

2014

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

2007

  1. 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 Downloads
    See also Working Paper (2004)
 
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