Details about Guglielmo Maria Caporale
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
- CO2 Emissions and GDP: Evidence from China
CESifo Working Paper Series, CESifo Group Munich
- Energy Consumption in the GCC Countries: Evidence on Persistence
CESifo Working Paper Series, CESifo Group Munich
- Financial integration in the GCC region: market size versus national effects
CESifo Working Paper Series, CESifo Group Munich
- High and low prices and the range in the European stock markets: a long-memory approach
CESifo Working Paper Series, CESifo Group Munich
- Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns
CESifo Working Paper Series, CESifo Group Munich
- Non-Linearities, Cyber Attacks and Cryptocurrencies
CESifo Working Paper Series, CESifo Group Munich
- On the preferences of CoCo bond buyers and sellers: a logistic regression analysis
CESifo Working Paper Series, CESifo Group Munich
- Persistence, non-linearities and structural breaks in European stock market indices
CESifo Working Paper Series, CESifo Group Munich
- Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
CESifo Working Paper Series, CESifo Group Munich
- Style consistency and mutual fund returns: the case of Russia
CESifo Working Paper Series, CESifo Group Munich
- Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods
CESifo Working Paper Series, CESifo Group Munich
2018
- Bitcoin Fluctuations and the Frequency of Price Overreactions
CESifo Working Paper Series, CESifo Group Munich 
See also Journal Article in Financial Markets and Portfolio Management (2019)
- Brexit and Uncertainty in Financial Markets
CESifo Working Paper Series, CESifo Group Munich 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 in International Journal of Financial Studies (2018)
- Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
CESifo Working Paper Series, CESifo Group Munich View citations (2)
See also Journal Article in Research in International Business and Finance (2019)
- On the Frequency of Price Overreactions
CESifo Working Paper Series, CESifo Group Munich View citations (1)
- On the Persistence of UK Inflation: A Long-Range Dependence Approach
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (1)
- Persistence in the Russian Stock Market Volatility Indices
CESifo Working Paper Series, CESifo Group Munich
- Political Tension and Stock Markets in the Arabian Peninsula
CESifo Working Paper Series, CESifo Group Munich
- Price Overreactions in the Cryptocurrency Market
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (2)
- Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
CESifo Working Paper Series, CESifo Group Munich
- The Impact of Business and Political News on the GCC Stock Markets
CESifo Working Paper Series, CESifo Group Munich
2017
- Central Bank Policy Rates: Are They Cointegrated?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2017) View citations (1)
See also Journal Article in International Economics (2017)
- Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
- Is Market Fear Persistent? A Long-Memory Analysis
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (2)
See also Journal Article in Finance Research Letters (2018)
- Long Memory and Data Frequency in Financial Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2017) View citations (1)
- Persistence in the Cryptocurrency Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (8)
Also in CESifo Working Paper Series, CESifo Group Munich (2017) View citations (2)
See also Journal Article in Research in International Business and Finance (2018)
- Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
- 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 
Also in CESifo Working Paper Series, CESifo Group Munich (2017) 
See also Journal Article in International Economics (2019)
- The Day of the Week Effect in the Crypto Currency Market
CESifo Working Paper Series, CESifo Group Munich View citations (5)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (13)
- Trends and Cycles in Macro Series: The Case of US Real GDP
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
2016
- Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2016)
- Calendar Anomalies in the Ukrainian Stock Market
CESifo Working Paper Series, CESifo Group Munich View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016)
- Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
CESifo Working Paper Series, CESifo Group Munich 
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 
Also in CESifo Working Paper Series, CESifo Group Munich (2016)
- Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
CESifo Working Paper Series, CESifo Group Munich View citations (2)
Also in Research Discussion Papers, Bank of Finland (2016) View citations (1) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (2)
See also Journal Article in Research in International Business and Finance (2018)
- Exchange Rates and Macro News in Emerging Markets
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) 
See also Journal Article in Research in International Business and Finance (2018)
- Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (2)
See also Journal Article in International Journal of Finance & Economics (2018)
- Macro News and Exchange Rates in the BRICS
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) 
See also Journal Article in Finance Research Letters (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 
Also in CESifo Working Paper Series, CESifo Group Munich (2016) View citations (2)
See also Journal Article in Economic Modelling (2018)
- Spillovers between food and energy prices and structural breaks
NCID Working Papers, Navarra Center for International Development, University of Navarra 
Also in CESifo Working Paper Series, CESifo Group Munich (2015) View citations (1) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
See also Journal Article in International Economics (2017)
- The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2016) View citations (1)
- The Performance of Banks in the MENA Region During the Global Financial Crisis
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (1)
See also Journal Article in Research in International Business and Finance (2017)
- 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 CESifo Working Paper Series, CESifo Group Munich (2015) View citations (13) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (13)
See also Journal Article in China Economic Review (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
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2015) View citations (1)
See also Journal Article in International Journal of Finance & Economics (2018)
- International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
- 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 Group Munich (2015) View citations (2)
See also Journal Article in International Journal of Finance & Economics (2016)
- Loan Loss Provision: Some Empirical Evidence for Italian Banks
CESifo Working Paper Series, CESifo Group Munich View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (2)
- Long-Term Price Overreactions: Are Markets Inefficient?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
See also Journal Article in Journal of Economics and Finance (2019)
- Macro News and Commodity Returns
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) 
See also Journal Article in International Journal of Finance & Economics (2017)
- The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
See also Journal Article in Finance Research Letters (2018)
- 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 View citations (4)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (4) Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)
See also Journal Article in Empirical Economics (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 in Journal of Economic Studies (2016)
2014
- Financial Development and Economic Growth: Evidence from Ten New EU Members
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (40)
- International Capital Markets Structure, Preferences and Puzzles: The US-China Case
CESifo Working Paper Series, CESifo Group Munich View citations (7)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (10)
- 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 Group Munich (2014) View citations (1)
See also Journal Article in Computational Economics (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 in Applied Economics (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 (2)
- Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
See also Journal Article in African Development Review (2014)
- Macro News and Bond Yield Spreads in the Euro Area
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
Also in CESifo Working Paper Series, CESifo Group Munich (2014) View citations (3)
See also Journal Article in The European Journal of Finance (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 Group Munich (2014) View citations (4)
See also Journal Article in International Review of Financial Analysis (2016)
- 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 View citations (4)
Also in CESifo Working Paper Series, CESifo Group Munich (2014) View citations (4)
See also Journal Article in China Economic Review (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 Group Munich (2014) View citations (2)
See also Journal Article in Computational Economics (2018)
- Testing Unemployment Theories: A Multivariate Long Memory Approach
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) 
See also Journal Article in Journal of Applied Economics (2016)
- The Weekend Effect: A Trading Robot and Fractional Integration Analysis
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
Also in CESifo Working Paper Series, CESifo Group Munich (2014)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
CESifo Working Paper Series, CESifo Group Munich View citations (10)
See also Journal Article in Comparative Economic Studies (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 (3)
See also Journal Article in Economic Modelling (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 (1) CESifo Working Paper Series, CESifo Group Munich (2012) View citations (1)
See also Journal Article in Empirical Economics (2016)
- Exchange Rate Uncertainty and International Portfolio Flows
CESifo Working Paper Series, CESifo Group Munich View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (1)
- 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 Group Munich (2013) View citations (6)
- Fiscal Spillovers in the Euro Area
Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli View citations (15)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (14) CESifo Working Paper Series, CESifo Group Munich (2011) View citations (12)
See also Journal Article in Journal of International Money and Finance (2013)
- Foreign direct investment in the Asian economies
NCID Working Papers, Navarra Center for International Development, University of Navarra
- 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 View citations (11)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (11)
See also Journal Article in International Review of Financial Analysis (2013)
- Long Memory in the Ukrainian Stock Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
- Long memory in the ukrainian stock market and financial crises
MPRA Paper, University Library of Munich, Germany View citations (4)
- 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 Group Munich (2013)
- On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
CESifo Working Paper Series, CESifo Group Munich View citations (4)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (2)
See also Journal Article in International Review of Financial Analysis (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 (2) CESifo Working Paper Series, CESifo Group Munich (2013) View citations (9)
See also Journal Article in Journal of Financial Stability (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 (1)
2012
- Banking Consolidation in Nigeria
CEsA Working Papers, CEsA - Center for African, Asian and Latin American Studies View citations (1)
- Efficiency evaluation of Greek equity funds
MPRA Paper, University Library of Munich, Germany View citations (4)
See also Journal Article in Research in International Business and Finance (2012)
- Environmental Regulation and Competitiveness: Evidence from Romania
CESifo Working Paper Series, CESifo Group Munich View citations (3)
Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2010)  IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) 
See also Journal Article in Ecological Economics (2012)
- 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 Group Munich (2011) 
See also Journal Article in Empirical Economics (2014)
- Long Memory in German Energy Price Indices
CESifo Working Paper Series, CESifo Group Munich View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (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 (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2008) View citations (1)
See also Journal Article in Journal of Time Series Analysis (2013)
- Persistence and Cycles in US Hours Worked
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2012) 
See also Journal Article in Economic Modelling (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 Group Munich (2012) View citations (1)
See also Journal Article in International Review of Financial Analysis (2017)
- Persistence in Youth Unemployment
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2012)
- Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) 
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
- Testing the Marshall-Lerner Condition in Kenya
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) 
See also Journal Article in South African Journal of Economics (2015)
2011
- Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
NIPE Working Papers, NIPE - Universidade do Minho View citations (2)
Also in CESifo Working Paper Series, CESifo Group Munich (2011) View citations (5) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (4)
- Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
CESifo Working Paper Series, CESifo Group Munich View citations (5)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) View citations (3) NIPE Working Papers, NIPE - Universidade do Minho (2011) View citations (5)
See also Journal Article in Research in International Business and Finance (2016)
- Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel
CESifo Working Paper Series, CESifo Group Munich 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 (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2011) View citations (1)
- Interest rate dynamics in Kenya
NCID Working Papers, Navarra Center for International Development, University of Navarra
- 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 (2)
See also Journal Article in Multinational Finance Journal (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 Group Munich (2011) View citations (1)
See also Journal Article in Journal of Economics and Finance (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 (2)
Also in CESifo Working Paper Series, CESifo Group Munich (2011) View citations (2)
See also Journal Article in Journal of Banking & Finance (2013)
- Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach
CESifo Working Paper Series, CESifo Group Munich View citations (2)
- The Euro Changeover and Price Adjustments in Italy
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2011) 
See also Journal Article in Applied Economics Letters (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 (7) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (4)
- 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)  CESifo Working Paper Series, CESifo Group Munich (2010)
- 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 Group Munich
- EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (2)
See also Journal Article in Review of International Economics (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 in International Journal of Finance & Economics (2012)
- Fractional Cointegration in US Term Spreads
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
See also Journal Article in Applied Economics Letters (2012)
- Inflation and inflation uncertainty in the euro area
Working Paper Series, European Central Bank View citations (1)
Also in EcoMod2010, EcoMod View citations (2) CESifo Working Paper Series, CESifo Group Munich (2009) View citations (18) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (4)
See also Journal Article in Empirical Economics (2012)
- Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (3)
See also Journal Article in Manchester School (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 
Also in CESifo Working Paper Series, CESifo Group Munich (2010) View citations (1)
See also Journal Article in Applied Economics Letters (2011)
- Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
CESifo Working Paper Series, CESifo Group Munich View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (2)
See also Journal Article in The Quarterly Review of Economics and Finance (2012)
- Stock Market Integration between three CEECs, Russia and the UK
CESifo Working Paper Series, CESifo Group Munich View citations (1)
See also Journal Article in Review of International Economics (2011)
- The Weekly Structure of US Stock Prices
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo Group Munich (2010) 
See also Journal Article in Applied Financial Economics (2011)
- Time-Varying Spot and Futures Oil Price Dynamics
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
Also in Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia (2010) View citations (3) CESifo Working Paper Series, CESifo Group Munich (2010) View citations (3)
See also Journal Article in Scottish Journal of Political Economy (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 (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2009) View citations (3)
See also Journal Article in Emerging Markets Review (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
- International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009)  IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (2)
See also Journal Article in The Journal of International Trade & Economic Development (2011)
- Long Memory in US Real Output per Capita
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
Also in CESifo Working Paper Series, CESifo Group Munich (2009) View citations (3)
See also Journal Article in Empirical Economics (2013)
- Multi-Factor Gegenbauer Processes and European Inflation Rates
CESifo Working Paper Series, CESifo Group Munich View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (1)
See also Journal Article in Journal of Economic Integration (2011)
- Rating Assignments: Lessons from International Banks
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo Group Munich (2009) View citations (2)
See also Journal Article in Journal of International Money and Finance (2012)
- Selectivity, Market Timing and the Morningstar Star-Rating System
CESifo Working Paper Series, CESifo Group Munich 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009)
- Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
CESifo Working Paper Series, CESifo Group Munich View citations (9)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (9)
- Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (32)
Also in IMF Working Papers, International Monetary Fund (2008) View citations (16) Working Paper Series, European Central Bank (2009) View citations (16) CESifo Working Paper Series, CESifo Group Munich (2009) View citations (13)
See also Journal Article in Review of International Economics (2013)
2008
- Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach
CESifo Working Paper Series, CESifo Group Munich View citations (1)
See also Journal Article in Manchester School (2011)
- Chebyshev polynomial approximation to approximate partial differential equations
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 
Also in Working Papers, Business School - Economics, University of Glasgow (2008)
- Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model
CESifo Working Paper Series, CESifo Group Munich View citations (1)
- Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America
CESifo Working Paper Series, CESifo Group Munich View citations (1)
See also Journal Article in Journal of International Money and Finance (2011)
- Fractional integration and data frequency
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- 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 (19)
See also Journal Article in Computational Statistics & Data Analysis (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 (1) Post-Print, HAL (2008) View citations (1)
- 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) View citations (20) CESifo Working Paper Series, CESifo Group Munich (2008) View citations (8)
See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2009)
- Using Chebyshev Polynomials to Approximate Partial Differential Equations
CESifo Working Paper Series, CESifo Group Munich 
See also Journal Article in Computational Economics (2010)
2007
- A Multivariate Long-Memory Model with Structural Breaks
CESifo Working Paper Series, CESifo Group Munich View citations (1)
- Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
CESifo Working Paper Series, CESifo Group Munich View citations (4)
- Identification of Segments of European Banks with a Latent Class Frontier Model
CESifo Working Paper Series, CESifo Group Munich
- Income and Happiness across Europe: Do Reference Values Matter?
CESifo Working Paper Series, CESifo Group Munich View citations (3)
See also Journal Article in Journal of Economic Psychology (2009)
- Long Run and Cyclical Dynamics in the US Stock Market
CESifo Working Paper Series, CESifo Group Munich View citations (6)
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 in Journal of Forecasting (2014)
- The Euro and Inflation Uncertainty in the European Monetary Union
CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy 
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2006)  CESifo Working Paper Series, CESifo Group Munich (2006) 
See also Journal Article in Journal of International Money and Finance (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 View citations (2)
- 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 in International Review of Applied Economics (2010)
- Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
CESifo Working Paper Series, CESifo Group Munich 
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) View citations (4) Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) 
See also Journal Article in Review of International Economics (2008)
- 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 Group Munich (2006) View citations (1)
See also Journal Article in Applied Economics Letters (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 Group Munich (2006) View citations (1)
- Nonlinearities and fractional integration in the US unemployment rate
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)  Discussion Paper Series, Hamburg Institute of International Economics (2004)  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) View citations (1) HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) View citations (2)
See also Journal Article in Oxford Bulletin of Economics and Statistics (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 in Empirica (2008)
2005
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) 
See also Journal Article in Manchester School (2005)
- LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
See also Journal Article in Applied Economics Letters (2006)
- Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)  Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) 
See also Journal Article in Empirical Economics (2006)
- MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
See also Journal Article in Applied Financial Economics Letters (2006)
- TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
See also Journal Article in Empirica (2007)
- 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) 
See also Journal Article in International Journal of Finance & Economics (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 in Journal of Economic Integration (2009)
- VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
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) 
See also Journal Article in Applied Financial Economics Letters (2005)
- NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
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)
- PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)  Economics Series, Institute for Advanced Studies (2004) View citations (5)
See also Journal Article in Applied Financial Economics (2006)
- Parameter Instability and Forecasting Performance. A Monte Carlo Study
Economics Series, Institute for Advanced Studies 
See also Journal Article in International Journal of Business Forecasting and Marketing Intelligence (2008)
- 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
- TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
International Finance, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of Empirical Finance (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 (2007)
- THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (7) Economics Series, Institute for Advanced Studies (2004) View citations (2)
See also Journal Article in Journal of Financial Econometrics (2005)
- THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) 
See also Journal Article in Applied Stochastic Models in Business and Industry (2007)
2003
- Endogenous growth and Stock Market Development
Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol
- Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity
CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2002) View citations (7)
See also Journal Article in Journal of International Money and Finance (2005)
2002
- The Banking System in Bulgaria
Post-Print, HAL View citations (3)
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 in Review of Financial Economics (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 in Review of Financial Economics (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 in Applied Economics Letters (2002)
Undated
- Testing Stock Market Convergence: A Non-linear Factor Approach
EcoMod2010, EcoMod 
See also Journal Article in Empirica (2015)
Journal Articles
2019
- Bitcoin fluctuations and the frequency of price overreactions
Financial Markets and Portfolio Management, 2019, 33, (2), 109-131 
See also Working Paper (2018)
- Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Real Estate Economics, 2019, 47, (4), 935-976
- Long-term interest rates in Europe: A fractional cointegration analysis
International Review of Economics & Finance, 2019, 61, (C), 170-178
- Long-term price overreactions: are markets inefficient?
Journal of Economics and Finance, 2019, 43, (4), 657-680 
See also Working Paper (2015)
- Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Research in International Business and Finance, 2019, 48, (C), 143-155 
See also Working Paper (2018)
- Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
International Economics, 2019, 159, (C), 140-150 
Also in International Economics, 2019, (159), 140-150 (2019) 
See also Working Paper (2017)
2018
- Brexit and Uncertainty in Financial Markets
International Journal of Financial Studies, 2018, 6, (1), 1-9 View citations (4)
See also Working Paper (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 (1)
See also Working Paper (2016)
- Exchange rates and macro news in emerging markets
Research in International Business and Finance, 2018, 46, (C), 516-527 View citations (1)
See also Working Paper (2016)
- How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China
International Journal of Finance & Economics, 2018, 23, (4), 478-491 View citations (1)
See also Working Paper (2015)
- Is market fear persistent? A long-memory analysis
Finance Research Letters, 2018, 27, (C), 140-147 View citations (1)
See also Working Paper (2017)
- Islamic banking, credit, and economic growth: Some empirical evidence
International Journal of Finance & Economics, 2018, 23, (4), 456-477 
See also Working Paper (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 (3)
- Macro news and bond yield spreads in the euro area
The European Journal of Finance, 2018, 24, (2), 114-134 
See also Working Paper (2014)
- Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?
Economic Modelling, 2018, 72, (C), 306-319 View citations (4)
See also Working Paper (2016)
- Persistence in the cryptocurrency market
Research in International Business and Finance, 2018, 46, (C), 141-148 View citations (13)
See also Working Paper (2017)
- Short-Term Price Overreactions: Identification, Testing, Exploitation
Computational Economics, 2018, 51, (4), 913-940 
See also Working Paper (2014)
- The EMBI in Latin America: Fractional integration, non-linearities and breaks
Finance Research Letters, 2018, 24, (C), 34-41 View citations (1)
See also Working Paper (2015)
- The asymmetric behaviour of spanish unemployment persistence
Economics Bulletin, 2018, 38, (1), 98-104 View citations (1)
- The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
Empirical Economics, 2018, 55, (3), 913-935 
See also Working Paper (2015)
- Unemployment in Africa: A Fractional Integration Approach
South African Journal of Economics, 2018, 86, (1), 76-81 View citations (1)
2017
- Analysing the determinants of insolvency risk for general insurance firms in the UK
Journal of Banking & Finance, 2017, 84, (C), 107-122
- Calendar anomalies in the Russian stock market
Russian Journal of Economics, 2017, 3, (1), 101-108 View citations (1)
- Central bank policy rates: Are they cointegrated?
International Economics, 2017, 152, (C), 116-123 View citations (1)
Also in International Economics, 2017, (152), 116-123 (2017) View citations (1)
See also Working Paper (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 (1)
- International portfolio flows and exchange rate volatility in emerging Asian markets
Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (3)
- Macro News and Commodity Returns
International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (7)
See also Working Paper (2015)
- Macro news and exchange rates in the BRICS
Finance Research Letters, 2017, 21, (C), 140-143 View citations (3)
See also Working Paper (2016)
- Persistence and cycles in the us federal funds rate
International Review of Financial Analysis, 2017, 52, (C), 1-8 
See also Working Paper (2012)
- Searching for Inefficiencies in Exchange Rate Dynamics
Computational Economics, 2017, 49, (3), 405-432 View citations (1)
- Spillovers between food and energy prices and structural breaks
International Economics, 2017, (150), 1-18 View citations (10)
Also in International Economics, 2017, 150, (C), 1-18 (2017) View citations (12)
See also Working Paper (2016)
- The fisher relationship in Nigeria
Journal of Economics and Finance, 2017, 41, (2), 343-353
- 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 (1)
See also Working Paper (2016)
- The weekend effect: a fractional integration and trading robot analysis
International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 View citations (1)
2016
- Business cycles, international trade and capital flows: evidence from Latin America
Empirical Economics, 2016, 50, (2), 231-252 View citations (2)
See also Working Paper (2013)
- Consumption, wealth, stock and housing returns: Evidence from emerging markets
Research in International Business and Finance, 2016, 36, (C), 562-578 View citations (3)
See also Working Paper (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
- Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Computational Economics, 2016, 47, (2), 275-295 View citations (2)
See also Working Paper (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 (3)
See also Working Paper (2015)
- Local banking and local economic growth in Italy: some panel evidence
Applied Economics, 2016, 48, (28), 2665-2674 View citations (1)
See also Working Paper (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 (2)
See also Working Paper (2014)
- Persistence and cyclical dependence in the monthly euribor rate
Journal of Economics and Finance, 2016, 40, (1), 157-171 View citations (1)
See also Working Paper (2011)
- Testing unemployment theories: A multivariate long memory approach
Journal of Applied Economics, 2016, 19, 95-112 View citations (4)
See also Working Paper (2014)
- The weekend effect: an exploitable anomaly in the Ukrainian stock market?
Journal of Economic Studies, 2016, 43, (6), 954-965 View citations (1)
See also Working Paper (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 (15)
- Financial Development and Economic Growth: Evidence from 10 New European Union Members
International Journal of Finance & Economics, 2015, 20, (1), 48-60 View citations (16)
- Gender, style diversity, and their effect on fund performance
Research in International Business and Finance, 2015, 35, (C), 57-74 View citations (1)
- Infant mortality rates: time trends and fractional integration
Journal of Applied Statistics, 2015, 42, (3), 589-602 View citations (2)
- 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 (2)
- Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
Applied Economics Letters, 2015, 22, (5), 421-424 View citations (2)
- Oil price uncertainty and sectoral stock returns in China: A time-varying approach
China Economic Review, 2015, 34, (C), 311-321 View citations (30)
See also Working Paper (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 (4)
- Testing stock market convergence: a non-linear factor approach
Empirica, 2015, 42, (3), 481-498 View citations (6)
See also Working Paper
- Testing the Marshall–Lerner Condition in Kenya
South African Journal of Economics, 2015, 83, (2), 253-268 View citations (1)
See also Working Paper (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 (13)
See also Working Paper (2016)
- Trade intensity and output synchronisation: On the endogeneity properties of EMU
Journal of Financial Stability, 2015, 16, (C), 154-163 View citations (13)
See also Working Paper (2013)
2014
- Bank lending procyclicality and credit quality during financial crises
Economic Modelling, 2014, 43, (C), 142-157 View citations (4)
See also Working Paper (2013)
- Fractional integration and cointegration in US financial time series data
Empirical Economics, 2014, 47, (4), 1389-1410 View citations (3)
See also Working Paper (2012)
- Improving Environmental Performance: A Challenge for Romania
Environmental & Resource Economics, 2014, 57, (3), 431-452 View citations (1)
- Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
African Development Review, 2014, 26, (1), 59-73 View citations (2)
Also in African Development Review, 2014, 26, (1), 59–73 (2014) View citations (2)
See also Working Paper (2014)
- Long‐Run and Cyclical Dynamics in the US Stock Market
Journal of Forecasting, 2014, 33, (2), 147-161 View citations (5)
See also Working Paper (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 (25)
See also Working Paper (2013)
- Persistence and cycles in US hours worked
Economic Modelling, 2014, 38, (C), 504-511 View citations (3)
See also Working Paper (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 (1)
- 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 (10)
See also Working Paper (2010)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
Comparative Economic Studies, 2014, 56, (4), 581-591 View citations (10)
See also Working Paper (2014)
2013
- Fiscal spillovers in the Euro area
Journal of International Money and Finance, 2013, 38, (C), 84.e1-84.e16 View citations (16)
See also Working Paper (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 (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 (11)
See also Working Paper (2013)
- Long memory in US real output per capita
Empirical Economics, 2013, 44, (2), 591-611 View citations (5)
See also Working Paper (2009)
- Modelling long-run trends and cycles in financial time series data
Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (1)
See also Working Paper (2012)
- 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 (12)
See also Working Paper (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 (1)
See also Working Paper (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 (32)
See also Working Paper (2009)
2012
- Efficiency evaluation of Greek equity funds
Research in International Business and Finance, 2012, 26, (2), 317-333 View citations (6)
See also Working Paper (2012)
- Environmental Regulation and Competitiveness: Evidence from Romania
Ecological Economics, 2012, 81, (C), 130-139 View citations (4)
See also Working Paper (2012)
- 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)
- 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 (2010)
- Inflation and inflation uncertainty in the euro area
Empirical Economics, 2012, 43, (2), 597-615 View citations (16)
See also Working Paper (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 (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 (3)
See also Working Paper (2010)
- Ratings assignments: Lessons from international banks
Journal of International Money and Finance, 2012, 31, (6), 1593-1606 View citations (10)
See also Working Paper (2009)
- Stock Market Integration Between Three CEECs
Journal of Economic Integration, 2012, 27, 115-122 View citations (3)
- The euro changeover and price adjustments in Italy
Applied Economics Letters, 2012, 19, (4), 379-382 
See also Working Paper (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 (3)
See also Working Paper (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 (7)
See also Working Paper (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 (3)
See also Working Paper (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 (2)
See also Working Paper (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 (7)
See also Working Paper (2009)
- Price formation on the EuroMTS platform
Applied Economics Letters, 2011, 18, (3), 229-233 View citations (5)
See also Working Paper (2010)
- 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)
- The weekly structure of US stock prices
Applied Financial Economics, 2011, 21, (23), 1757-1764 
See also Working Paper (2010)
2010
- Are PPP tests erratically behaved? Some panel evidence
International Review of Applied Economics, 2010, 24, (2), 203-221 
See also Working Paper (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 (52)
See also Working Paper (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 (4)
- Using Chebyshev Polynomials to Approximate Partial Differential Equations
Computational Economics, 2010, 35, (3), 235-244 View citations (3)
See also Working Paper (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 (4)
- Cointegration tests of PPP: do they also exhibit erratic behaviour?
Applied Economics Letters, 2009, 16, (1), 9-15 View citations (1)
See also Working Paper (2006)
- Income and happiness across Europe: Do reference values matter?
Journal of Economic Psychology, 2009, 30, (1), 42-51 View citations (97)
See also Working Paper (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 (3)
- 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, (3), 573-573 View citations (28)
Also in Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (2), 189-206 (2009) View citations (24)
See also Working Paper (2008)
- 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)
- The Euro and inflation uncertainty in the European Monetary Union
Journal of International Money and Finance, 2009, 28, (6), 954-971 View citations (31)
See also Working Paper (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 (4)
See also Working Paper (2006)
- Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
Economics Bulletin, 2008, 7, (17), 1-13 View citations (6)
- Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (17)
See also Working Paper (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 (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 (10)
- Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
Empirica, 2008, 35, (3), 241-253 View citations (1)
See also Working Paper (2006)
2007
- Nonlinearities and Fractional Integration in the US Unemployment Rate*
Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (48)
See also Working Paper (2006)
- Testing for deterministic and stochastic cycles in macroeconomic time series
Empirica, 2007, 34, (2), 155-169 
See also Working Paper (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 (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 (4)
See also Working Paper (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 (2)
See also Working Paper (2005)
- Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Applied Financial Economics Letters, 2006, 2, (1), 9-12 View citations (3)
See also Working Paper (2005)
- Panel data tests of PPP: a critical overview
Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (15)
See also Working Paper (2004)
- Volatility transmission and financial crises
Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (49)
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 (22)
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*
Manchester School, 2005, 73, (6), 737-753 View citations (10)
See also Working Paper (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 (24)
- Interest rate linkages: identifying structural relations
Applied Financial Economics, 2005, 15, (14), 977-986 View citations (8)
- Measuring half-lives: using a non-parametric bootstrap approach
Applied Financial Economics Letters, 2005, 1, (1), 1-4 View citations (4)
See also Working Paper (2004)
- 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 (39)
See also Working Paper (2003)
- Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (136)
See also Working Paper (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 (2)
See also Working Paper (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 (4)
See also Working Paper (2004)
- The Feldstein-Horioka puzzle revisited: A Monte Carlo study
Journal of International Money and Finance, 2005, 24, (7), 1143-1149 View citations (27)
2004
- Estimator Choice and Fisher's Paradox: A Monte Carlo Study
Econometric Reviews, 2004, 23, (1), 25-52 View citations (24)
- Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
Applied Financial Economics, 2004, 14, (14), 981-989 View citations (12)
- Fractional cointegration and real exchange rates
Review of Financial Economics, 2004, 13, (4), 327-340 View citations (14)
See also Working Paper (2000)
- Fractional cointegration and tests of present value models
Review of Financial Economics, 2004, 13, (3), 245-258 View citations (36)
See also Working Paper (2000)
- Long range dependence in daily stock returns
Applied Financial Economics, 2004, 14, (6), 375-383 View citations (8)
- Modelling East Asian exchange rates: a Markov-switching approach
Applied Financial Economics, 2004, 14, (4), 233-242 View citations (10)
- STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE
Journal of Economic Development, 2004, 29, (1), 33-50 View citations (63)
- Testing for Seasonal Fractional Roots in German Real Output
German Economic Review, 2004, 5, (3), 319-333 View citations (2)
2003
- Asset prices and output growth volatility: the effects of financial crises
Economics Letters, 2003, 79, (1), 69-74 View citations (13)
- 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 (15)
- Long memory and structural breaks in hyperinflation countries
Journal of Economics and Finance, 2003, 27, (2), 136-152 View citations (1)
- Testing for PPP: the erratic behaviour of unit root tests
Economics Letters, 2003, 80, (2), 277-284 View citations (13)
2002
- Causality Links between Consumer and Producer Prices: Some Empirical Evidence
Southern Economic Journal, 2002, 68, (3), 703-711 View citations (18)
- Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?
Manchester School, 2002, 70, (4), 528-45 View citations (19)
- 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 (23)
- Long-term nominal interest rates and domestic fundamentals
Review of Financial Economics, 2002, 11, (2), 119-130 View citations (48)
- 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
- Testing for Causality-in-Variance: An Application to the East Asian Markets
International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (46)
- 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 (12)
See also Working Paper (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 (16)
- Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption
Journal of Macroeconomics, 2001, 23, (2), 177-197 View citations (13)
- Money, Credit and Spending: Drawing Causal Inferences
Scottish Journal of Political Economy, 2001, 48, (5), 547-57 View citations (19)
- Parameter instability, superexogeneity, and the monetary model of the exchange rate
Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 View citations (2)
- 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 (87)
- 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 (16)
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 (57)
- Estimating Income and Price Elasticities of Trade in a Cointegration Framework
Review of International Economics, 1999, 7, (2), 254-64 View citations (59)
- Is Europe an Optimum Currency Area? Business Cyc1es in the EU
Journal of Economic Integration, 1999, 14, 169-202 View citations (5)
- Unit Root Testing Using Covariates: Some Theory and Evidence
Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 583-95 View citations (13)
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 (10)
1997
- Common features and output fluctuations in the United Kingdom
Economic Modelling, 1997, 14, (1), 1-9 View citations (7)
- Domestic and external factors in interest rate determination
Applied Financial Economics, 1997, 7, (5), 465-471 View citations (3)
- 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 (16)
- 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 (13)
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 (32)
- Is Europe an optimum currency area?
National Institute Economic Review, 1993, 144, (1), 95-113
- The World Economy
National Institute Economic Review, 1993, 144, (1), 33-54 
Also in National Institute Economic Review, 1992, 139, (1), 27-45 (1992)  National Institute Economic Review, 1993, 145, (1), 43-63 (1993)  National Institute Economic Review, 1992, 142, (1), 34-62 (1992)  National Institute Economic Review, 1993, 143, (1), 27-53 (1993)
1992
- Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union
National Institute Economic Review, 1992, 140, (1), 69-77
Chapters
2014
- The finance–growth nexus: evidence from ten new EU members
Chapter 13 in Financial Cycles and the Real Economy, 2014, pp 217-234
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 (2004)
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