Details about Mario Cerrato

Access statistics for papers by Mario Cerrato.

Last updated 2020-05-27. Update your information in the RePEc Author Service.

Short-id: pce69

Working Papers

2020

1. Factor Investing and forex Portfolio Management
   Working Papers, Business School - Economics, University of Glasgow
2. Foreign Exchange Order Flow as a Risk Factor
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Papers, Business School - Economics, University of Glasgow (2018)
3. The Informational Content of Default Risk in UK Insurance Firms
   Working Papers, Business School - Economics, University of Glasgow

2016

4. 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 View citations (1)
   Also in CESifo Working Paper Series, CESifo (2016) View citations (2)
5. Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies
   Working Papers, Business School - Economics, University of Glasgow

2015

6. Correlated Defaults of UK Banks: Dynamics and Asymmetries
   Working Papers, Business School - Economics, University of Glasgow View citations (2)
7. Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula
   Working Papers, Business School - Economics, University of Glasgow View citations (3)
8. Risk Sharing in International Economies and Market Incompleteness
   Working Papers, Business School - Economics, University of Glasgow View citations (3)

2014

9. Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)

2013

10. No Good Deals - No Bad Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Staff Reports, Federal Reserve Bank of New York (2012) View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2013)

2012

11. Why do UK banks securitize?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
    Also in Working Papers, Business School - Economics, University of Glasgow (2012) View citations (5)

2011

12. A Nonlinear Panel Unit Root Test under Cross Section Dependence
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (16)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) View citations (12)
    Working Papers, Business School - Economics, University of Glasgow (2009) View citations (14)
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2007) View citations (3)
    Working Papers, Business School - Economics, University of Glasgow (2011) View citations (15)
13. Adaptive continuous time Markov chain approximation model to general jump-diffusions
    Working Papers, Business School - Economics, University of Glasgow View citations (1)
14. Measuring the Economic Significance of Structural Exchange Rate Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2011)

2010

15. A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)
16. An investigation of customer order flow in the foreign exchange market
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)
    See also Journal Article An investigation of customer order flow in the foreign exchange market, Journal of Banking & Finance, Elsevier (2011) View citations (16) (2011)
17. Does the euro dominate Central and Eastern European money markets?
    Working Papers, Business School - Economics, University of Glasgow
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (1)
    See also Journal Article Does the euro dominate Central and Eastern European money markets?, Journal of International Money and Finance, Elsevier (2013) View citations (4) (2013)
18. Equilibrium Exchange Rate Determination and Multiple Structural Changes
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (3)
    See also Journal Article Equilibrium exchange rate determination and multiple structural changes, Journal of Empirical Finance, Elsevier (2013) View citations (4) (2013)
19. Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)
    See also Journal Article Microstructure order flow: statistical and economic evaluation of nonlinear forecasts, Journal of International Financial Markets, Institutions and Money, Elsevier (2015) View citations (5) (2015)
20. Nominal Interest Rates and Stationarity
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (2)
    See also Journal Article Nominal interest rates and stationarity, Review of Quantitative Finance and Accounting, Springer (2013) View citations (4) (2013)
21. The Rise and Fall of the ABS Market
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)

2009

22. 3-Regime symmetric STAR modeling and exchange rate reversion
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2009)
23. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities
    Working Papers, Business School - Economics, University of Glasgow
24. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
25. Optimal Martingales and American Option Pricing
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008)
    Working Papers, Business School - Economics, University of Glasgow (2009)
26. Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
    Working Papers, Business School - Economics, University of Glasgow View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) View citations (2)

2008

27. Chebyshev polynomial approximation to approximate partial differential equations
    Working Papers, Business School - Economics, University of Glasgow
28. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
29. Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries
    Working Papers, Business School - Economics, University of Glasgow View citations (3)
30. Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    See also Journal Article IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES, Manchester School, University of Manchester (2013) View citations (11) (2013)
31. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    CESifo Working Paper Series, CESifo
    See also Journal Article Using Chebyshev Polynomials to Approximate Partial Differential Equations, Computational Economics, Springer (2010) View citations (5) (2010)
32. Valuing American Derivatives by Least Squares Methods
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (3)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) View citations (2)

2007

33. Valuing American Style Options by Least Squares Methods
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations (2)

2006

34. Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
    See also Journal Article Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics, Review of International Economics, Wiley Blackwell (2008) View citations (6) (2008)

2005

35. No euro please, We’re British!
    CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy
36. The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (1)
37. VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)

2004

38. 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)
39. PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics Series, Institute for Advanced Studies (2004) View citations (6)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
    See also Journal Article Panel data tests of PPP: a critical overview, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (18) (2006)

2003

40. Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (4)

2002

41. The Cross Sectional Dependence Puzzle
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (8)

Journal Articles

2018

1. Implications of Incomplete Markets for International Economies
   The Review of Financial Studies, 2018, 31, (10), 4017-4062 View citations (8)

2017

2. Analysing the determinants of insolvency risk for general insurance firms in the UK
   Journal of Banking & Finance, 2017, 84, (C), 107-122 View citations (15)
3. Relation between higher order comoments and dependence structure of equity portfolio
   Journal of Empirical Finance, 2017, 40, (C), 101-120 View citations (12)
4. The joint credit risk of UK global‐systemically important banks
   Journal of Futures Markets, 2017, 37, (10), 964-988 View citations (8)

2015

5. Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation
   The World Economy, 2015, 38, (2), 340-359 View citations (12)
6. Microstructure order flow: statistical and economic evaluation of nonlinear forecasts
   Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 40-52 View citations (5)
   See also Working Paper Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts, SIRE Discussion Papers (2010) (2010)

2013

7. Does the euro dominate Central and Eastern European money markets?
   Journal of International Money and Finance, 2013, 32, (C), 700-718 View citations (4)
   See also Working Paper Does the euro dominate Central and Eastern European money markets?, Working Papers (2010) (2010)
8. Equilibrium exchange rate determination and multiple structural changes
   Journal of Empirical Finance, 2013, 22, (C), 52-66 View citations (4)
   See also Working Paper Equilibrium Exchange Rate Determination and Multiple Structural Changes, SIRE Discussion Papers (2010) View citations (3) (2010)
9. IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES
   Manchester School, 2013, 81, (1), 102-120 View citations (11)
   See also Working Paper Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries, SIRE Discussion Papers (2008) View citations (1) (2008)
10. Nominal interest rates and stationarity
    Review of Quantitative Finance and Accounting, 2013, 40, (4), 741-745 View citations (4)
    See also Working Paper Nominal Interest Rates and Stationarity, SIRE Discussion Papers (2010) View citations (2) (2010)

2011

11. An investigation of customer order flow in the foreign exchange market
    Journal of Banking & Finance, 2011, 35, (8), 1892-1906 View citations (16)
    See also Working Paper An investigation of customer order flow in the foreign exchange market, SIRE Discussion Papers (2010) View citations (1) (2010)

2010

12. Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion
    Journal of Money, Credit and Banking, 2010, 42, (7), 1447-1467 View citations (8)
    Also in Journal of Money, Credit and Banking, 2010, 42, (7), 1447-1467 (2010) View citations (2)
13. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    Computational Economics, 2010, 35, (3), 235-244 View citations (5)
    See also Working Paper Using Chebyshev Polynomials to Approximate Partial Differential Equations, CESifo Working Paper Series (2008) (2008)

2008

14. Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
    Review of International Economics, 2008, 16, (3), 401-412 View citations (6)
    See also Working Paper Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics, CESifo Working Paper Series (2006) View citations (1) (2006)
15. Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests
    International Review of Economics & Finance, 2008, 17, (1), 56-65 View citations (8)
16. THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES*
    Manchester School, 2008, 76, (4), 405-423 View citations (3)

2007

17. A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
    Computational Statistics & Data Analysis, 2007, 51, (8), 4028-4037 View citations (14)
18. Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates
    International Journal of Finance & Economics, 2007, 12, (4), 427-444 View citations (17)

2006

19. Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies
    Economics Bulletin, 2006, 6, (7), 1-14 View citations (9)
20. Panel data tests of PPP: a critical overview
    Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (18)
    See also Working Paper PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW, Economics and Finance Discussion Papers (2004) (2004)
21. TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 341-358