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Details about Mario Cerrato

Workplace:Department of Economics, Adam Smith Business School, University of Glasgow, (more information at EDIRC)

Access statistics for papers by Mario Cerrato.

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

Short-id: pce69


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Working Papers

2020

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

2016

  1. Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
    CESifo Working Paper Series, CESifo Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads
  2. 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 Downloads

2015

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

2014

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

2013

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

2012

  1. Why do UK banks securitize?
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (5)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) Downloads View citations (3)

2011

  1. A Nonlinear Panel Unit Root Test under Cross Section Dependence
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (16)
    Also in Working Papers, Business School - Economics, University of Glasgow (2011) Downloads View citations (15)
    Working Papers, Business School - Economics, University of Glasgow (2009) View citations (12)
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2007) Downloads View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2008) View citations (11)
  2. Adaptive continuous time Markov chain approximation model to general jump-diffusions
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (1)
  3. Measuring the Economic Significance of Structural Exchange Rate Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2011) Downloads

2010

  1. A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
    Working Papers, Business School - Economics, University of Glasgow Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads
  2. An investigation of customer order flow in the foreign exchange market
    Working Papers, Business School - Economics, University of Glasgow Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2011)
  3. Does the euro dominate Central and Eastern European money markets?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads

    See also Journal Article in Journal of International Money and Finance (2013)
  4. Equilibrium Exchange Rate Determination and Multiple Structural Changes
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2013)
  5. Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2015)
  6. Nominal Interest Rates and Stationarity
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads View citations (2)

    See also Journal Article in Review of Quantitative Finance and Accounting (2013)
  7. The Rise and Fall of the ABS Market
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads

2009

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

2008

  1. Chebyshev polynomial approximation to approximate partial differential equations
    Working Papers, Business School - Economics, University of Glasgow Downloads
  2. Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
  3. 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 Downloads View citations (3)
  4. 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) Downloads View citations (1)
    See also Journal Article in Manchester School (2013)
  5. Using Chebyshev Polynomials to Approximate Partial Differential Equations
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article in Computational Economics (2010)
  6. Valuing American Derivatives by Least Squares Methods
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (3)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) Downloads View citations (2)

2007

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

2006

  1. Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics
    CESifo Working Paper Series, CESifo Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads View citations (4)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

    See also Journal Article in Review of International Economics (2008)

2005

  1. No euro please, We’re British!
    CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy Downloads
  2. 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 Downloads View citations (1)
  3. VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

2004

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

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

    See also Journal Article in Applied Financial Economics (2006)

2003

  1. Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (1)

2002

  1. The Cross Sectional Dependence Puzzle
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (6)

Journal Articles

2018

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

2017

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

2015

  1. Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation
    The World Economy, 2015, 38, (2), 340-359 Downloads View citations (8)
  2. Microstructure order flow: statistical and economic evaluation of nonlinear forecasts
    Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 40-52 Downloads View citations (5)
    See also Working Paper (2010)

2013

  1. Does the euro dominate Central and Eastern European money markets?
    Journal of International Money and Finance, 2013, 32, (C), 700-718 Downloads View citations (1)
    See also Working Paper (2010)
  2. Equilibrium exchange rate determination and multiple structural changes
    Journal of Empirical Finance, 2013, 22, (C), 52-66 Downloads View citations (4)
    See also Working Paper (2010)
  3. 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 Downloads View citations (10)
    See also Working Paper (2008)
  4. Nominal interest rates and stationarity
    Review of Quantitative Finance and Accounting, 2013, 40, (4), 741-745 Downloads View citations (1)
    See also Working Paper (2010)

2011

  1. An investigation of customer order flow in the foreign exchange market
    Journal of Banking & Finance, 2011, 35, (8), 1892-1906 Downloads View citations (12)
    See also Working Paper (2010)

2010

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

2008

  1. Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
    Review of International Economics, 2008, 16, (3), 401-412 Downloads View citations (4)
    See also Working Paper (2006)
  2. Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests
    International Review of Economics & Finance, 2008, 17, (1), 56-65 Downloads View citations (7)
  3. THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES*
    Manchester School, 2008, 76, (4), 405-423 Downloads View citations (3)

2007

  1. A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
    Computational Statistics & Data Analysis, 2007, 51, (8), 4028-4037 Downloads View citations (14)
  2. 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 Downloads View citations (14)

2006

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

2005

  1. Measuring half-lives: using a non-parametric bootstrap approach
    Applied Financial Economics Letters, 2005, 1, (1), 1-4 Downloads View citations (4)
    See also Working Paper (2004)
 
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