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Details about Jerry Coakley

Homepage:http://www.essex.ac.uk/afm/staff/coakley.shtm
Phone:+44 (0)1206 872455
Postal address:Department of Accounting,Finance & Management University of Essex Wivenhoe Park Colchester CO4 3SQ UK
Workplace:Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Jerry Coakley.

Last updated 2016-07-02. Update your information in the RePEc Author Service.

Short-id: pco48


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Working Papers

2006

  1. Generalized variance ratio tests in the presence of statistical dependence
    Computing in Economics and Finance 2006, Society for Computational Economics
    See also Journal Article in Journal of Time Series Analysis (2015)
  2. Long Memory and Structural Breaks in Commodity Futures Basis and Market
    Computing in Economics and Finance 2006, Society for Computational Economics
  3. The Forward Premium Anomaly at Long Horizons
    Computing in Economics and Finance 2006, Society for Computational Economics
  4. Threshold Autoregressive Models of the Commodities Futures Basis
    Computing in Economics and Finance 2006, Society for Computational Economics

2004

  1. A new interpretation of the real exchange rate - yield differential nexus
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads
  2. Comovement and FTSE 100 Index Changes
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group Downloads View citations (2)
    See also Journal Article in International Journal of Behavioural Accounting and Finance (2014)
  3. Testing for Long Run Relative PPP in Europe
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group Downloads View citations (2)
  4. The Feldstein-Horioka puzzle is not as bad as you think
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads View citations (9)
  5. The overvaluation of PPP in Europe?
    Computing in Economics and Finance 2004, Society for Computational Economics
  6. Unobserved Heterogeneity in Panel Time Series Models
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (10)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

2003

  1. A New Interpretation of the Exchange Rate - Yield Differential Nexus
    Computing in Economics and Finance 2003, Society for Computational Economics
    See also Journal Article in International Journal of Finance & Economics (2004)

2002

  1. A Principal Components Approach to Cross-Section Dependence in Panels
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data Downloads View citations (43)
  2. An MTAR Test for Stock Market Bubbles
    Computing in Economics and Finance 2002, Society for Computational Economics
  3. Exchange Rate Overshooting and the Forward Premium Puzzle
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
  4. Reinterpreting the Real Exchange Rate - Yield Diffential Nexus
    Working Papers, Warwick Business School, Finance Group Downloads

2001

  1. Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. Bootstrap LR Tests for Sign and Amplitude Asymmetries
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
  3. Numerical Issues in Threshold Autoregressive Modelling of Time Series
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  4. Rethinking the Forward Premium Puzzle in a Non-linear Framework
    Working Papers, Warwick Business School, Finance Group Downloads
  5. Small Sample Properties of Panel Time-series Estimators with I(1) Errors
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (20)

2000

  1. A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS
    Computing in Economics and Finance 2000, Society for Computational Economics
  2. Evaluating The Persistence And Structuralist Theories Of Unemployment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)

1996

  1. Saving, Investment and Capital Mobility in LDCs
    Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (2)
    See also Journal Article in Review of International Economics (1999)

Journal Articles

2016

  1. How profitable are FX technical trading rules?
    International Review of Financial Analysis, 2016, 45, (C), 273-282 Downloads View citations (1)

2015

  1. A pricing kernel approach to valuing options on interest rate futures
    The European Journal of Finance, 2015, 21, (2), 93-110 Downloads
  2. Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
    Journal of Time Series Analysis, 2015, 36, (5), 687-705 Downloads
    See also Working Paper (2006)
  3. Introduction to the JTSA John Nankervis Memorial Issue
    Journal of Time Series Analysis, 2015, 36, (5), 601-602 Downloads
  4. The European sovereign debt market: from integration to segmentation
    The European Journal of Finance, 2015, 21, (2), 111-128 Downloads View citations (6)

2014

  1. Comovement and FTSE 100 index changes
    International Journal of Behavioural Accounting and Finance, 2014, 4, (2), 93-112 Downloads View citations (1)
    See also Working Paper (2004)
  2. Earnings management and IPO anomalies in China
    Review of Quantitative Finance and Accounting, 2014, 42, (1), 69-93 Downloads View citations (3)
  3. Investor sentiment and value and growth stock index options
    The European Journal of Finance, 2014, 20, (12), 1211-1229 Downloads View citations (1)

2013

  1. Does the forward premium puzzle disappear over the horizon?
    Journal of Banking & Finance, 2013, 37, (9), 3681-3693 Downloads View citations (2)
  2. Investor participation and underpricing in lottery-allocated Chinese IPOs
    Pacific-Basin Finance Journal, 2013, 25, (C), 294-314 Downloads

2011

  1. Long memory and structural breaks in commodity futures markets
    Journal of Futures Markets, 2011, 31, (11), 1076-1113 Downloads View citations (8)

2010

  1. Misvaluation and UK mergers 1986-2002
    Applied Financial Economics, 2010, 20, (3), 201-211 Downloads View citations (1)
  2. The lunar moon festival and the dark side of the moon
    Applied Financial Economics, 2010, 20, (20), 1565-1575 Downloads View citations (1)

2009

  1. Does Volatility Improve UK Earnings Forecasts?
    Journal of Business Finance & Accounting, 2009, 36, (9-10), 1148-1179 Downloads
  2. UK IPO underpricing and venture capitalists
    The European Journal of Finance, 2009, 15, (4), 421-435 Downloads View citations (5)

2008

  1. Hot IPOs can damage your long-run wealth!
    Applied Financial Economics, 2008, 18, (14), 1111-1120 Downloads View citations (2)
  2. Markov-Switching GARCH Modelling of Value-at-Risk
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-31 Downloads View citations (6)
  3. The MSCI-Canada index rebalancing and excess comovement
    Applied Financial Economics, 2008, 18, (16), 1277-1287 Downloads View citations (1)
  4. The role of long memory in hedging effectiveness
    Computational Statistics & Data Analysis, 2008, 52, (6), 3075-3082 Downloads View citations (10)

2007

  1. Post-IPO Operating Performance, Venture Capital and the Bubble Years
    Journal of Business Finance & Accounting, 2007, 34, (9-10), 1423-1446 Downloads View citations (12)
  2. The short-run wealth effects of foreign divestitures by UK firms
    Applied Financial Economics, 2007, 18, (3), 173-184 Downloads

2006

  1. Bidder CEO and Other Executive Compensation in UK M&As
    European Financial Management, 2006, 12, (4), 609-631 Downloads View citations (1)
  2. Testing for sign and amplitude asymmetries using threshold autoregressions
    Journal of Economic Dynamics and Control, 2006, 30, (4), 623-654 Downloads View citations (1)
  3. Testing for symmetry and proportionality in a European panel
    Applied Financial Economics, 2006, 16, (1-2), 63-71 Downloads View citations (4)
    Also in Applied Financial Economics, 2005, 15, (11), 745-752 (2005) Downloads View citations (2)
  4. Unobserved heterogeneity in panel time series models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2361-2380 Downloads View citations (80)
    See also Working Paper (2004)
  5. Valuation ratios and price deviations from fundamentals
    Journal of Banking & Finance, 2006, 30, (8), 2325-2346 Downloads View citations (28)

2005

  1. Purchasing power parity and the theory of general relativity: the first tests
    Journal of International Money and Finance, 2005, 24, (2), 293-316 Downloads View citations (38)
  2. The PPP debate: Price matters!
    Economics Letters, 2005, 88, (2), 209-213 Downloads View citations (12)

2004

  1. A new interpretation of the exchange rate-yield differential nexus
    International Journal of Finance & Economics, 2004, 9, (3), 201-218 Downloads
    See also Working Paper (2003)
  2. Is the Feldstein-Horioka Puzzle History?
    Manchester School, 2004, 72, (5), 569-590 Downloads View citations (53)

2003

  1. Numerical issues in threshold autoregressive modeling of time series
    Journal of Economic Dynamics and Control, 2003, 27, (11-12), 2219-2242 Downloads View citations (17)
    Also in Journal of Economic Dynamics and Control, 2003, 27, (11), 2219-2242 (2003) Downloads View citations (17)

    See also Working Paper (2001)

2002

  1. Asymmetric dynamics in UK real interest rates
    Applied Financial Economics, 2002, 12, (6), 379-387 Downloads View citations (9)

2001

  1. A Non-linear Analysis of Excess Foreign Exchange Returns
    Manchester School, 2001, 69, (6), 623-42 Downloads View citations (10)
  2. Border costs and real exchange rate dynamics in Europe
    Journal of Policy Modeling, 2001, 23, (6), 669-676 Downloads View citations (11)
  3. Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-25 Downloads View citations (7)
  4. Nonparametric cointegration analysis of real exchange rates
    Applied Financial Economics, 2001, 11, (1), 1-8 Downloads View citations (19)

2000

  1. Is There a Base Currency Effect in Long-Run PPP?
    International Journal of Finance & Economics, 2000, 5, (4), 253-63 Downloads View citations (12)
  2. Short-Run Real Exchange Rate Dynamics
    Manchester School, 2000, 68, (4), 461-75 Downloads View citations (3)

1999

  1. Saving, Investment, and Capital Mobility in LDCs
    Review of International Economics, 1999, 7, (4), 632-40 View citations (39)
    See also Working Paper (1996)

1998

  1. The Feldstein-Horioka Puzzle and Capital Mobility: A Review
    International Journal of Finance & Economics, 1998, 3, (2), 169-88 Downloads View citations (100)

1997

  1. Cointegration of long span saving and investment
    Economics Letters, 1997, 54, (1), 1-6 Downloads View citations (41)
  2. New panel unit root tests of PPP
    Economics Letters, 1997, 57, (1), 17-22 Downloads View citations (57)

1996

  1. Current Account Solvency and the Feldstein-Horioka Puzzle
    Economic Journal, 1996, 106, (436), 620-27 Downloads View citations (113)

1994

  1. The integration of property and financial markets
    Environment and Planning A, 1994, 26, (5), 697-713 Downloads View citations (3)
 
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