Details about Ana-Maria Fuertes

Access statistics for papers by Ana-Maria Fuertes.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pfu3

Working Papers

2023

1. A Bayesian Perspective on Commodity Style Integration
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article A Bayesian perspective on commodity style integration, Journal of Commodity Markets, Elsevier (2023) (2023)
2. The Negative Pricing of the May 2020 WTI Contract
   Post-Print, HAL View citations (4)
   Also in MPRA Paper, University Library of Munich, Germany (2021)
   See also Journal Article The Negative Pricing of the May 2020 WTI Contract, The Energy Journal (2023) (2023)

2021

3. Bank Credit Risk Events and Peers’ Equity Value
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   See also Journal Article Bank credit risk events and peers' equity value, International Review of Financial Analysis, Elsevier (2021) View citations (1) (2021)
4. The Risk Premia of Energy Futures
   Post-Print, HAL View citations (2)
   See also Journal Article The risk premia of energy futures, Energy Economics, Elsevier (2021) View citations (2) (2021)

2020

5. Fear of Hazards in Commodity Futures Markets
   MPRA Paper, University Library of Munich, Germany View citations (22)
   Also in Post-Print, HAL (2020) View citations (12)
   See also Journal Article Fear of hazards in commodity futures markets, Journal of Banking & Finance, Elsevier (2020) View citations (13) (2020)
6. Speculative Pressure
   Post-Print, HAL View citations (9)
   See also Journal Article Speculative pressure, Journal of Futures Markets, John Wiley & Sons, Ltd. (2020) View citations (12) (2020)

2018

7. The skewness of commodity futures returns
   Post-Print, HAL View citations (72)
   See also Journal Article The skewness of commodity futures returns, Journal of Banking & Finance, Elsevier (2018) View citations (74) (2018)

2016

8. Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices
   MPRA Paper, University Library of Munich, Germany View citations (7)
   See also Journal Article Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2017) View citations (15) (2017)

2014

9. ECB Policy and Eurozone Fragility: Was De Grauwe Right?
   CEPS Papers, Centre for European Policy Studies View citations (3)
   See also Journal Article ECB policy and Eurozone fragility: Was De Grauwe right?, Journal of International Money and Finance, Elsevier (2015) View citations (64) (2015)

2006

10. On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
    See also Journal Article On sovereign credit migration: A study of alternative estimators and rating dynamics, Computational Statistics & Data Analysis, Elsevier (2007) View citations (23) (2007)

2004

11. 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
12. Elements in the Design of an Early Warning System for Sovereign Default
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (2)
13. Forecasting sovereign default using panel models: A comparative analysis
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
14. Market-wide shocks and anomalous price behaviour: evidence from closed-end funds
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group
15. 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 View citations (9)
16. Unobserved Heterogeneity in Panel Time Series Models
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (14)
    See also Journal Article Unobserved heterogeneity in panel time series models, Computational Statistics & Data Analysis, Elsevier (2006) View citations (133) (2006)

2003

17. A New Interpretation of the Exchange Rate - Yield Differential Nexus
    Computing in Economics and Finance 2003, Society for Computational Economics
    See also Journal Article A new interpretation of the exchange rate-yield differential nexus, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2004) (2004)
18. ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

19. 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 View citations (71)
20. An MTAR Test for Stock Market Bubbles
    Computing in Economics and Finance 2002, Society for Computational Economics
21. Exchange Rate Overshooting and the Forward Premium Puzzle
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
22. Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

23. Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach
    Computing in Economics and Finance 2001, Society for Computational Economics
24. Bootstrap LR Tests for Sign and Amplitude Asymmetries
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
25. Small sample properties of panel time-series estimators with I(1) errors
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (34)

2000

26. A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS
    Computing in Economics and Finance 2000, Society for Computational Economics
27. Evaluating The Persistence And Structuralist Theories Of Unemployment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

Journal Articles

2023

1. A Bayesian perspective on commodity style integration
   Journal of Commodity Markets, 2023, 30, (C)
   See also Working Paper A Bayesian Perspective on Commodity Style Integration, MPRA Paper (2023) (2023)
2. The Negative Pricing of the May 2020 WTI Contract
   The Energy Journal, 2023, 44, (1), 119-142
   See also Working Paper The Negative Pricing of the May 2020 WTI Contract, Post-Print (2023) View citations (4) (2023)

2022

3. Risk‐neutral skewness and commodity futures pricing
   Journal of Futures Markets, 2022, 42, (4), 751-785 View citations (1)

2021

4. Bank credit risk events and peers' equity value
   International Review of Financial Analysis, 2021, 75, (C) View citations (1)
   See also Working Paper Bank Credit Risk Events and Peers’ Equity Value, Documentos de Trabajo del ICAE (2021) (2021)
5. The risk premia of energy futures
   Energy Economics, 2021, 102, (C) View citations (2)
   See also Working Paper The Risk Premia of Energy Futures, Post-Print (2021) View citations (2) (2021)

2020

6. Fear of hazards in commodity futures markets
   Journal of Banking & Finance, 2020, 119, (C) View citations (13)
   See also Working Paper Fear of Hazards in Commodity Futures Markets, MPRA Paper (2020) View citations (22) (2020)
7. Speculative pressure
   Journal of Futures Markets, 2020, 40, (4), 575-597 View citations (12)
   See also Working Paper Speculative Pressure, Post-Print (2020) View citations (9) (2020)

2019

8. A comprehensive appraisal of style-integration methods
   Journal of Banking & Finance, 2019, 105, (C), 134-150 View citations (15)
9. Preface to the papers on ‘Credit risk modelling’
   Journal of the Royal Statistical Society Series A, 2019, 182, (4), 1139-1142
10. Uncovered equity “disparity” in emerging markets
    Journal of International Money and Finance, 2019, 98, (C), -

2018

11. On the predictability of emerging market sovereign credit spreads
    Journal of International Money and Finance, 2018, 88, (C), 140-157 View citations (4)
12. The skewness of commodity futures returns
    Journal of Banking & Finance, 2018, 86, (C), 143-158 View citations (74)
    See also Working Paper The skewness of commodity futures returns, Post-Print (2018) View citations (72) (2018)

2017

13. Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
    Review of Finance, 2017, 21, (3), 1159-1188 View citations (12)
14. Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching
    International Journal of Forecasting, 2017, 33, (3), 662-678 View citations (18)
15. Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices
    Journal of the Royal Statistical Society Series A, 2017, 180, (2), 587-612 View citations (15)
    See also Working Paper Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices, MPRA Paper (2016) View citations (7) (2016)
16. In good times and in bad: Bank capital ratios and lending rates
    International Review of Financial Analysis, 2017, 51, (C), 102-112 View citations (9)

2016

17. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
    International Journal of Forecasting, 2016, 32, (3), 695-715 View citations (6)
18. Hot money in bank credit flows to emerging markets during the banking globalization era
    Journal of International Money and Finance, 2016, 60, (C), 29-52 View citations (13)
19. Is idiosyncratic volatility priced in commodity futures markets?
    International Review of Financial Analysis, 2016, 46, (C), 219-226 View citations (12)
20. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
    JRFM, 2016, 9, (3), 1-20 View citations (2)
21. On cross-border bank credit and the U.S. financial crisis transmission to equity markets
    Journal of International Money and Finance, 2016, 69, (C), 108-134 View citations (9)
22. Overnight News and Daily Equity Trading Risk Limits
    Journal of Financial Econometrics, 2016, 14, (3), 525-551 View citations (5)

2015

23. Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility
    Journal of Futures Markets, 2015, 35, (3), 274-297 View citations (33)
24. Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?
    Review of Quantitative Finance and Accounting, 2015, 45, (2), 251-278 View citations (13)
25. ECB policy and Eurozone fragility: Was De Grauwe right?
    Journal of International Money and Finance, 2015, 54, (C), 168-185 View citations (64)
    See also Working Paper ECB Policy and Eurozone Fragility: Was De Grauwe Right?, CEPS Papers (2014) View citations (3) (2014)

2014

26. A behavioral analysis of investor diversification
    The European Journal of Finance, 2014, 20, (6), 499-523 View citations (12)

2013

27. Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
    International Journal of Forecasting, 2013, 29, (1), 28-42 View citations (26)
28. Strategic and Tactical Roles of Enhanced Commodity Indices
    Journal of Futures Markets, 2013, 33, (10), 965-992 View citations (10)

2012

29. Credit Rating Migration Risk and Business Cycles
    Journal of Business Finance & Accounting, 2012, 39, (1-2), 229-263 View citations (28)
30. Exchange rate pass-through into import prices revisited: What drives it?
    Journal of International Money and Finance, 2012, 31, (4), 818-844 View citations (62)

2010

31. How do UK Banks React to Changing Central Bank Rates?
    Journal of Financial Services Research, 2010, 37, (2), 99-130 View citations (16)
32. Tactical allocation in commodity futures markets: Combining momentum and term structure signals
    Journal of Banking & Finance, 2010, 34, (10), 2530-2548 View citations (92)

2009

33. Interest rate transmission in the UK: a comparative analysis across financial firms and products
    International Journal of Finance & Economics, 2009, 14, (1), 45-63 View citations (17)
34. Momentum profits, nonnormality risks and the business cycle
    Applied Financial Economics, 2009, 19, (12), 935-953 View citations (7)
35. On forecasting daily stock volatility: The role of intraday information and market conditions
    International Journal of Forecasting, 2009, 25, (2), 259-281 View citations (43)

2008

36. Sieve bootstrap t-tests on long-run average parameters
    Computational Statistics & Data Analysis, 2008, 52, (7), 3354-3370 View citations (9)

2007

37. On sovereign credit migration: A study of alternative estimators and rating dynamics
    Computational Statistics & Data Analysis, 2007, 51, (7), 3448-3469 View citations (23)
    See also Working Paper On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics, Computing in Economics and Finance 2006 (2006) View citations (1) (2006)
38. Optimal design of early warning systems for sovereign debt crises
    International Journal of Forecasting, 2007, 23, (1), 85-100 View citations (37)

2006

39. Early warning systems for sovereign debt crises: The role of heterogeneity
    Computational Statistics & Data Analysis, 2006, 51, (2), 1420-1441 View citations (44)
40. Large market shocks and abnormal closed-end-fund price behaviour
    Journal of Banking & Finance, 2006, 30, (9), 2517-2535 View citations (13)
41. Testing for sign and amplitude asymmetries using threshold autoregressions
    Journal of Economic Dynamics and Control, 2006, 30, (4), 623-654 View citations (1)
42. Unobserved heterogeneity in panel time series models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2361-2380 View citations (133)
    See also Working Paper Unobserved Heterogeneity in Panel Time Series Models, Birkbeck Working Papers in Economics and Finance (2004) View citations (14) (2004)
43. Valuation ratios and price deviations from fundamentals
    Journal of Banking & Finance, 2006, 30, (8), 2325-2346 View citations (36)

2005

44. A guided tour of TSMod 4.03
    Journal of Applied Econometrics, 2005, 20, (5), 691-698 View citations (4)
45. Purchasing power parity and the theory of general relativity: the first tests
    Journal of International Money and Finance, 2005, 24, (2), 293-316 View citations (51)

2004

46. A new interpretation of the exchange rate-yield differential nexus
    International Journal of Finance & Economics, 2004, 9, (3), 201-218
    See also Working Paper A New Interpretation of the Exchange Rate - Yield Differential Nexus, Computing in Economics and Finance 2003 (2003) (2003)
47. Is the Feldstein–Horioka Puzzle History?
    Manchester School, 2004, 72, (5), 569-590 View citations (80)

2003

48. Numerical issues in threshold autoregressive modeling of time series
    Journal of Economic Dynamics and Control, 2003, 27, (11), 2219-2242 View citations (26)
    Also in Journal of Economic Dynamics and Control, 2003, 27, (11-12), 2219-2242 (2003) View citations (25)

2002

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

2001

50. A Non‐Linear Analysis of Excess Foreign Exchange Returns
    Manchester School, 2001, 69, (6), 623-642 View citations (9)
51. Border costs and real exchange rate dynamics in Europe
    Journal of Policy Modeling, 2001, 23, (6), 669-676 View citations (11)
52. Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 25 View citations (19)
53. Nonparametric cointegration analysis of real exchange rates
    Applied Financial Economics, 2001, 11, (1), 1-8 View citations (24)

2000

54. Is There a Base Currency Effect in Long-Run PPP?
    International Journal of Finance & Economics, 2000, 5, (4), 253-63 View citations (14)
55. Short‐run Real Exchange Rate Dynamics
    Manchester School, 2000, 68, (4), 461-475

1997

56. New panel unit root tests of PPP
    Economics Letters, 1997, 57, (1), 17-22 View citations (68)