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Details about Ana-Maria Fuertes

E-mail:
Homepage:http://www.cass.city.ac.uk/experts/A.fuertes/
Phone:+44(0)20 7040 0186
Postal address:Cass Business School Faculty of Finance 106 Bunhill Row London EC1Y 8TZ
Workplace:Faculty of Finance, Cass Business School, City University, (more information at EDIRC)

Access statistics for papers by Ana-Maria Fuertes.

Last updated 2019-01-21. Update your information in the RePEc Author Service.

Short-id: pfu3


Jump to Journal Articles

Working Papers

2018

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

2016

  1. Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of the Royal Statistical Society Series A (2017)

2014

  1. ECB Policy and Eurozone Fragility: Was De Grauwe Right?
    CEPS Papers, Centre for European Policy Studies Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2015)

2006

  1. On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2007)

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. 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)
  3. Forecasting sovereign default using panel models: A comparative analysis
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
  4. 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 Downloads
  5. 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)
  6. Unobserved Heterogeneity in Panel Time Series Models
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (12)
    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)
  2. ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS
    Computing in Economics and Finance 2003, Society for Computational Economics

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 (50)
  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. Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models
    Computing in Economics and Finance 2002, Society for Computational Economics
  5. 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 (5)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (23)

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 (6)

Journal Articles

2018

  1. On the predictability of emerging market sovereign credit spreads
    Journal of International Money and Finance, 2018, 88, (C), 140-157 Downloads
  2. The skewness of commodity futures returns
    Journal of Banking & Finance, 2018, 86, (C), 143-158 Downloads View citations (8)
    See also Working Paper (2018)

2017

  1. Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
    Review of Finance, 2017, 21, (3), 1159-1188 Downloads
  2. Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching
    International Journal of Forecasting, 2017, 33, (3), 662-678 Downloads View citations (1)
  3. 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 Downloads View citations (3)
    See also Working Paper (2016)
  4. In good times and in bad: Bank capital ratios and lending rates
    International Review of Financial Analysis, 2017, 51, (C), 102-112 Downloads

2016

  1. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
    International Journal of Forecasting, 2016, 32, (3), 695-715 Downloads View citations (2)
  2. 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 Downloads View citations (3)
  3. Is idiosyncratic volatility priced in commodity futures markets?
    International Review of Financial Analysis, 2016, 46, (C), 219-226 Downloads View citations (4)
  4. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
    Journal of Risk and Financial Management, 2016, 9, (3), 1-20 Downloads View citations (1)
  5. 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 Downloads View citations (2)
  6. Overnight News and Daily Equity Trading Risk Limits
    Journal of Financial Econometrics, 2016, 14, (3), 525-551 Downloads

2015

  1. Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility
    Journal of Futures Markets, 2015, 35, (3), 274-297 Downloads View citations (11)
  2. Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?
    Review of Quantitative Finance and Accounting, 2015, 45, (2), 251-278 Downloads View citations (4)
  3. ECB policy and Eurozone fragility: Was De Grauwe right?
    Journal of International Money and Finance, 2015, 54, (C), 168-185 Downloads View citations (23)
    See also Working Paper (2014)

2014

  1. A behavioral analysis of investor diversification
    The European Journal of Finance, 2014, 20, (6), 499-523 Downloads View citations (1)

2013

  1. Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
    International Journal of Forecasting, 2013, 29, (1), 28-42 Downloads View citations (11)
  2. Strategic and Tactical Roles of Enhanced Commodity Indices
    Journal of Futures Markets, 2013, 33, (10), 965-992 View citations (8)

2012

  1. Credit Rating Migration Risk and Business Cycles
    Journal of Business Finance & Accounting, 2012, 39, (1-2), 229-263 Downloads View citations (12)
  2. Exchange rate pass-through into import prices revisited: What drives it?
    Journal of International Money and Finance, 2012, 31, (4), 818-844 Downloads View citations (39)

2010

  1. How do UK Banks React to Changing Central Bank Rates?
    Journal of Financial Services Research, 2010, 37, (2), 99-130 Downloads View citations (9)
  2. Tactical allocation in commodity futures markets: Combining momentum and term structure signals
    Journal of Banking & Finance, 2010, 34, (10), 2530-2548 Downloads View citations (44)

2009

  1. Interest rate transmission in the UK: a comparative analysis across financial firms and products
    International Journal of Finance & Economics, 2009, 14, (1), 45-63 Downloads View citations (15)
  2. Momentum profits, nonnormality risks and the business cycle
    Applied Financial Economics, 2009, 19, (12), 935-953 Downloads View citations (1)
  3. On forecasting daily stock volatility: The role of intraday information and market conditions
    International Journal of Forecasting, 2009, 25, (2), 259-281 Downloads View citations (24)

2008

  1. Sieve bootstrap t-tests on long-run average parameters
    Computational Statistics & Data Analysis, 2008, 52, (7), 3354-3370 Downloads View citations (6)

2007

  1. On sovereign credit migration: A study of alternative estimators and rating dynamics
    Computational Statistics & Data Analysis, 2007, 51, (7), 3448-3469 Downloads View citations (17)
    See also Working Paper (2006)
  2. Optimal design of early warning systems for sovereign debt crises
    International Journal of Forecasting, 2007, 23, (1), 85-100 Downloads View citations (18)

2006

  1. Early warning systems for sovereign debt crises: The role of heterogeneity
    Computational Statistics & Data Analysis, 2006, 51, (2), 1420-1441 Downloads View citations (20)
  2. Large market shocks and abnormal closed-end-fund price behaviour
    Journal of Banking & Finance, 2006, 30, (9), 2517-2535 Downloads View citations (10)
  3. Testing for sign and amplitude asymmetries using threshold autoregressions
    Journal of Economic Dynamics and Control, 2006, 30, (4), 623-654 Downloads View citations (1)
  4. Unobserved heterogeneity in panel time series models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2361-2380 Downloads View citations (99)
    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. A guided tour of TSMod 4.03
    Journal of Applied Econometrics, 2005, 20, (5), 691-698 Downloads View citations (4)
  2. 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 (45)

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 (62)

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 (21)
    Also in Journal of Economic Dynamics and Control, 2003, 27, (11), 2219-2242 (2003) Downloads View citations (21)

    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 (11)

2001

  1. A Non-linear Analysis of Excess Foreign Exchange Returns
    Manchester School, 2001, 69, (6), 623-42 Downloads View citations (11)
  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 (9)
  4. Nonparametric cointegration analysis of real exchange rates
    Applied Financial Economics, 2001, 11, (1), 1-8 Downloads View citations (23)

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)

1997

  1. New panel unit root tests of PPP
    Economics Letters, 1997, 57, (1), 17-22 Downloads View citations (61)
 
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