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Details about Mico Loretan

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Workplace:Schweizerische Nationalbank (SNB) (Swiss National Bank), (more information at EDIRC)

Access statistics for papers by Mico Loretan.

Last updated 2019-01-24. Update your information in the RePEc Author Service.

Short-id: plo360


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Working Papers

2015

  1. Private information, capital flows, and exchange rates
    Working Papers, Swiss National Bank Downloads View citations (1)
    Also in IMF Working Papers, International Monetary Fund (2012) Downloads View citations (1)

    See also Journal Article in Journal of International Money and Finance (2018)

2012

  1. Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand
    IMF Working Papers, International Monetary Fund Downloads

2009

  1. Contagion and Risk in the Amplification of Crisis: Evidence from Asian Names in the CDS Market
    EABER Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
  2. International portfolio rebalancing and exchange rate fluctuations in Thailand
    BIS Working Papers, Bank for International Settlements Downloads View citations (11)
  3. Private information, stock markets, and exchange rates
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)
    Also in Working Papers, Monetary Policy Group, Bank of Thailand (2009) Downloads View citations (5)

    See also Chapter (2010)

2008

  1. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    BIS Working Papers, Bank for International Settlements Downloads View citations (5)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2010)

2007

  1. A note on the coefficient of determination in models with infinite variance variables
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. A note on the coefficient of determination in regression models with infinite-variance variables
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (4)

2000

  1. Evaluating \\"correlation breakdowns\\" during periods of market volatility
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (58)

1997

  1. Pitfalls in tests for changes in correlations
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (82)

1992

  1. Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets
    Working papers, Wisconsin Madison - Social Systems View citations (1)
    See also Journal Article in Journal of Empirical Finance (1994)

1990

  1. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)

1989

  1. Estimating Long Run Economic Equilibria
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (65)
    See also Journal Article in Review of Economic Studies (1991)
  2. The Durbin-Watson Ratio Under Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1991)

Journal Articles

2018

  1. Private information, capital flows, and exchange rates
    Journal of International Money and Finance, 2018, 81, (C), 40-55 Downloads View citations (2)
    See also Working Paper (2015)

2014

  1. Exchange rate fluctuations and international portfolio rebalancing
    Emerging Markets Review, 2014, 18, (C), 34-44 Downloads View citations (6)
  2. On the properties of the coefficient of determination in regression models with infinite variance variables
    Journal of Econometrics, 2014, 181, (1), 15-24 Downloads View citations (1)

2013

  1. Rate-optimal tests for jumps in diffusion processes
    Statistical Papers, 2013, 54, (4), 1009-1041 Downloads View citations (1)

2010

  1. Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market
    Journal of Asian Economics, 2010, 21, (3), 314-326 Downloads View citations (17)
    See also Chapter (2010)
  2. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    Journal of Empirical Finance, 2010, 17, (2), 212-240 Downloads View citations (6)
    See also Working Paper (2008)

2008

  1. The development of money markets in Asia
    BIS Quarterly Review, 2008 Downloads View citations (3)

2005

  1. Indexes of the foreign exchange value of the dollar
    Federal Reserve Bulletin, 2005, (Win), 1-8 Downloads View citations (39)

2000

  1. Evaluating changes in correlations during periods of high market volatility
    BIS Quarterly Review, 2000, 29-36 Downloads View citations (2)

1996

  1. Economic models of systemic risk in financial systems
    The North American Journal of Economics and Finance, 1996, 7, (2), 147-152 Downloads View citations (3)

1995

  1. Systemic risk in a model economy with a stylized banking system
    Proceedings, 1995, 433-456 View citations (1)

1994

  1. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
    Journal of Empirical Finance, 1994, 1, (2), 211-248 Downloads View citations (138)
    See also Working Paper (1992)

1991

  1. Estimating Long-run Economic Equilibria
    Review of Economic Studies, 1991, 58, (3), 407-436 Downloads View citations (298)
    See also Working Paper (1989)
  2. The Durbin-Watson ratio under infinite-variance errors
    Journal of Econometrics, 1991, 47, (1), 85-114 Downloads View citations (6)
    See also Working Paper (1989)

Chapters

2010

  1. Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market
    A chapter in The international financial crisis and policy challenges in Asia and the Pacific, 2010, vol. 52, pp 318-339 Downloads View citations (21)
    See also Journal Article in Journal of Asian Economics (2010)
  2. Private information, stock markets, and exchange rates
    A chapter in The international financial crisis and policy challenges in Asia and the Pacific, 2010, vol. 52, pp 186-210 Downloads
    See also Working Paper (2009)
  3. The international financial crisis: timeline, impact and policy responses in Asia and the Pacific
    A chapter in The international financial crisis and policy challenges in Asia and the Pacific, 2010, vol. 52, pp 21-82 Downloads View citations (18)
 
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