Details about Mico Loretan

Access statistics for papers by Mico Loretan.

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Short-id: plo360

Working Papers

2015

1. Private information, capital flows, and exchange rates
   Working Papers, Swiss National Bank View citations (2)
   Also in IMF Working Papers, International Monetary Fund (2012) View citations (4)
   See also Journal Article Private information, capital flows, and exchange rates, Journal of International Money and Finance, Elsevier (2018) View citations (10) (2018)

2012

2. Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand
   IMF Working Papers, International Monetary Fund View citations (1)

2009

3. 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 View citations (11)
4. International portfolio rebalancing and exchange rate fluctuations in Thailand
   BIS Working Papers, Bank for International Settlements View citations (15)
5. Private information, stock markets, and exchange rates
   Working Papers, Monetary Policy Group, Bank of Thailand View citations (11)
   Also in BIS Working Papers, Bank for International Settlements (2009) View citations (11)
   See also Chapter Private information, stock markets, and exchange rates, BIS Papers chapters, Bank for International Settlements (2010) View citations (2) (2010)

2008

6. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
   BIS Working Papers, Bank for International Settlements View citations (6)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (2)
   See also Journal Article Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, Journal of Empirical Finance, Elsevier (2010) View citations (12) (2010)

2007

7. 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.) View citations (1)
8. A note on the coefficient of determination in regression models with infinite-variance variables
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (4)

2000

9. Evaluating \"correlation breakdowns\" during periods of market volatility
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (74)

1997

10. Pitfalls in tests for changes in correlations
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (88)

1992

11. 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 (2)
    See also Journal Article Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets, Journal of Empirical Finance, Elsevier (1994) View citations (176) (1994)

1990

12. 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 View citations (9)

1989

13. Estimating Long Run Economic Equilibria
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (67)
    See also Journal Article Estimating Long-run Economic Equilibria, The Review of Economic Studies, Review of Economic Studies Ltd (1991) View citations (416) (1991)
14. The Durbin-Watson Ratio Under Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article The Durbin-Watson ratio under infinite-variance errors, Journal of Econometrics, Elsevier (1991) View citations (6) (1991)

Journal Articles

2018

1. Private information, capital flows, and exchange rates
   Journal of International Money and Finance, 2018, 81, (C), 40-55 View citations (10)
   See also Working Paper Private information, capital flows, and exchange rates, Working Papers (2015) View citations (2) (2015)

2014

2. Exchange rate fluctuations and international portfolio rebalancing
   Emerging Markets Review, 2014, 18, (C), 34-44 View citations (12)
3. On the properties of the coefficient of determination in regression models with infinite variance variables
   Journal of Econometrics, 2014, 181, (1), 15-24 View citations (2)

2013

4. Rate-optimal tests for jumps in diffusion processes
   Statistical Papers, 2013, 54, (4), 1009-1041 View citations (2)

2010

5. 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 View citations (21)
   See also Chapter Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market, BIS Papers chapters, 2010, 52, 318-339 (2010) View citations (25) (2010)
6. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
   Journal of Empirical Finance, 2010, 17, (2), 212-240 View citations (12)
   See also Working Paper Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, BIS Working Papers (2008) View citations (6) (2008)

2008

7. The development of money markets in Asia
   BIS Quarterly Review, 2008 View citations (4)

2005

8. Indexes of the foreign exchange value of the dollar
   Federal Reserve Bulletin, 2005, 91, (Win), 1-8 View citations (46)

2000

9. Evaluating changes in correlations during periods of high market volatility
   BIS Quarterly Review, 2000, 29-36 View citations (20)

1996

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

1995

11. Systemic risk in a model economy with a stylized banking system
    Proceedings, 1995, 433-456 View citations (2)

1994

12. 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 View citations (176)
    See also Working Paper Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets, Working papers (1992) View citations (2) (1992)

1991

13. Estimating Long-run Economic Equilibria
    The Review of Economic Studies, 1991, 58, (3), 407-436 View citations (416)
    See also Working Paper Estimating Long Run Economic Equilibria, Cowles Foundation Discussion Papers (1989) View citations (67) (1989)
14. The Durbin-Watson ratio under infinite-variance errors
    Journal of Econometrics, 1991, 47, (1), 85-114 View citations (6)
    See also Working Paper The Durbin-Watson Ratio Under Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) (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 View citations (25)
   See also Journal Article Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market, Elsevier (2010) View citations (21) (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 View citations (2)
   See also Working Paper Private information, stock markets, and exchange rates, Monetary Policy Group, Bank of Thailand (2009) View citations (11) (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 View citations (30)