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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 (2)
    See also Journal Article Private information, capital flows, and exchange rates, Journal of International Money and Finance, Elsevier (2018) Downloads View citations (10) (2018)

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

    See also Chapter Private information, stock markets, and exchange rates, BIS Papers chapters, Bank for International Settlements (2010) Downloads View citations (2) (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 (6)
    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 Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, Journal of Empirical Finance, Elsevier (2010) Downloads View citations (12) (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 (72)

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 (90)

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 (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) Downloads View citations (173) (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 (9)

1989

  1. Estimating Long Run Economic Equilibria
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (67)
    See also Journal Article Estimating Long-run Economic Equilibria, The Review of Economic Studies, Review of Economic Studies Ltd (1991) Downloads View citations (415) (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 The Durbin-Watson ratio under infinite-variance errors, Journal of Econometrics, Elsevier (1991) Downloads 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 Downloads View citations (10)
    See also Working Paper Private information, capital flows, and exchange rates, Working Papers (2015) Downloads View citations (2) (2015)

2014

  1. Exchange rate fluctuations and international portfolio rebalancing
    Emerging Markets Review, 2014, 18, (C), 34-44 Downloads View citations (11)
  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 (2)

2013

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

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 (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) Downloads View citations (25) (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 (12)
    See also Working Paper Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, BIS Working Papers (2008) Downloads View citations (6) (2008)

2008

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

2005

  1. Indexes of the foreign exchange value of the dollar
    Federal Reserve Bulletin, 2005, 91, (Win), 1-8 Downloads View citations (45)

2000

  1. Evaluating changes in correlations during periods of high market volatility
    BIS Quarterly Review, 2000, 29-36 Downloads View citations (19)

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 (2)

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 (173)
    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

  1. Estimating Long-run Economic Equilibria
    The Review of Economic Studies, 1991, 58, (3), 407-436 Downloads View citations (415)
    See also Working Paper Estimating Long Run Economic Equilibria, Cowles Foundation Discussion Papers (1989) Downloads View citations (67) (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 The Durbin-Watson Ratio Under Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) Downloads (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 (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) Downloads 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 Downloads View citations (2)
    See also Working Paper Private information, stock markets, and exchange rates, Monetary Policy Group, Bank of Thailand (2009) Downloads 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 Downloads View citations (29)
 
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