Details about Mark Salmon

Access statistics for papers by Mark Salmon.

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Short-id: psa111

Working Papers

2021

1. Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly
   Post-Print, HAL View citations (17)
   See also Journal Article Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly, Journal of International Money and Finance, Elsevier (2021) View citations (18) (2021)

2007

2. Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index
   Bank of England working papers, Bank of England View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (7)
   Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (8)

2005

3. Performance Measurement with Loss Aversion
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article Performance measurement with loss aversion, Journal of Asset Management, Palgrave Macmillan (2006) View citations (5) (2006)

2004

4. Market Stress and Herding
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (246)
   See also Journal Article Market stress and herding, Journal of Empirical Finance, Elsevier (2004) View citations (220) (2004)

1995

5. On the Evolution of Credibility and Flexible Exchange Rate Target Zones
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

1990

6. When Does Coordination Pay?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1989)
   Economic Research Papers, University of Warwick - Department of Economics (1989)
   See also Journal Article When does coordination pay?, Journal of Economic Dynamics and Control, Elsevier (1990) View citations (6) (1990)

1989

7. Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in Economic Research Papers, University of Warwick - Department of Economics (1987)
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1987) View citations (2)
   See also Journal Article Credibility and the value of information transmission in a model of monetary policy and inflation, Journal of Economic Dynamics and Control, Elsevier (1990) View citations (12) (1990)

1988

8. ERROR CORRECTION MODELS, CO-INTEGRATION AND THE INTERNAL MODEL PRINCIPLE
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1988) View citations (2)

1986

9. Error correction modeler. co-integration and the internal model principle
   Economic Research Papers, University of Warwick - Department of Economics View citations (1)

1985

10. On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1986) View citations (12) (1986)

1984

11. Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1983) View citations (11)
    Economic Research Papers, University of Warwick - Department of Economics (1983) View citations (7)
    See also Journal Article Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies, Economic Journal, Royal Economic Society (1985) View citations (50) (1985)

1982

12. ERROR CORRECTION MECHANISMS
    Economic Research Papers, University of Warwick - Department of Economics View citations (51)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1982) View citations (54)
    See also Journal Article Error Correction Mechanisms, Economic Journal, Royal Economic Society (1982) View citations (54) (1982)
13. TESTING NORMALITY IN ECONOMETRIC MODELS
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1982) View citations (1)
    See also Journal Article Testing normality in econometric models, Economics Letters, Elsevier (1983) View citations (50) (1983)

1980

14. MODEL VALIDATION AND FORECAST COMPARISONS: THEORETICAL AND PRACTICAL CONSIDERATIONS
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1980) View citations (2)

Journal Articles

2021

1. Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly
   Journal of International Money and Finance, 2021, 111, (C) View citations (18)
   See also Working Paper Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly, Post-Print (2021) View citations (17) (2021)

2012

2. The information content of a limit order book: The case of an FX market
   Journal of Financial Markets, 2012, 15, (1), 1-28 View citations (18)

2009

3. Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
   The European Journal of Finance, 2009, 15, (7-8), 721-750 View citations (50)
4. Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
   Journal of Economic Dynamics and Control, 2009, 33, (5), 1106-1122 View citations (13)

2006

5. Performance measurement with loss aversion
   Journal of Asset Management, 2006, 7, (3), 190-207 View citations (5)
   See also Working Paper Performance Measurement with Loss Aversion, CEPR Discussion Papers (2005) View citations (1) (2005)

2004

6. Market stress and herding
   Journal of Empirical Finance, 2004, 11, (4), 585-616 View citations (220)
   See also Working Paper Market Stress and Herding, CEPR Discussion Papers (2004) View citations (246) (2004)

2002

7. ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
   Macroeconomic Dynamics, 2002, 6, (1), 167-185 View citations (17)

1998

8. Representations of I(2) cointegrated systems using the Smith-McMillan form
   Journal of Econometrics, 1998, 84, (2), 303-325 View citations (7)

1996

9. On the Differential Geometry of the Wald Test with Nonlinear Restrictions
   Econometrica, 1996, 64, (5), 1213-22 View citations (12)

1990

10. Credibility and the value of information transmission in a model of monetary policy and inflation
    Journal of Economic Dynamics and Control, 1990, 14, (1), 97-116 View citations (12)
    See also Working Paper Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation, CEPR Discussion Papers (1989) View citations (6) (1989)
11. When does coordination pay?
    Journal of Economic Dynamics and Control, 1990, 14, (3-4), 553-569 View citations (6)
    See also Working Paper When Does Coordination Pay?, CEPR Discussion Papers (1990) View citations (6) (1990)

1988

12. Error correction models, cointegration and the internal model principle
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 523-549 View citations (4)

1986

13. On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models
    International Economic Review, 1986, 27, (3), 625-46 View citations (12)
    See also Working Paper On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models, CEPR Discussion Papers (1985) View citations (1) (1985)
14. The principle of effective demand revisited
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 231-237

1985

15. Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies
    Economic Journal, 1985, 95, (380a), 124-37 View citations (50)
    See also Working Paper Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies, CEPR Discussion Papers (1984) (1984)

1983

16. Testing normality in econometric models
    Economics Letters, 1983, 11, (1-2), 123-127 View citations (50)
    See also Working Paper TESTING NORMALITY IN ECONOMETRIC MODELS, Economic Research Papers (1982) (1982)

1982

17. Error Correction Mechanisms
    Economic Journal, 1982, 92, (367), 615-29 View citations (54)
    See also Working Paper ERROR CORRECTION MECHANISMS, Economic Research Papers (1982) View citations (51) (1982)

Books

1997

1. Nonlinear Dynamics and Economics
   Cambridge Books, Cambridge University Press View citations (19)

Edited books

2011

1. Applications of Differential Geometry to Econometrics
   Cambridge Books, Cambridge University Press

2000

2. Applications of Differential Geometry to Econometrics
   Cambridge Books, Cambridge University Press View citations (22)

Chapters

1985

1. Policy Coordination and Dynamic Games
   A chapter in International Economic Policy Coordination, 1985, pp 184-227 View citations (41)

1979

2. Control Methods and Quantitative Economic Policy
   Palgrave Macmillan