Details about Remzi Uctum

Access statistics for papers by Remzi Uctum.

Last updated 2023-05-14. Update your information in the RePEc Author Service.

Short-id: puc7

Working Papers

2021

1. Modeling ex-ante risk premia in the oil market
   Post-Print, HAL
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2021)
   Post-Print, HAL (2021)
   Working Papers, HAL (2021)
2. Term structure of interest rates: modelling the risk premium using a two horizons framework
   Post-Print, HAL
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2018)
   Post-Print, HAL (2018)
   Post-Print, HAL (2018)
   See also Journal Article Term structure of interest rates: Modelling the risk premium using a two horizons framework, Journal of Economic Behavior & Organization, Elsevier (2021) (2021)
3. The European growth synchronization through crises and structural changes
   Post-Print, HAL
   See also Journal Article The European growth synchronization through crises and structural changes, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) (2021)

2020

4. Macroeconomic expectations and time varying heterogeneity: Evidence from individual survey data
   Post-Print, HAL View citations (3)
   See also Journal Article Macroeconomic expectations and time varying heterogeneity:evidence from individual survey data, Applied Economics, Taylor & Francis Journals (2020) View citations (2) (2020)

2018

5. Do markets learn to rationally expect US interest rates? An anchoring approach
   Post-Print, HAL View citations (2)
   See also Journal Article Do markets learn to rationally expect US interest rates? An anchoring approach, Applied Economics, Taylor & Francis Journals (2018) View citations (3) (2018)

2017

6. Do markets learn to rationally expect US interest rates? Evidence from survey data
   Post-Print, HAL View citations (1)
   Also in Post-Print, HAL (2016)
   Post-Print, HAL (2016)
   EconomiX Working Papers, University of Paris Nanterre, EconomiX (2016)
7. Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data
   Post-Print, HAL View citations (1)
   Also in Post-Print, HAL (2014)
   Post-Print, HAL (2014)
   Erudite Working Paper, Erudite (2013) View citations (4)
   EconomiX Working Papers, University of Paris Nanterre, EconomiX (2013) View citations (4)
   Working Papers, Department of Research, Ipag Business School (2013) View citations (5)
   See also Journal Article Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data, Review of Financial Economics, John Wiley & Sons (2017) (2017)
8. The Eurozone Convergence through Crises and Structural Changes
   EconomiX Working Papers, University of Paris Nanterre, EconomiX
   Also in Post-Print, HAL (2017)

2016

9. Convergence of wages and their macroeconomic determinants in the Euro area
   Post-Print, HAL
   Also in Post-Print, HAL (2016)
10. Jumps in equilibrium prices and asymmetric news in foreign exchange markets
    Post-Print, HAL View citations (9)
    Also in Post-Print, HAL (2015)
    Post-Print, HAL (2015)
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2015)
    See also Journal Article Jumps in equilibrium prices and asymmetric news in foreign exchange markets, Economic Modelling, Elsevier (2016) View citations (10) (2016)

2015

11. Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data
    Post-Print, HAL View citations (9)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2014) View citations (10)
    Post-Print, HAL (2014) View citations (6)
    Post-Print, HAL (2014) View citations (6)
    Working Papers, Department of Research, Ipag Business School (2014) View citations (8)
    Post-Print, HAL (2014) View citations (6)
    Post-Print, HAL (2014) View citations (6)
    See also Journal Article Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data, Applied Economics, Taylor & Francis Journals (2015) View citations (10) (2015)

2013

12. Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: evidence from survey data
    Post-Print, HAL View citations (9)
    Also in Post-Print, HAL (2012)
    See also Journal Article Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (10) (2013)

2012

13. Modeling the horizon-dependent risk premium in the forex market: evidence from survey data
    EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (4)

2010

14. Anticipations, prime de risque et structure par terme des taux d’intérêt: une analyse des comportements d’experts
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (3)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2006) View citations (1)
    Post-Print, HAL (2007)
    See also Journal Article Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts, Recherches économiques de Louvain, De Boeck Université (2010) View citations (3) (2010)
15. Impact des chocs évènementiels sur la volatilité intra-journalière des rentabilités boursières: une approche sur données individuelles
    Post-Print, HAL

2009

16. Modelling oil price expectations: evidence from survey data
    EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (5)
    See also Journal Article Modelling oil price expectations: Evidence from survey data, The Quarterly Review of Economics and Finance, Elsevier (2011) View citations (16) (2011)

2008

17. The dynamics of ex-ante risk premia in the foreign exchange market: Evidence from the yen/usd exchange rate Using survey data
    EconomiX Working Papers, University of Paris Nanterre, EconomiX
    Also in Post-Print, HAL (2007)

2007

18. Econométrie des modèles à changements de régimes: un essai de synthèse
    Post-Print, HAL View citations (3)
    See also Journal Article Économétrie des modèles à changement de régimes: un essai de synthèse, L'Actualité Economique, Société Canadienne de Science Economique (2007) View citations (2) (2007)
19. Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data
    Post-Print, HAL View citations (18)
    See also Journal Article Switching between Expectation Processes in the Foreign Exchange Market: a Probabilistic Approach using Survey Data*, Review of International Economics, Wiley Blackwell (2007) View citations (18) (2007)

2006

20. Economically rational expectations theory: evidence from the WTI oil price survey data
    Post-Print, HAL View citations (2)
21. Public debt, the unit root hypothesis and structural breaks: a multi-country analysis
    Post-Print, HAL View citations (40)
    See also Journal Article Public Debt, the Unit Root Hypothesis and Structural Breaks: A Multi‐Country Analysis, Economica, London School of Economics and Political Science (2006) View citations (41) (2006)

2005

22. Portfolio Flows, Foreign Direct Investment, Crises
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (7)

2000

23. The evidence of a mixed expectation generating process in the foreign exchange market
    Post-Print, HAL View citations (13)
24. Théorie et économétrie du déséquilibre en économie ouverte
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (1995) View citations (1)

1998

25. Does the expectation generating process change over time ? A probabilistic choice approach applied to the foreign exchange market
    Post-Print, HAL
26. Econométrie des modèles à changements de régimes
    Post-Print, HAL
27. How are oil price expectations formed ? Evidence from survey data
    Post-Print, HAL

1996

28. Changements dans les processus anticipatifs: quelle approche économétrique ?
    Post-Print, HAL
29. FF/$ exchange rate expectations formation: do the expectational processes change over time ?
    Post-Print, HAL
30. Formation des anticipations de change: l'hypothèse d'un processus mixte
    Post-Print, HAL
    Also in Post-Print, HAL (1994)
    See also Journal Article Formation des anticipations de change: l'hypothèse d'un processus mixte, Économie et Prévision, Programme National Persée (1996) View citations (3) (1996)

1995

31. Analysis of the endogenous changes in the expectational processes: the case of exchange rate expectations
    Post-Print, HAL
32. Formation des anticipations de change FF/$: analyse de l’hypothèse de changements dans les processus au cours du temps
    Post-Print, HAL

1991

33. Difficultés liées aux estimations des modèles économétriques de déséquilibre avec rationnements stochastiques
    Post-Print, HAL
34. Développements récents des modèles économétriques de déséquilibre et méthodes d’estimation
    Post-Print, HAL

1990

35. A disequilibrium model for the French industrial sector: methods and evidence
    Post-Print, HAL
36. Difficultés liées aux estimations économétriques de déséquilibre à spécifications stochastiques
    Post-Print, HAL

1989

37. Estimation of disequilibrium models with stochastic trade-offers
    Post-Print, HAL
38. Portée de la politique des changes dans une économie en déséquilibre
    Post-Print, HAL

Journal Articles

2021

1. Term structure of interest rates: Modelling the risk premium using a two horizons framework
   Journal of Economic Behavior & Organization, 2021, 182, (C), 421-436
   See also Working Paper Term structure of interest rates: modelling the risk premium using a two horizons framework, Post-Print (2021) (2021)
2. The European growth synchronization through crises and structural changes
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (1), 17
   See also Working Paper The European growth synchronization through crises and structural changes, Post-Print (2021) (2021)

2020

3. Macroeconomic expectations and time varying heterogeneity:evidence from individual survey data
   Applied Economics, 2020, 52, (23), 2443-2459 View citations (2)
   See also Working Paper Macroeconomic expectations and time varying heterogeneity: Evidence from individual survey data, Post-Print (2020) View citations (3) (2020)

2018

4. Do markets learn to rationally expect US interest rates? An anchoring approach
   Applied Economics, 2018, 50, (59), 6458-6480 View citations (3)
   See also Working Paper Do markets learn to rationally expect US interest rates? An anchoring approach, Post-Print (2018) View citations (2) (2018)

2017

5. Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data
   Review of Financial Economics, 2017, 35, (1), 43-56
   Also in Review of Financial Economics, 2017, 35, (C), 43-56 (2017) View citations (1)
   See also Working Paper Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data, Post-Print (2017) View citations (1) (2017)

2016

6. Jumps in equilibrium prices and asymmetric news in foreign exchange markets
   Economic Modelling, 2016, 54, (C), 218-234 View citations (10)
   See also Working Paper Jumps in equilibrium prices and asymmetric news in foreign exchange markets, Post-Print (2016) View citations (9) (2016)

2015

7. Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data
   Applied Economics, 2015, 47, (34-35), 3673-3695 View citations (10)
   See also Working Paper Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data, Post-Print (2015) View citations (9) (2015)

2013

8. Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data
   Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 33-54 View citations (10)
   See also Working Paper Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: evidence from survey data, Post-Print (2013) View citations (9) (2013)

2011

9. Crises, portfolio flows, and foreign direct investment: An application to Turkey
   Economic Systems, 2011, 35, (4), 462-480 View citations (9)
10. Modelling oil price expectations: Evidence from survey data
    The Quarterly Review of Economics and Finance, 2011, 51, (3), 236-247 View citations (16)
    See also Working Paper Modelling oil price expectations: evidence from survey data, EconomiX Working Papers (2009) View citations (5) (2009)

2010

11. Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts
    Recherches économiques de Louvain, 2010, 76, (2), 195-217 View citations (3)
    See also Working Paper Anticipations, prime de risque et structure par terme des taux d’intérêt: une analyse des comportements d’experts, Discussion Papers (REL - Recherches Economiques de Louvain) (2010) View citations (3) (2010)

2007

12. Switching between Expectation Processes in the Foreign Exchange Market: a Probabilistic Approach using Survey Data*
    Review of International Economics, 2007, 15, (4), 700-719 View citations (18)
    See also Working Paper Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data, Post-Print (2007) View citations (18) (2007)
13. Économétrie des modèles à changement de régimes: un essai de synthèse
    L'Actualité Economique, 2007, 83, (4), 447-482 View citations (2)
    See also Working Paper Econométrie des modèles à changements de régimes: un essai de synthèse, Post-Print (2007) View citations (3) (2007)

2006

14. Public Debt, the Unit Root Hypothesis and Structural Breaks: A Multi‐Country Analysis
    Economica, 2006, 73, (289), 129-156 View citations (41)
    See also Working Paper Public debt, the unit root hypothesis and structural breaks: a multi-country analysis, Post-Print (2006) View citations (40) (2006)

1996

15. Formation des anticipations de change: l'hypothèse d'un processus mixte
    Économie et Prévision, 1996, 125, (4), 117-135 View citations (3)
    See also Working Paper Formation des anticipations de change: l'hypothèse d'un processus mixte, Post-Print (1996) (1996)