| . |
Fuertes, Ana-Maria's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total Downloads
9,027 |
Total
Citations
63 |
|
|
|
|
|
1.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Miffre, Joelle EDHEC Business School Rallis, Georgios City University of London - Sir John Cass Business School
|
| Posted: |
|
30 Apr 08
|
|
Last Revised:
|
|
26 Jul 10
|
|
3,840
(883)
|
11
|
|
| |
|
| |
Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy
|
|
|
2.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Miffre, Joelle EDHEC Business School Tan, Wooi Hou Cyberring Ltd.
|
| Posted: |
|
15 Jul 05
|
|
Last Revised:
|
|
05 May 08
|
|
716
(15,443)
|
1
|
|
| |
|
| |
Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing
|
|
|
3.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
511
(24,750)
|
|
|
| |
|
| |
Behavioral finance, underreaction-overreaction, threshold autoregression
|
|
|
4.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Miffre, Joelle EDHEC Business School Fernández-Pérez, Adrián University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
|
| Posted: |
|
14 Dec 11
|
|
Last Revised:
|
|
20 Feb 13
|
|
466
(27,897)
|
|
|
| |
|
| |
commodity futures, momentum, term structure, idiosyncratic volatility
|
|
|
5.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School Todorovic, Natasa City University London - Sir John Cass Business School
|
| Posted: |
|
24 Jul 09
|
|
Last Revised:
|
|
27 Jul 10
|
|
417
(32,358)
|
|
|
| |
|
| |
Conditional variance forecasting, Trading rules, Realised volatility, Directional change prediction
|
|
|
6.
|
|
|
Rallis, Georgios City University of London - Sir John Cass Business School Miffre, Joelle EDHEC Business School Fuertes, Ana-Maria Cass Business School, City University London
|
| Posted: |
|
27 Jul 10
|
|
Last Revised:
|
|
01 May 12
|
|
319
(44,744)
|
2
|
|
| |
|
| |
Long-only commodity indices, Time-to-maturity, Momentum, Term structure
|
|
|
7.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Smith, Ron Birkbeck College
|
|
318
(44,914)
|
4
|
|
| |
|
| |
Monte Carlo, response surface, spurious regression, PPP
|
|
|
8.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School Izzeldin, Marwan Lancaster University Management School
|
|
232
(64,048)
|
5
|
|
| |
|
| |
Conditional variance, Quadratic variation, Nonparametric estimators, Intraday prices, Superior predictive ability
|
|
|
9.
|
|
|
Pappas, Vasileios Lancaster University - Lancaster University Management School Izzeldin, Marwan Lancaster University Management School Fuertes, Ana-Maria Cass Business School, City University London
|
| Posted: |
|
31 May 12
|
|
Last Revised:
|
|
30 Jun 12
|
|
198
(75,392)
|
|
|
| |
|
| |
Islamic banking, Conventional banking, Bank failure risk, Survival analysis, Accounting indicators
|
|
|
10.
|
|
|
Osborne, Matthew UK Financial Services Authority Fuertes, Ana-Maria Cass Business School, City University London Milne, Alistair Loughborough School of Business and Economics
|
| Posted: |
|
12 Dec 11
|
|
Last Revised:
|
|
21 Apr 12
|
|
178
(83,502)
|
1
|
|
| |
|
| |
Bank capital, Interest margins, Bank regulation, Capital requirements
|
|
|
11.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Smith, Ron Birkbeck College
|
|
178
(83,502)
|
12
|
|
| |
|
| |
Factor analysis, global shocks, latent variables, Feldstein-Horioka, PPP
|
|
|
12.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Thomas, Dylan C. Swansea University - Department of Business & Economics
|
|
158
(93,284)
|
|
|
| |
|
| |
Overreaction, Reversal, Closed-end funds, Discount, Net asset value
|
|
|
13.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Muradoglu, Yaz Gulnur City University London - Sir John Cass Business School Ozturkkal, Belma Kadir Has University Istanbul, Turkey
|
| Posted: |
|
11 May 12
|
|
Last Revised:
|
|
29 Jun 12
|
|
143
(101,928)
|
|
|
| |
|
| |
Individual investor, Behavioural finance, Diversification, Portfolio risk, Emerging market
|
|
|
14.
|
|
|
Miffre, Joelle EDHEC Business School Fuertes, Ana-Maria Cass Business School, City University London Fernández-Pérez, Adrián University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics
|
| Posted: |
|
01 Aug 12
|
|
Last Revised:
|
|
26 Oct 12
|
|
139
(104,381)
|
|
|
| |
|
| |
Commodity futures, Idiosyncratic volatility, Backwardation, Contango.
|
|
|
15.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Heffernan, Shelagh City University London - Sir John Cass Business School
|
| Posted: |
|
19 May 06
|
|
Last Revised:
|
|
08 Sep 12
|
|
134
(107,683)
|
3
|
|
| |
|
| |
Error correction model, Long run equilibrium rate, Adjustment speed, Mark up, Pass through, Heterogeneity, Menu costs
|
|
|
16.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School
|
|
116
(121,038)
|
1
|
|
| |
|
| |
Panel logit, unobserved heterogeneity, economic loss, predictive performance
|
|
|
17.
|
|
Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Zoega, Gylfi Birkbeck College
|
|
Posted:
|
|
13 Nov 01
|
|
Last Revised:
|
|
15 May 03
|
|
106
(129,523)
|
6
|
|
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Zoega, Gylfi Birkbeck College
|
|
0
|
|
|
| |
|
| |
Asymmetries, structural breaks, hysteresis, threshold autoregression
|
|
|
|
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Zoega, Gylfi Birkbeck College
|
|
106
|
6
|
|
| |
|
| |
Business cycle asymmetries, structural break, hysteresis
|
|
|
|
|
|
18.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Heffernan, Shelagh City University London - Sir John Cass Business School Kalotychou, Elena City University London - Cass Business School
|
|
103
(132,239)
|
6
|
|
| |
|
| |
Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature
|
|
|
19.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Heffernan, Shelagh City University London - Sir John Cass Business School Kalotychou, Elena City University London - Cass Business School
|
|
100
(134,984)
|
|
|
| |
|
| |
Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature
|
|
|
20.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Olmo, Jose City University London - Department of Economics
|
| Posted: |
|
29 Feb 12
|
|
Last Revised:
|
|
06 May 12
|
|
98
(136,880)
|
2
|
|
| |
|
| |
Quantile regression, Optimal forecast combination, Encompassing, Conditional coverage, High-frequency data, Realized Variance
|
|
|
21.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
95
(139,742)
|
2
|
|
| |
|
| |
Behavioral finance, underreaction-overreaction, threshold autoregression
|
|
|
22.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Olmo, Jose City University London - Department of Economics
|
|
94
(140,744)
|
1
|
|
| |
|
| |
Encompassing, High-frequency data, Model uncertainty, Realized volatility, Risk management
|
|
|
23.
|
|
|
Fei, Fei City University London - Cass Business School Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School
|
| Posted: |
|
15 Oct 12
|
|
Last Revised:
|
|
27 Mar 13
|
|
86
(149,220)
|
|
|
| |
|
| |
Credit risk, Copula, Regime switching, Nonlinear dependence, Value-at-Risk
|
|
|
24.
|
|
|
Brun-Aguerre, Raphael J.P. Morgan Chase & Co. Fuertes, Ana-Maria Cass Business School, City University London Phylaktis, Kate City University London - Sir John Cass Business School
|
| Posted: |
|
19 Aug 11
|
|
Last Revised:
|
|
08 Sep 12
|
|
77
(159,787)
|
|
|
| |
|
| |
pass-through, exchange rate, asymmetry, prices, emerging markets, protectionism
|
|
|
25.
|
|
|
Ahoniemi, Katja Imperial College Business School Fuertes, Ana-Maria Cass Business School, City University London Olmo, Jose City University London - Department of Economics
|
| Posted: |
|
23 May 12
|
|
Last Revised:
|
|
19 Jul 12
|
|
75
(162,342)
|
1
|
|
| |
|
| |
Overnight, Price discovery, Realized volatility, Risk management, Value-at-Risk
|
|
|
26.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School Fei, Fei City University London - Cass Business School
|
| Posted: |
|
02 Dec 11
|
|
Last Revised:
|
|
12 Jul 12
|
|
58
(186,637)
|
2
|
|
| |
|
| |
Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk
|
|
|
27.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Olmo, Jose City University London - Department of Economics
|
|
33
(235,167)
|
|
|
| |
|
| |
Encompassing, High-frequency data, Model uncertainty, Realized volatility
|
|
|
28.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Spagnolo, Fabio Brunel University - Economics and Finance
|
|
23
(264,493)
|
3
|
|
| |
|
| |
|
|
|
29.
|
|
|
Andrada-Felix, Julian University of Las Palmas de Gran Canaria Fernandez-Rodriguez, Fernando University of Las Palmas de Gran Canaria Fuertes, Ana-Maria Cass Business School, City University London
|
|
16
(288,975)
|
|
|
| |
|
| |
Realized variance, Volatility forecasting, Options trading, Long memory, Nonlinear dependence, Nearest neighbour, Non-parametric
|
|
|
30.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
Regime-switching, LR test, Bootstrap, Subsampling, Monte Carlo
|
|
|
31.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
Fundamentals, Behavioral finance, Investor sentiment, Threshold autoregression
|
|
|
32.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Kalotychou, Elena City University London - Cass Business School
|
|
|
|
|
| |
|
| |
Debt crises, K-means clustering, logistic regression, bank internal ratings, loss function, forecast combination
|
|
|
33.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School Pérez Rodríguez, María Teresa Universidad de Valladolid - Departmento de Matematica Aplicada
|
|
|
|
|
| |
|
| |
Band-TAR, QR factorization, Givens rotations, Rational interpolation
|
|
|
34.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
Fisher effect, inflation targeting, persistence, threshold autoregression
|
|
|
35.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
|
|
|
36.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
real exchange rates, panel unit root tests, cross sectional dependence, nonlinearities
|
|
|
37.
|
|
|
Fuertes, Ana-Maria Cass Business School, City University London Coakley, Jerry University of Essex - Essex Business School
|
|
|
|
|
| |
|
| |
threshold autoregression, level asymmetries, Monte Carlo
|
|