.
Loretan, Mico's
Scholarly Papers
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Aggregate Statistics
Total 1,973
Total Citations 43
1.
Loretan, Mico IMF Institute, International Monetary Fund
English, William B. Government of the United States of America - Division of Monetary Affairs
1,036(8,885)
26
Risk management, Conditional Correlation
2.
Caruana, Jaime Bank for International Settlements (BIS)
Filardo, Andrew J. Bank for International Settlements (BIS) - Monetary and Economic Department
George, Jason Bank for International Settlements (BIS)
Munro, Anella Reserve Bank of New Zealand
Loretan, Mico IMF Institute, International Monetary Fund
Ma, Guonan Bank for International Settlements (BIS)
Shim, Ilhyock Bank for International Settlements (BIS)
Wooldridge, Philip D. Bank for International Settlements (BIS)
Yetman, James Bank for International Settlements (BIS)
Zhu, Haibin Bank for International Settlements (BIS)
Gyntelberg, Jacob Bank for International Settlements (BIS) - Monetary and Economic Department
Chan, Eric Ho Pan Bank for International Settlements (BIS)
Genberg, Hans University of Geneva - Graduate Institute of International Studies (HEI)
Remolona, Eli M. Bank for International Settlements (BIS) - Monetary and Economic Department
Sundaresan, Suresh M. Columbia Business School - Finance and Economics
Black, Susan Herbert Smith
Yam, Joseph affiliation not provided to SSRN
Engel, Charles M. University of Wisconsin - Madison - Department of Economics
Devereux, Michael B. University of British Columbia (UBC) - Department of Economics
Goodhart, Charles London School of Economics & Political Science (LSE) - Financial Markets Group
Kim, Don H. London School of Economics & Political Science (LSE) - Financial Markets Group
Glindro, Eloisa T. Bank for International Settlements (BIS)
Szeto, Jessica affiliation not provided to SSRN
Shirakawa, Masaaki Bank of Japan - Institute of Monetary and Economic Studies
Watanagase, Tarisa Bank of Thailand
Akhtar Aziz, Zeti Central Bank of Malaysia
Tetangco, Jr, Amando Central Bank of the Philippines
447(29,868)
3
3.
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
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Chaboud, Alain Federal Reserve Board - Division of International Finance
Chiquoine, Ben Federal Reserve Board - Division of International Finance
Hjalmarsson, Erik Queen Mary - University of London, School of Economics and Finance
Loretan, Mico IMF Institute, International Monetary Fund
Posted:
06 Nov 07
Last Revised:
23 Apr 08
123(116,950)
4
Chaboud, Alain Federal Reserve Board - Division of International Finance
Chiquoine, Ben Federal Reserve Board - Division of International Finance
Hjalmarsson, Erik Queen Mary - University of London, School of Economics and Finance
Loretan, Mico IMF Institute, International Monetary Fund
41
4
realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
Chaboud, Alain Federal Reserve Board - Division of International Finance
Chiquoine, Ben Federal Reserve Board - Division of International Finance
Hjalmarsson, Erik Queen Mary - University of London, School of Economics and Finance
Loretan, Mico IMF Institute, International Monetary Fund
82
4
Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
4.
Gyntelberg, Jacob Bank for International Settlements (BIS) - Monetary and Economic Department
Loretan, Mico IMF Institute, International Monetary Fund
Subhanij, Tientip Bank of Thailand
Chan, Eric Ho Pan Bank for International Settlements (BIS)
93(143,334)
2
Exchange rate models, market microstructure approach, asymmetric information, Thailand, generated regressors, impulse response functions, I(1) measurement error
5.
Loretan, Mico IMF Institute, International Monetary Fund
Wooldridge, Philip D. Bank for International Settlements (BIS)
88(148,774)
4
6.
Gyntelberg, Jacob Bank for International Settlements (BIS) - Monetary and Economic Department
Loretan, Mico IMF Institute, International Monetary Fund
Subhanij, Tientip Bank of Thailand
Chan, Eric Ho Pan Bank for International Settlements (BIS)
70(170,968)
1
foreign exchange market, capital flows, Thailand, equity market, nonresident investors, portfolio rebalancing
7.
Kurz-Kim, Jeong-Ryeol Deutsche Bundesbank
Loretan, Mico IMF Institute, International Monetary Fund
69(172,374)
2
regression models, alpha-stable distributions, infinite variance, coefficient of determination, Fama-MacBeth regression, Monte Carlo simulation, signal-to-noise ratio, density transformation theorem
8.
Gyntelberg, Jacob Bank for International Settlements (BIS) - Monetary and Economic Department
Loretan, Mico IMF Institute, International Monetary Fund
Tientip, Subhanij affiliation not provided to SSRN
24(263,953)
1
Capital Flows, Equity Market, Portfolio Rebalancing, Exchange Rates, Stock Markets, Exchange Rate Appreciation
9.
Gyntelberg, Jacob Bank for International Settlements (BIS) - Monetary and Economic Department
Loretan, Mico IMF Institute, International Monetary Fund
Tientip, Subhanij affiliation not provided to SSRN
23(267,318)
Order Flow, Private Information, Exchange Rate Models, Market Microstructure, Capital Flows, Exchange Rates, Foreign Investment, Stock Markets, Economic Models
10.
Boyer, Brian H. Brigham Young University - J. Willard and Alice S. Marriott School of Management
Gibson, Michael S. Federal Reserve Board
Loretan, Mico IMF Institute, International Monetary Fund
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