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Wickens, Michael R.'s
Scholarly Papers
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2,108 |
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Citations
57 |
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1.
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Macroeconomic Sources of FOREX Risk
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies
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Posted:
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16 Oct 01
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Last Revised:
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19 Feb 03
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976
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9
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Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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29
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9
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FOREX, market efficiency, risk premium, stochastic discount factors, GARCH
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies
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947
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9
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FOREX, Market efficiency, risk premium, stochastic discount factors, GARCH
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2.
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Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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345
(40,838)
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10
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Asset Pricing, Stochastic Discount Factors, Forex, Equity, Term Structure, Affine Factor Models, Consumption CAPM, Financial Econometrics, GARCH
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3.
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies Balfoussia, Chiona
Bank of Greece
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289
(50,327)
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10
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term structure, the stochastic discount factor model, term premia, GARCH
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4.
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Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Sorensen, Steffen
Moody's Investor Services Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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182
(81,943)
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1
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Stock returns, asymmetry
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5.
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Remolona, Eli M.
Bank for International Settlements (BIS) - Monetary and Economic Department Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies Gong, Frank F.
Bank of America - Bank of America, Hong Kong
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118
(119,567)
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12
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inflation risk, expected inflation, indexed bonds, affine yields and monetary policy
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6.
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Flavin, Thomas
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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44
(211,727)
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5
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Asset allocation, macroeconomic effects, multivariate GARCH
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7.
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What Do the Fama-French Factors Add to C-CAPM?
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Abhakorn, Pongrapeeporn
Ministry of Finance of Thailand Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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Posted:
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24 Apr 13
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Last Revised:
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16 May 13
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35
(237,989)
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Abhakorn, Pongrapeeporn
Ministry of Finance of Thailand Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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6
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Abhakorn, Pongrapeeporn
Ministry of Finance of Thailand Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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29
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C-CAPM, asset pricing, Fama-French factors
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8.
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Flavin, Thomas
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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30
(243,261)
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9.
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Polito, Vito
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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27
(251,842)
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4
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Budget deficits, government debt, fiscal sustainability, VAR analysis, economic policy
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10.
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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20
(275,149)
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1
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Equity risk premium, stochastic discount factor model, consumption CAPM, multivariate garch with no-arbitrage, Epstein-Zin model
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11.
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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7
(319,611)
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1
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DSGE models, Forecasting, VAR models
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12.
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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7
(319,611)
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Default, Financial crisis, Financial intermediation, Liquidity shortages, Risk
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13.
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Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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6
(322,466)
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ECB, euro, inflation, monetary policy
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14.
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Smith, Peter N.
University of York (UK) - Department of Economics and Related Studies Sorensen, Steffen
Moody's Investor Services Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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4
(328,029)
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business cycles, demand and supply shocks, equity premium, stock returns
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15.
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Le, Vo Phuong Mai
Cardiff University - Cardiff Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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3
(331,046)
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anomaly, Bootstrap, DSGE, indirect inference, puzzle, US-EU Model, VAR, Wald statistic
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16.
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Le, Vo Phuong Mai
Cardiff University - Cardiff Business School Meenagh, David
Cardiff University Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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3
(331,046)
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2
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Bootstrap, DSGE, indirect inference, New Classical, New Keynesian, Open economy model, VAR, Wald statistic
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17.
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Polito, Vito
University of York (UK) - Department of Economics and Related Studies Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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3
(331,046)
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1
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monetary policy, optimal control, VAR models
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18.
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Davidson, James
Cardiff Business School Meenagh, David
Cardiff University Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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2
(335,836)
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banking crisis, banking regulation, Bootstrap, Indirect Inference, Nonstationarity, Productivity, Real Business Cycle
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19.
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Le, Vo Phuong Mai
Cardiff University - Cardiff Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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2
(335,836)
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anomaly, Boostrap, DSGE, indirect inference, puzzle, US-EU model, VAR, Wald statistic
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20.
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Le, Vo Phuong Mai
Cardiff University - Cardiff Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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2
(335,836)
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1
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Bootstrap, DSGE, grea moderation, indirect inference, New Classical, New Keynesian, regime change, structural break, US Model, VAR, Wald statistic
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21.
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Meenagh, David
Cardiff University Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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1
(343,238)
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Bootstrap, DSGE, indirect inference, Monte Carlo, VECM
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22.
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Le, Vo Phuong Mai
Cardiff University - Cardiff Business School Meenagh, David
Cardiff University Business School Minford, Patrick
Cardiff University Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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1
(343,238)
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Bootstrap, DSGE, DSGE-VAR weight, indirect inference, likelihood ratio, New Classical, New Keynesian, Wald statistic
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23.
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Polito, Vito
Cardiff Business School Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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1
(343,238)
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24.
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Tzavalis, Elias
University of London - Queen Mary - Department of Economics Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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25.
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Gong, Frank F.
Bank of America - Bank of America, Hong Kong Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies Remolona, Eli M.
Bank for International Settlements (BIS) - Monetary and Economic Department
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26.
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Tzavalis, Elias
University of London - Queen Mary - Department of Economics Wickens, Michael R.
University of York (UK) - Department of Economics and Related Studies
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