Nicholas Sarantis

London Metropolitan University - Department of Economics, Finance and International Business (EFIB)

Economics Subject Group, LMBS

London EC2M 6SQ, EC2M 6SQ

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

312

CITATIONS
Rank 45,237

SSRN RANKINGS

Top 45,237

in Total Papers Citations

3

Scholarly Papers (5)

1.

Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation

Number of pages: 30 Posted: 06 Mar 2007 Last Revised: 26 Mar 2008
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Department of Accounting, Finance & Management, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 149 (153,532)

Abstract:

market efficiency, traded volatility, narrow band least squares, fractional cointegration, bootstrap

2.

Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration

EFMA 2004 Basel Meetings Paper
Number of pages: 36 Posted: 14 May 2004
Neil Kellard and Nicholas Sarantis
University of Essex - Department of Accounting, Finance & Management and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 139 (161,638)

Abstract:

market efficiency, traded volatility, fractional cointegration, Monte Carlo simulation, risk premium

3.

Credibility, Macroeconomic Fundamentals and Markov Regime Switches in the EMS

Scottish Journal of Political Economy, Vol. 51, No. 4, pp. 453-476, September 2004
Number of pages: 24 Posted: 06 Oct 2004
Nicholas Sarantis and Sylviane Piard
London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and Independent
Downloads 9 (485,518)
Citation 2
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4.

Structural Breaks and the Equilibrium Chinese Yuan/US Dollar Real Exchange Rate: A FEER Approach

Review of International Economics, Vol. 19, Issue 5, pp. 791-808, 2011
Number of pages: 18 Posted: 18 Oct 2011
Kefei You and Nicholas Sarantis
London Metropolitan University and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 2 (518,060)
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Abstract:

5.

The Purchasing Power Parity Persistence Puzzle: Evidence from Black Market Real Exchange Rates

Manchester School, Vol. 76, Issue 4, pp. 405-423, July 2008
Number of pages: 19 Posted: 16 Jun 2008
Mario Cerrato, Neil Kellard and Nicholas Sarantis
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Essex - Department of Accounting, Finance & Management and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 2 (518,060)
Citation 1
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Other Papers (1)

Total Downloads: 64    Citations: 0
1.

Foreign Exchange, Fractional Cointegration and the Implied-Realised Volatility Relation

Number of pages: 26 Posted: 04 Mar 2005
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Department of Accounting, Finance & Management, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 62

Abstract:

market efficiency, traded volatility, fractional cointegration