Ana-Maria Fuertes

City University London - Faculty of Finance

Professor

106 Bunhill Row

London, EC1Y 8TZ

Great Britain

http://www.city.ac.uk/people/academics/ana-maria-fuertes

SCHOLARLY PAPERS

45

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CITATIONS
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68

Scholarly Papers (45)

1.

Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals

Journal of Banking and Finance 34, 2530-2548
Number of pages: 48 Posted: 30 Apr 2008 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis
City University London - Faculty of Finance, Audencia Nantes School of Management and City University of London - Sir John Cass Business School
Downloads 5,355 (657)
Citation 10

Abstract:

Commodity Futures, Momentum, Term Structure, Backwardation, Contango, Double-sort strategy

2.

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

Journal of Futures Markets, 2015, 35, 3, 274-297
Number of pages: 41 Posted: 14 Dec 2011 Last Revised: 10 Nov 2015
Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez-Perez
City University London - Faculty of Finance, Audencia Nantes School of Management and Auckland University of Technology
Downloads 833 (14,503)

Abstract:

commodity futures, momentum, term structure, idiosyncratic volatility

3.

Momentum Profits, Non-Normality Risks and the Business Cycle

Applied Financial Economics, Forthcoming, Cass Business School Research Paper
Number of pages: 39 Posted: 15 Jul 2005 Last Revised: 05 May 2008
Ana-Maria Fuertes, Joëlle Miffre and Wooi Hou Tan
City University London - Faculty of Finance, Audencia Nantes School of Management and Cyberring Ltd.
Downloads 768 (24,628)
Citation 1

Abstract:

Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

4.

Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?

Review of Quantitative Finance and Accounting (Forthcoming)
Number of pages: 36 Posted: 24 Jul 2009 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Natasa Todorovic
City University London - Faculty of Finance, Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 563 (31,765)

Abstract:

Conditional variance forecasting, Trading rules, Realised volatility, Directional change prediction

5.

Continuation and Reversal in US Valuation Ratios

Essex Finance Centre Discussion Paper 04/12; EFA 2003 Annual Conference Paper No. 840, Cass Business School Research Paper
Number of pages: 34 Posted: 26 Jul 2003
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School
Downloads 528 (42,261)

Abstract:

Behavioral finance, underreaction-overreaction, threshold autoregression

6.

A Survival Analysis of Islamic and Conventional Banks

Journal of Financial Services Research, Forthcoming
Number of pages: 38 Posted: 31 May 2012 Last Revised: 04 Jan 2016
University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and City University London - Faculty of Finance
Downloads 493 (35,129)

Abstract:

Islamic banks, Failure risk, Survival analysis, Financial intermediation

7.

In Good Times and in Bad: Bank Capital Ratios and Lending Rates

International Review of Financial Analysis, Forthcoming
Number of pages: 35 Posted: 12 Dec 2011 Last Revised: 10 Feb 2016
Matthew Osborne, Ana-Maria Fuertes and Alistair Milne
Bank of England, City University London - Faculty of Finance and Loughborough University - School of Business and Economics
Downloads 427 (44,565)
Citation 2

Abstract:

Bank capital; Interest margins; Bank regulation; Capital requirements

8.

Strategic and Tactical Roles of Enhanced-Commodity Indices

Journal of Futures Markets 33(10), 965-992
Number of pages: 38 Posted: 27 Jul 2010 Last Revised: 19 Dec 2013
Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes
City University of London - Sir John Cass Business School, Audencia Nantes School of Management and City University London - Faculty of Finance
Downloads 389 (56,378)
Citation 3

Abstract:

Long-only commodity indices, Time-to-maturity, Momentum, Term structure

9.

A Behavioural Analysis of Investor Diversification

European Journal of Finance (2013)
Number of pages: 40 Posted: 11 May 2012 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Yaz Gulnur Muradoglu and Belma Ozturkkal
City University London - Faculty of Finance, Queen Mary University of London and Kadir Has University Istanbul, Turkey
Downloads 373 (56,378)
Citation 1

Abstract:

Individual investor, Behavioural finance, Diversification, Portfolio risk, Emerging market

10.

Small Sample Properties of Panel Time-Series Estimators with I(1) Errors

Birkbeck College Discussion Paper No. 3/2001, Cass Business School Research Paper
Number of pages: 32 Posted: 23 Jun 2001
Ana-Maria Fuertes, Jerry Coakley and Ron Smith
City University London - Faculty of Finance, University of Essex - Essex Business School and Birkbeck College
Downloads 323 (76,583)
Citation 4

Abstract:

Monte Carlo, response surface, spurious regression, PPP

11.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 03 Jun 2016
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 320 (49,609)

Abstract:

Commodity futures; Idiosyncratic volatility; Backwardation; Contango

12.

Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions

International Journal of Forecasting (2009) Vol.25, 259-281
Number of pages: 72 Posted: 29 May 2008 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Marwan Izzeldin
City University London - Faculty of Finance, Cass Business School, City, University of London and Lancaster University Management School
Downloads 271 (86,725)
Citation 6

Abstract:

Conditional variance, Quadratic variation, Nonparametric estimators, Intraday prices, Superior predictive ability

13.

Unobserved Heterogeneity in Panel Time Series Models

Birkbeck College Working Paper in Economics & Finance No. 0403, Cass Business School Research Paper
Number of pages: 25 Posted: 03 Nov 2004
Ana-Maria Fuertes, Jerry Coakley and Ron Smith
City University London - Faculty of Finance, University of Essex - Essex Business School and Birkbeck College
Downloads 191 (123,095)
Citation 12

Abstract:

Factor analysis, global shocks, latent variables, Feldstein-Horioka, PPP

14.

Country and Time Variation in Exchange Rate Pass-Through: What Drives It?

Journal of International Money and Finance 31(4), pp. 818-844
Number of pages: 47 Posted: 19 Aug 2011 Last Revised: 08 Sep 2012
Raphael Brun-Aguerre, Ana-Maria Fuertes and Kate Phylaktis
J.P. Morgan Chase & Co., City University London - Faculty of Finance and Cass Business School, City University, London
Downloads 175 (135,217)

Abstract:

pass-through, exchange rate, asymmetry, prices, emerging markets, protectionism

15.

Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov-Switching

International Journal of Forecasting, Forthcoming
Number of pages: 42 Posted: 15 Oct 2012 Last Revised: 12 Jan 2017
Fei Fei, Ana-Maria Fuertes and Elena Kalotychou
Barclays, City University London - Faculty of Finance and Cass Business School, City, University of London
Downloads 168 (106,877)

Abstract:

Credit spread; Copula; Dependence; Regime switching; Tail dependence; Value-at-Risk

16.

Market-wide Shocks and UK Closed-end Funds: A Taxonomy of Overreaction

EFMA 2004 Basel Meetings Paper, Cass Business School Research Paper
Number of pages: 28 Posted: 14 May 2004
Ana-Maria Fuertes and Dylan C. Thomas
City University London - Faculty of Finance and Queen Mary Unversity of London
Downloads 163 (154,492)

Abstract:

Overreaction, Reversal, Closed-end funds, Discount, Net asset value

17.

Interest Rate Transmission in the UK: A Comparative Analysis Across Financial Firms and Products

International Journal of Finance & Economics 14(1), pp 45-63, 2009
Number of pages: 31 Posted: 19 May 2006 Last Revised: 08 Sep 2012
Ana-Maria Fuertes and Shelagh Heffernan
City University London - Faculty of Finance and City University London - Sir John Cass Business School
Downloads 153 (149,723)
Citation 4

Abstract:

Error correction model, Long run equilibrium rate, Adjustment speed, Mark up, Pass through, Heterogeneity, Menu costs

18.

Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction

International Journal of Forecasting 29(1), 28-42
Number of pages: 34 Posted: 29 Feb 2012 Last Revised: 19 Dec 2013
Ana-Maria Fuertes and Jose Olmo
City University London - Faculty of Finance and University of Southampton
Downloads 146 (147,425)
Citation 3

Abstract:

Quantile regression, Optimal forecast combination, Encompassing, Conditional coverage, High-frequency data, Realized Variance

19.

The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction

Number of pages: 34 Posted: 29 May 2012
Ana-Maria Fuertes and Jose Olmo
City University London - Faculty of Finance and University of Southampton
Downloads 136 (168,760)

Abstract:

Encompassing, High-frequency data, Model uncertainty, Realized volatility, Risk management

20.

Overnight News and Daily Equity Trading Risk Limits

Number of pages: 29 Posted: 23 May 2012 Last Revised: 10 Jan 2015
Katja Ahoniemi, Ana-Maria Fuertes and Jose Olmo
Imperial College Business School, City University London - Faculty of Finance and University of Southampton
Downloads 129 (164,030)
Citation 1

Abstract:

Overnight, Price discovery, Realized volatility, Risk management, Value-at-Risk

21.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, Forthcoming
Number of pages: 36 Posted: 07 May 2014 Last Revised: 23 Nov 2015
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 128 (98,234)

Abstract:

Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing

22.

Modeling Sovereign Debt Crises using Panels

CEA Working Paper No. 11-2004, Cass Business School Research Paper
Number of pages: 41 Posted: 29 Dec 2004
Ana-Maria Fuertes and Elena Kalotychou
City University London - Faculty of Finance and Cass Business School, City, University of London
Downloads 124 (182,846)
Citation 1

Abstract:

Panel logit, unobserved heterogeneity, economic loss, predictive performance

23.

How do UK Banks React to Changing Central Bank Rates?

Cass Business School Research Paper No. 03-08
Number of pages: 34 Posted: 28 May 2008
Ana-Maria Fuertes, Shelagh Heffernan and Elena Kalotychou
City University London - Faculty of Finance, City University London - Sir John Cass Business School and Cass Business School, City, University of London
Downloads 118 (192,137)
Citation 6

Abstract:

Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective

Birkbeck College Discussion Paper No. 28/99, Cass Business School Research Paper
Number of pages: 39 Posted: 13 Nov 2001
Ana-Maria Fuertes, Jerry Coakley and Gylfi Zoega
City University London - Faculty of Finance, University of Essex - Essex Business School and Birkbeck College
Downloads 114 (207,030)
Citation 6

Abstract:

Business cycle asymmetries, structural break, hysteresis

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective

Studies in Nonlinear Dynamics & Econometrics, Vol. 5, No. 3, October 2001, Cass Business School Research Paper
Posted: 15 May 2003
Ana-Maria Fuertes, Jerry Coakley and Gylfi Zoega
City University London - Faculty of Finance, University of Essex - Essex Business School and Birkbeck College

Abstract:

Asymmetries, structural breaks, hysteresis, threshold autoregression

25.

Nonlinearity in the British Interest Rate Transmission Mechanism

Number of pages: 33 Posted: 02 Mar 2007
Ana-Maria Fuertes, Shelagh Heffernan and Elena Kalotychou
City University London - Faculty of Finance, City University London - Sir John Cass Business School and Cass Business School, City, University of London
Downloads 109 (206,094)

Abstract:

Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature

26.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting 39, 229-263
Number of pages: 42 Posted: 02 Dec 2011 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Fei Fei
City University London - Faculty of Finance, Cass Business School, City, University of London and Barclays
Downloads 106 (188,616)
Citation 2

Abstract:

Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk

27.

Momentum dynamics in U.S. valuation ratios

Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2004
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School
Downloads 105 (206,094)
Citation 2

Abstract:

Behavioral finance, underreaction-overreaction, threshold autoregression

28.

ECB Policy and Eurozone Fragility: Was De Grauwe Right?

Journal of International Money and Finance, Forthcoming
Number of pages: 36 Posted: 28 Jun 2014 Last Revised: 20 Mar 2015
Orkun Saka, Ana-Maria Fuertes and Elena Kalotychou
London School of Economics (LSE), City University London - Faculty of Finance and Cass Business School, City, University of London
Downloads 98 (170,634)

Abstract:

Sovereign debt; Eurozone fragility; Self-fulfilling dynamics; European Central Bank; Outright Monetary Transactions.

29.

Nearest Neighbor Predictions of Realized Volatility for S&P 100 Options Trading

International Journal of Forecasting, Forthcoming
Number of pages: 42 Posted: 02 May 2013 Last Revised: 13 Oct 2015
University of Las Palmas de Gran Canaria, University of Las Palmas de Gran Canaria and City University London - Faculty of Finance
Downloads 94 (171,630)

Abstract:

Realized variance, Volatility forecasting, Options trading, Long memory, Nonlinear dependence, Nearest neighbour, Non-parametric

30.

Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices

Journal of the Royal Statistical Society (A) - Forthcoming
Number of pages: 33 Posted: 11 Dec 2013 Last Revised: 01 Jun 2016
J.P. Morgan Chase & Co., City University London - Faculty of Finance and University of Melbourne
Downloads 75 (144,343)

Abstract:

Exchange Rate Pass-Through; Asymmetry; Nonlinear ARDL Model; Random Coefficients Panel Data Model; Emerging Markets

31.

Exploiting Intraday and Overnight Price Variation for Daily VaR Prediction

Frontiers in Finance and Economics, Vol. 9, No. 2, 1-31
Number of pages: 31 Posted: 18 Dec 2012
Ana-Maria Fuertes and Jose Olmo
City University London - Faculty of Finance and University of Southampton
Downloads 70 (242,465)

Abstract:

Encompassing, High-frequency data, Model uncertainty, Realized volatility

32.

On cross-border bank credit and the U.S. financial crisis transmission to equity markets

Journal of International Money and Finance, Vol. 69, No. 108-134, 2016
Number of pages: 46 Posted: 07 Apr 2015 Last Revised: 24 Mar 2017
Cheng Yan, Kate Phylaktis and Ana-Maria Fuertes
Durham University - Department of Economics and Finance, Cass Business School, City University, London and City University London - Faculty of Finance
Downloads 32 (271,091)

Abstract:

U.S. financial crisis; Crisis transmission channel; Capital flows; Bank credit; International trade; Causality; Emerging markets

33.

Is the Feldstein-Horioka Puzzle History?

Manchester School, Vol. 72, No. 5, pp. 569-590, September 2004
Number of pages: 22 Posted: 12 Aug 2004
Ana-Maria Fuertes, Jerry Coakley and Fabio Spagnolo
City University London - Faculty of Finance, University of Essex - Essex Business School and Brunel University London - Economics and Finance
Downloads 23 (436,275)
Citation 4
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Abstract:

34.

Hot Money in Bank Credit Flows to Emerging Markets During the Banking Globalization Era

Journal of International Money and Finance, Vol. 60, No. 29-52, 2016
Number of pages: 40 Posted: 05 Nov 2014 Last Revised: 24 Mar 2017
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
City University London - Faculty of Finance, Cass Business School, City University, London and Durham University - Department of Economics and Finance
Downloads 21 (310,744)

Abstract:

International capital flows; Hot money; Crisis transmission; Banking globalisation; Kalman filter

35.

Emerging Market Sovereign Credit Spreads: In-Sample and Out-of-Sample Predictability

Number of pages: 45 Posted: 23 Aug 2015 Last Revised: 10 Nov 2016
Alena Audzeyeva and Ana-Maria Fuertes
Keele University - Keele Management School and City University London - Faculty of Finance
Downloads 7 (316,056)

Abstract:

Sovereign bonds, Credit spreads, Term structure, Emerging markets, Macroeconomic volatility, Out-of-sample predictability, Forecast encompassing

36.

Harvesting Commodity Styles: An Integrated Framework

Number of pages: 53 Posted: 24 Jul 2017 Last Revised: 19 Oct 2017
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 0 (84,393)

Abstract:

Style integration, Commodity markets, Long-short investment, Asset allocation, Portfolio choice

37.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance (Forthcoming)
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 05 Jul 2017
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, City University London - Faculty of Finance and Audencia Nantes School of Management
Downloads 0 (33,500)

Abstract:

Skewness; Commodities; Futures pricing; Selective hedging

38.

Valuation Ratios and Price Deviations from Fundamentals

Journal of Banking and Finance, Vol. 30, 2006, Cass Business School Research Paper
Posted: 30 Mar 2006
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

Fundamentals, Behavioral finance, Investor sentiment, Threshold autoregression

39.

Testing for Sign and Amplitude Asymmetries Using Threshold Autoregressions

Journal of Economic Dynamics and Control, Vol. 30, No. 4, pp. 623-654, 2006, Cass Business School Research Paper
Posted: 30 Mar 2006
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

Regime-switching, LR test, Bootstrap, Subsampling, Monte Carlo

40.

Optimal Design of an Early Warning Systems for Sovereign Debt Crises

International Journal of Forecasting 23, 85-100
Posted: 29 Dec 2004 Last Revised: 19 Dec 2013
Ana-Maria Fuertes and Elena Kalotychou
City University London - Faculty of Finance and Cass Business School, City, University of London

Abstract:

Debt crises, K-means clustering, logistic regression, bank internal ratings, loss function, forecast combination

41.

Numerical Issues in Threshold Autoregressive Modeling of Time Series

Journal of Economic Dynamic and Control, Vol. 27, pp. 2219-2242, 2003, Cass Business School Research Paper
Posted: 18 Jul 2003
City University London - Faculty of Finance, University of Essex - Essex Business School and Universidad de Valladolid - Departmento de Matematica Aplicada

Abstract:

Band-TAR, QR factorization, Givens rotations, Rational interpolation

42.

Asymmetric Dynamics in UK Real Interest Rates

Applied Financial Economics, Vol. 12, pp. 379-387, June 2002, Cass Business School Research Paper
Posted: 18 Jun 2003
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

Fisher effect, inflation targeting, persistence, threshold autoregression

43.

Short-run Real Exchange Rate Dynamics

The Manchester School, Vol. 68, Issue 4, June 2000, Cass Business School Research Paper
Posted: 12 Jan 2001
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

44.

Is There a Base Currency Effect in Long Run PPP?

International Journal of Finance and Economic, Vol. 5, No. 4, October 2000, Cass Business School Research Paper
Posted: 22 Nov 2000
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

real exchange rates, panel unit root tests, cross sectional dependence, nonlinearities

45.

Bootstap LR Tests of Sign and Amplitude Asymmetry

Birkbeck College Working Paper No. 5/00, Cass Business School Research Paper
Posted: 21 Apr 2000
Ana-Maria Fuertes and Jerry Coakley
City University London - Faculty of Finance and University of Essex - Essex Business School

Abstract:

threshold autoregression, level asymmetries, Monte Carlo