Ana-Maria Fuertes

Cass Business School, City University of London

Professor of Finance and Econometrics

Faculty of Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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

SCHOLARLY PAPERS

52

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CITATIONS
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148

Scholarly Papers (52)

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
Cass Business School, City University of London, Audencia Nantes School of Management and City University of London - Sir John Cass Business School
Downloads 7,561 (716)
Citation 36

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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
Cass Business School, City University of London, Audencia Nantes School of Management and Auckland University of Technology
Downloads 1,343 (13,610)
Citation 7

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commodity futures, momentum, term structure, idiosyncratic volatility

3.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance, 2018, 86, 143-158
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 20 May 2019
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 1,089 (18,783)
Citation 4

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Skewness; Commodities; Futures pricing; Selective hedging

4.

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
Cass Business School, City University of London, Audencia Nantes School of Management and Cyberring Ltd.
Downloads 810 (28,836)

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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing

5.

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
Cass Business School, City University of London, Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 706 (34,789)

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

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 Cass Business School, City University of London
Downloads 660 (38,099)
Citation 8

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Islamic banks, Failure risk, Survival analysis, Financial intermediation

7.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, 2016, 46, 219-226
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 549 (48,559)
Citation 3

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

8.

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
Cass Business School, City University of London and University of Essex - Essex Business School
Downloads 540 (49,559)
Citation 1

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Behavioral finance, underreaction-overreaction, threshold autoregression

9.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 22 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 539 (49,682)
Citation 1

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Style integration; Futures markets; Long-short asset allocation

10.

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, Cass Business School, City University of London and Loughborough University - School of Business and Economics
Downloads 522 (51,751)
Citation 5

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Bank capital; Interest margins; Bank regulation; Capital requirements

11.

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 Cass Business School, City University of London
Downloads 452 (62,155)
Citation 10

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

12.

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
Cass Business School, City University of London, Queen Mary University of London and Kadir Has University Istanbul, Turkey
Downloads 429 (66,011)
Citation 2

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

13.

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
Cass Business School, City University of London, University of Essex - Essex Business School and Birkbeck College
Downloads 332 (89,066)
Citation 9

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Monte Carlo, response surface, spurious regression, PPP

14.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, 2017, 21, 3, 1159-1188
Number of pages: 36 Posted: 07 May 2014 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 303 (98,452)

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

15.

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
Cass Business School, City University of London, Cass Business School, City, University of London and Lancaster University Management School
Downloads 301 (99,124)
Citation 8

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

16.

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, Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 270 (111,400)

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

17.

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
Cass Business School, City University of London, University of Essex - Essex Business School and Birkbeck College
Downloads 220 (136,998)
Citation 29

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

18.

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., Cass Business School, City University of London and University of Melbourne
Downloads 194 (154,245)
Citation 2

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

19.

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., Cass Business School, City University of London and City University London - Sir John Cass Business School
Downloads 192 (155,705)

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

20.

Speculative Pressure

Number of pages: 43 Posted: 02 Dec 2018 Last Revised: 28 Feb 2019
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 185 (160,963)

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Speculative pressure, Futures markets, Risk premium, Pricing

21.

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
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 184 (161,811)
Citation 8

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

22.

Driving the Presence of Investor Sentiment: The Role of Media Tone in IPOs

31st Australasian Finance and Banking Conference 2018
Number of pages: 60 Posted: 27 Jul 2018
Jiaxing You, Jerry Coakley, Michael Firth, Ana-Maria Fuertes and Zhe Shen
Xiamen University, University of Essex - Essex Business School, Lingnan University - Department of Finance and Insurance, Cass Business School, City University of London and Xiamen University
Downloads 178 (166,693)

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IPO, Media Tone, Investor Sentiment, China

23.

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
Cass Business School, City University of London and City University London - Sir John Cass Business School
Downloads 175 (169,247)
Citation 10

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

24.

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
Cass Business School, City University of London and Queen Mary Unversity of London
Downloads 164 (179,085)

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

25.

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, Cass Business School, City University of London and Universidad de Zaragoza
Downloads 160 (182,862)
Citation 4

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

26.

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
University of Sussex, Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 159 (183,865)
Citation 11

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

27.

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 Cass Business School, City University of London
Downloads 159 (183,865)

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

28.

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
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 153 (189,876)
Citation 1

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

29.

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
Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 137 (207,740)
Citation 1

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Panel logit, unobserved heterogeneity, economic loss, predictive performance

30.

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
Cass Business School, City University of London, Cass Business School, City, University of London and Barclays
Downloads 134 (211,429)

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

31.

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
Cass Business School, City University of London, City University London - Sir John Cass Business School and Cass Business School, City, University of London
Downloads 128 (219,246)
Citation 13

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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
Cass Business School, City University of London, University of Essex - Essex Business School and University of Iceland
Downloads 118 (234,126)
Citation 10

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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
Cass Business School, City University of London, University of Essex - Essex Business School and University of Iceland

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Asymmetries, structural breaks, hysteresis, threshold autoregression

33.

Nonlinearity in the British Interest Rate Transmission Mechanism

Number of pages: 33 Posted: 02 Mar 2007
Ana-Maria Fuertes, Shelagh Heffernan and Elena Kalotychou
Cass Business School, City University of London, City University London - Sir John Cass Business School and Cass Business School, City, University of London
Downloads 117 (234,522)

Abstract:

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

34.

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
Cass Business School, City University of London and University of Essex - Essex Business School
Downloads 116 (236,059)

Abstract:

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Behavioral finance, underreaction-overreaction, threshold autoregression

35.

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
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 99 (263,556)
Citation 1

Abstract:

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

36.

On the Predictability of Emerging Market Sovereign Credit Spreads

Journal of International Money and Finance, Forthcoming
Number of pages: 45 Posted: 23 Aug 2015 Last Revised: 04 Aug 2018
Alena Audzeyeva and Ana-Maria Fuertes
Keele University - Keele Management School and Cass Business School, City University of London
Downloads 94 (272,521)

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Sovereign credit spreads; Emerging Markets; Out-of-sample predictability; Term structure; Macroeconomic uncertainty

37.

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
Essex Business School, City University London - Sir John Cass Business School and Cass Business School, City University of London
Downloads 80 (301,228)
Citation 2

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

38.

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
Cass Business School, City University of London, City University London - Sir John Cass Business School and Essex Business School
Downloads 66 (335,537)
Citation 2

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

39.

Capturing Energy Risk Premia

Number of pages: 31 Posted: 07 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 58 (358,037)

Abstract:

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Energy futures markets, Risk premium, Long-short portfolios, Integration

40.

Hazard Fear in Commodity Markets

Number of pages: 65 Posted: 30 Jun 2019
Auckland University of Technology, Cass Business School, City University of London, Universidad de León and Audencia Nantes School of Management
Downloads 28 (471,028)

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Commodity futures; Long-short portfolios; Supply and Demand; Hazards; Fear; Search activity; Sentiment

41.

Uncovered Equity 'Disparity' in Emerging Markets

Journal of International Money and Finance, Forthcoming
Number of pages: 49 Posted: 22 Jul 2018 Last Revised: 12 Jul 2019
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Cass Business School, City University of London, City University London - Sir John Cass Business School and Essex Business School
Downloads 26 (481,373)

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Uncovered Equity Parity; Equity flows; Equity returns; Foreign exchange rates; Return-chasing; Asian markets

42.

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
Cass Business School, City University of London, University of Essex - Essex Business School and Brunel University London - Economics and Finance
Downloads 23 (497,826)
Citation 9
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43.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting, Vol. 39, Issue 1‐2, pp. 229-263, 2012
Number of pages: 35 Posted: 03 Mar 2012
Fei Fei, Ana-Maria Fuertes and Elena Kalotychou
Barclays, Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 1 (643,301)
Citation 7
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Basel III, credit risk, default probability, out‐of‐sample prediction, procyclicality, rating migration, value‐at‐risk

44.

Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

Posted: 16 Aug 2018
Daniel de Almeida, Ana-Maria Fuertes and Luiz Koodi Hotta
Universidad Carlos III de Madrid, Cass Business School, City University of London and University of Campinas (UNICAMP) - Department of Statistics

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Equity Risk Premium, Forecast Combination, Technical Indicators, Out-of-Sample, Business Cycles

45.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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

46.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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Fundamentals, Behavioral finance, Investor sentiment, Threshold autoregression

47.

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
Cass Business School, City University of London and Cass Business School, City, University of London

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

48.

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
Cass Business School, City University of London, University of Essex - Essex Business School and Universidad de Valladolid - Departmento de Matematica Aplicada

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

49.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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Fisher effect, inflation targeting, persistence, threshold autoregression

50.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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51.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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

52.

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
Cass Business School, City University of London and University of Essex - Essex Business School

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threshold autoregression, level asymmetries, Monte Carlo