Joseph Byrne

Heriot-Watt University - Department of Accountancy, Economics and Finance

Scotland

United Kingdom

SCHOLARLY PAPERS

19

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2,045

SSRN CITATIONS
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Top 20,055

in Total Papers Citations

25

CROSSREF CITATIONS

27

Scholarly Papers (19)

1.

Forecasting the Term Structure of Government Bond Yields in Unstable Environments

Number of pages: 53 Posted: 05 May 2015 Last Revised: 16 Sep 2019
Joseph Byrne, Shuo Cao and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 385 (96,495)
Citation 3

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Term Structure of Interest Rates; Nelson-Siegel; Dynamic Model Averaging; Bayesian Methods; Term Premia

Stock Return Prediction with Fully Flexible Models and Coefficients

Number of pages: 44 Posted: 02 Dec 2016
Joseph Byrne and Rong Fu
Heriot-Watt University - Department of Accountancy, Economics and Finance and Heriot-Watt University - Department of Accountancy, Economics and Finance
Downloads 203 (186,509)
Citation 1

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Stock Return Prediction, Time-Varying Coefficients and Forecasting Models, Bayesian Econometrics, Forecast Combination

Stock Return Prediction with Fully Flexible Models and Coefficients

Number of pages: 43 Posted: 28 Mar 2017 Last Revised: 14 Aug 2017
Joseph Byrne and Rong Fu
Heriot-Watt University - Department of Accountancy, Economics and Finance and Heriot-Watt University - Department of Accountancy, Economics and Finance
Downloads 162 (227,781)
Citation 1

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Stock Return Prediction, Time-Varying Coefficients and Forecasting Models, Bayesian Econometrics, Forecast Combination

3.

On the Sources of Uncertainty in Exchange Rate Predictability

Number of pages: 48 Posted: 29 Sep 2014 Last Revised: 16 Sep 2016
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 274 (139,659)
Citation 1

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Exchange rate forecasting, Instabilities, Time-varying parameter models, Bayesian model selection, Forecast combination

4.

Primary Commodity Prices: Co-Movements, Common Factors and Fundamentals

World Bank Policy Research Working Paper No. 5578
Number of pages: 35 Posted: 20 Apr 2016
Joseph Byrne, Giorgio Fazio and Norbert M. Fiess
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and World Bank
Downloads 234 (163,282)
Citation 8

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Emerging Markets, Markets and Market Access, Commodities, Currencies and Exchange Rates, E-Business

5.

Exchange Rate Predictability in a Changing World

Number of pages: 70 Posted: 16 Feb 2014 Last Revised: 29 Sep 2014
Joseph Byrne, Dimitris Korobilis and Pinho Ribeiro
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 192 (196,376)
Citation 4

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6.

Decomposing Global Yield Curve Co-Movement

Journal of Banking and Finance, Forthcoming
Number of pages: 61 Posted: 21 Jul 2017 Last Revised: 29 Jul 2019
Joseph Byrne, Shuo Cao and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, Shenzhen Stock Exchange and University of Glasgow - Adam Smith Business School
Downloads 159 (231,136)

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Global Yield Curves, Co-Movement, Transmission Channels, Global Fundamentals, Sentiment, Economic Uncertainty, Bayesian Factor Model

7.

Common Information in Carry Trade Risk Factors

Number of pages: 32 Posted: 02 Dec 2016
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot Watt University and Okayama University
Downloads 152 (239,997)

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Currency Carry Trade, Risk Factor, Principal Components, Fama-MacBeth

8.

Carry Trades and Commodity Risk Factors

Number of pages: 47 Posted: 05 Jun 2019
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot Watt University and Okayama University
Downloads 63 (427,059)

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Currency Carry Trade, Commodity price, Factor Model, Hierarchical Model, Emerging Currencies

9.

On the Sources of Uncertainty in Exchange Rate Predictability: Supplementary Appendix

Number of pages: 49 Posted: 16 Sep 2016
Joseph Byrne, Pinho Ribeiro and Dimitris Korobilis
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 57 (448,487)

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Exchange Rate Forecasting, Instabilities, Time-Varying Parameter Models, Bayesian Model Selection, Forecast Combination

10.

Financial Integration in a Changing World

Number of pages: 37 Posted: 15 Aug 2017 Last Revised: 14 Oct 2017
Joseph Byrne, Andrea Eross and Rong Fu
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot-Watt University and Heriot-Watt University - Department of Accountancy, Economics and Finance
Downloads 55 (455,812)

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Financial Integration, Prediction, Factor Analysis, Bayesian Econometrics

11.

The Conditional Volatility Premium on Currency Portfolios

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 67 Posted: 24 Aug 2018 Last Revised: 25 Aug 2021
Joseph Byrne and Ryuta Sakemoto
Heriot-Watt University - Department of Accountancy, Economics and Finance and Okayama University
Downloads 50 (475,284)

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Systematic Risk; Currency Carry Trade; Momentum; Value; Conditional Factor Model; Currency Variability

12.

Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations

CEERP Working Paper No. 6 June 2017
Number of pages: 43 Posted: 20 Jun 2017
Joseph Byrne, Marco Lorusso and Bing Xu
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot-Watt University and Heriot-Watt University
Downloads 43 (505,470)
Citation 1

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Crude Oil Prices; Informational Frictions; Fundamentals; Expectations; Time-Varying Parameters

13.

The Impact of Short- and Long-Run Exchange Rate Uncertainty on Investment: A Panel Study of Industrial Countries

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 3, pp. 307-329, June 2005
Number of pages: 23 Posted: 21 May 2005
Joseph Byrne and E. Philip Davis
Heriot-Watt University - Department of Accountancy, Economics and Finance and National Institute of Economic and Social Research (NIESR)
Downloads 14 (680,944)
Citation 2
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14.

Common Factors of the Exchange Risk Premium in Emerging European Markets

Bulletin of Economic Research, Vol. 64, pp. s71-s85, 2012
Number of pages: 15 Posted: 11 Dec 2012
Joseph Byrne and Jun Nagayasu
Heriot-Watt University - Department of Accountancy, Economics and Finance and International Monetary Fund (IMF)
Downloads 1 (788,078)
Citation 1
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common factors, emerging economies, exchange risk premiums, uncovered interest rate parity

15.

The Time-Series Properties of UK Inflation: Evidence from Aggregate and Disaggregate Data

Scottish Journal of Political Economy, Vol. 57, Issue 1, pp. 33-47, February 2010
Number of pages: 15 Posted: 22 Dec 2009
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Department of Economics and University of Stirling - Department of Economics
Downloads 1 (788,078)
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16.

Firm Survival, Uncertainty, and Financial Frictions: Is There a Financial Uncertainty Accelerator?

Economic Inquiry, Vol. 54, Issue 1, pp. 375-390, 2016
Number of pages: 16 Posted: 27 Nov 2015
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Glasgow - Adam Smith Business School and University of Glasgow - Adam Smith Business School
Downloads 0 (805,085)
Citation 2
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17.

The Global Dimension to Fiscal Sustainability

Journal of Macroeconomics, Vol. 33, No. 1, 2011
Posted: 25 Oct 2014
Heriot-Watt University - Department of Accountancy, Economics and Finance, World Bank and University of Glasgow - Adam Smith Business School

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Fiscal policy, Sustainability

18.

Permanent and Temporary Inflation Uncertainty and Investment in the United States

Economics Letters, Vol. 85, No. 2, 2004
Posted: 25 Oct 2014
Joseph Byrne and E. Philip Davis
Heriot-Watt University - Department of Accountancy, Economics and Finance and National Institute of Economic and Social Research (NIESR)

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Investment; Permanent and temporary uncertainty; Markov switching

19.

The Time-Varying Risk Price of Currency Portfolios

Number of pages: 54
Heriot-Watt University - Department of Accountancy, Economics and Finance, Heriot Watt University and Okayama University
Downloads 0

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Currency Carry Trades, Risk Price, Time-varying Betas, Factor Model, Nonparametric Model.