Giorgio Valente

Hong Kong Institute for Monetary and Financial Research (HKIMR)

Head

One Pacific Place, 10th Floor

88 Queensway

Hong Kong

China

SCHOLARLY PAPERS

30

DOWNLOADS

9,908

SSRN CITATIONS

79

CROSSREF CITATIONS

345

Scholarly Papers (30)

1.
Downloads 5,771 ( 1,813)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

2.
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Citation 13

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 726 (49,187)
Citation 1

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Empirical Asset Pricing, Exchange Rates, Uncovered Equity Parity, International Asset Allocation

What Do Stock Markets Tell Us About Exchange Rates?

Bank of England Working Paper No. 537
Number of pages: 55 Posted: 25 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 106 (350,994)
Citation 8

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Empirical asset pricing, exchange rates, international asset allocation.

What Do Stock Markets Tell Us About Exchange Rates?

CEPR Discussion Paper No. DP10685
Number of pages: 76 Posted: 08 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 1 (930,046)
Citation 3
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

3.
Downloads 483 ( 83,503)
Citation 1

Can Hedge Funds Time the Market?

Number of pages: 11 Posted: 19 Jun 2017 Last Revised: 19 Oct 2017
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 482 (82,941)

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nowcasting, business cycle, hedge funds, market timing

Can Hedge Funds Time the Market?

International Review of Finance, Vol. 19, Issue 2, pp. 459-469, 2019
Number of pages: 11 Posted: 26 May 2020
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 1 (930,046)
Citation 1

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4.

The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective

Number of pages: 39 Posted: 26 Feb 2005
Giorgio Valente, Lucio Sarno and Hyginus Leon
Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Cambridge - Judge Business School and International Monetary Fund (IMF)
Downloads 350 (120,996)
Citation 3

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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

5.

Limits to Speculation and Nonlinearity in Deviations from Uncovered Interest Parity: Empirical Evidence and Implications for the Forward Bias Puzzle

Number of pages: 41 Posted: 06 May 2004
Lucio Sarno, Giorgio Valente and Hyginus Leon
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and International Monetary Fund (IMF)
Downloads 234 (182,546)

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foreign exchange, uncovered interest parity, forward bias, nonlinearity

6.

The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note

Number of pages: 12 Posted: 16 Mar 2004
Gustavo Piga and Giorgio Valente
University of Rome and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 226 (188,566)
Citation 1

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Term Structure of Interest Rates, Expectations Hypothesis, Public Debt Management

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

IMF Working Paper No. 06/136
Number of pages: 44 Posted: 21 Jun 2006
Lucio Sarno, Giorgio Valente and Hyginus Leon
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and International Monetary Fund (IMF)
Downloads 199 (212,263)

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Forward bias puzzle, uncovered interest parity, nonlinearity

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

CEPR Discussion Paper No. 5527
Number of pages: 49 Posted: 15 Jun 2006
Lucio Sarno, Hyginus Leon and Giorgio Valente
University of Cambridge - Judge Business School, International Monetary Fund (IMF) and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 19 (732,754)
Citation 4
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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

8.

Out-of-sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective

Number of pages: 38 Posted: 07 Oct 2010 Last Revised: 12 Apr 2011
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 211 (201,235)
Citation 24

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bond yields, bond excess returns, predictability

9.

Market Liquidity and Funding Liquidity: An Empirical Investigation

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 15/2010
Number of pages: 24 Posted: 30 Jun 2010
Giorgio Valente
Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 182 (229,660)

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Funding Constraints and Market Illiquidity in the European Treasury Bond Market

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 25 May 2016 Last Revised: 09 Aug 2018
Sophie Moinas, Minh Nguyen and Giorgio Valente
Universite de Toulouse 1 Capitole, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 129 (304,722)
Citation 2

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Illiquidity, Asset Pricing, Identification, Heteroskedasticity

11.

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 19/2018
Number of pages: 48 Posted: 27 Aug 2018
George J. Jiang, Ingrid Lo and Giorgio Valente
Washington State University, Bank of Canada and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 161 (254,863)
Citation 4

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High-frequency Trading; Macroeconomic News Announcements; U.S. Treasury Market; Market Liquidity; Price Efficiency

12.

Monetary Policy Rules and Regime Shifts

Number of pages: 26 Posted: 21 Jul 2002
Giorgio Valente
Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 155 (262,898)

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vector autoregression, regime switching, Taylor rule

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

NBER Working Paper No. w8601
Number of pages: 39 Posted: 17 Nov 2001 Last Revised: 02 Jan 2022
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 96 (374,739)
Citation 1

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The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Number of pages: 40 Posted: 23 Apr 2002
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 37 (601,594)
Citation 4
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

BIS Working Paper No. 527
Number of pages: 54 Posted: 16 Nov 2015
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 69 (456,103)

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Bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 70 Posted: 03 Feb 2016
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 63 (478,275)
Citation 6

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bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

15.

Testing the Economic Value of Asset Return Predictability

FRB of St. Louis Working Paper No. 2012-049A
Number of pages: 38 Posted: 24 Oct 2012
Michael W. McCracken and Giorgio Valente
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 104 (353,105)

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Utility-based comparisons, economic value, out-of-sample forecasting, predictability

16.

Revisiting the Predictability of Bond Risk Premia

Number of pages: 36 Posted: 18 Mar 2009
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 84 (403,562)

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bond prices, bond risk premia, predictability

17.

Local Currency Bond Returns in Emerging Market Economies and the Role of Foreign Investors

BIS Paper No. 102i
Number of pages: 9 Posted: 22 May 2019
Inhwan So, Giorgio Valente and Jason Wu
The Bank of Korea, Hong Kong Institute for Monetary and Financial Research (HKIMR) and Hong Kong Monetary Authority
Downloads 82 (409,265)

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bond excess returns, portfolio flows, institutional investors, conditional asset pricing

18.

Computer-Based Trading, Institutional Investors and Treasury Bond Returns

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 20/2018
Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 13 Apr 2022
Xiaoquan Liu, Ingrid Lo, Minh Nguyen and Giorgio Valente
Nottingham University Business School, Bank of Canada, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 71 (443,573)

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Computer-based Trading, Asset Pricing, Institutional Investors, Asset Allocation

19.
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Citation 2

Global Drivers of Gross and Net Capital Flows

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 07/2019
Number of pages: 51 Posted: 17 May 2019 Last Revised: 21 Jun 2022
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Virginia - Department of Economics
Downloads 44 (563,155)

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capital inflows and outflows, gross and net capital flows, financial globalization, global financial cycle, global capital flows cycle

Global Drivers of Gross and Net Capital Flows

Globalization and Monetary Policy Institute Working Paper No. 357
Number of pages: 50 Posted: 22 Apr 2019 Last Revised: 29 Apr 2020
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Virginia - Department of Economics
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capital inflows and outflows, gross and net capital flows, financial globalization, global financial cycle, global capital flows cycle

20.

Local Currency Bond Returns in Emerging Economies and the Role of Foreign Investors

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 10/2019
Number of pages: 10 Posted: 30 May 2019
Inhwan So, Giorgio Valente and Jason Wu
The Bank of Korea, Hong Kong Institute for Monetary and Financial Research (HKIMR) and Hong Kong Monetary Authority
Downloads 55 (502,794)

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Bond excess returns, Portfolio flows, Institutional investors, Conditional asset pricing

21.

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

Number of pages: 45 Posted: 26 Apr 2005
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Term structure of interest rates, markov switching, forecasting

22.

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

CEPR Discussion Paper No. 5259
Number of pages: 34 Posted: 02 Nov 2005
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Expectations hypothesis, term structure of interest rates, vector autoregression

Monetary Policy Rules, Asset Prices and Exchange Rates

Number of pages: 36 Posted: 06 Jan 2004
Jagjit S. Chadha, Lucio Sarno and Giorgio Valente
University of St. Andrews - School of Management, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Interest rate rules, asset prices, exchange rates, monetary policy

Monetary Policy Rules, Asset Prices and Exchange Rates

Centre for Dynamic Macroeconomic Analysis Working Paper Series No. 0403
Posted: 09 May 2005
Jagjit S. Chadha, Lucio Sarno and Giorgio Valente
University of St. Andrews - School of Management, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)

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Asset Prices, exchange rates, interest rate rules, monetary policy.

24.

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

Number of pages: 48 Posted: 26 May 2004
Abhay Abhyankar, Lucio Sarno and Giorgio Valente
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

25.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Number of pages: 39 Posted: 10 Sep 2003
Lucio Sarno, Giorgio Valente and Mark E. Wohar
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Nebraska at Omaha
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

26.

Global Capital Flows Cycle: Impact on Gross and Net Flows

NBER Working Paper No. w25721
Number of pages: 50 Posted: 08 Apr 2019 Last Revised: 13 Apr 2022
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Virginia - Department of Economics
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27.

FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value

Journal of Banking and Finance, Vol. 34, No. 5, 2010, Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 08/2008
Number of pages: 36 Posted: 09 Jun 2022
Wai Ming Fong, Giorgio Valente and Joseph K. W. Fung
The Chinese University of Hong Kong (CUHK) - Department of Finance, Hong Kong Institute for Monetary and Financial Research (HKIMR) and Hong Kong Baptist University
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28.

Federal Funds Rate Prediction

Number of pages: 35 Posted: 21 Oct 2004
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Federal fund rate, forecasting, term structure, nonlinearity

29.

Asset Prices and International Spillovers: An Empirical Investigation

Number of pages: 38 Posted: 21 May 2004
Giorgio Valente and Lucio Sarno
Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Cambridge - Judge Business School
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Asset prices, international spillovers, forecasting, non-linearity

30.

Exchange Rates and Fundamentals: Footloose or Evolving Relationship?

CEPR Discussion Paper No. DP6638
Number of pages: 43 Posted: 05 Jun 2008
Lucio Sarno and Giorgio Valente
University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Citation 1
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Economic fundamentals, exchange rates, forecasting