Mario Cerrato

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

Economics Subject Group, LMBS

London EC2M 6SQ, EC2M 6SQ

United Kingdom

SCHOLARLY PAPERS

12

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CITATIONS
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10

Scholarly Papers (12)

1.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 1,967 (7,352)
Citation 2

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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

2.

Why Do UK Banks Securitize?

Number of pages: 36 Posted: 06 May 2012
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Kent Business School, University of Maryland - Robert H. Smith School of Business and affiliation not provided to SSRN
Downloads 490 (56,461)
Citation 1

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3.

Valuing American Put Options Using Chebyshev Polynomial Approximation

London Metropolitan University Working Paper
Number of pages: 23 Posted: 02 Mar 2005
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 281 (107,507)
Citation 1

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American put options, Bellman equation, Chebyshev polynomial approximation, Chebyshev nodes

4.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Number of pages: 51 Posted: 30 Jun 2014 Last Revised: 20 Jun 2015
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 240 (126,689)

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Asymmetry; Tail dependence; Dependence dynamics; Dynamic skewed t copulas; VaR and ES forecasting

5.

Using Chebyshev Polynomials to Approximate Partial Differential Equations

CESifo Working Paper Series No. 2308
Number of pages: 20 Posted: 28 May 2008
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 197 (153,067)

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European options, Chebyshev polynomial approximation, Chebyshev nodes

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics

CESifo Working Paper No. 1851
Number of pages: 19 Posted: 05 Dec 2006
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 116 (238,814)
Citation 3

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black market and official exchange rates, panel cointegration, impulse response functions

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics

Review of International Economics, Vol. 16, Issue 3, pp. 401-412, August 2008
Number of pages: 12 Posted: 14 Jul 2008
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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7.

The Joint Credit Risk of UK Global-Systemically Important Banks

Journal of Futures Markets, 37(10), 964-988. doi:10.1002/fut.21855
Number of pages: 51 Posted: 28 Oct 2015 Last Revised: 05 Mar 2019
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 79 (305,773)
Citation 1

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Joint credit risk; time-varying and asymmetric dependence structure; market factors; GAS based GHST copula

8.

Higher Order Comoments and Dependence Structure of Equity Portfolio

Number of pages: 43 Posted: 30 Jun 2014
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 47 (396,534)
Citation 2

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Higher Order Comoments, Dependence Structure, Hyperbolic Generalized Skewed t Copula, Generalized Autoregressive Score, Risk Management

9.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 27 (479,908)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

10.

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

Manchester School, Vol. 76, Issue 4, pp. 405-423, July 2008
Number of pages: 19 Posted: 16 Jun 2008
Mario Cerrato, Neil Kellard and Nicholas Sarantis
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Essex - Essex Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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11.

Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation

The World Economy, Vol. 38, Issue 2, pp. 340-359, 2015
Number of pages: 20 Posted: 10 Feb 2015
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), Meliksah University, World Bank and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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12.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 30 Sep 2018
Gurdip Bakshi, Mario Cerrato and John Crosby
Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business

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International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade