Mico Loretan

Swiss National Bank

Economic Adviser

Fraumuensterstr. 8

Zuerich, 8022

Switzerland

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,619

SSRN RANKINGS

Top 14,619

in Total Papers Downloads

2,691

CITATIONS
Rank 9,642

SSRN RANKINGS

Top 9,642

in Total Papers Citations

45

Scholarly Papers (11)

1.

Evaluating Correlation Breakdowns During Periods of Market Volatility

Board of Governors of the Federal Reserve System International Finance Working Paper No. 658
Number of pages: 33 Posted: 10 Jul 2000
Mico Loretan and William B. English
Swiss National Bank and Government of the United States of America - Division of Monetary Affairs
Downloads 1,155 (12,310)
Citation 27

Abstract:

Risk management, Conditional Correlation

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Copenhagen Business School, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Federal Reserve Board - Division of Monetary Affairs, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 631 (25,055)
Citation 3

Abstract:

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

FRB International Finance Discussion Paper No. 905
Number of pages: 54 Posted: 06 Nov 2007
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 88 (246,330)
Citation 3

Abstract:

Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

BIS Working Paper No. 249
Number of pages: 49 Posted: 16 Apr 2008
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 49 (339,876)
Citation 3

Abstract:

realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

4.

Private Information, Stock Markets, and Exchange Rates

BIS Working Paper No. 271
Number of pages: 29 Posted: 29 Jul 2009
Copenhagen Business School, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 100 (207,357)
Citation 2

Abstract:

Exchange rate models, market microstructure approach, asymmetric information, Thailand, generated regressors, impulse response functions, I(1) measurement error

5.

The Development of Money Markets in Asia

BIS Quarterly Review, September 2008
Number of pages: 13 Posted: 18 Jul 2012
Mico Loretan and Philip D. Wooldridge
Swiss National Bank and Bank for International Settlements (BIS)
Downloads 99 (169,601)
Citation 4

Abstract:

6.

International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

BIS Working Paper No. 287
Number of pages: 19 Posted: 27 Aug 2009
Copenhagen Business School, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 89 (218,656)
Citation 1

Abstract:

foreign exchange market, capital flows, Thailand, equity market, nonresident investors, portfolio rebalancing

7.

A Note on the Coefficient of Determination in Models with Infinite Variance Variables

FRB International Finance Discussion Paper No. 895
Number of pages: 37 Posted: 27 Jun 2007
Jeong-Ryeol Kurz-Kim and Mico Loretan
Deutsche Bundesbank and Swiss National Bank
Downloads 75 (255,454)
Citation 2

Abstract:

regression models, alpha-stable distributions, infinite variance, coefficient of determination, Fama-MacBeth regression, Monte Carlo simulation, signal-to-noise ratio, density transformation theorem

8.

Private Information, Capital Flows, and Exchange Rates

IMF Working Paper No. 12/213
Number of pages: 29 Posted: 01 Nov 2012
Copenhagen Business School, Swiss National Bank and affiliation not provided to SSRN
Downloads 32 (369,820)

Abstract:

Order Flow, Private Information, Exchange Rate Models, Market Microstructure, Capital Flows, Exchange Rates, Foreign Investment, Stock Markets, Economic Models

9.

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

IMF Working Paper No. 12/214
Number of pages: 20 Posted: 01 Nov 2012
Copenhagen Business School, Swiss National Bank and affiliation not provided to SSRN
Downloads 30 (388,473)
Citation 1

Abstract:

Capital Flows, Equity Market, Portfolio Rebalancing, Exchange Rates, Stock Markets, Exchange Rate Appreciation

10.

A Note on the Coefficient of Determination in Regression Models with Infinite-Variance Variables

Bundesbank Series 1 Discussion Paper No. 2007,10
Number of pages: 40 Posted: 08 Jun 2016
Jeong-Ryeol Kurz-Kim and Mico Loretan
Deutsche Bundesbank and Swiss National Bank
Downloads 0 (506,309)
Citation 2

Abstract:

Regression models, alpha-stable distributions, infinite variance, coefficient of determination, Fama-MacBeth regression, Monte Carlo simulation

11.

Pitfalls in Tests for Changes in Correlations

FRB International Finance Discussion Paper No. 597
Posted: 10 Feb 1998
Brian H. Boyer, Michael S. Gibson and Mico Loretan
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Federal Reserve Board and Swiss National Bank

Abstract: