Roberto S. Mariano

Singapore Management University

50 Stamford Rd.

Singapore 912409, 178899

Singapore

SCHOLARLY PAPERS

15

DOWNLOADS

4,079

CITATIONS

73

Scholarly Papers (15)

1.

Bank Lending and Real Estate in Asia: Market Optimism and Asset Bubbles

Number of pages: 20 Posted: 04 Dec 2004
Singapore Management University - School of Social Sciences, Singapore Management University, Simon Fraser University (SFU) - Finance Area, Singapore Management University - School of Economics, Singapore Management University - School of Social Sciences and University of Pennsylvania - Wharton School, Department of Real Estate
Downloads 911 (24,436)
Citation 9

Abstract:

Loading...

Real estate bubble, lender optimism, disaster myopia, Asian financial crisis

2.

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

PIER Working Paper No. 06-016
Number of pages: 32 Posted: 12 Jun 2006
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences
Downloads 802 (29,246)
Citation 3

Abstract:

Loading...

Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

3.

Markov Switching GARCH Models of Currency Crises in Southeast Asia

PIER Working Paper No. 03-008
Number of pages: 44 Posted: 04 Apr 2003
Board of Governors of the Federal Reserve System, Singapore Management University, University of Pennsylvania - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 533 (50,384)
Citation 1

Abstract:

Loading...

Currency Crises, Markov Switching Models, Volatility

4.

Markov Chains in Predictive Models of Currency Crises - with Applications to Southeast Asia

PIER Working Paper No. 02-013
Number of pages: 35 Posted: 27 May 2002
Singapore Management University, International Monetary Fund (IMF) - Research Department, University of Pennsylvania - Finance Department, University of Pennsylvania - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 450 (62,319)
Citation 4

Abstract:

Loading...

5.

Underpriced Default Spread Exacerbates Market Crashes

U of Penn, Inst for Law & Econ Research Paper No. 06-13
Number of pages: 34 Posted: 23 Jun 2006
Singapore Management University - School of Social Sciences, Singapore Management University, Simon Fraser University (SFU) - Finance Area, Singapore Management University - School of Economics, Singapore Management University - School of Social Sciences and University of Pennsylvania - Wharton School, Department of Real Estate
Downloads 245 (123,161)
Citation 3

Abstract:

Loading...

real estate bubble, lender optimism, disaster myopia, Asian financial crisis

6.

A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

PIER Working Paper No. 02-014
Number of pages: 25 Posted: 23 Jul 2002
Roberto S. Mariano and Yasutomo Murasawa
Singapore Management University and Konan University
Downloads 226 (133,488)
Citation 79

Abstract:

Loading...

7.

Statistical Tests for Multiple Forecast Comparison

Journal of Econometrics, Vol. 169, 2012
Number of pages: 16 Posted: 15 Aug 2012
Roberto S. Mariano and Daniel P. A. Preve
Singapore Management University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 169 (174,549)
Citation 5

Abstract:

Loading...

forecast comparison, multivariate tests of equal predictive ability, Diebold–Mariano test, finite-sample correction

8.

Comparing Predictive Accuracy

NBER Working Paper No. t0169
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 27 Oct 2008
Francis X. Diebold and Roberto S. Mariano
University of Pennsylvania - Department of Economics and Singapore Management University
Downloads 159 (183,865)

Abstract:

Loading...

9.

Open Versus Sealed-Bid Auctions: Testing for Revenue Equivalence Under Singapore's Vehicle Quota System

Singapore Management U. Economics and Social Sciences Working Paper No. 16-2003
Number of pages: 21 Posted: 10 Jan 2005
Winston T.H. Koh, Roberto S. Mariano and Yiu Kuen Tse
Singapore Management University - School of Social Sciences, Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 146 (197,373)

Abstract:

Loading...

Vehicle quotas, licenses, auction theory, revenue equivalence

10.

Econometric Forecasting and High-Frequency Data Analysis

R. Mariano, Y. Tse, ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS, Vol. 13, World Scientific, 2008
Number of pages: 1 Posted: 09 Sep 2009
Roberto S. Mariano and Yiu Kuen Tse
Singapore Management University and Singapore Management University - School of Social Sciences
Downloads 136 (208,945)

Abstract:

Loading...

Econometric Forecasting, High-Frequency Data, Time Series, Seasonality, Compound Autoregressive Processes, Affine Processes, Macroeconomic Modeling, Evaluating Forecast Uncertainty, Financial Data Analysis

11.

Misaligned Incentives and Mortgage Lending in Asia

U of Penn, Inst for Law & Econ Research Paper No. 08-27
Number of pages: 33 Posted: 22 Oct 2008 Last Revised: 04 Sep 2013
University of Southern California - Lusk Center for Real Estate, Singapore Management University, Simon Fraser University (SFU) - Finance Area and University of Pennsylvania - Wharton School, Department of Real Estate
Downloads 123 (225,923)
Citation 3

Abstract:

Loading...

real estate, mortgage securitization, banking, instability, mortgage-backed securities, MBS markets, Asia

12.

Markov Switching Garch Models of Currency Turmoil in Southeast Asia

FRB International Finance Discussion Paper No. 889
Number of pages: 44 Posted: 03 Apr 2007
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Board of Governors of the Federal Reserve System
Downloads 112 (241,980)
Citation 13

Abstract:

Loading...

Currency crises, Financial markets, Banking sector, Regime Switching, Volatility

Testing Under Non-Standard Conditions in Frequency Domain: With Applications to Markov Regime Switching Models of Exchange Rates and the Federal Funds Rate

FRB of New York Staff Report No. 23
Number of pages: 59 Posted: 17 Nov 2006
Roberto S. Mariano
Singapore Management University
Downloads 65 (342,526)
Citation 1

Abstract:

Loading...

markov regime switching, fourier transformation, periodogram, power spectrum, asymptotics, simulation, boostrap

Testing Under Non-Standard Conditions in Frequency Domain: With Applications to Markov Regime Switching Models of Exchange Rates and the Federal Funds Rate

Federal Reserve Bank of New York Staff Reports No. 23
Posted: 08 Mar 1998
Frank F. Gong and Roberto S. Mariano
Bank of America - Bank of America, Hong Kong and Singapore Management University

Abstract:

Loading...

14.

A Coincident Index, Common Factors, and Monthly Real GDP

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 1, pp. 27-46, February 2010
Number of pages: 20 Posted: 21 Dec 2009
Roberto S. Mariano and Yasutomo Murasawa
Singapore Management University and Konan University
Downloads 2 (630,635)
Citation 21
  • Add to Cart

Abstract:

Loading...

15.

Monetary Policy Cooperation to Support Asian Economic Integration

The Singapore Economic Review (SER), 2010
Posted: 07 Jun 2010
Singapore Management University, Singapore Management University, Singapore Management University and Singapore Management University - School of Social Sciences

Abstract:

Loading...

Regional Economic Integration, Monetary Policy Cooperation, Exchange Rate Arrangements, Sequencing