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Mario Cerrato

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Mario Cerrato & John Crosby & Muhammad Kaleem, 2011. "Measuring the economic significance of structural exchange rate models," Working Papers 2011_17, Business School - Economics, University of Glasgow.

    Mentioned in:

    1. Exchange rate modelling: is the random walk beatable?
      by Economic Logician in Economic Logic on 2012-01-29 20:49:00

Working papers

  1. Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016. "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," CESifo Working Paper Series 5971, CESifo.

    Cited by:

    1. Patrycja Chodnicka -Jaworska & Piotr Jaworski, 2019. "Insurance Companies – What Determinates Their Credit Ratings," Faculty of Management Working Paper Series 52019, University of Warsaw, Faculty of Management.
    2. David Mhlanga, 2021. "Financial Inclusion in Emerging Economies: The Application of Machine Learning and Artificial Intelligence in Credit Risk Assessment," IJFS, MDPI, vol. 9(3), pages 1-16, July.

  2. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.

    Cited by:

    1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
    2. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.

  3. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.

    Cited by:

    1. Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns : An International Perspective," International Finance Discussion Papers 1199, Board of Governors of the Federal Reserve System (U.S.).

  4. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.

    Cited by:

    1. John Weirstrass Muteba Mwamba & Ehounou Serge Eloge Florentin Angaman, 2021. "Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach," IJFS, MDPI, vol. 9(2), pages 1-17, May.
    2. Christian Bucio Pacheco & Luis Villanueva & Raúl de Jesús Gutiérrez, 2021. "Dependence in the Banking Sector of the United States and Mexico: A Copula Approach," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-23, Septiembr.

  5. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2013. "No Good Deals - No Bad Models," Working Papers 2013_04, Business School - Economics, University of Glasgow.

    Cited by:

    1. Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.

  6. Mario Cerrato & Moorad Choudhry & John Crosby & John Olukuru, 2012. "Why do UK banks securitize?," Working Papers 2012_06, Business School - Economics, University of Glasgow.

    Cited by:

    1. Yiannis Anagnostopoulos & Jackie Kabeega, 2019. "Insider perspectives on European banking challenges in the post-crisis regulation environment," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(2), pages 136-158, June.
    2. Bonnie G. Buchanan, 2016. "Securitization: A Financing Vehicle for All Seasons?," Journal of Business Ethics, Springer, vol. 138(3), pages 559-577, October.
    3. Gimet, Céline & Lagoarde-Segot, Thomas & Reyes-Ortiz, Luis, 2019. "Financialization and the macroeconomy. Theory and empirical evidence," Economic Modelling, Elsevier, vol. 81(C), pages 89-110.
    4. Buchanan, Bonnie G., 2017. "The way we live now: Financialization and securitization," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 663-677.

  7. Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011. "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers 2011_16, Business School - Economics, University of Glasgow.

    Cited by:

    1. Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442, arXiv.org, revised Mar 2013.

  8. Mario Cerrato & Alexander Kadow & Ronald MacDonald, 2010. "Does the euro dominate Central and Eastern European money markets?," Working Papers 2010_21, Business School - Economics, University of Glasgow.

    Cited by:

    1. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Milan Deskar-Škrbiæ & Antonija Buljan & Mirna Dumèiæ, 2020. "Real interest rate convergence and monetary policy independence in CEE countries," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 38(2), pages 349-380.
    3. Cesa-Bianchi, Ambrogio, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," IDB Publications (Working Papers) 4085, Inter-American Development Bank.
    4. Jean-Pierre Allegret & Audrey Allegret-Sallenave, 2016. "Intra-European Union Imbalances and Cyclical Position: Does Monetary Policy Matter?," Post-Print hal-01410832, HAL.
    5. Veronika Kajurová & Dagmar Vágnerová Linnertová, 2022. "The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances," Eastern European Economics, Taylor & Francis Journals, vol. 60(4), pages 330-351, July.

  9. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers 2010-39, Scottish Institute for Research in Economics (SIRE).

    Cited by:

    1. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Nominal Interest Rates and Stationarity," SIRE Discussion Papers 2010-43, Scottish Institute for Research in Economics (SIRE).
    2. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    3. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    4. Chen, Pei-Fen & Zeng, Jhih-Hong & Lee, Chien-Chiang, 2018. "Renminbi exchange rate assessment and competitors' exports: New perspective," China Economic Review, Elsevier, vol. 50(C), pages 187-205.

  10. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2010. "Nominal interest rates and stationarity," Working Papers 2010_17, Business School - Economics, University of Glasgow.

    Cited by:

    1. Gerrit B. Koester & Christoph Priesmeier, 2013. "Does Wagner´s Law Ruin the Sustainability of German Public Finances?," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(3), pages 256-288, September.
    2. Asuamah Yeboah, Samuel, 2017. "Are interest rates unit root in Ghana? An Empirical Assessment," MPRA Paper 99420, University Library of Munich, Germany.
    3. Unn Lindholm & Marcus Mossfeldt & Pär Stockhammar, 2020. "Forecasting inflation in Sweden," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(1), pages 39-68, April.
    4. Katarzyna Czech & Łukasz Pietrych, 2021. "The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches," Risks, MDPI, vol. 9(8), pages 1-17, August.
    5. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.

  11. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2010. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Working Papers 2010_30, Business School - Economics, University of Glasgow.

    Cited by:

    1. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    2. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    3. Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.
    4. Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016. "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, vol. 56(C), pages 168-176.

  12. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2009. "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," Working Papers 2009_26, Business School - Economics, University of Glasgow.

    Cited by:

    1. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.

  13. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.

    Cited by:

    1. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    2. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
    3. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    4. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    5. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    6. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    7. K. H. McIntyre & Kristine Harjes, 2016. "Order Flow and the Bitcoin Spot Rate," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 136-147, August.
    8. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2023. "Foreign exchange order flow as a risk factor," Working Papers 2023_03, Business School - Economics, University of Glasgow.
    9. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    10. Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen, 2012. "Order flow, bid–ask spread and trading density in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 597-612.
    11. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
    12. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    13. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    14. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.

  14. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series 2308, CESifo.

    Cited by:

    1. Jaakkola, Niko, 2019. "Carbon taxation, OPEC and the end of oil," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 101-117.
    2. Om Prakash Yadav & Shashwati Ray, 2021. "A novel method of preprocessing and modeling ECG signals with Lagrange–Chebyshev interpolating polynomials," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 12(3), pages 377-390, June.
    3. Alejandro Mosiño, 2012. "Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 13-27, January.
    4. Mosiño, Alejandro, 2012. "Producing energy in a stochastic environment: Switching from non-renewable to renewable resources," Resource and Energy Economics, Elsevier, vol. 34(4), pages 413-430.
    5. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.

  15. Mario Cerrato, 2008. "Valuing American Derivatives by Least Squares Methods," Working Papers 2008_12, Business School - Economics, University of Glasgow, revised Sep 2008.

    Cited by:

    1. Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Business School - Economics, University of Glasgow.
    2. Ursula Silveira Monteiro de Lima & Carlos Patricio Samanez, 2016. "Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-14, December.

  16. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Business School - Economics, University of Glasgow.

    Cited by:

    1. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
    2. Elmi, Zahra (Mila) & Ranjbar, Omid, 2013. "Nonlinear adjustment to the mean reversion of consumption–income ratio," Economic Modelling, Elsevier, vol. 35(C), pages 477-480.
    3. Steven Cook, 2003. "The nonstationarity of the consumption-income ratio: Evidence from more powerful Dickey-Fuller tests," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 393-395.

  17. Mario Cerrato & Christian de Peretti & Nick Sarantis, 2008. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers 2008_08, Business School - Economics, University of Glasgow.

    Cited by:

    1. Matteo Lanzafame, 2014. "Current account sustainability in advanced economies," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(7), pages 1000-1017, October.
    2. Giray Gozgor, 2013. "Testing Unemployment Persistence in Central and Eastern European Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 694-700.
    3. Lau, Marco Chi Keung & Fung, Ka Wai Terence, 2013. "Convergence in Health Care Expenditure of 14 EU Countries: New Evidence from Non-linear Panel Unit Root Test," MPRA Paper 52871, University Library of Munich, Germany.
    4. Rickard Sandberg, 2016. "Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends: an application to Scandinavian unemployment rates," Empirical Economics, Springer, vol. 51(3), pages 1053-1083, November.
    5. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
    6. Apergis, Nicholas & Gupta, Rangan & Lau, Chi Keung Marco & Mukherjee, Zinnia, 2018. "U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 521-530.
    7. Chi-Keung Lau, 2010. "Convergence Across the United States: Evidence from Panel ESTAR Unit Root Test," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(1), pages 52-64, February.
    8. Kim, Hyeongwoo & Kim, Jintae, 2018. "London calling: Nonlinear mean reversion across national stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 265-277.
    9. Matteo Lanzafame, 2010. "The nature of regional unemployment in Italy," Empirical Economics, Springer, vol. 39(3), pages 877-895, December.
    10. Vinh Q. T. Dang & Yu (Alan) Yang, 2017. "Assessing Market Integration in ASEAN with Retail Price Data," Pacific Economic Review, Wiley Blackwell, vol. 22(4), pages 510-532, October.
    11. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
    12. Mario Cerrato & Christian De Peretti & Chris Stewart, 2013. "Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non-Linear Panel Unit Root Tests For Oecd And Non-Oecd Countries," Manchester School, University of Manchester, vol. 81(1), pages 102-120, January.
    13. Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie, 2012. "Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test," Economic Modelling, Elsevier, vol. 29(3), pages 810-816.
    14. Marco Lau & Yongyang Su & Na Tan & Zhe Zhang, 2014. "Hedging China’s energy oil market risks," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 99-112, June.
    15. Aysegul Corakci & Tolga Omay & Mübariz Hasanov, 2022. "Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics," Oeconomia Copernicana, Institute of Economic Research, vol. 13(1), pages 11-55, March.
    16. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.
    17. Herrerias, M.J. & Ordoñez, J., 2012. "New evidence on the role of regional clusters and convergence in China (1952–2008)," China Economic Review, Elsevier, vol. 23(4), pages 1120-1133.
    18. Barry Harrison & Winston Moore, 2010. "Nonlinearities in Stock Returns for Some Recent Entrants to the EU," NBS Discussion Papers in Economics 2010/1, Economics, Nottingham Business School, Nottingham Trent University.
    19. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Business School - Economics, University of Glasgow.
    20. LAU, Chi Keung Marco, 2010. "New evidence about regional income divergence in China," China Economic Review, Elsevier, vol. 21(2), pages 293-309, June.
    21. Lau, Chi Keung Marco & Chau, Frankie & Deesomsak, Rataporn, 2011. "Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks," MPRA Paper 53602, University Library of Munich, Germany.
    22. Akhmedjonov, Alisher & Lau, Chi Keung, 2012. "Do energy prices converge across Russian regions?," Economic Modelling, Elsevier, vol. 29(5), pages 1623-1631.
    23. Emirmahmutoglu, Furkan & Omay, Tolga, 2014. "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test," Economic Modelling, Elsevier, vol. 40(C), pages 184-190.
    24. Thomas Goda & Chris Stewart & Alejandro Torres García, 2016. "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público 15247, Universidad EAFIT.
    25. Batten, Jonathan A. & Brzeszczynski, Janusz & Ciner, Cetin & Lau, Marco C.K. & Lucey, Brian & Yarovaya, Larisa, 2019. "Price and volatility spillovers across the international steam coal market," Energy Economics, Elsevier, vol. 77(C), pages 119-138.
    26. Nicholas Apergis & Rangan Gupta & Chi Keung Marco Lau & Zinnia Mukherjee, 2016. "An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure," Working Papers 201618, University of Pretoria, Department of Economics.
    27. Cushman, David O. & Michael, Nils, 2011. "Nonlinear trends in real exchange rates: A panel unit root test approach," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1619-1637.
    28. Chang, Ming-Jen & Su, Che-Yi, 2014. "Hysteresis versus natural rate in Taiwan's unemployment: Evidence from the educational attainment categories," Economic Modelling, Elsevier, vol. 43(C), pages 293-304.
    29. Apergis, Nicholas, 2016. "Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions," Energy Economics, Elsevier, vol. 54(C), pages 263-271.
    30. Alisher Akhmedjonov & Marco Chi Keung Lau & Berna Balcı İzgi, 2013. "New evidence of regional income divergence in post-reform Russia," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2675-2682, June.
    31. Suvankulov, Farrukh & Lau, Marco Chi Keung & Ogucu, Fatma, 2012. "Price regulation and relative price convergence: Evidence from the retail gasoline market in Canada," Energy Policy, Elsevier, vol. 40(C), pages 325-334.
    32. Chi Lau & Ka Fung & Lee Pugalis, 2014. "Is health care expenditure across Europe converging? Findings from the application of a nonlinear panel unit root test," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 137-156, December.

  18. Cerrato, Mario & de Peretti, Christian & Stewart, Chris, 2008. "Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries," SIRE Discussion Papers 2008-46, Scottish Institute for Research in Economics (SIRE).

    Cited by:

    1. Apergis, Nicholas & Gupta, Rangan & Lau, Chi Keung Marco & Mukherjee, Zinnia, 2018. "U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 521-530.
    2. Holmes, Mark J. & Otero, Jesús, 2014. "Re-examining the Feldstein–Horioka and Sachs' views of capital mobility: A heterogeneous panel setup," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 1-11.
    3. Apergis, Nicholas & Lau, Marco Chi Keung, 2015. "Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market," Energy Economics, Elsevier, vol. 52(PA), pages 176-182.
    4. Holmes, Mark J. & Shen, Xin, 2013. "A note on the average propensity to consume, wealth and threshold adjustment," Economic Modelling, Elsevier, vol. 35(C), pages 309-313.
    5. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    6. Sakiru Adebola SOLARIN, 2017. "The Stationarity of Consumption-Income Ratios: Nonlinear Evidence in ASEAN Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 109-123, June.
    7. Solarin, Sakiru Adebola & Shahbaz, Muhammad & Stewart, Chris, 2018. "Is the consumption-income ratio stationary in African countries? Evidence from new time series tests that allow for structural breaks," Economics Discussion Papers 2018-2, School of Economics, Kingston University London.
    8. Mark J. HOLMES & Xin SHEN, 2015. "On Wealth Volatility, Asymmetries And The Average Propensity To Consume In The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 69-78.
    9. Thomas Goda & Chris Stewart & Alejandro Torres García, 2016. "Absolute Income Inequality and Rising House Prices," Documentos de Trabajo de Valor Público 15247, Universidad EAFIT.
    10. Batten, Jonathan A. & Brzeszczynski, Janusz & Ciner, Cetin & Lau, Marco C.K. & Lucey, Brian & Yarovaya, Larisa, 2019. "Price and volatility spillovers across the international steam coal market," Energy Economics, Elsevier, vol. 77(C), pages 119-138.
    11. Nicholas Apergis & Rangan Gupta & Chi Keung Marco Lau & Zinnia Mukherjee, 2016. "An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure," Working Papers 201618, University of Pretoria, Department of Economics.

  19. Mario Cerrato & Kan Kwok Cheung, 2007. "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006 49, Money Macro and Finance Research Group.

    Cited by:

    1. Lukito Adi Nugroho, 2017. "Real options valuation of franchise territorial exclusivity," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1262490-126, January.
    2. S. Alonso & V. Azofra & G. De La Fuente, 2014. "What do you do when the binomial cannot value real options? The LSM model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-17, December.

  20. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group.

    Cited by:

    1. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi & Lau, Evan, 2005. "Real Financial Integration among the East Asian Economies: A SURADF Panel Approach," MPRA Paper 2021, University Library of Munich, Germany, revised Feb 2007.

  21. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Black Market And Official Exchange Rates:Long-Run Equilibrium And Short-Run Dynamics," Public Policy Discussion Papers 05-04, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Onour, Ibrahim, 2018. "Technical Trading Rules and Trading Signals in the Black Market for Foreign Exchange in Sudan," MPRA Paper 83919, University Library of Munich, Germany.
    2. Sovannroeun Samreth, 2010. "A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia," Economics Bulletin, AccessEcon, vol. 30(2), pages 1044-1053.
    3. Gina Pieters, 2016. "Does bitcoin reveal new information about exchange rates and financial integration?," Globalization Institute Working Papers 292, Federal Reserve Bank of Dallas.
    4. Ferit Kula & Alper Aslan & lhan zt rk, 2014. "Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 494-500.
    5. Ricky Chee Jiun Chia & Shiok Ye Lim & Sheue Li Ong, 2014. "Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1438-1447.
    6. Huett, Hannes & Krapf, Matthias & Uysal, S. Derya, 2014. "Price dynamics in the Belarusian black market for foreign exchange," Journal of International Economics, Elsevier, vol. 94(1), pages 169-176.
    7. Yanping Zhao & Jakob Haan & Bert Scholtens & Haizhen Yang, 2014. "Sudden Stops and Currency Crashes," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 660-685, September.

  22. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Guglielmo Maria Caporale & Christoph Hanck, 2010. "Are PPP tests erratically behaved? Some panel evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
    2. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
    3. Edward Bernard Bastiaan de Rivera y Rivera & Diógenes Manoel Leiva Martin & Emerson Fernandes Marçal & Leonardo Fernando Cruz Basso, 2012. "Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 51-86, October.
    4. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
    5. Herzer, Dierk, 2015. "The long-run effect of foreign direct investment on total factor productivity in developing countries: A panel cointegration analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112827, Verein für Socialpolitik / German Economic Association.
    6. Miles, William, 2020. "House price convergence in the euro zone: A pairwise approach," Economic Systems, Elsevier, vol. 44(3).
    7. Woo, Kai-Yin & Lee, Shu-Kam, 2009. "Detecting intra-national PPP model in China: A median-unbiased estimation approach," Economic Modelling, Elsevier, vol. 26(5), pages 1029-1032, September.
    8. Herzer, Dierk & Strulik, Holger, 2013. "Religiosity and income: A panel cointegration and causality analysis," University of Göttingen Working Papers in Economics 168, University of Goettingen, Department of Economics.
    9. Norkutė, Milda & Westerlund, Joakim, 2021. "The factor analytical approach in near unit root interactive effects panels," Journal of Econometrics, Elsevier, vol. 221(2), pages 569-590.
    10. Herzer, Dierk, 2014. "The long-run relationship between trade and population health: evidence from five decades," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100441, Verein für Socialpolitik / German Economic Association.
    11. Ryan Greenaway-McGrevy & Donggyu Sul & Nelson Mark & Jyh-Lin Wu, 2017. "Identifying Exchange Rate Common Factors," NBER Working Papers 23726, National Bureau of Economic Research, Inc.
    12. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.
    13. Julian Ramajo & Montserrat Ferre, 2010. "Purchasing power parity revisited: evidence from old and new tests for an organisation for economic co-operation and development panel," Applied Economics, Taylor & Francis Journals, vol. 42(17), pages 2243-2260.
    14. Herzer, Dierk, 2014. "Unions and income inequality: a heterogenous cointegration and causality analysis," Working Paper 146/2014, Helmut Schmidt University, Hamburg.
    15. Luis Alberiko Gil-Alaña & Guiglielmo Maria Caporale, 2012. "Testing the PPP Hypothesis in the Sub-Saharan Countries," NCID Working Papers 10/2012, Navarra Center for International Development, University of Navarra.
    16. Guglielmo Maria Caporale & Andros Gregoriou, 2009. "Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 223-226.
    17. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
    18. Luke Lin & Chun I. Lee, 2016. "Central Bank Intervention, Exchange Rate Regime and the Purchasing Power Parity," The World Economy, Wiley Blackwell, vol. 39(8), pages 1256-1274, August.
    19. Paweł Baranowski, 2005. "Wpływ inflacji na inwestycje w kapitał rzeczowy w krajach Unii Europejskiej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 11-12, pages 19-30.
    20. Bahram Adrangi & Mary E. Allender & Kambiz Raffiee, 2011. "Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-16, April.
    21. Luzzati, Tommaso & Orsini, Marco & Gucciardi, Gianluca, 2018. "A multiscale reassessment of the Environmental Kuznets Curve for energy and CO2 emissions," Energy Policy, Elsevier, vol. 122(C), pages 612-621.

  23. Cerrato, Mario & Nicholas Sarantis, 2003. "Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates," Royal Economic Society Annual Conference 2003 40, Royal Economic Society.

    Cited by:

    1. Jean-François Hoarau, 2010. "Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks," Post-Print hal-01243461, HAL.
    2. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
    3. Mario Cerrato & Nick Sarantis, 2006. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-14.

  24. Cerrato, Mario, 2002. "The Cross Sectional Dependence Puzzle," Royal Economic Society Annual Conference 2002 42, Royal Economic Society.

    Cited by:

    1. Cerrato, Mario & Sarantis, Nicholas, 2008. "Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 56-65.
    2. Shu-Chen Chang, 2008. "Asymmetric cointegration relationship among Asian exchange rates," Economic Change and Restructuring, Springer, vol. 41(2), pages 125-141, June.
    3. Ceyhun Can Ozcan & Ahmet Sahbaz & Ugur Ad?guzel & Saban Nazlioglu, 2014. "The Nature of Shocks to Turkish exchange rates: what panel approach says?," Proceedings of Economics and Finance Conferences 0401591, International Institute of Social and Economic Sciences.
    4. Adiguzel, Ugur & Sahbaz, Ahmet & Ozcan, Ceyhun Can & Nazlioglu, Saban, 2014. "The behavior of Turkish exchange rates: A panel data perspective," Economic Modelling, Elsevier, vol. 42(C), pages 177-185.
    5. Mehmet Balcilar & Rangan Gupta & Chien-Chiang Lee & Godwin Olasehinde-Williams, 2018. "Insurance-Growth Nexus in Africa," Working Papers 201801, University of Pretoria, Department of Economics.
    6. Balcilar, Mehmet & Gupta, Rangan & Lee, Chien-Chiang & Olasehinde-Williams, Godwin, 2020. "Insurance and economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 54(C).
    7. Honoré Tekam Oumbé & Ronald Djeunankan & Alain Mekia Ndzana, 2023. "Does information and communication technologies affect economic complexity?," SN Business & Economics, Springer, vol. 3(4), pages 1-25, April.

Articles

  1. Gurdip Bakshi & Mario Cerrato & John Crosby, 2018. "Implications of Incomplete Markets for International Economies," The Review of Financial Studies, Society for Financial Studies, vol. 31(10), pages 4017-4062.

    Cited by:

    1. Chen, Yi-Hsuan & Vinogradov, Dmitri V., 2021. "Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies," IRTG 1792 Discussion Papers 2021-006, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    3. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    4. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    5. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    6. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
    7. Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.

  2. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.

    Cited by:

    1. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    2. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    3. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.
    4. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
    5. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
    6. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
    7. Mynbayeva, Elmira & Lamb, John D. & Zhao, Yuan, 2022. "Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it," European Journal of Operational Research, Elsevier, vol. 301(2), pages 694-707.
    8. Le, Trung H., 2021. "International portfolio allocation: The role of conditional higher moments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 33-57.
    9. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    10. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
    11. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    12. Inkmann, Joachim, 2024. "Aggregate portfolio choice," Journal of Empirical Finance, Elsevier, vol. 77(C).

  3. Caporale, Guglielmo Maria & Cerrato, Mario & Zhang, Xuan, 2017. "Analysing the determinants of insolvency risk for general insurance firms in the UK," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 107-122.

    Cited by:

    1. Noreen, Uzma, 2020. "The Estimation of Risk Management Efficiency and its Determinants," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 54(1), pages 69-79.
    2. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    3. Jhonni Sinaga & Adler Haymans Manurung & Nera Marinda Machdar & John Edward Harly Jacob FoEh, 2023. "Internal and External Determinants of Risk Based Capital," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(2), pages 1-5.
    4. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
    5. Hoang Tien Nguyen & Ai Ngoc Nhan Le & Quang Thu Luu & Ngoc Thi Thanh Nguyen & Khoa Dang Duong, 2023. "Foreign Ownership, Investor Attention and the Risk-Taking Behavior of Property and Casualty Insurance Firms: Evidence From Vietnam," SAGE Open, , vol. 13(4), pages 21582440231, December.
    6. Daniel Attah-Kyei & Charles Andoh & Saint Kuttu, 2023. "Risk, technical efficiency and capital requirements of Ghanaian insurers," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-27, December.
    7. Md. Nur Alam Siddik & Md. Emran Hosen & Md. Firoze Miah & Sajal Kabiraj & Shanmugan Joghee & Swamynathan Ramakrishnan, 2022. "Impacts of Insurers’ Financial Insolvency on Non-Life Insurance Companies’ Profitability: Evidence from Bangladesh," IJFS, MDPI, vol. 10(3), pages 1-15, September.
    8. Yousef Abdel Latif Abdel Jawad & Issam Ayyash, 2019. "Determinants of the Solvency of Insurance Companies in Palestine," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(6), pages 188-195, October.
    9. Barry Sheehan & Christian Humberg & Darren Shannon & Michael Fortmann & Stefan Materne, 2023. "Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 872-905, October.
    10. Mario Cerrato & Paolo Coccorese & Xuan Zhang, 2020. "The Informational Content of Default Risk in UK Insurance Firms," Working Papers 2020_06, Business School - Economics, University of Glasgow.
    11. Anggy Renaldo & Unggul Purwohedi & Gatot Nazir Ahmad, 2021. "Determinants of the Risk-Based Capital of Insurance Companies in Indonesia," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 72-77, September.
    12. Ignacio Moreno & Purificación Parrado‐Martínez & Antonio Trujillo‐Ponce, 2020. "Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2965-2994, September.
    13. Tomasz Berent & Radosław Rejman, 2021. "Bankruptcy Prediction with a Doubly Stochastic Poisson Forward Intensity Model and Low-Quality Data," Risks, MDPI, vol. 9(12), pages 1-24, December.
    14. Laura Chiaramonte & Alberto Dreassi & Andrea Paltrinieri & Stefano Piserà, 2020. "Sustainability Practices and Stability in the Insurance Industry," Sustainability, MDPI, vol. 12(14), pages 1-25, July.
    15. Karolina Puławska, 2021. "Financial Stability of European Insurance Companies during the COVID-19 Pandemic," JRFM, MDPI, vol. 14(6), pages 1-16, June.

  4. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2017. "The joint credit risk of UK global‐systemically important banks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(10), pages 964-988, October.

    Cited by:

    1. Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers 2401.03443, arXiv.org.
    2. Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
    3. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
    4. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
    5. Zhang, Xuan & Kim, Minjoo & Yan, Cheng & Zhao, Yang, 2024. "Default dependence in the insurance and banking sectors: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    6. Prakash Singh & Sukriti Kumar, 2018. "Risks in banks and its impact on volatility of market returns: an empirical approach," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 17(2), pages 125-138.
    7. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).

  5. Mario Cerrato & Huseyin Kalyoncu & Naveed Hassan Naqvi & Christopher Tsoukis, 2015. "Current Accounts in the Long Run and the Intertemporal Approach: A Panel Data Investigation," The World Economy, Wiley Blackwell, vol. 38(2), pages 340-359, February.

    Cited by:

    1. Matthieu Bussiere & Aikaterini Karadimitropoulou & Miguel A. Leon-Ledesma, 2017. "Current account dynamics and the real exchange rate: disentangling the evidence," Working Papers 239, Bank of Greece.
    2. António Afonso & Florence Huart & João Tovar Jalles & Piotr Stanek, 2018. "Twin Deficits Revisited: a role for fiscal institutions?," Working Papers REM 2018/31, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Ghassan, Hassan B. & Drissi, Ramzi, 2016. "Intertemporal Modeling of the Current Account," MPRA Paper 96729, University Library of Munich, Germany, revised 2018.
    4. Dibooglu, Sel & Kapounek, Svatopluk, 2021. "The US current account, sustainability, and the international monetary system," Economic Systems, Elsevier, vol. 45(4).
    5. Ghassan, Hassan B. & Alhajhoj, Hassan R. & Balli, Faruk, 2020. "Bi-Demographic and Current Account Dynamics using SVAR Model: Evidence from Saudi Arabia," MPRA Paper 109772, University Library of Munich, Germany, revised Jun 2021.
    6. Ghassan, Hassan B. & Al-Jefri, Essam H., 2015. "الحساب الجاري في المدى البعيد عبر نموذج داخلي الزمن [The Current Account in the Long Run through the Intertemporal Model]," MPRA Paper 66527, University Library of Munich, Germany.
    7. Ghassan, Hassan B. & Al-Jefri, Essam H., 2015. "نموذج نظري إسلامي داخلي الزمن للحساب الجاري [Islamic Theoretical Intertemporal Model of the Current Account]," MPRA Paper 69963, University Library of Munich, Germany, revised 11 Jan 2016.
    8. Ghassan, Hassan B. & Drissi, Ramzi, 2015. "Long Run Current Account through theoretical Intertemporal Model," MPRA Paper 71997, University Library of Munich, Germany, revised 04 Apr 2015.
    9. Ghassan, Hassan B. & Al-Jefri, Essam H., 2016. "الحساب الجاري للاقتصاد السعودي عبر نموذج داخلي الزمن دلائل من منهجية نموذج التقهقر الذاتي البنيوي [The Current Account of Saudi Economy through Intertemporal Model: Evidence from SVAR]," MPRA Paper 80302, University Library of Munich, Germany, revised Jun 2017.

  6. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    See citations under working paper version above.
  7. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2013. "Equilibrium exchange rate determination and multiple structural changes," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 52-66.
    See citations under working paper version above.
  8. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2013. "Nominal interest rates and stationarity," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 741-745, May.
    See citations under working paper version above.
  9. Mario Cerrato & Christian De Peretti & Chris Stewart, 2013. "Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non-Linear Panel Unit Root Tests For Oecd And Non-Oecd Countries," Manchester School, University of Manchester, vol. 81(1), pages 102-120, January.
    See citations under working paper version above.
  10. Kadow, Alexander & Cerrato, Mario & MacDonald, Ronald & Straetmans, Stefan, 2013. "Does the euro dominate Central and Eastern European money markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 700-718.
    See citations under working paper version above.
  11. Cerrato, Mario & Sarantis, Nicholas & Saunders, Alex, 2011. "An investigation of customer order flow in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1892-1906, August.
    See citations under working paper version above.
  12. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.

    Cited by:

    1. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
    2. Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011. "Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?," Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
    3. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2015. "Microstructure order flow: statistical and economic evaluation of nonlinear forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 40-52.
    4. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    5. Michael Wegener & Göran Kauermann, 2017. "Forecasting in nonlinear univariate time series using penalized splines," Statistical Papers, Springer, vol. 58(3), pages 557-576, September.
    6. Buncic, Daniel, 2017. "Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models," Working Paper Series 344, Sveriges Riksbank (Central Bank of Sweden).
    7. Xie, Zixiong & Chen, Shyh-Wei & Hsieh, Chun-Kuei, 2021. "Facing up to the polysemy of purchasing power parity: New international evidence," Economic Modelling, Elsevier, vol. 98(C), pages 247-265.

  13. Guglielmo Caporale & Mario Cerrato, 2010. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
    See citations under working paper version above.
  14. Cerrato, Mario & Sarantis, Nicholas, 2008. "Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 56-65.

    Cited by:

    1. Manuchehr Irandoust, 2017. "Symmetry, proportionality and productivity bias hypothesis: evidence from panel-VAR models," Economic Change and Restructuring, Springer, vol. 50(1), pages 79-93, February.
    2. Hall, Stephen G. & Hondroyiannis, George & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S., 2013. "Is the relationship between prices and exchange rates homogeneous?," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 411-438.
    3. Hulya Saygili & Mesut Saygili, 2011. "Testing Purchasing Power Parity for the New EU Members and Turkey : Panel Cointegration Analysis with Disaggregated CPI," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 11(2), pages 49-69.
    4. Qiu, Mei & Pinfold, John F. & Rose, Lawrence C., 2011. "Predicting foreign exchange movements using historic deviations from PPP," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 485-497, October.
    5. Julian Ramajo & Montserrat Ferre, 2010. "Purchasing power parity revisited: evidence from old and new tests for an organisation for economic co-operation and development panel," Applied Economics, Taylor & Francis Journals, vol. 42(17), pages 2243-2260.
    6. Ritesh Kumar Mishra & Sanjay Sehgal, 2011. "Exchange rates and prices in purchasing power parity framework: Are bilateral real exchange rates stationary?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 4(3), pages 274-286.
    7. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.

  15. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2008. "The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates," Manchester School, University of Manchester, vol. 76(4), pages 405-423, July.

    Cited by:

    1. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
    2. Woo, Kai-Yin & Lee, Shu-Kam, 2009. "Detecting intra-national PPP model in China: A median-unbiased estimation approach," Economic Modelling, Elsevier, vol. 26(5), pages 1029-1032, September.

  16. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
    See citations under working paper version above.
  17. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.

    Cited by:

    1. Claudio Bravo Ortega & Álvaro García Marín, 2008. "Exploring the Relationship between R&D and Productivity: A Country-Level Study," Working Papers wp282, University of Chile, Department of Economics.
    2. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
    3. M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," CESifo Working Paper Series 2193, CESifo.
    4. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
    5. Gabriel Bruneau & Kevin Moran, 2012. "Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries," Cahiers de recherche 1227, CIRPEE.
    6. Ren, Tongxian & Long, Zhihe & Zhang, Rengui & Chen, Qingqing, 2014. "Moran's I test of spatial panel data model — Based on bootstrap method," Economic Modelling, Elsevier, vol. 41(C), pages 9-14.
    7. Mario Cerrato & Christian de Peretti & Rolf Larsson & Nicholas Sarantis, 2011. "A nonlinear panel unit root test under cross section dependence," Working Papers 2011_08, Business School - Economics, University of Glasgow.
    8. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
    9. Emirmahmutoglu, Furkan & Omay, Tolga, 2014. "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test," Economic Modelling, Elsevier, vol. 40(C), pages 184-190.
    10. Shin, Dong Wan & Park, Sangun, 2010. "Robust panel unit root tests for cross-sectionally dependent multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2801-2813, November.
    11. Bravo-Ortega, Claudio & García Marín, Álvaro, 2011. "R&D and Productivity: A Two Way Avenue?," World Development, Elsevier, vol. 39(7), pages 1090-1107, July.

  18. Mario Cerrato & Nicholas Sarantis, 2007. "Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 427-444.

    Cited by:

    1. Jean-François Hoarau, 2010. "Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks," Post-Print hal-01243461, HAL.
    2. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
    3. Simón Sosvilla-Rivero & Emma García, "undated". "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA.
    4. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
    5. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009. "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers 2009-07, Scottish Institute for Research in Economics (SIRE).
    6. Si Mohammed, Kamel & Chérif touil, Noreddine & Maliki, Samir, 2015. "An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic," MPRA Paper 75285, University Library of Munich, Germany.
    7. Alper ASLAN, 2010. "The validity of PPP: evidence from Lagrange multiplier unit root tests for ASEAN countries," Economics Bulletin, AccessEcon, vol. 30(2), pages 1433-1443.
    8. Ritesh Kumar Mishra & Sanjay Sehgal, 2011. "Exchange rates and prices in purchasing power parity framework: Are bilateral real exchange rates stationary?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 4(3), pages 274-286.
    9. Michael Morrison & Matías Fontenla, 2013. "Price convergence in an online virtual world," Empirical Economics, Springer, vol. 44(3), pages 1053-1064, June.
    10. Ceyhun Can Ozcan & Ahmet Sahbaz & Ugur Ad?guzel & Saban Nazlioglu, 2014. "The Nature of Shocks to Turkish exchange rates: what panel approach says?," Proceedings of Economics and Finance Conferences 0401591, International Institute of Social and Economic Sciences.
    11. He, Huizhen & Ranjbar, Omid & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Old wine with new bottle," Japan and the World Economy, Elsevier, vol. 28(C), pages 24-32.
    12. Mohsen Bahmani‐Oskooee & Scott W. Hegerty, 2009. "Purchasing Power Parity In Less‐Developed And Transition Economies: A Review Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 617-658, September.
    13. Mario Gómez Aguirre & José Carlos A. Rodríguez Chávez, 2012. "Análisis de la paridad del poder de compra: evidencia empírica entre México y Estados Unidos," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 169-207.
    14. Adiguzel, Ugur & Sahbaz, Ahmet & Ozcan, Ceyhun Can & Nazlioglu, Saban, 2014. "The behavior of Turkish exchange rates: A panel data perspective," Economic Modelling, Elsevier, vol. 42(C), pages 177-185.
    15. A. Oznur Umit, 2016. "Stationarity of Real Exchange Rates in the ¡°Fragile Five¡±: Analysis with Structural Breaks," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 254-270, April.

  19. Guglielmo Maria Caporale & Mario Cerrato, 2006. "Panel data tests of PPP: a critical overview," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 73-91.
    See citations under working paper version above.
  20. Mario Cerrato & Nick Sarantis, 2006. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-14.

    Cited by:

    1. Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
    2. Mohsen Bahmani‐Oskooee & Ali M. Kutan & Su Zhou, 2008. "Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries?," Southern Economic Journal, John Wiley & Sons, vol. 74(4), pages 1049-1062, April.
    3. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Kamrul Hassan & Ruhul Salim, 2011. "The linkage between relative population growth and purchasing power parity," International Journal of Development Issues, Emerald Group Publishing Limited, vol. 10(2), pages 154-169, July.
    5. Mohsen Bahmani‐Oskooee & Scott W. Hegerty, 2009. "Purchasing Power Parity In Less‐Developed And Transition Economies: A Review Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 617-658, September.
    6. Orlando, Giuseppe & Bufalo, Michele, 2022. "Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model," Finance Research Letters, Elsevier, vol. 47(PA).
    7. Dilem Yıldırım, 2016. "Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests," ERC Working Papers 1604, ERC - Economic Research Center, Middle East Technical University, revised Apr 2016.
    8. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
    9. Sahar Bahmani, 2007. "Do budget deficits follow a linear or non-linear path?," Economics Bulletin, AccessEcon, vol. 5(14), pages 1-9.

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