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Mario Cerrato

Personal Details

First Name:Mario
Middle Name:
Last Name:Cerrato
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RePEc Short-ID:pce69
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Affiliation

Department of Economics
Adam Smith Business School
University of Glasgow

Glasgow, United Kingdom
http://www.gla.ac.uk/subjects/economics/
RePEc:edi:dpglauk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. 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.
  3. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
  4. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
  10. 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.
  11. Mario Cerrato & Moorad Choudhry & John Crosby & John Olukuru, 2012. "Why do UK banks securitize?," Working Papers 2012_06, Business School - Economics, University of Glasgow.
  12. 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.
  13. 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.
  14. 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.
  15. 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).
  16. Christian de Peretti & Carole Siani & Mario Cerrato, 2010. "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers 2010_05, Business School - Economics, University of Glasgow.
  17. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2010. "Nominal interest rates and stationarity," Working Papers 2010_17, Business School - Economics, University of Glasgow.
  18. 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.
  19. Mario Cerrato, 2010. "The rise and fall of the ABS market," Working Papers 2010_28, Business School - Economics, University of Glasgow.
  20. Cerrato, Mario & Djennad, Abdelmadjid, 2009. "Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)," SIRE Discussion Papers 2009-21, Scottish Institute for Research in Economics (SIRE).
  21. 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.
  22. Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Business School - Economics, University of Glasgow.
  23. 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.
  24. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series 2308, CESifo.
  25. Mario Cerrato, 2008. "Valuing American Derivatives by Least Squares Methods," Working Papers 2008_12, Business School - Economics, University of Glasgow, revised Sep 2008.
  26. Cerrato, Mario & Djennad, Abdelmadjid, 2008. "Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)," SIRE Discussion Papers 2008-02, Scottish Institute for Research in Economics (SIRE).
  27. 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.
  28. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
  29. 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.
  30. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Chebyshev polynomial approximation to approximate partial differential equations," Working Papers 2008_16, Business School - Economics, University of Glasgow.
  31. 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).
  32. Mario Cerrato & Abdelmadjid Djennad, 2008. "Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities," Working Papers 2009_16, Business School - Economics, University of Glasgow, revised Apr 2009.
  33. 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.
  34. 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.
  35. 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.
  36. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Economics and Finance Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  37. Lucio Valerio Spagnolo & Mario Cerrato, 2005. "No euro please, We’re British!," CELPE Discussion Papers 95, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
  38. 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.
  39. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Economics and Finance Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University.
  40. 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.
  41. Cerrato, Mario, 2002. "The Cross Sectional Dependence Puzzle," Royal Economic Society Annual Conference 2002 42, Royal Economic Society.

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.
  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.
  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.
  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.
  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.
  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. 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.
  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.
  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.
  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.
  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.
  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.
  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.
  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.
  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.
  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.
  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.
  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.
  19. Mario Cerrato & Andrea Iannelli, 2006. "Testing For Random Walk And Structural Breaks In Hedge Funds Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 341-358.
  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.
    RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:73-91 is not listed on IDEAS
    RePEc:taf:apfelt:v:1:y:2005:i:1:p:1-4 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 36 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-IFN: International Finance (11) 2002-07-08 2003-07-21 2004-10-18 2004-10-21 2005-03-20 2006-03-05 2007-01-02 2009-03-22 2009-07-28 2010-08-28 2015-12-01. Author is listed
  2. NEP-CBA: Central Banking (9) 2005-07-25 2007-01-02 2008-10-28 2009-03-22 2009-07-28 2010-07-17 2010-08-28 2012-01-18 2012-06-25. Author is listed
  3. NEP-ETS: Econometric Time Series (8) 2004-10-18 2004-10-21 2009-03-22 2009-08-08 2010-04-17 2012-01-18 2012-06-05 2015-08-13. Author is listed
  4. NEP-ECM: Econometrics (7) 2004-10-18 2004-10-21 2008-10-28 2009-08-08 2010-04-17 2015-08-13 2015-12-01. Author is listed
  5. NEP-ORE: Operations Research (5) 2008-10-28 2012-01-18 2015-08-13 2015-12-01 2020-07-13. Author is listed
  6. NEP-BAN: Banking (4) 2010-11-27 2012-05-08 2012-06-25 2015-12-01
  7. NEP-FMK: Financial Markets (4) 2005-07-25 2006-03-05 2010-11-27 2012-05-08
  8. NEP-FOR: Forecasting (4) 2009-07-28 2011-01-16 2012-01-18 2015-08-13
  9. NEP-MON: Monetary Economics (4) 2005-07-25 2009-07-28 2010-08-28 2012-01-18
  10. NEP-MST: Market Microstructure (4) 2009-07-28 2011-01-16 2020-06-08 2020-07-13
  11. NEP-RMG: Risk Management (4) 2015-08-13 2015-12-01 2016-07-23 2020-05-25
  12. NEP-MAC: Macroeconomics (3) 2010-08-28 2015-12-01 2020-06-08
  13. NEP-OPM: Open Economy Macroeconomics (3) 2009-03-22 2015-12-01 2020-06-08
  14. NEP-UPT: Utility Models and Prospect Theory (3) 2013-01-07 2013-03-02 2013-12-29
  15. NEP-FIN: Finance (2) 2005-03-06 2005-03-20
  16. NEP-HPE: History and Philosophy of Economics (2) 2013-03-02 2013-12-29
  17. NEP-IAS: Insurance Economics (2) 2016-07-23 2020-05-25
  18. NEP-MIC: Microeconomics (2) 2011-01-16 2013-03-02
  19. NEP-REG: Regulation (2) 2005-03-20 2010-11-27
  20. NEP-SBM: Small Business Management (2) 2016-07-23 2020-05-25
  21. NEP-BEC: Business Economics (1) 2016-07-23
  22. NEP-CFN: Corporate Finance (1) 2016-07-23
  23. NEP-CWA: Central and Western Asia (1) 2007-01-02
  24. NEP-EEC: European Economics (1) 2010-08-28
  25. NEP-SEA: South East Asia (1) 2007-01-02
  26. NEP-TRA: Transition Economics (1) 2010-08-28

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