Macroeconomics and Financial Markets

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Published
Zero-inefficiency stochastic frontier models with varying mixing proportion: a semiparametric approach
Tran, K. C. & Tsionas, E., 16/03/2016, In: European Journal of Operational Research. 249, 3, p. 1113-1123 11 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Yield Spread Determinants of Sukuk and Conventional Bonds
Saeed, M., Elnahass, M., Izzeldin, M. & Tsionas, M., 31/12/2021, In: Economic Modelling. 105, 17 p., 105664.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Will the crisis “tear us apart”? evidence from the EU
Pappas, V., Ingham, H., Izzeldin, M. & Steele, G., 07/2016, In: International Review of Financial Analysis. 46, p. 346-360 15 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Why Hours Worked Decline Less after Technology Shocks?
Cardi, O. & Restout, R., 6/09/2023, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation
Paya, I. & Wang, P., 09/2016, In: Journal of Empirical Finance. 38, Part A, p. 221-235 15 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Wagering on more than one outcome in an event in Cumulative Prospect Theory and Rank Dependent Utility
Peel, D. A., 05/2017, In: Economics Letters. 154, p. 45-47 3 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Volatility and return forecasting: time series and options-based methods
Yao, X., 2017, Lancaster University. 219 p.
Research output: Thesis › Doctoral Thesis
Published
Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
Pavlidis, E., Paya, I. & Peel, D. A., 1/08/2018, In: Journal of Money, Credit and Banking. 50, 5, p. 833-856 24 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Uncertainty shocks in emerging economies: a global to local approach for identification
Miescu, M., 10/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
Three essays on the predictive content and predictability of the nominal exchange rates in a changing world
Promponas, P., 2017, Lancaster University. 135 p.
Research output: Thesis › Doctoral Thesis
Published
The Spurious Effect of ARCH Errors on Linearity Tests: A Theoretical Note and an Alternative Maximum Likelihood Approach
Pavlidis, E. & Tsionas, E., 04/2018, In: Studies in Nonlinear Dynamics and Econometrics. 22, 2, 8 p., 20160055.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
The simplification, solution and estimation of a small open DSGE model: Evidence from the UK and Canada
Li, J., 2019, Lancaster University. 280 p.
Research output: Thesis › Doctoral Thesis
Published
The Inter-temporal relationship between Risk, Capital and Efficiency: The case of Islamic and conventional banks
Saeed, M., Izzeldin, M., Hassan, M. K. & Pappas, V., 1/09/2020, In: Pacific-Basin Finance Journal. 62, 22 p., 101328.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
The Impact of ECB and FED announcements on the Euro interest rates
Monticini, A., Peel, D. & Vaciago, G., 11/2011, In: Economics Letters. 113, 2, p. 139-142 4 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
The forward premium puzzle in the interwar period and deviations from covered interest parity
Paya, I., Peel, D. & Spiru, A. M., 2010, In: Economics Letters. 108, 1, p. 55-57 3 p.
Research output: Contribution to Journal/Magazine › Journal article
Published
THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS
Miescu, M. S., Motta, G., Pontiggia, D. & Rossi, R., 17/10/2023, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Hizmeri, R., Izzeldin, M., Murphy, A. & Tsionas, M., 1/05/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
The business cycle in Eurozone economies (1960 to 2009)
Konstantakopoulou, I. & Tsionas, M., 10/2011, In: Applied Financial Economics. 21, 20, p. 1495-1513 19 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Testing for speculative bubbles using spot and forward prices
Pavlidis, E., Paya, I. & Peel, D. A., 11/2017, In: International Economic Review. 58, 4, p. 1191-1226 36 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation
Pavlidis, E., Paya, I. & Peel, D., 07/2015, In: Economics Letters. 132, p. 13-17 5 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Technical and allocative efficiency in European banking
Brissimis, S. N., Delis, M. D. & Tsionas, M., 1/07/2010, In: European Journal of Operational Research. 204, 1, p. 153-163 11 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets
Paya, I. & Peel, D., 02/2011, In: Journal of Futures Markets. 31, 2, p. 192-203 12 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Stylized facts of money and credit over the business cycles
Kollintzas, T., Konstantakopoulou, I. & Tsionas, M., 12/2011, In: Applied Financial Economics. 21, 23, p. 1735-1755 21 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Spreads vs professional forecasters as predictors of future output change
Aretz, K. & Peel, D., 2010, In: Journal of Forecasting. 29, 6, p. 517-522 6 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks
Pavlidis, E. & Vasilopoulos, K., 1/07/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks
Pavlidis, E. & Vasilopoulos, K., 1/12/2020, In: Journal of International Money and Finance. 109, 21 p., 102222.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
Pavlidis, E., Paya, I. & Peel, D., 2010, In: Studies in Nonlinear Dynamics and Econometrics. 14, 3, p. 1-38 38 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Sectoral Fiscal Multipliers and Technology in Open Economy
Cardi, O. & Restout, R., 28/05/2021, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series; vol. 2021/005).
Research output: Working paper
Published
Return Predictability of Variance Differences: a fractionally co-integrated approach
Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: The Journal of Futures Markets . 40, 7, p. 1072-1089 18 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Return predictability of variance differences: A fractionally cointegrated approach
Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Relative productivity and search unemployment in an open economy
Bertinelli, L., Cardi, O. & Restout, R., 09/2018, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).
Research output: Working paper
Published
Real Exchange Rates and Time-Varying Trade Costs
Pavlidis, E., Paya, I. & Peel, D., 2011, In: Journal of International Money and Finance. 30, 6, p. 1157-1179 23 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Real Estate and Construction Sector Dynamics Over the Business Cycle
Vasilopoulos, K. & Tayler, W., 31/05/2021, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus
Delis, M. D., Tran, K. C. & Tsionas, M., 04/2012, In: Journal of Financial Stability. 8, 2, p. 57-68 12 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Pure higher-order effects in the portfolio choice model
Niguez, T-M., Paya, I. & Peel, D. A., 11/2016, In: Finance Research Letters. 19, p. 255-260 6 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
Miescu, M. & Mumtaz, H., 31/10/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
Pre-Decision Side-Bet Sequences
Kaivanto, K. K. & Peel, D. A., 04/2017, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).
Research output: Working paper
Published
Optimal Simple Monetary and Fiscal Rules under Limited Asset Market Participation
Motta, G. & Tirelli, P., 10/2012, In: Journal of Money, Credit and Banking. 44, 7, p. 1351–1374 24 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Optimal monetary policy in a New Keynesian model with habits in consumption
Leith, C., Moldovan, I. & Rossi, R., 07/2012, In: Review of Economic Dynamics. 15, 3, p. 416-435 20 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Optimal Fiscal Policy with Consumption Taxation
Motta, G. E. & Rossi, R., 02/2019, In: Journal of Money, Credit and Banking. 51, 1, p. 139-161 23 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
On the stability of the constant relative risk aversion (CRRA) under high degrees of uncertainty
Niguez, T-M., Paya, I., Peel, D. & Perote, J., 05/2012, In: Economics Letters. 115, 2, p. 244-248 5 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences
Paya, I., Peel, D. & Georgalos, K., 3/04/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).
Research output: Working paper
Published
On the potential for observational equivalence in experiments on risky choice when a power utility function is assumed
Peel, D. & Zhang, J., 07/2012, In: Economics Letters. 116, 1, p. 8-10 3 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
On the Persistence and Dynamics of Big 4 Real Audit Fees: Evidence from the UK
Kacer, M., Peel, D. A., Peel, M. J. & Wilson, N., 05/2018, In: Journal of Business Finance and Accounting. 45, 5-6, p. 714-727 14 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
On the Contribution of the Markowitz Model of Utility to Explain Risky Choice in Experimental Research
Georgalos, K., Paya, I. & Peel, D. A., 1/02/2021, In: Journal of Economic Behavior and Organization. 182, p. 527-543 17 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
On lottery sales, jackpot sizes and irrationality: A cautionary note
Peel, D., 12/2010, In: Economics Letters. 109, 3, p. 161-163 3 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Non-linearities in financial bubbles: theory and Bayesian evidence from S&P500
Michaelides, P. G., Tsionas, E. & Konstantakis, K. N., 06/2016, In: Journal of Financial Stability. 24, p. 61-70 10 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Nonlinear dynamics in economics and finance and unit root testing
Pavlidis, E., Paya, I., Peel, D. & Siriopoulos, C., 2013, In: European Journal of Finance. 19, 6, p. 572-588 17 p.
Research output: Contribution to Journal/Magazine › Journal article
Published
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
Pavlidis, E., Paya, I. & Peel, D., 02/2013, In: Studies in Nonlinear Dynamics and Econometrics. 17, 3, p. 297-312 16 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Nominal targeting in an economy with government debt
Bai, Y., Kirsanova, T. & Leith, C., 05/2017, In: European Economic Review. 94, p. 103-125 23 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review

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