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Macroeconomics and Financial Markets

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  1. 2010
  2. Published

    Inflation dynamics in the US: global but not local mean reversion

    Paya, I., Nobay, A. & Peel, D., 2010, In: Journal of Money, Credit and Banking. 42, 1, p. 135-150 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  3. 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

  4. 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

  5. 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

  6. 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

  7. Published

    Habit and long memory in UK lottery sale

    McHale, I. & Peel, D., 10/2010, In: Economics Letters. 109, 1, p. 7-10 4 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. 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

  9. 2011
  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 2012
  16. Published

    Forecast evaluation of nonlinear models: the case of long-span real exchange rates

    Pavlidis, E., Paya, I. & Peel, D., 2012, In: Journal of Forecasting. 31, 7, p. 580-595 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  17. Published

    Forecasting Monetary Policy Rules in South Africa

    Naraidoo, R. & Paya, I., 04/2012, In: International Journal of Forecasting. 28, 2, p. 446-455 10 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. 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

  19. 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

  20. Published

    Finding all pure-strategy equilibria in games with continuous strategies

    Judd, K., Renner, P. & Schmedders, K., 07/2012, In: Quantitative Economics. 3, 2, p. 289-331 43 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  21. 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

  22. 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

  23. 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

  24. Published

    Are analysts' loss functions asymmetric?

    Peel, D., Pope, P. F. & Clatworthy, M., 12/2012, In: Journal of Forecasting. 31, 8, p. 736-756 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  25. 2013
  26. Published

    Higher-order moments in the theory of diversification and portfolio composition

    Niguez, T-M., Paya, I., Peel, D. & Perote, J., 2013, Lancaster: Lancaster University, Department of Economics, 26 p. (Economics Working Paper Series; vol. 2013, no. 3).

    Research output: Working paper

  27. 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

  28. 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

  29. Published

    Computing generalized Nash equilibria by polynomial programming

    Couzoudis, E. & Renner, P., 06/2013, In: Mathematical Methods of Operational Research. 77, 3, p. 459-472 14 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

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