Macroeconomics and Financial Markets

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Chapter
Published
New empirical evidence on the Tote-SP anomaly and its implications for models of risky choice in gambling markets
Peel, D. A., Simmons, R. & Buraimo, B., 2017, The Economics of Sports Betting. Rodriguez, P., Humphreys, B. R. & Simmons, R. (eds.). Cheltenham: Edward Elgar, p. 92-104 13 p. 6. (New Horizons in the Economics of Sport).
Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter
Published
Computing All Solutions to Polynomial Equations in Economics
Kubler, F., Schmedders, K. & Renner, P., 2014, Handbook of Computational Economics. Elsevier, Vol. 3. p. 599-652 54 p.
Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter
Doctoral Thesis
Published
An econometric analysis of global agricultural commodity prices
Spavound, S., 2019, Lancaster University. 116 p.
Research output: Thesis › Doctoral Thesis
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
Unpublished
An Econometric Analysis of Global Commodity Prices
George, R., 2019, (Unpublished) Lancaster University. 190 p.
Research output: Thesis › Doctoral Thesis
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
Volatility and return forecasting: time series and options-based methods
Yao, X., 2017, Lancaster University. 219 p.
Research output: Thesis › Doctoral Thesis
Published
Essays on international capital flows
Wang, X., 2017, Lancaster University. 164 p.
Research output: Thesis › Doctoral Thesis
Published
An econometric analysis of U.K. regional real estate markets
Yusupova, A. Y., 2016, Lancaster University. 123 p.
Research output: Thesis › Doctoral Thesis
Published
Modelling financial volatility using Bayesian and conventional methods
Li, X., 2016, Lancaster University. 193 p.
Research output: Thesis › Doctoral Thesis
Published
Essays on monetary policy
Nguyen, A. D. M., 2015, Lancaster University. 126 p.
Research output: Thesis › Doctoral Thesis
Other contribution
Published
Eurosystem debts do matter
Whittaker, J., 1/02/2016, 10 p.
Research output: Other contribution
Journal article
Published
A Non‐parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax: The Role of Research and Development (R&D) and Corporate Tax
Bournakis, I. & Tsionas, M., 12/01/2024, In: Oxford Bulletin of Economics and Statistics. 86, 3, p. 641-671
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations
Rossi, L., Fasani, S. & Grazzini, J., 30/11/2023, In: Journal of Monetary Economics. 140, Supplement, p. S48-S63
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D
De Silva, D., Hubbard, T., Schiller, A. & Tsionas, M., 30/04/2023, In: Quarterly Review of Economics and Finance. 88, p. 278-294 17 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Monetary policy uncertainty and firm dynamics
Fasani, S., Mumtaz, H. & Rossi, L., 31/01/2023, In: Review of Economic Dynamics. 47, p. 278-296 19 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Estimating Monotone Concave Stochastic Production Frontiers
Tsionas, M., 30/06/2022, In: Journal of Business and Economic Statistics. 40, 3, p. 1403-1414 12 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Addressing endogeneity when estimating stochastic ray production frontiers: a Bayesian approach
Tsionas, M., Izzeldin, M., Henningsen, A. & Paravalos, E., 31/03/2022, In: Empirical Economics. 62, 3, p. 1345-1363 19 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
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
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
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
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
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
A novel cluster HAR-type model for forecasting realized volatility
Yao, X., Izzeldin, M. & Li, Z., 1/10/2019, In: International Journal of Forecasting. 35, p. 1318-1331 14 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model
Yao, X., Izzeldin, M. & Li, Z., 1/08/2019, In: Economics Letters. 181, p. 160-163 4 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
Barigozzi, M., Hallin, M. & Soccorsi, S., 1/07/2019, In: Journal of Financial Econometrics. 17 , 3, p. 462-494 33 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Flexible distribution functions, higher-order preferences and optimal portfolio allocation
Niguez, T-M., Paya, I., Peel, D. A. & Perote, J., 1/04/2019, In: Quantitative Finance. 19, 4, p. 699-703 5 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
Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule
Nguyen, A., Pavlidis, E. & Peel, D. A., 12/2018, In: Studies in Nonlinear Dynamics and Econometrics. 22, 5, 16 p., 20170092.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
A nonlinear analysis of the real exchange rate-consumption relationship
Pavlidis, E., Paya, I. & Peel, D. A., 10/2018, In: Macroeconomic Dynamics. 22, 7, p. 1825-1843 19 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Dynamic factor model with infinite-dimensional factor space: forecasting
Forni, M., Giovannelli, A., Lippi, M. & Soccorsi, S., 1/08/2018, In: Journal of Applied Econometrics. 33, 5, p. 625-642 18 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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
A Novel Model of Costly Technical Efficiency
Tsionas, M. & Izzeldin, M., 16/07/2018, In: European Journal of Operational Research. 268, 2, p. 653-664 12 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
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
E-pub ahead of print
Bayesian CV@R/super-quantile regression
Tsionas, E. & Izzeldin, M., 20/03/2018, (E-pub ahead of print) In: Journal of Applied Statistics.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Capital and Earnings Management: Evidence from Alternative Banking Business Models
El Nahass, M., Izzeldin, M. & Steele, G. R., 03/2018, In: The International Journal of Accounting. 53, 1, p. 20-32 13 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Forecasting Using Alternative Measures of Model-Free Option-Implied Volatility
Yao, X. & Izzeldin, M., 02/2018, In: Journal of Futures Markets. 38, 2, p. 199-218 20 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
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
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
Published
Fiscal stabilization vs. passivity
Bai, Y. & Leeper, E., 05/2017, In: Economics Letters. 154, p. 105-108 4 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Bayesian estimation of agent-based models
Grazzini, J., Richiardi, M. & Tsionas, E., 04/2017, In: Journal of Economic Dynamics and Control. 77, p. 26-47 22 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Loss aversion and ruinous optimal wagers in cumulative prospect theory
Peel, D. A. & Law, D., 22/02/2017, In: Economics Bulletin. 37, 1, p. 352-360 9 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Examining the relationship between default risk and efficiency in Islamic and conventional banks
Saeed, M. & Izzeldin, M., 12/2016, In: Journal of Economic Behavior and Organization. 132, Supplement, p. 127-154 28 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
A cost system approach to the stochastic directional technology distance function with undesirable outputs: the case of U.S. banks in 2001-2010
Malikov, E., Kumbhakar, S. & Tsionas, E., 11/2016, In: Journal of Applied Econometrics. 31, 7, p. 1407-1429 23 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Episodes of exuberance in housing markets: in search of the smoking gun
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A. & Grossman, V., 11/2016, In: Journal of Real Estate Finance and Economics. 53, 4, p. 419-449 31 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Macroprudential regulation, credit spreads and the role of monetary policy
Tayler, W. J. & Zilberman, R., 10/2016, In: Journal of Financial Stability. 26, C, p. 144-158 15 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review

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