David Peel - Publications & Outputs - Research Portal

Professor David Peel

Professor Emeritus

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2024
Published
On skew preference or non-skew preference of a CPT DM revealed in lottery choices with three payoffs
Peel, D. & Zhang, J., 29/02/2024, In: Economics Letters. 235, 111549.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
2023
Published
On the predictions of cumulative prospect theory for third and fourth order risk preferences
Paya, I., Peel, D. A. & Georgalos, K., 31/08/2023, In: Theory and Decision. 95, 2, p. 337-359 23 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Higher order risk attitudes: new model insights and heterogeneity of preferences
Georgalos, K., Paya, I. & Peel, D., 31/03/2023, In: Experimental Economics. 26, 1, p. 145-192 48 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
2021
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
2020
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
2019
Published
Advanced Macroeconomics: A Primer
Minford, P. & Peel, D., 2/05/2019, 2nd ed. ed. Cheltenham: Edward Elgar. 502 p.
Research output: Book/Report/Proceedings › Book
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
Pre-Decision Side-Bet Sequences
Kaivanto, K. K. & Peel, D. A., 16/03/2019, In: Economics Bulletin. 39, 1, p. 533-539 7 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
2018
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
Consistency of two major data sources for exchange rates in the interwar period and further evidence on the behaviour of exchange rates during hyperinflations
Peel, D. A. & Spiru, A. M., 10/2018, In: International Journal of Finance and Economics. 23, 4, p. 442-455 14 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
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
An Explanation of Each-Way Wagers in Three Models Of Risky Choice
Peel, D. A., 02/2018, In: Applied Economics. 50, 22, p. 2431-2438 8 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
2017
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
Exuberance in the U.K. Regional Housing Markets
Pavlidis, E., Paya, I., Peel, D. A. & Yusupova, A. Y., 05/2017, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).
Research output: Working paper
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
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
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
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
2016
Published
Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.
Peel, D. A. & Promponas, P., 12/2016, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).
Research output: Working paper
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
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
Modeling changes in U.S. monetary policy
Nguyen, A., Pavlidis, E. & Peel, D. A., 09/2016, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).
Research output: Working paper
Published
On the positive expected utility of combination wagers
Buraimo, B., Peel, D. & Simmons, R., 09/2016, In: Decision Analysis. 13, 3, p. 209-212 4 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility
Peel, D. A. & Law, D., 14/04/2016, In: Economics Bulletin. 36, 2, p. 688-695 8 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
2015
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
2014
Published
Episodes of exuberance in housing markets: in search of the smoking gun
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martinez-Garcia, E., Mack, A. & Crossman, V., 2014, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series; vol. 2014, no. 9).
Research output: Working paper
2013
Published
An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon
Aretz, K. & Peel, D., 10/2013, In: Bulletin of Economic Research. 65, 4, p. 362-371 10 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Heterogeneous agents and the implications of the Markowitz model of utility for multi-prize lottery tickets
Peel, D., 06/2013, In: Economics Letters. 119, 3, p. 264-267 4 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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
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
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
2012
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
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 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
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
2011
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
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
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
2010
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
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
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
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
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
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
2009
Published
A more general non-expected utility model as an explanation of gambling outcomes for individuals and markets
Peel, D. & Law, D., 2009, In: Economica. 76, 302, p. 251-263 13 p.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Bubbles in House Prices and their Impact on Consumption: Evidence for the US
Pavlidis, E., Paya, I., Peel, D. & Spiru, A. M., 2009, Lancaster University: The Department of Economics, (Economics Working Paper Series).
Research output: Working paper
Published
Economics of Betting Markets
Peel, D., 2009, London and New York: Routledge.
Research output: Book/Report/Proceedings › Book
Published
ESTAR model with multiple fixed points. Testing and Estimation
Venetis, I. A., Paya, I. & Peel, D., 2009, Lancaster University: The Department of Economics, (Economics Working Paper Series).
Research output: Working paper

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