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Research

Professor David Peel

Professor Emeritus

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  1. 2005
  2. Published

    Ex ante real returns in forward market speculation in the interwar period: evidence and prediction

    Paya, I. & Peel, D., 2005, New Trends in Macroeconomics. Berlin: Springer, p. 125-146 22 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  3. Published

    Habit, aggregation and long memory: evidence from television audience data

    Byers, D., Peel, D. & Thomas, D. A., 2005, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  4. Published

    Non-linearity in stock index returns: the volatility and serial correlation relationship

    Venetis, I. A. & Peel, D., 2005, In: Economic Modelling. 22, 1, p. 1-19 19 p.

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

  5. Published

    Smooth transition models and arbitrage consistency

    Peel, D. & Venetis, I. A., 2005, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  6. Published

    Smooth transition models and arbitrage consistency

    Peel, D. & Venetis, I. A., 2005, In: Economica. 72, 3, p. 413-430 18 p.

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

  7. Published

    Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap

    Ioannides, C. & Peel, D., 2005, In: Economics Letters. 87, 2, p. 221-226 6 p.

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

  8. Published

    Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method

    Paya, I., Peel, D., Law, D. & Peirson, J., 2005, Information Efficiency in Financial and Betting Markets. Cambridge: Cambridge University Press, p. 346-365 20 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  9. Published

    The long memory model of political support: some further results

    Byers, D., Davidson, J. & Peel, D., 2005, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  10. Published

    The process followed by PPP data: on the properties of linearity tests

    Paya, I. & Peel, D., 2005, In: Applied Economics. 37, 21, p. 2515-2522 8 p.

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

  11. Published

    The term spread and real economic activity in the US inter-war period

    Paya, I., Matthews, K. & Peel, D., 2005, In: Journal of Macroeconomics. 27, 2, p. 331-343 13 p.

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

  12. 2006
  13. Published

    A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994

    Peel, D. & Paya, I., 2006, In: Journal of Money, Credit and Banking. 38, 8, p. 1971-1990 20 p.

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

  14. Published

    Are analysts’ loss functions asymmetric?

    Clatworthy, M. A., Peel, D. & Pope, P. F., 2006, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  15. Published

    Expected stock returns, aggregate consumption and wealth: some further empirical evidence

    Ioannides, C., Peel, D. & Matthews, K., 2006, In: Journal of Macroeconomics. 28, 2, p. 439-445 7 p.

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

  16. Published

    On the speed of adjustment in ESTAR models when allowance is made for bias in estimation

    Paya, I. & Peel, D., 2006, In: Economics Letters. 90, 2, p. 272-277 6 p.

    Research output: Contribution to Journal/Magazine › Journal article

  17. Published

    Support for Governments and leaders: fractional cointegration analysis of poll evidence from the UK, 1960-2004

    Davidson, J., Peel, D. & Byers, D., 2006, In: Studies in Nonlinear Dynamics and Econometrics. 10, 1, p. Article 3

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

  18. Published

    Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment

    Paya, I. & Peel, D., 2006, In: Journal of Applied Econometrics. 21, 5, p. 655-668 14 p.

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

  19. Published

    The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class

    Peel, D. & Christodoulakis, G., 2006, In: Finance Research Letters. 3, 4, p. 273-276 4 p.

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

  20. 2007
  21. Published

    Betting on odds on favorites as an optimal choice in cumulative prospect theory

    Peel, D. & Law, D., 2007, In: Economics Bulletin. 4, 26, p. 1-10 10 p.

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

  22. Published

    Deterministic impulse response in a nonlinear model: an analytical expression

    Venetis, I. A., Paya, I. & Peel, D., 2007, In: Economics Letters. 95, 3, p. 315-319 5 p.

    Research output: Contribution to Journal/Magazine › Journal article

  23. Published

    Evaluating the properties of analysts' forecasts: a bootstrap approach

    Clatworthy, M. A., Peel, D. & Pope, P. F., 2007, In: British Accounting Review. 39, 1, p. 3-13 11 p.

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

  24. Published

    Gambling and nonexpected utility: the perils of the power function

    Law, D. & Peel, D., 2007, In: Applied Economics Letters. 14, 2, p. 79-82 4 p.

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

  25. Published

    Habit, aggregation and long memory: evidence from television audience data

    Byers, D., Peel, D. A. & Thomas, D. A., 2007, In: Applied Economics. 39, 3, p. 321-327 7 p.

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

  26. Published

    Implementing the wild bootstrap using a two-point distribution

    Davidson, J., Monticini, A. & Peel, D., 2007, In: Economics Letters. 93, 3, p. 309-315 7 p.

    Research output: Contribution to Journal/Magazine › Journal article

  27. Published

    On the equality of real interest rates across borders in integrated capital markets

    Minford, P. & Peel, D., 2007, In: Open Economies Review. 18, 1, p. 119-125 7 p.

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

  28. Published

    On the relationship between nominal exchange rates and domestic and foreign prices

    Paya, I. & Peel, D. A., 2007, In: Applied Financial Economics. 17, 2, p. 105 - 117 13 p.

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

  29. Published

    Simulating stock returns under switching regimes- a new test of market efficiency

    Meenagh, D., Minford, P. & Peel, D., 2007, In: Economics Letters. 94, 2, p. 235-239 5 p.

    Research output: Contribution to Journal/Magazine › Journal article

  30. Published

    The long memory model of political support: some further results

    Byers, D., Davidson, J. & Peel, D., 2007, In: Applied Economics. 39, 20, p. 2547-2552 6 p.

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

  31. Published

    Some implications of a quartic loss function

    Aretz, K. & Peel, D., 20/08/2007, In: Economics Bulletin. 7, 13, p. 1-7 7 p.

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

  32. 2008
  33. Published

    Bounded cumulative prospect theory: some implications for gambling outcomes

    Peel, D., Cain, M. & Law, D., 2008, In: Applied Economics. 40, 1, p. 5-15 11 p.

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

  34. Published

    Subjective skewness of return as an explanation of the optimal choice between gambles in cumulative prospect theory

    Peel, D. & Law, D., 2008, In: Journal of Gambling Business and Economics. 2, 2, p. 97-107 11 p.

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

  35. Published

    Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution

    Paya, I., Pavlidis, E. & Peel, D., 2008, Advances in Doctoral Research in Management Vol. 2. Singapore: World Scientific Publishing

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  36. Published

    The Markowitz model of utility supplemented with a small degree of probablility distortion as an explanation of outcomes of allais experiments over large and small payoffs and gambling on unlikely outcomes

    Peel, D., Zhang, J. & Law, D., 2008, In: Applied Economics. 40, 1, p. 17-26 10 p.

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

  37. 2009
  38. 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

  39. 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

  40. Published

    Economics of Betting Markets

    Peel, D., 2009, London and New York: Routledge.

    Research output: Book/Report/Proceedings › Book

  41. 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

  42. Published

    Linkages between Shanghai and Hong Kong stock indices

    Paya, I., Zhang, S. & Peel, D., 2009, In: Applied Financial Economics. 19, 23, p. 1847-1857 11 p.

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

  43. Published

    On skewness of return and buying more than one ticket in a lottery

    Peel, D. & Law, D., 2009, In: Applied Economics Letters. 16, 10, p. 1350-4851 3502 p.

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

  44. Published

    Testing for central bank independence and inflation using the wild bootstrap

    Peel, D. & Monticini, A., 2009, In: Economics Bulletin. 29, 3, p. 1602-1607 6 p.

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

  45. Published

    The central bank inflation bias in the presence of asymmetric preferences and non-normal shocks

    Peel, D. & Christodoulakis, G., 2009, In: Economics Bulletin. 29, 3, p. 1608-1620 13 p.

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

  46. Published

    The econometrics of exchange rates

    Pavlidis, E., Paya, I. & Peel, D., 2009, The Handbook of Econometrics Vol. 2: Applied econometrics . Mills, T. C. & Patterson, K. (eds.). London: Palgrave, p. 1025-1083 59 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  47. Published

    The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory

    Peel, D. & Zhang, J., 2009, In: Economics Letters. 105, 3, p. 326-329 4 p.

    Research output: Contribution to Journal/Magazine › Journal article

  48. 2010
  49. 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

  50. 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

  51. 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

  52. 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

  53. 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

  54. 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

  55. 2011
  56. 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

  57. 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

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