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Professor Ivan Paya

Professor

  1. 2021
  2. Published

    House Prices, (Un)Affordability and Systemic Risk

    Pavlidis, E., Paya, I. & Skouralis, A., 31/03/2021, In: New Zealand Economic Papers. 55, 1, p. 105-123 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  3. 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 journalJournal articlepeer-review

  4. 2020
  5. Published

    Macroprudential Policy in the Euro Area

    Fernandez-Gallardo, A. & Paya, I., 7/10/2020, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  6. 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

  7. 2019
  8. Published

    House Prices, (Un)Affordability and Systemic Risk

    Pavlidis, E., Paya, I. & Skouralis, A., 1/06/2019, Lancaster: Lancaster University, Department of Economics, (Economics Working Papers Series).

    Research output: Working paper

  9. 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 journalJournal articlepeer-review

  10. 2018
  11. 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 journalJournal articlepeer-review

  12. 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 journalJournal articlepeer-review

  13. 2017
  14. 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 journalJournal articlepeer-review

  15. 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

  16. 2016
  17. 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 journalJournal articlepeer-review

  18. 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 journalJournal articlepeer-review

  19. 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 journalJournal articlepeer-review

  20. 2015
  21. 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 journalJournal articlepeer-review

  22. 2014
  23. 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

  24. 2013
  25. 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 journalJournal articlepeer-review

  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 journalJournal article

  28. 2012
  29. 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 journalJournal articlepeer-review

  30. 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 journalJournal articlepeer-review

  31. 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 journalJournal articlepeer-review

  32. 2011
  33. 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 journalJournal articlepeer-review

  34. 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 journalJournal articlepeer-review

  35. 2010
  36. 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 journalJournal articlepeer-review

  37. 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 journalJournal articlepeer-review

  38. 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 journalJournal article

  39. 2009
  40. 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

  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 journalJournal articlepeer-review

  43. 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/ISSNChapter

  44. 2008
  45. 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/ISSNChapter

  46. 2007
  47. 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 journalJournal article

  48. Published

    On the relationship between inflation persistence and temporal aggregation

    Paya, I., Duarte, A. & Holden, K., 2007, In: Journal of Money, Credit and Banking. 39, 6, p. 1521-1531 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  49. 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 journalJournal articlepeer-review

  50. 2006
  51. 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 journalJournal articlepeer-review

  52. 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 journalJournal article

  53. 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 journalJournal articlepeer-review

  54. Published

    The long memory story of real interest rates. Can it be supported?

    Venetis, I. A., Duarte, A. & Paya, I., 2006, Lancaster University: The Department of Economics, (Economics Working Paper Series).

    Research output: Working paper

  55. 2005
  56. 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/ISSNChapter

  57. Published

    Predicting real growth and the probability of recession in the Euro-area using the yield spread

    Duarte, A., Venetis, I. A. & Paya, I., 2005, In: International Journal of Forecasting. 21, 2, p. 261-277 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  58. 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/ISSNChapter

  59. 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 journalJournal articlepeer-review

  60. 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 journalJournal articlepeer-review

  61. 2004
  62. Published

    Alan Walters and the demand for money: an empirical retrospective

    Matthews, K., Peel, D. & Paya, I., 2004, Money Matters. Essays in Honour of Sir Alan Walters. Cheltenham: Edward Elgar

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  63. Published

    Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting

    Paya, I. & Peel, D., 2004, In: Journal of Forecasting. 23, 5, p. 373-384 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  64. Published

    Nonlinear purchasing power parity under the gold standard

    Peel, D. & Paya, I., 2004, In: Southern Economic Journal. 71, 2, p. 302-313 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  65. 2003
  66. Published

    Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS

    Paya, I., Venetis, I. & Peel, D., 09/2003, In: Oxford Bulletin of Economics and Statistics. 65, 4, p. 421-437 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  67. Published

    On public investment, the real exchange and growth: some empirical evidence from the UK and the US

    Mourmouras, I. A., Gosh, S., Pal, S. & Paya, I., 2003, In: Manchester School. 71, 3, p. 242-264 23 p.

    Research output: Contribution to journalJournal article

  68. Published

    On the equilibrium value of the Peseta

    Duarte, A., Holden, K. & Paya, I., 2003, In: Applied Financial Economics. 13, 5, p. 317-335 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  69. Published

    PPP adjustment speeds in high frequency data when equilibrium real exchange rates is proxied by a time trend

    Peel, D. & Paya, I., 2003, In: Manchester School. 71, p. 39-53 15 p.

    Research output: Contribution to journalJournal article

  70. Published

    Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach

    Venetis, I. A., Paya, I. & Peel, D. A., 2003, In: International Review of Economics and Finance. 12, 2, p. 187-206 20 p.

    Research output: Contribution to journalJournal articlepeer-review

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