City Research Online

Items where City Author is "Fuertes, A."

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Publication Type | No Grouping
Jump to: Article
Number of items: 25.


Audzeyeva, A. and Fuertes, A. ORCID: 0000-0001-6468-9845 (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140-157. doi: 10.1016/j.jimonfin.2018.07.005

Fernandez-Perez, A., Frijns, B., Fuertes, A. and Miffre, J. (2018). The Skewness of Commodity Futures Returns. Journal of Banking and Finance, 86, pp. 143-158. doi: 10.1016/j.jbankfin.2017.06.015

Fei, F., Fuertes, A. and Kalotychou, E. (2017). Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching. International Journal of Forecasting, 33(3), pp. 662-678. doi: 10.1016/j.ijforecast.2017.01.006

Pappas, V., Ongena, S., Izzeldin, M. and Fuertes, A. (2017). A Survival Analysis of Islamic and Conventional Banks. Journal of Financial Services Research, 51(2), pp. 221-256. doi: 10.1007/s10693-016-0239-0

Yan, C., Phylaktis, K. and Fuertes, A. (2016). On Cross-Border Bank Credit and the U.S. Financial Crisis Transmission to Equity Markets. Journal of International Money and Finance, 69, pp. 108-134. doi: 10.1016/j.jimonfin.2016.06.014

Fuertes, A. and Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. Journal of Risk and Financial Management, 9(3), 10.. doi: 10.3390/jrfm9030010

Brun-Aguerre, R., Fuertes, A. and Greenwood-Nimmo, M. (2016). Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through into Import Prices. Journal of the Royal Statistical Society Series A: Statistics in Society, doi: 10.1111/rssa.12213

Fernandez-Perez, A., Fuertes, A. and Miffre, J. (2016). Commodity Markets, Long-Run Predictability and Intertemporal Pricing. Review of Finance, doi:

Osborne, M., Fuertes, A. and Milne, A. (2016). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis, doi: 10.1016/j.irfa.2016.02.005

Andrada-Felix, J., Fernandez-Rodriguez, F. and Fuertes, A. (2016). Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?. International Journal of Forecasting, 32(3), pp. 695-715. doi: 10.1016/j.ijforecast.2015.10.004

Ahoniemi, K., Fuertes, A. and Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525-551. doi: 10.1093/jjfinec/nbu032

Saka, O., Fuertes, A. and Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was De Grauwe right?. Journal of International Money and Finance, 54, pp. 168-185. doi: 10.1016/j.jimonfin.2015.03.002

Fuertes, A., Kalotychou, E. and Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?. VOX, CEPR’s Policy Portal,

Fuertes, A., Miffre, J. and Fernandez-Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. Journal of Futures Markets, 35(3), pp. 274-297. doi: 10.1002/fut.21656

Fuertes, A., Kalotychou, E. and Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?. Review of Quantitative Finance and Accounting, 45(2), pp. 251-278. doi: 10.1007/s11156-014-0436-6

Fuertes, A., Phylaktis, K. and Yan, C. (2014). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, pp. 29-52. doi: 10.1016/j.jimonfin.2014.10.002

Fuertes, A., Muradoglu, G. and Ozturkkal, B. (2014). A behavioral analysis of investor diversification. The European Journal of Finance, 20(6), pp. 499-523. doi: 10.1080/1351847X.2012.719829

Fuertes, A. (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?. Investment and Pensions Europe, 2014(Summer), pp. 14-17.

Fuertes, A. and Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28-42. doi: 10.1016/j.ijforecast.2012.05.005

Rallis, G., Miffre, J. and Fuertes, A. (2013). Strategic and Tactical Roles of Enhanced Commodity Indices. Journal of Futures Markets, 33(10), doi: 10.1002/fut.21571

Fuertes, A. (2012). Country and Time Variation in Exchange Rate Pass Through: What Drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009

Brun-Aguerre, R., Fuertes, A. and Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009

Fuertes, A., Miffre, J. and Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), pp. 2530-2548. doi: 10.1016/j.jbankfin.2010.04.009

Fuertes, A., Izzeldin, M. and Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25(2), pp. 259-281. doi: 10.1016/j.ijforecast.2009.01.006

Fuertes, A. (2008). Sieve bootstrap t-tests on long-run average parameters. Computational Statistics & Data Analysis, 52(7), pp. 3354-3370. doi: 10.1016/j.csda.2007.11.014

This list was generated on Sun Feb 17 04:34:46 2019 UTC.