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Publications

by members of

Essex Business School
University of Essex
Colchester, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
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Working papers

Undated material is listed at the end

2014

  1. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2014. "Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models," Working Papers, Queen's University, Department of Economics 1324, Queen's University, Department of Economics.
  2. Barbara Casu & Alessandra Ferrari & Claudia Girardone & John O.S. Wilson, 2014. "Integration, Productivity and Technological Spillovers: Evidence for Eurozone Banking Industries," Economics & Management Discussion Papers, Henley Business School, Reading University em-dp2014-01, Henley Business School, Reading University.

2013

  1. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers, University of Mannheim, Department of Economics 32993, University of Mannheim, Department of Economics.
  2. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers, Queen's University, Department of Economics 1309, Queen's University, Department of Economics.
  3. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A.M. Robert Taylor, 2013. "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers 2013_11, University of Evora, CEFAGE-UE (Portugal).
  4. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento, Department of Statistics, University of Bologna 4, Department of Statistics, University of Bologna.
  5. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  6. Marina Doroshenko & Ian Miles & Dmitri Vinogradov, 2013. "Knowledge Intensive Business Services As Generators Of Innovations," HSE Working papers, National Research University Higher School of Economics WP BRP 12/STI/2013, National Research University Higher School of Economics.
  7. Michael J. Lamla & Lena Dräger, 2013. "Imperfect Information and Inflation Expectations: Evidence from Microdata," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-329, KOF Swiss Economic Institute, ETH Zurich.
  8. Michael J. Lamla & Jan-Egbert Sturm, 2013. "Interest Rate Expectations in the Media and Central Bank Communication," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-334, KOF Swiss Economic Institute, ETH Zurich.
  9. Lena Dräger & Michael J. Lamla, 2013. "Anchoring of Consumers’ Inflation Expectations: Evidence from Microdata," Macroeconomics and Finance Series, Hamburg University, Department Wirtschaft und Politik 201305, Hamburg University, Department Wirtschaft und Politik.
  10. Michael J. Lamla & Lena Dräger & Damjan Pfajfar, 2013. "Are Consumer Expectations Theory-Consistent? The Role of Macroeconomic Determinants and Central Bank Communication," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-345, KOF Swiss Economic Institute, ETH Zurich.
  11. Hvide, Hans K. & Panos, Georgios A., 2013. "Risk Tolerance and Entrepreneurship," IZA Discussion Papers 7206, Institute for the Study of Labor (IZA).
  12. Raffaella Calabrese & Paolo Giudici, 2013. "Estimating bank default with generalised extreme value models," DEM Working Papers Series 035, University of Pavia, Department of Economics and Management.

2012

  1. Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor, 2012. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1844, Cowles Foundation for Research in Economics, Yale University.
  2. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, School of Economics and Management, University of Aarhus.
  3. Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2012. "The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1228, Economics, The University of Manchester.
  4. Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series 12-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
  5. Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series 12-E-15, Institute for Monetary and Economic Studies, Bank of Japan.
  6. Michael J. Lamla & Samad Sarferaz, 2012. "Updating Inflation Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 12-301, KOF Swiss Economic Institute, ETH Zurich.
  7. Michael J. Lamla & Martin Straub & Esther Mirjam Girsberger, 2012. "On the Economic Impact of International Sport Events: Microevidence from Survey Data at the EURO 2008," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 12-317, KOF Swiss Economic Institute, ETH Zurich.
  8. Berg, Tim O. & Carstensen, Kai & Horn, Gustav A. & Lamla, Michael J. & Sturm, Jan-Egbert & Schnabl, Gunther & Weizsäcker, Carl C. von, 2012. "Funktionswandel der EZB?," Munich Reprints in Economics, University of Munich, Department of Economics 20266, University of Munich, Department of Economics.
  9. Klapper, Leora & Lusardi, Annamaria & Panos, Georgios A., 2012. "Financial literacy and the financial crisis," Policy Research Working Paper Series 5980, The World Bank.
  10. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers, Geary Institute, University College Dublin 201204, Geary Institute, University College Dublin.
  11. Raffaella Calabrese, 2012. "Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme," Working Papers, Geary Institute, University College Dublin 201216, Geary Institute, University College Dublin.
  12. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers, Geary Institute, University College Dublin 201209, Geary Institute, University College Dublin.
  13. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers, Geary Institute, University College Dublin 201215, Geary Institute, University College Dublin.
  14. Raffaella Calabrese & Francesco Porro, 2012. "Single-name concentration risk in credit portfolios: a comparison of concentration indices," Working Papers, Geary Institute, University College Dublin 201214, Geary Institute, University College Dublin.
  15. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers, Geary Institute, University College Dublin 201224, Geary Institute, University College Dublin.
  16. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers, Geary Institute, University College Dublin 201226, Geary Institute, University College Dublin.

2011

  1. Giuseppe Cavaliere & Iliyan Georgiev & A.M.Robert Taylor, 2011. "Wild bootstrap of the mean in the infinite variance case," Quaderni di Dipartimento, Department of Statistics, University of Bologna 5, Department of Statistics, University of Bologna.
  2. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers, Banco de Portugal, Economics and Research Department w201124, Banco de Portugal, Economics and Research Department.
  3. Tomás del Barrio Castro & Denise R. Osborn & A.M. Robert Taylor, 2011. "On Augmented HEGY Tests for Seasonal Unit Roots," The School of Economics Discussion Paper Series, Economics, The University of Manchester 1121, Economics, The University of Manchester.
  4. Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011. "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento, Department of Statistics, University of Bologna 9, Department of Statistics, University of Bologna.
  5. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "On the behaviour of fixed-b trend break tests under fractional integration," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 11/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. Leora Klapper & Georgios A. Panos, 2011. "Financial Literacy and Retirement Planning in View of a Growing Youth Demographic: The Russian Case," CeRP Working Papers 114, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  7. Klapper, Leora & Panos, Georgios A., 2011. "Financial literacy and retirement planning : the Russian case," Policy Research Working Paper Series 5827, The World Bank.
  8. Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers, Geary Institute, University College Dublin 201134, Geary Institute, University College Dublin.
  9. Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers, Geary Institute, University College Dublin 201120, Geary Institute, University College Dublin.

2010

  1. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
  2. Stephan Smeekes & A. M. Robert Taylor, 2010. "Bootstrap union tests for unit roots in the presence of nonstationary volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010. "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Unit root testing under a local break in trend," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  7. Georgios E. Chortareas & Claudia Girardone & Jesus Gustavo Garza-Garcia, 2010. "Banking Sector Performance in Some Latin American Countries: Market Power versus Efficiency," Working Papers, Banco de México 2010-20, Banco de México.
  8. Michael J. Lamla & Sarah M. Lein, 2010. "The Euro Cash Changeover, Inflation Perceptions and the Media," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 10-254, KOF Swiss Economic Institute, ETH Zurich.
  9. Panos, Georgios A. & Theodossiou, Ioannis, 2010. "Unionism and Peer-Referencing," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-122, Scottish Institute for Research in Economics (SIRE).
  10. Panos, Georgios A. & Theodossiou, Ioannis, 2010. "Union Mediation and Adaptation to Reciprocal Loyalty Arrangements," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-119, Scottish Institute for Research in Economics (SIRE).

2009

  1. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus.
  2. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 09/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "The impact of the initial condition on robust tests for a linear trend," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 09/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. Paulo M.M. Rodrigues & A. M. Robert Taylor, 2009. "The Flexible Fourier Form and Local GLS De-trended Unit Root Tests," Working Papers, Banco de Portugal, Economics and Research Department w200919, Banco de Portugal, Economics and Research Department.
  6. Georgios E. Chortareas & Jesus G. Garza-Garcia & Claudia Girardone, 2009. "Banking Sector Performance in Latin America: Market Power versus Efficiency," Working Papers 0905, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  7. Thomas Maag & Michael J. Lamla, 2009. "The Role of Media for Inflation Forecast Disagreement of Households and Professionals," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 09-223, KOF Swiss Economic Institute, ETH Zurich.
  8. Martin Gassebner & Michael J. Lamla & James Raymond Vreeland, 2009. "Extreme Bounds of Democracy," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 09-224, KOF Swiss Economic Institute, ETH Zurich.
  9. Jan-Egbert Sturm & Ulrich Fritsche & Michael Graff & Michael Lamla & Sarah Lein & Volker Nitsch & David Liechti & Daniel Triet, 2009. "The euro and prices: changeover-related inflation and price convergence in the euro area," European Economy - Economic Papers, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission 381, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  10. Demirguc-Kunt, Asli & Klapper, Leora F. & Panos, Georgios A., 2009. "Entrepreneurship in post-conflict transition : the role of informality and access to finance," Policy Research Working Paper Series 4935, The World Bank.
  11. Panos, Georgios & Theodossiou, Ioannis, 2009. "Union Mediation and Adaptation to Reciprocal Loyalty Arrangements," MPRA Paper 15471, University Library of Munich, Germany.
  12. Pouliakas, Konstantinos & Panos, Georgios & Zangelidis, Alexandros, 2009. "The Inter-Related Dynamics of Dual Job Holding, Human Capital and Occupational Choice," MPRA Paper 16859, University Library of Munich, Germany.

2008

  1. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus.
  2. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus.
  3. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 08/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 08/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Seasonal unit root tests and the role of initial conditions," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 08/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. Jürgen Eichberger & Dmitri Vinogradov, 2008. "Least Unmatched Price Auctions: A First Approach," Working Papers, University of Heidelberg, Department of Economics 0471, University of Heidelberg, Department of Economics, revised Jul 2008.
  7. Michael J. Lamla & Sarah M. Lein, 2008. "The Role of Media for Consumers' Inflation Expectation Formation," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 08-201, KOF Swiss Economic Institute, ETH Zurich.
  8. Martin Gassebner & Noel Gaston & Michael Lamla, 2008. "The Inverse Domino Effect: Are Economic Reforms Contagious?," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 08-187, KOF Swiss Economic Institute, ETH Zurich.

2007

  1. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  2. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Testing for a unit root in the presence of a possible break in trend," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 07/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. Dmitri V. Vinogradov, 2007. "Ambiguity, Efficieny and Bank Bailouts," Working Papers, University of Heidelberg, Department of Economics 0442, University of Heidelberg, Department of Economics, revised May 2007.
  5. Michael Lamla, 2007. "Long-run Determinants of Pollution: A Robustness Analysis," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 07-164, KOF Swiss Economic Institute, ETH Zurich.
  6. Christian Conrad & Michael J. Lamla, 2007. "The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 07-174, KOF Swiss Economic Institute, ETH Zurich.
  7. Michael J. Lamla & Sarah M. Lein & Jan-Egbert Sturm, 2007. "News and Sectoral Comovement," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 07-183, KOF Swiss Economic Institute, ETH Zurich.

2006

  1. Stuart Snaith & Neil Kellard & Jerry Coakley, 2006. "The Forward Premium Anomaly at Long Horizons," Computing in Economics and Finance 2006, Society for Computational Economics 474, Society for Computational Economics.
  2. Jerry Coakley & Jian Dollery & Neil Kellard, 2006. "Long Memory and Structural Breaks in Commodity Futures Basis and Market," Computing in Economics and Finance 2006, Society for Computational Economics 523, Society for Computational Economics.
  3. Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006. "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006, Society for Computational Economics 323, Society for Computational Economics.
  4. Periklis Kougoulis & John C. Nankervis & Jerry Coakley, 2006. "Generalized variance ratio tests in the presence of statistical dependence," Computing in Economics and Finance 2006, Society for Computational Economics 180, Society for Computational Economics.
  5. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2006. "A simple, robust and powerful test of the trend hypothesis," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 06/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  7. Dmitri V. Vinogradov, 2006. "Macroeconomic Evolution after a Production Shock: the Role for Financial Intermediation," Working Papers, University of Heidelberg, Department of Economics 0430, University of Heidelberg, Department of Economics, revised Aug 2006.
  8. Dmitri V. Vinogradov, 2006. "Bank Insolvencies, Regulatory Forbearance and Ambiguity," Working Papers, University of Heidelberg, Department of Economics 0431, University of Heidelberg, Department of Economics, revised Sep 2006.
  9. Martin Gassebner & Noel Gaston & Michael Lamla, 2006. "Relief for the Environment? The Importance of an Increasingly Unimportant Industrial Sector," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-130, KOF Swiss Economic Institute, ETH Zurich.
  10. Martin Gassebner & Michael Lamla & Jan-Egbert Sturm, 2006. "Economic, Demographic and Political Determinants of Pollution Reassessed: A Sensitivity Analysis," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-129, KOF Swiss Economic Institute, ETH Zurich.
  11. Michael Lamla & Sarah M. Rupprecht, 2006. "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-135, KOF Swiss Economic Institute, ETH Zurich.
  12. Axel Dreher & Michael J. Lamla & Sarah M. Rupprecht & Frank Somogyi, 2006. "The impact of political leaders’ profession and education on reforms," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-147, KOF Swiss Economic Institute, ETH Zurich.

2005

  1. Giuseppe Cavaliere and A M Robert Taylor, 2005. "Testing the Null of Co-integration in the Presence of Variance Breaks," Discussion Papers, Department of Economics, University of Birmingham 05-10, Department of Economics, University of Birmingham.
  2. David Harvey, Stephen Leybourne and A M Robert Taylor, 2005. "On Robust Trend Function Hypothesis Testing," Discussion Papers, Department of Economics, University of Birmingham 05-07, Department of Economics, University of Birmingham.
  3. Dmitri Vinogradov, 2005. "Banks versus Markets in Processing the Payments Shock," Finance, EconWPA 0506004, EconWPA.
  4. Dmitri Vinogradov, 2005. "Bailout Policy against Financial Intermediation Failures," Finance, EconWPA 0506003, EconWPA.
  5. Mavrotas, George & Vinogradov, Dmitri, 2005. "Financial Sector Structure and Financial Crisis Burden: A Model Based on the Russian Default of 1998," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) DP2005/09, World Institute for Development Economic Research (UNU-WIDER).

2004

  1. Stuart Snaith & Jerry Coakley, 2004. "The overvaluation of PPP in Europe?," Computing in Economics and Finance 2004, Society for Computational Economics 285, Society for Computational Economics.
  2. Jerry Coakley & Stuart Snaith, 2004. "Testing for Long Run Relative PPP in Europe," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 34, Money Macro and Finance Research Group.
  3. Ana-Maria Fuertes & Jerry Coakley & Andrew Wood, 2004. "A new interpretation of the real exchange rate - yield differential nexus," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group 32, Money Macro and Finance Research Group.
  4. Jerry Coakley & Periklis Kougoulis, 2004. "Comovement and FTSE 100 Index Changes," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 11, Money Macro and Finance Research Group.
  5. Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004. "The Feldstein-Horioka puzzle is not as bad as you think," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group 17, Money Macro and Finance Research Group.
  6. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0403, Birkbeck, Department of Economics, Mathematics & Statistics.
  7. Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings, Econometric Society 125, Econometric Society.
  8. Robert Taylor & Fabio Busetti, 2004. "Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power," Econometric Society 2004 Far Eastern Meetings, Econometric Society 494, Econometric Society.
  9. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings, Econometric Society 64, Econometric Society.
  10. Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers, European University Institute ECO2004/29, European University Institute.
  11. Burridge, P. & Gjorstrup, F. & Robert Taylor, A. M., 2004. "Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series," Working Papers, Department of Economics, City University London 04/08, Department of Economics, City University London.
  12. Dmitri Vinogradov, 2004. "Macroeconomic evolution aftera shock: the role of financial intermediation," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group 106, Money Macro and Finance Research Group.
  13. Abhijit Sengupta & Yair Tauman, 2004. "Inducing Efficiency in Oligopolistic Markets with Increasing Returns to Scale," Department of Economics Working Papers, Stony Brook University, Department of Economics 04-05, Stony Brook University, Department of Economics.
  14. Barbara Casu & Claudia Girardone, 2004. "An Analysis of the Relevance of Off-Balance Sheet Items in Explaining Productivity Change in European Banking," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 37, Money Macro and Finance Research Group.

2003

  1. Andrew Wood & Jerry Coakley & Ana-Maria Fuertes, 2003. "A New Interpretation of the Exchange Rate - Yield Differential Nexus," Computing in Economics and Finance 2003, Society for Computational Economics 160, Society for Computational Economics.
  2. Paulo M. M. Rodrigues & A. M. Robert Taylor, 2003. "On Tests for Double Differencing: Some Extensions and the Role of Initial Values," Economic Working Papers at Centro de Estudios Andaluces E2003/23, Centro de Estudios Andaluces.
  3. Fabio Busetti & A. M. Robert Taylor, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 470, Bank of Italy, Economic Research and International Relations Area.
  4. Dmitri Vinogradov, 2003. "Macroeconomic evolution after a shock: the role for financial intermediation," Macroeconomics, EconWPA 0310007, EconWPA.

2002

  1. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2002. "A Principal Components Approach to Cross-Section Dependence in Panels," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data B5-3, International Conferences on Panel Data.
  2. Jerry Coakley & Ana-Maria Fuertes, 2002. "Exchange Rate Overshooting and the Forward Premium Puzzle," Computing in Economics and Finance 2002, Society for Computational Economics 145, Society for Computational Economics.
  3. Jerry Coakley & Ana-Maria Fuertes, 2002. "An MTAR Test for Stock Market Bubbles," Computing in Economics and Finance 2002, Society for Computational Economics 298, Society for Computational Economics.
  4. Andrew Wood & Ana-Maria Fuertes & Jerry Coakley, 2002. "Reinterpreting the Real Exchange Rate - Yield Diffential Nexus," Working Papers, Warwick Business School, Finance Group wp02-10, Warwick Business School, Finance Group.
  5. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.

2001

  1. Jerry Coakley, Ana-Maria Fuertes, Ron Smith, 2001. "Small sample properties of panel time-series estimators with I(1) errors," Computing in Economics and Finance 2001, Society for Computational Economics 191, Society for Computational Economics.
  2. Jerry Coakley; Ana-Maria Fuertes, 2001. "Bootstrap LR Tests for Sign and Amplitude Asymmetries," Computing in Economics and Finance 2001, Society for Computational Economics 262, Society for Computational Economics.
  3. Jerry Coakley, Ana-Maria Fuertes, Ron Smith, 2001. "Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach," Computing in Economics and Finance 2001, Society for Computational Economics 140, Society for Computational Economics.
  4. Maria-Teresa Perez & Ana-Maria Fuertes & Jerry Coakley, 2001. "Numerical Issues in Threshold Autoregressive Modelling of Time Series," Working Papers, Warwick Business School, Finance Group wp01-09, Warwick Business School, Finance Group.
  5. Ana-Maria Fuertes & Jerry Coakley, 2001. "Rethinking the Forward Premium Puzzle in a Non-linear Framework," Working Papers, Warwick Business School, Finance Group wp01-06, Warwick Business School, Finance Group.
  6. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
  7. Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
  8. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  9. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.

2000

  1. Coakley, Jerry & Fuertes, Ana María & Zoega, Gylfi, 2000. "Evaluating The Persistence And Structuralist Theories Of Unemployment," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2438, C.E.P.R. Discussion Papers.
  2. Ana-Maria Fuertes & Maria-Teresa Perez & Jerry Coakley, 2000. "A Numerical Algorithm For The Efficient Estimation Of Band-Tar Models," Computing in Economics and Finance 2000, Society for Computational Economics 140, Society for Computational Economics.
  3. Bailey, R.W. & Taylor, A.M.R., 2000. "An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model," Discussion Papers, Department of Economics, University of Birmingham 00-09, Department of Economics, University of Birmingham.

1999

  1. Burridge, P. & Taylor, A.M.R., 1999. "On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity," Discussion Papers, Department of Economics, University of Birmingham 99-10, Department of Economics, University of Birmingham.
  2. Smith, R.J. & Taylor, A.M.R., 1999. "Regression-Based Seasonal Unit Root Tests," Discussion Papers, Department of Economics, University of Birmingham 99-15, Department of Economics, University of Birmingham.
  3. Taylor, A.M.R., 1999. "The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests," Discussion Papers, Department of Economics, University of Birmingham 99-14, Department of Economics, University of Birmingham.
  4. Taylor, A.M.R., 1999. "Locally Optimal Tests Against Seasonal Unit Roots," Discussion Papers, Department of Economics, University of Birmingham 99-12, Department of Economics, University of Birmingham.
  5. Taylor, A.M.R. & Smith, R.J., 1999. "Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration," Discussion Papers, Department of Economics, University of Birmingham 99-13, Department of Economics, University of Birmingham.
  6. Taylor, A.M.R., 1999. "Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment," Discussion Papers, Department of Economics, University of Birmingham 99-11, Department of Economics, University of Birmingham.
  7. Taylor, A.M.R. & van Dijk, D.J.C., 1999. "Testing for Stochastic Unit Roots - Some Monte Carlo evidence," Econometric Institute Research Papers EI 9922-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

1996

  1. Jerry Coakley & Farida Kulasa & Ron Smith, 1996. "Saving, Investment and Capital Mobility in LDCs," Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics 9610, Birkbeck, Department of Economics, Mathematics & Statistics.

1995

  1. Wood, A., 1995. "Equipment Investment and Economic Growth: How Unique Is the Nexus?," Papers, University of Hertfordshire - Business Schoool 1995:1, University of Hertfordshire - Business Schoool.
  2. Smith, R.J. & Taylor, R., 1995. "Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9529, Faculty of Economics, University of Cambridge.

Undated

  1. Robert Taylor & Stephen Leybourne, . "Testing for Seasonal Unit Roots: a simple alternative to HEGY," Discussion Papers, Department of Economics, University of York 95/44, Department of Economics, University of York.
  2. Robert Taylor, . "On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers' Expenditures," Discussion Papers, Department of Economics, University of York 96/10, Department of Economics, University of York.
  3. Robert Taylor, . "Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests," Discussion Papers, Department of Economics, University of York 96/13, Department of Economics, University of York.
  4. Karim M. Abadir & A. M. Robert Taylor, . "On the Definitions of (Co-)Integration," Discussion Papers, Department of Economics, University of York 97/19, Department of Economics, University of York.
  5. Philip Hans Franses & Robert Taylor, . "Determining the Order of Differencing in Seasonal Time Series Processes," Discussion Papers, Department of Economics, University of York 97/9, Department of Economics, University of York.
  6. David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, . "Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis," Discussion Papers 06/11, University of Nottingham, School of Economics.

Journal articles

2014

  1. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, 01.
  2. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P2), pages 243-258.
  3. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2014. "On infimum Dickey–Fuller unit root tests allowing for a trend break under the null," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 78(C), pages 235-242.
  4. Degl’Innocenti, Marta & Girardone, Claudia & Torluccio, Giuseppe, 2014. "Diversification, multimarket contacts and profits in the leasing industry," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 31(C), pages 231-252.
  5. Michael Josef Lamla & Martin Straub & Esther Mirjam Girsberger, 2014. "On the economic impact of international sport events: microevidence from survey data at the EURO 2008," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 46(15), pages 1693-1703, May.
  6. Hvide, Hans K. & Panos, Georgios A., 2014. "Risk tolerance and entrepreneurship," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(1), pages 200-223.

2013

  1. Shen, Zhe & Coakley, Jerry & Instefjord, Norvald, 2013. "Investor participation and underpricing in lottery-allocated Chinese IPOs," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 25(C), pages 294-314.
  2. Snaith, Stuart & Coakley, Jerry & Kellard, Neil, 2013. "Does the forward premium puzzle disappear over the horizon?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3681-3693.
  3. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 1084-1092.
  4. Robert Taylor, 2013. "Editorial," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 139-140, 03.
  5. Giuseppe Cavaliere & Iliyan Georgiev & A. M. Robert Taylor, 2013. "Wild Bootstrap of the Sample Mean in the Infinite Variance Case," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(2), pages 204-219, February.
  6. Iacone, Fabrizio & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 29(02), pages 393-418, April.
  7. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
  8. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, Elsevier, vol. 176(1), pages 30-45.
  9. Sam Astill & David I. Harvey & A. M. Robert Taylor, 2013. "A bootstrap test for additive outliers in non-stationary time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 454-465, 07.
  10. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 29(06), pages 1289-1313, December.
  11. Robert Taylor, 2013. "Editorial Announcement," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 605-605, November.
  12. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 265-284.
  13. Robert Taylor, 2013. "A Review of Unit Root Tests in Time Series: Volumes 1 and 2," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 16(3), pages B5-B8, October.
  14. Vinogradov, Dmitri & Shadrina, Elena, 2013. "Non-monetary incentives in online experiments," Economics Letters, Elsevier, Elsevier, vol. 119(3), pages 306-310.
  15. Elena Shadrina & D. Vinogradov, 2013. "PPP Legislation: an economic justification and international experience," Public administration issues, Higher School of Economics, Higher School of Economics, issue 4, pages 166-190.
  16. Dimitris Chronopoulos & Claudia Girardone & John Nankervis, 2013. "How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?," Journal of Financial Services Research, Springer, Springer, vol. 43(3), pages 243-263, June.
  17. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2013. "Financial freedom and bank efficiency: Evidence from the European Union," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(4), pages 1223-1231.
  18. Claudia Girardone & Philip A. Hamill & John Wilson, 2013. "Contemporary issues in financial markets and institutions," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(9), pages 811-814, October.
  19. Martin Gassebner & Michael J. Lamla & James Raymond Vreeland, 2013. "Extreme Bounds of Democracy," Journal of Conflict Resolution, Peace Science Society (International), Peace Science Society (International), vol. 57(2), pages 171-197, April.
  20. Klaus Abberger & Yngve Abrahamsen & Roland Aeppli & Erdal Atukeren & Florian Chatagny & Andreas Dibiasi & Dirk Drechsel & Michael Graff & Günther Greulich & Jochen Hartwig & David Iselin & Michael La, 2013. "Schweiz profitiert von Belebung der Weltwirtschaft," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 7(1), pages 1-74, March.
  21. Klaus Abberger & Yngve Abrahamsen & Roland Aeppli & Florian Chatagny & Andreas Dibiasi & Dirk Drechsel & Michael Graff & Florian Hälg & Jochen Hartwig & David Iselin & Michael Lamla & Heiner Mikosch , 2013. "Schweizer Wirtschaft wächst trotz Rezession in Europa," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 7(2), pages 1-29, June.
  22. Klaus Abberger & Yngve Abrahamsen & Florian Chatagny & Andreas Dibiasi & Dirk Drechsel & Michael Graff & Günther Greulich & Florian Hälg & Jochen Hartwig & David Iselin & Michael Lamla & Heiner Miko, 2013. "Schweizer Wirtschaft auf Expansionskurs," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 7(3), pages 1-102, September.
  23. Klaus Abberger & Yngve Abrahamsen & Florian Chatagny & Andreas Dibiasi & Dirk Drechsel & Michael Graff & Florian Hälg & Jochen Hartwig & David Iselin & Michael Lamla & Heiner Mikosch & Stefan Neuwirt, 2013. "Gute Konjunkturaussichten für die Schweizer Wirtschaft," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 7(4), pages 1-29, December.
  24. Georgios A. Panos & Ioannis Theodossiou, 2013. "Reciprocal Loyalty and Union Mediation," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, Wiley Blackwell, vol. 52(3), pages 645-676, 07.
  25. Calabrese, Raffaella, 2013. "Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(1), pages 272-277.
  26. Raffaella Calabrese & Silvia Angela Osmetti, 2013. "Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(6), pages 1172-1188, June.

2012

  1. Chortareas, Georgios & Jitmaneeroj, Boonlert & Wood, Andrew, 2012. "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(1), pages 209-231.
  2. Smeekes, Stephan & Taylor, A.M. Robert, 2012. "Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 28(02), pages 422-456, April.
  3. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Unit root testing under a local break in trend," Journal of Econometrics, Elsevier, Elsevier, vol. 167(1), pages 140-167.
  4. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012. "Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 80(4), pages 1721-1740, 07.
  5. Castro, Tomás del Barrio & Osborn, Denise R. & Taylor, A.M. Robert, 2012. "On Augmented Hegy Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 28(05), pages 1121-1143, October.
  6. Paulo M. M. Rodrigues & A. M. Robert Taylor, 2012. "The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 736-759, October.
  7. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, Elsevier, vol. 169(2), pages 188-195.
  8. Vinogradov, Dmitri, 2012. "Destructive effects of constructive ambiguity in risky times," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(6), pages 1459-1481.
  9. Elena Shadrina & D. Vinogradov, 2012. "Public-private partnership is a form of business organization," Public administration issues, Higher School of Economics, Higher School of Economics, issue 4, pages 5-19.
  10. Nemanja Radić & Franco Fiordelisi & Claudia Girardone, 2012. "Efficiency and Risk-Taking in Pre-Crisis Investment Banks," Journal of Financial Services Research, Springer, Springer, vol. 41(1), pages 81-101, April.
  11. Chortareas, Georgios E. & Garza-García, Jesús G. & Girardone, Claudia, 2012. "Competition, efficiency and interest rate margins in Latin American banking," International Review of Financial Analysis, Elsevier, Elsevier, vol. 24(C), pages 93-103.
  12. Chortareas, Georgios E. & Girardone, Claudia & Ventouri, Alexia, 2012. "Bank supervision, regulation, and efficiency: Evidence from the European Union," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(4), pages 292-302.
  13. Degl’Innocenti, Marta & Girardone, Claudia, 2012. "Ownership, diversification and cost advantages: Evidence from the Italian leasing industry," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(4), pages 879-896.
  14. Tim Berg & Kai Carstensen & Gustav Horn & Michael Lamla & Jan-Egbert Sturm & Gunther Schnabl & Carl Weizsäcker, 2012. "Funktionswandel der EZB?," Wirtschaftsdienst, Springer, Springer, vol. 92(2), pages 79-94, February.
  15. Dräger, Lena & Lamla, Michael J., 2012. "Updating inflation expectations: Evidence from micro-data," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 807-810.
  16. Michael J. Lamla & Thomas Maag, 2012. "The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 44(7), pages 1325-1350, October.
  17. Vlastakis, Nikolaos & Markellos, Raphael N., 2012. "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(6), pages 1808-1821.
  18. Snaith, Stuart, 2012. "The PPP debate: Multiple breaks and cross-sectional dependence," Economics Letters, Elsevier, Elsevier, vol. 115(3), pages 342-344.

2011

  1. David Harvey & Stephen Leybourne & A.M. Robert Taylor, 2011. "Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(5), pages 514-547.
  2. Taylor, A.M. Robert & Vogelsang, Timothy J., 2011. "Special Issue Of Econometric Theory On Bootstrap And Numerical Methods In Time Series: Guest Editors’ Introduction," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 27(05), pages 929-932, October.
  3. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 27(05), pages 957-991, October.
  4. Dmitri Vinogradov, 2011. "Banks, Credibility And Macroeconomic Evolution After A Production Shock," Manchester School, University of Manchester, vol. 79(3), pages 480-509, 06.
  5. Sengupta, Abhijit & Tauman, Yair, 2011. "Inducing efficiency in oligopolistic markets with increasing returns to scale," Mathematical Social Sciences, Elsevier, Elsevier, vol. 62(2), pages 95-100, September.
  6. Claudia Girardone & Stuart Snaith, 2011. "Project finance loan spreads and disaggregated political risk," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(23), pages 1725-1734.
  7. Dimitris Chronopoulos & Claudia Girardone & John Nankervis, 2011. "Are there any cost and profit efficiency gains in financial conglomeration? Evidence from the accession countries," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(8), pages 603-621.
  8. Georgios E. Chortareas & Jesus G. Garza‐Garcia & Claudia Girardone, 2011. "Banking Sector Performance in Latin America: Market Power versus Efficiency," Review of Development Economics, Wiley Blackwell, Wiley Blackwell, vol. 15(2), pages 307-325, 05.
  9. Georgios E. Chortareas & Jes�s G. Garza-García & Claudia Girardone, 2011. "Financial deepening and bank productivity in Latin America," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(9-10), pages 811-827, November.
  10. Georgios E. Chortareas & Claudia Girardone & Alexia Ventouri, 2011. "Financial Frictions, Bank Efficiency and Risk: Evidence from the Eurozone," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 38(1-2), pages 259-287, 01.
  11. Martin Gassebner & Noel Gaston & Michael J. Lamla, 2011. "The Inverse Domino Effect: Are Economic Reforms Contagious?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 183-200, 02.
  12. Martin Gassebner & Michael J. Lamla & Jan-Egbert Sturm, 2011. "Determinants of pollution: what do we really know?," Oxford Economic Papers, Oxford University Press, vol. 63(3), pages 568-595, July.
  13. Michael Lamla & Sarah Lein, 2011. "What matters when? The impact of ECB communication on financial market expectations," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 43(28), pages 4289-4309.
  14. Thomas Mayer & Holger Schmieding & Manfred Jäger-Ambrozewicz & Michael Lamla & Jan-Egbert Sturm & Ulrich Kater & Leon Leschus & Wolfgang Brachinger, 2011. "Zinserhöhung der EZB: Wie groß ist die Inflationsgefahr?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 64(14), pages 03-26, 07.
  15. Oliver Landmann & Gunther Schnabl & David Iselin & Michael J. Lamla & Rudolf Minsch, 2011. "Mindestkurs für den Schweizer Franken: Gefährlicher Interventionismus der SNB?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 64(19), pages 03-16, October.
  16. Michael Lamla & Andrea Lassmann, 2011. "Der Einfluss der Wechselkursentwicklung auf die schweizerischen Warenexporte: eine disaggregierte Analyse," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 5(2), pages 31-49, June.
  17. Asli Demirgüc‐Kunt & Leora F. Klapper & Georgios A. Panos, 2011. "Entrepreneurship in post‐conflict transition," The Economics of Transition, The European Bank for Reconstruction and Development, The European Bank for Reconstruction and Development, vol. 19(1), pages 27-78, 01.
  18. Klapper, Leora & Panos, Georgios A., 2011. "Financial literacy and retirement planning: the Russian case," Journal of Pension Economics and Finance, Cambridge University Press, Cambridge University Press, vol. 10(04), pages 599-618, October.

2010

  1. Jerry Coakley & Lei Fu & Hardy Thomas, 2010. "Misvaluation and UK mergers 1986-2002," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(3), pages 201-211.
  2. Jing-Ming Kuo & Jerry Coakley & Andrew Wood, 2010. "The lunar moon festival and the dark side of the moon," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(20), pages 1565-1575.
  3. Hsiao-Peng Fu & Andrew Wood, 2010. "Momentum in Taiwan: seasonality matters!," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(13), pages 1247-1253.
  4. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "The impact of the initial condition on robust tests for a linear trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 292-302, 07.
  5. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
  6. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 519-552, Diciembre.
  7. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 7-24, September.
  8. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 342-358, August.
  9. Abhijit Sengupta & Stephen E. Glavin, 2010. "Volatility In The Consumer Packaged Goods Industry — A Simulation Based Study," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 579-605.
  10. Sengupta, Abhijit & Greetham, Danica Vukadinovic, 2010. "Dynamics of brand competition: Effects of unobserved social networks," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(12), pages 2391-2406, December.
  11. Casu, Barbara & Girardone, Claudia, 2010. "Integration and efficiency convergence in EU banking markets," Omega, Elsevier, Elsevier, vol. 38(5), pages 260-267, October.
  12. Christian Conrad & Michael J. Lamla, 2010. "The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 42(7), pages 1391-1417, October.
  13. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 903-911, May.

2009

  1. Jerry Coakley & Leon Hadass & Andrew Wood, 2009. "UK IPO underpricing and venture capitalists," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(4), pages 421-435.
  2. Nikola Petrovic & Stuart Manson & Jerry Coakley, 2009. "Does Volatility Improve UK Earnings Forecasts?," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 36(9-10), pages 1148-1179.
  3. Smith, Richard J. & Taylor, A.M. Robert & del Barrio Castro, Tomas, 2009. "Regression-Based Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(02), pages 527-560, April.
  4. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "Bootstrap M Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(5), pages 393-421.
  5. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "A Note on Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(4), pages 364-371.
  6. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Rejoinder," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(03), pages 658-667, June.
  7. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(03), pages 587-636, June.
  8. Chambers, Marcus J. & Phillips, Peter C.B. & Taylor, A.M. Robert, 2009. "Econometric Theory Memorial To Albert Rex Bergstrom–Introduction," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(04), pages 891-900, August.
  9. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Simple, Robust, And Powerful Tests Of The Breaking Trend Hypothesis," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(04), pages 995-1029, August.
  10. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2009. "Heteroskedastic Time Series With A Unit Root," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(05), pages 1228-1276, October.
  11. Harris, David & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Testing For A Unit Root In The Presence Of A Possible Break In Trend," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(06), pages 1545-1588, December.
  12. Leybourne, Stephen & Taylor, A.M. Robert, 2009. "Special Issue Of Econometric Theory In Honor Of Paul Newbold: Guest Editors’ Introduction," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(06), pages 1451-1456, December.
  13. Giorgos Stamatopoulos & Abhijit Sengupta & Erin Vogel & Charles Janson, 2009. "A game-theoretic model of coalition formation among primates," Journal of Bioeconomics, Springer, Springer, vol. 11(2), pages 165-183, August.
  14. Georgios Chortareas & Claudia Girardone & Alexia Ventouri, 2009. "Efficiency and productivity of Greek banks in the EMU era," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(16), pages 1317-1328.
  15. Barbara Casu & Claudia Girardone, 2009. "Competition issues in European banking," Journal of Financial Regulation and Compliance, Emerald Group Publishing, Emerald Group Publishing, vol. 17(2), pages 119-133, May.
  16. Casu, Barbara & Girardone, Claudia, 2009. "Testing the relationship between competition and efficiency in banking: A panel data analysis," Economics Letters, Elsevier, Elsevier, vol. 105(1), pages 134-137, October.
  17. Claudia Girardone & John C. Nankervis & Ekaterini-Fotini Velentza, 2009. "Efficiency, ownership and financial structure in European banking: A cross-country comparison," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 35(3), pages 227-245.
  18. Dreher, Axel & Lamla, Michael J. & Lein, Sarah M. & Somogyi, Frank, 2009. "The impact of political leaders' profession and education on reforms," Journal of Comparative Economics, Elsevier, vol. 37(1), pages 169-193, March.
  19. Lamla, Michael J., 2009. "Long-run determinants of pollution: A robustness analysis," Ecological Economics, Elsevier, Elsevier, vol. 69(1), pages 135-144, November.
  20. Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos, 2009. "How efficient is the European football betting market? Evidence from arbitrage and trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(5), pages 426-444.

2008

  1. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3075-3082, February.
  2. Jerry Coakley & Leon Hadass & Andrew Wood, 2008. "Hot IPOs can damage your long-run wealth!," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(14), pages 1111-1120.
  3. J. Coakley & P. Kougoulis & J. C. Nankervis, 2008. "The MSCI-Canada index rebalancing and excess comovement," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(16), pages 1277-1287.
  4. Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008. "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 12(3), pages 1-31, September.
  5. Giuseppe Cavaliere & A. M. Robert Taylor, 2008. "Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 300-330, 03.
  6. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2008. "Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330]," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 396-397, April.
  7. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 24(01), pages 43-71, February.
  8. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 84-98, November.
  9. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Seasonal unit root tests and the role of initial conditions," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 11(3), pages 409-442, November.
  10. Carlo Acerbi & Giacomo Scandolo, 2008. "Liquidity risk theory and coherent measures of risk," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(7), pages 681-692.
  11. Aikaterini-Foteini Velentza & Claudia Girardone & John C. Nankervis, 2008. "Efficiency across alternative financial structures, bank types and size classes: a comparison of the OECD countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(2), pages 168-188.
  12. Martin Gassebner & Noel Gaston & Michael J Lamla, 2008. "Relief For The Environment? The Importance Of An Increasingly Unimportant Industrial Sector," Economic Inquiry, Western Economic Association International, vol. 46(2), pages 160-178, 04.
  13. Nikolaos Vlastakis & George Dotsis & Raphael Markellos, 2008. "Nonlinear modelling of European football scores using support vector machines," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(1), pages 111-118.

2007

  1. Jerry Coakley & Leon Hadass & Andrew Wood, 2007. "Post-IPO Operating Performance, Venture Capital and the Bubble Years," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 34(9-10), pages 1423-1446.
  2. Jerry Coakley & Hardy Thomas & Han-Min Wang, 2007. "The short-run wealth effects of foreign divestitures by UK firms," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(3), pages 173-184.
  3. Qiwei Chen & Lisa Jack & Andrew Wood, 2007. "Tax-loss selling and seasonal effects in the UK," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(13), pages 1027-1035.
  4. Taylor, Robert, 2007. "New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 152-153.
  5. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
  6. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 919-947, October.
  7. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007. "Efficient tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 548-573, December.
  8. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007. "A simple, robust and powerful test of the trend hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 1302-1330, December.
  9. Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert, 2007. "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 11(3), pages 1-34, September.
  10. Robert Taylor, 2007. "Conference in honour of Paul Newbold," Economics Bulletin, AccessEcon, vol. 28(31), pages A0.
  11. Carlo Acerbi, 2007. "Coherent measures of risk in everyday market practice," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(4), pages 359-364.
  12. Mavrotas, George & Vinogradov, Dmitri, 2007. "Financial sector structure and financial crisis burden," Journal of Financial Stability, Elsevier, Elsevier, vol. 3(4), pages 295-323, December.
  13. Michael J. Lamla & Christian Conrad, 2007. "An den Lippen der EZB – Der KOF Monetary Policy Communicator," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, KOF Swiss Economic Institute, ETH Zurich, vol. 1(4), pages 33-45, March.
  14. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(12), pages 3584-3603, December.

2006

  1. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(4), pages 623-654, April.
  2. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2325-2346, August.
  3. Coakley, Jerry & Fuertes, Ana-Maria & Smith, Ron, 2006. "Unobserved heterogeneity in panel time series models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(9), pages 2361-2380, May.
  4. Jerry Coakley & Stavroula Iliopoulou, 2006. "Bidder CEO and Other Executive Compensation in UK M&As," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 12(4), pages 609-631.
  5. Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Persistence change tests and shifting stable autoregressions," Economics Letters, Elsevier, Elsevier, vol. 91(1), pages 44-49, April.
  6. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing the Null of Co-integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 613-636, 07.
  7. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Modified tests for a change in persistence," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 441-469, October.
  8. Peter Burridge & A. M. Robert Taylor, 2006. "Additive Outlier Detection Via Extreme-Value Theory," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 685-701, 09.
  9. Stephen J. Leybourne & Tae-Hwan Kim & A. M. Robert Taylor, 2006. "Regression-based Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 595-621, October.
  10. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
  11. Harvey David I & Leybourne Stephen J & Taylor A.M. Robert, 2006. "On Robust Trend Function Hypothesis Testing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 10(1), pages 1-27, March.
  12. Barbara Casu & Claudia Girardone, 2006. "Bank Competition, Concentration And Efficiency In The Single European Market," Manchester School, University of Manchester, vol. 74(4), pages 441-468, 07.
  13. Elena Beccalli & Barbara Casu & Claudia Girardone, 2006. "Efficiency and Stock Performance in European Banking," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 33(1-2), pages 245-262.

2005

  1. Coakley, Jerry & Flood, Robert P. & Fuertes, Ana M. & Taylor, Mark P., 2005. "Purchasing power parity and the theory of general relativity: the first tests," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(2), pages 293-316, March.
  2. Coakley, Jerry & Kellard, Neil & Snaith, Stuart, 2005. "The PPP debate: Price matters!," Economics Letters, Elsevier, Elsevier, vol. 88(2), pages 209-213, August.
  3. Jerry Coakley & Stuart Snaith, 2005. "Testing for symmetry and proportionality in a European panel," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(11), pages 745-752.
  4. Andrew Wood, 2005. "Investment interdependence and the coordination of lumpy investments: evidence from the British brick industry," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(1), pages 37-49.
  5. Fiona Scheibl & Andrew Wood, 2005. "Investment sequencing in the brick industry: an application of grounded theory," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 29(2), pages 223-247, March.
  6. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 33-54, January.
  7. A. M. Robert Taylor, 2005. "On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 759-778, 09.
  8. A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, 04.
  9. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(06), pages 1112-1129, December.
  10. Busetti, Fabio & Taylor, A.M. Robert, 2005. "Stationarity Tests For Irregularly Spaced Observations And The Effects Of Sampling Frequency On Power," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(04), pages 757-794, August.
  11. Robert Taylor, 2005. "On the limiting behaviour of augmented seasonal unit root tests," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
  12. Barbara Casu & Claudia Girardone, 2005. "An analysis of the relevance of off-balance sheet items in explaining productivity change in European banking," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(15), pages 1053-1061.
  13. Marion Frenz & Claudia Girardone & Grazia Ietto-Gillies, 2005. "Multinationality Matters in Innovation: The Case of the UK Financial Services," Industry and Innovation, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(1), pages 65-92.

2004

  1. Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004. "Is the Feldstein-Horioka Puzzle History?," Manchester School, University of Manchester, vol. 72(5), pages 569-590, 09.
  2. Jerry Coakley & Ana-Maria Fuertes & Andrew Wood, 2004. "A new interpretation of the exchange rate-yield differential nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(3), pages 201-218.
  3. Leybourne, Stephen & Taylor, A. M. Robert, 2004. "On tests for changes in persistence," Economics Letters, Elsevier, Elsevier, vol. 84(1), pages 107-115, July.
  4. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, Elsevier, vol. 120(1), pages 35-73, May.
  5. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, Elsevier, vol. 123(1), pages 33-66, November.
  6. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, Elsevier, vol. 123(1), pages 67-87, November.
  7. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2004. "Asymptotic Distributions For Regression-Based Seasonal Unit Root Test Statistics In A Near-Integrated Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(04), pages 645-670, August.
  8. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2004. "On Tests For Double Differencing: Methods Of Demeaning And Detrending And The Role Of Initial Values," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(01), pages 95-115, February.
  9. Robert Taylor & Stephen Leybourne, 2004. "Some New Tests for a Change in Persistence," Economics Bulletin, AccessEcon, vol. 3(39), pages 1-10.
  10. Casu, Barbara & Girardone, Claudia & Molyneux, Philip, 2004. "Productivity change in European banking: A comparison of parametric and non-parametric approaches," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(10), pages 2521-2540, October.
  11. Barbara Casu & Claudia Girardone, 2004. "Financial conglomeration: efficiency, productivity and strategic drive," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(10), pages 687-696.
  12. Claudia Girardone & Philip Molyneux & Edward Gardener, 2004. "Analysing the determinants of bank efficiency: the case of Italian banks," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(3), pages 215-227.
  13. Barbara Casu & Claudia Girardone, 2004. "Large banks' efficiency in the single European market," The Service Industries Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(6), pages 129-142, November.

2003

  1. Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2219-2242, September.
  2. Taylor, A M Robert, 2003. "Robust Stationarity Tests in Seasonal Time Series Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(1), pages 156-63, January.
  3. Stephen Leybourne & A. M. Robert Taylor, 2003. "Seasonal Unit Root Tests Based on Forward and Reverse Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 441-460, 07.
  4. A. M. Robert Taylor, 2003. "Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 591-612, 09.
  5. Busetti, Fabio & Taylor, A M Robert, 2003. "Variance Shifts, Structural Breaks, and Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(4), pages 510-31, October.
  6. Busetti, Fabio & Taylor, A. M. Robert, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, Elsevier, vol. 117(1), pages 21-53, November.
  7. Breitung, Jorg & Taylor, A. M. Robert, 2003. "Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]," Journal of Econometrics, Elsevier, Elsevier, vol. 117(2), pages 401-404, December.
  8. Taylor, A.M. Robert, 2003. "On The Asymptotic Properties Of Some Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(02), pages 311-321, April.

2002

  1. Jerry Coakley & Ana-Maria Fuertes, 2002. "Asymmetric dynamics in UK real interest rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(6), pages 379-387.
  2. Taylor, A M Robert, 2002. "Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 269-81, April.
  3. Taylor, A M Robert & van Dijk, Dick, 2002. " Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 381-97, September.
  4. Ralph W. Bailey & A. M. Robert Taylor, 2002. "An optimal test against a random walk component in a non-orthogonal unobserved components model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 5(2), pages 520-532, 06.
  5. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1487-1503, July.
  6. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1505-1518, July.

2001

  1. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "A Non-linear Analysis of Excess Foreign Exchange Returns," Manchester School, University of Manchester, vol. 69(6), pages 623-42, December.
  2. Jerry Coakley & Ana-Maria Fuertes, 2001. "Nonparametric cointegration analysis of real exchange rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(1), pages 1-8.
  3. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "Border costs and real exchange rate dynamics in Europe," Journal of Policy Modeling, Elsevier, Elsevier, vol. 23(6), pages 669-676, August.
  4. Coakley Jerry & Fuertes Ana-María & Zoega Gylfi, 2001. "Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 5(3), pages 1-25, October.
  5. Taylor, A M Robert & Smith, Richard J, 2001. "Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(2), pages 192-207, April.
  6. Burridge, Peter & Taylor, A M Robert, 2001. "On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(3), pages 374-79, July.
  7. Burridge, Peter & Taylor, A. M. Robert, 2001. "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 104(1), pages 91-117, August.
  8. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 105(2), pages 309-336, December.

2000

  1. Coakley, Jerry & Fuertes, Ana-Maria, 2000. "Short-Run Real Exchange Rate Dynamics," Manchester School, University of Manchester, vol. 68(4), pages 461-75, Special I.
  2. Coakley, Jerry & Fuertes, Ana-Marie, 2000. "Is There a Base Currency Effect in Long-Run PPP?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 5(4), pages 253-63, October.
  3. Taylor, A M Robert, 2000. " The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(2), pages 293-304, May.
  4. Burridge, Peter & Taylor, A M Robert, 2000. " On the Power of GLS-Type Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(5), pages 633-45, December.
  5. Philip Hans Franses And A. M. Robert Taylor, 2000. "Determining the order of differencing in seasonal time series processes," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 3(2), pages 250-264.

1999

  1. Coakley, Jerry & Hasan, Farida & Smith, Ron, 1999. "Saving, Investment, and Capital Mobility in LDCs," Review of International Economics, Wiley Blackwell, vol. 7(4), pages 632-40, November.
  2. Taylor, A M Robert & Leybourne, Stephen J, 1999. "Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function," Manchester School, University of Manchester, vol. 67(3), pages 261-86, June.

1998

  1. Coakley, Jerry & Kulasi, Farida & Smith, Ron, 1998. "The Feldstein-Horioka Puzzle and Capital Mobility: A Review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(2), pages 169-88, April.
  2. Smith, Richard J. & Taylor, A. M. Robert, 1998. "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, Elsevier, vol. 85(2), pages 269-288, August.

1997

  1. Coakley, Jerry & Kulasi, Farida, 1997. "Cointegration of long span saving and investment," Economics Letters, Elsevier, Elsevier, vol. 54(1), pages 1-6, January.
  2. Coakley, Jerry & Fuertes, Ana Maria, 1997. "New panel unit root tests of PPP," Economics Letters, Elsevier, Elsevier, vol. 57(1), pages 17-22, November.
  3. Taylor, A M Robert & Dixon, Huw D, 1997. "Controversy: On Modelling the Long Run in Applied Economics," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(440), pages 165-68, January.
  4. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 307-318, September.
  5. Robert Taylor, 1997. "Book Reviews," Asia Pacific Business Review, Taylor & Francis Journals, vol. 3(3), pages 193-194, March.

1996

  1. Coakley, Jerry & Kulasi, Farida & Smith, Ron, 1996. "Current Account Solvency and the Feldstein-Horioka Puzzle," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(436), pages 620-27, May.
  2. Taylor, A.M. Robert, 1996. "Linear Combinations of Stationary Processes," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 12(05), pages 869-869, December.

1994

  1. J Coakley, 1994. "The integration of property and financial markets," Environment and Planning A, Pion Ltd, London, vol. 26(5), pages 697-713, May.

Books

2009

  1. Jacob A. Bikker & Barbara Casu & Claudia Girardone & Mohamed E Chaffai & Michel Dietsch & Antonio Colangelo & Robert Inklaar & Marco Colagiovanni & Martin Czurda & Roger Hartmann & Charles-Henri Di Ma, 2009. "Productivity in the Financial Services Sector," SUERF Studies, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum, number 2009/4 edited by Morten Balling & Ernest Gnan & Frank Lierman & Jean-Pierre Schoder, July.