Publications
by members of
Financial Econometrics Research Centre
Warwick Business School
University of Warwick
Coventry, 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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles | Books | Chapters |
Working papers
2007
- Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007.
"Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index,"
Bank of England working papers
334, Bank of England.
- Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005 215, Society for Computational Economics.
- Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
2005
- Salmon, Mark & Gemmill, Gordon T & Hwang, Soosung, 2005. "Performance Measurement with Loss Aversion," CEPR Discussion Papers 5173, C.E.P.R. Discussion Papers.
2004
- Salmon, Mark & Hwang, Soosung, 2004.
"Market Stress and Herding,"
CEPR Discussion Papers
4340, C.E.P.R. Discussion Papers.
- Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
1995
- Avesani, Renzo & Gallo, Giampiero M & Salmon, Mark, 1995. "On the Evolution of Credibility and Flexible Exchange Rate Target Zones," CEPR Discussion Papers 1123, C.E.P.R. Discussion Papers.
1990
- Miller, Marcus & Salmon, Mark, 1990.
"When Does Coordination Pay?,"
CEPR Discussion Papers
425, C.E.P.R. Discussion Papers.
- Miller, Marcus & Salmon, Mark, 1990. "When does coordination pay?," Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 553-569, October.
- Miller, Marcus & Salmon, Mark, 1989. "When Does Coordination Pay?," Economic Research Papers 268367, University of Warwick - Department of Economics.
- Miller, M. & Salmon, M., 1989. "When Does Coordination Pay?," The Warwick Economics Research Paper Series (TWERPS) 333, University of Warwick, Department of Economics.
1989
- Basar, T & Salmon, Mark, 1989.
"Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation,"
CEPR Discussion Papers
338, C.E.P.R. Discussion Papers.
- Basar, Tamer & Salmon, Mark, 1990. "Credibility and the value of information transmission in a model of monetary policy and inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 97-116, February.
- Basar, Tamer & Salmon, Mark, 1987. "Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation," The Warwick Economics Research Paper Series (TWERPS) 289, University of Warwick, Department of Economics.
1988
- Salmon, Mark, 1988.
"Error Correction Models, Co-integration and the Internal Model Principle,"
CEPR Discussion Papers
265, C.E.P.R. Discussion Papers.
- Salmon, M., 1988. "Error Correction Models, Co-Integration And The Internal Model Principle," The Warwick Economics Research Paper Series (TWERPS) 291, University of Warwick, Department of Economics.
1985
- Fisher, Paul & Salmon, Mark, 1985.
"On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models,"
CEPR Discussion Papers
86, C.E.P.R. Discussion Papers.
- Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-646, October.
1984
- Miller, Marcus & Salmon, Mark, 1984.
"Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies,"
CEPR Discussion Papers
27, C.E.P.R. Discussion Papers.
- Miller, Marcus & Salmon, Mark, 1985. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," Economic Journal, Royal Economic Society, vol. 95(380a), pages 124-137, Supplemen.
- Miller, Marcus & Salmon, Mark, 1983. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," Economic Research Papers 269175, University of Warwick - Department of Economics.
- Miller, Marcus & Salmon, Mark, 1983. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," The Warwick Economics Research Paper Series (TWERPS) 232, University of Warwick, Department of Economics.
1982
- Salmon, Mark, 1982.
"Error Correction Mechanisms,"
The Warwick Economics Research Paper Series (TWERPS)
199, University of Warwick, Department of Economics.
- Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-629, September.
- Kiefer, Nicholas M & Salmon, Mark, 1982.
"Testing Normality in Econometric Models,"
The Warwick Economics Research Paper Series (TWERPS)
216, University of Warwick, Department of Economics.
- Kiefer, Nicholas M. & Salmon, Mark, 1983. "Testing normality in econometric models," Economics Letters, Elsevier, vol. 11(1-2), pages 123-127.
- Kiefer, Nicholas & Salmon, Mark, 1982. "Testing Normality In Econometric Models," Economic Research Papers 269159, University of Warwick - Department of Economics.
1980
- Salmon, Mark & Wallis, Kenneth F, 1980.
"Model Validation and Forecast Comparisons : Theoretical and Practical Considerations,"
The Warwick Economics Research Paper Series (TWERPS)
184, University of Warwick, Department of Economics.
- Salmon, Mark & Wallis, Kenneth F., 1980. "Model Validation And Forecast Comparisons: Theoretical And Practical Considerations," Economic Research Papers 269136, University of Warwick - Department of Economics.
Journal articles
2009
- Eric Bouye & Mark Salmon, 2009. "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 721-750.
- Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
2004
- Hwang, Soosung & Salmon, Mark, 2004.
"Market stress and herding,"
Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
- Salmon, Mark & Hwang, Soosung, 2004. "Market Stress and Herding," CEPR Discussion Papers 4340, C.E.P.R. Discussion Papers.
2002
- Marcellino, Massimiliano & Salmon, Mark, 2002. "Robust Decision Theory And The Lucas Critique," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 167-185, February.
1998
- Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
1996
- Critchley, Frank & Marriott, Paul & Salmon, Mark, 1996. "On the Differential Geometry of the Wald Test with Nonlinear Restrictions," Econometrica, Econometric Society, vol. 64(5), pages 1213-1222, September.
1990
- Basar, Tamer & Salmon, Mark, 1990.
"Credibility and the value of information transmission in a model of monetary policy and inflation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 97-116, February.
- Basar, T & Salmon, Mark, 1989. "Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation," CEPR Discussion Papers 338, C.E.P.R. Discussion Papers.
- Basar, Tamer & Salmon, Mark, 1987. "Credibility and the Value of Information Transmission in a Model of Monetary Policy and Inflation," The Warwick Economics Research Paper Series (TWERPS) 289, University of Warwick, Department of Economics.
- Miller, Marcus & Salmon, Mark, 1990.
"When does coordination pay?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 553-569, October.
- Miller, Marcus & Salmon, Mark, 1989. "When Does Coordination Pay?," Economic Research Papers 268367, University of Warwick - Department of Economics.
- Miller, Marcus & Salmon, Mark, 1990. "When Does Coordination Pay?," CEPR Discussion Papers 425, C.E.P.R. Discussion Papers.
- Miller, M. & Salmon, M., 1989. "When Does Coordination Pay?," The Warwick Economics Research Paper Series (TWERPS) 333, University of Warwick, Department of Economics.
1988
- Salmon, Mark, 1988. "Error correction models, cointegration and the internal model principle," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 523-549.
1986
- Fisher, Paul & Salmon, Mark, 1986.
"On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-646, October.
- Fisher, Paul & Salmon, Mark, 1985. "On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models," CEPR Discussion Papers 86, C.E.P.R. Discussion Papers.
- Salmon, Mark, 1986. "The principle of effective demand revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 231-237, June.
1985
- Miller, Marcus & Salmon, Mark, 1985.
"Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies,"
Economic Journal, Royal Economic Society, vol. 95(380a), pages 124-137, Supplemen.
- Miller, Marcus & Salmon, Mark, 1983. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," Economic Research Papers 269175, University of Warwick - Department of Economics.
- Miller, Marcus & Salmon, Mark, 1984. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," CEPR Discussion Papers 27, C.E.P.R. Discussion Papers.
- Miller, Marcus & Salmon, Mark, 1983. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," The Warwick Economics Research Paper Series (TWERPS) 232, University of Warwick, Department of Economics.
1983
- Kiefer, Nicholas M. & Salmon, Mark, 1983.
"Testing normality in econometric models,"
Economics Letters, Elsevier, vol. 11(1-2), pages 123-127.
- Kiefer, Nicholas & Salmon, Mark, 1982. "Testing Normality In Econometric Models," Economic Research Papers 269159, University of Warwick - Department of Economics.
- Kiefer, Nicholas M & Salmon, Mark, 1982. "Testing Normality in Econometric Models," The Warwick Economics Research Paper Series (TWERPS) 216, University of Warwick, Department of Economics.
1982
- Salmon, Mark H, 1982.
"Error Correction Mechanisms,"
Economic Journal, Royal Economic Society, vol. 92(367), pages 615-629, September.
- Salmon, Mark, 1982. "Error Correction Mechanisms," The Warwick Economics Research Paper Series (TWERPS) 199, University of Warwick, Department of Economics.
Books
2000
- Marriott,Paul & Salmon,Mark (ed.), 2000. "Applications of Differential Geometry to Econometrics," Cambridge Books, Cambridge University Press, number 9780521651165.
Chapters
1985
- Marcus Miller & Mark Salmon, 1985. "Policy Coordination and Dynamic Games," NBER Chapters, in: International Economic Policy Coordination, pages 184-227, National Bureau of Economic Research, Inc.