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Information about:
Mario Cerrato

Personal Details | Affiliation | Works
This is information that was supplied by Mario Cerrato in registering through RePEc. If you are Mario Cerrato , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Mario
Middle Name:
Last Name: Cerrato
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RePEc Short-ID: pce69

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Department of Economics, University of Glasgow. [Downloadable!]

  2. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Department of Economics, University of Glasgow. [Downloadable!]

  3. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2009. "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," Working Papers 2009_26, Department of Economics, University of Glasgow. [Downloadable!]

  4. Mario Cerrato & Abdelmadjid Djennad, 2008. "Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities," Working Papers 2009_16, Department of Economics, University of Glasgow, revised Apr 2009. [Downloadable!]

  5. Mario Cerrato, 2008. "Valuing American Derivatives by Least Squares Methods," Working Papers 2008_12, Department of Economics, University of Glasgow, revised Sep 2008. [Downloadable!]

  6. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Department of Economics, University of Glasgow. [Downloadable!]

  7. Mario Cerrato & Christian de Peretti & Nick Sarantis, 2008. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers 2008_08, Department of Economics, University of Glasgow.
    Other versions:

  8. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  9. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Chebyshev polynomial approximation to approximate partial differential equations," Working Papers 2008_16, Department of Economics, University of Glasgow. [Downloadable!]

  10. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Department of Economics, University of Glasgow, revised Feb 2009. [Downloadable!]

  11. Mario Cerrato & Kan Kwok Cheung, 2007. "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006 49, Money Macro and Finance Research Group. [Downloadable!]

  12. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group. [Downloadable!]

  13. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Black Market And Official Exchange Rates:Long-Run Equilibrium And Short-Run Dynamics," Public Policy Discussion Papers 05-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    Published as:

  14. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Economics and Finance Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:

  15. Lucio Valerio Spagnolo, Mario Cerrato, 2005. "No euro please, We’re British!," CELPE Discussion Papers 95, CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy. [Downloadable!]

  16. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Economics and Finance Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
    Published as:

  17. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    Published as:

  18. Cerrato, Mario & Nicholas Sarantis, 2003. "Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates," Royal Economic Society Annual Conference 2003 40, Royal Economic Society. [Downloadable!]

  19. Cerrato, Mario, 2002. "The Cross Sectional Dependence Puzzle," Royal Economic Society Annual Conference 2002 42, Royal Economic Society. [Downloadable!]

Articles

  1. Cerrato, Mario & Sarantis, Nicholas, 2008. "Symmetry, proportionality and the purchasing power parity: Evidence from panel cointegration tests," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 56-65. [Downloadable!] (restricted)

  2. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long-run Equilibrium and Short-run Dynamics," Review of International Economics, Blackwell Publishing, vol. 16(3), pages 401-412, 08. [Downloadable!] (restricted)
    Other versions:

  3. Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2008. "The Purchasing Power Parity Persistence Puzzle: Evidence From Black Market Real Exchange Rates," Manchester School, University of Manchester, vol. 76(4), pages 405-423, 07. [Downloadable!] (restricted)

  4. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May. [Downloadable!] (restricted)

  5. Mario Cerrato & Nicholas Sarantis, 2007. "Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 427-444. [Downloadable!]

  6. Mario Cerrato & Andrea Iannelli, 2006. "Testing For Random Walk And Structural Breaks In Hedge Funds Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 341-358. [Downloadable!] (restricted)

  7. Mario Cerrato & Nick Sarantis, 2006. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies," Economics Bulletin, Economics Bulletin, vol. 6(7), pages 1-14. [Downloadable!]

  8. Guglielmo Maria Caporale & Mario Cerrato, 2006. "Panel data tests of PPP: a critical overview," Applied Financial Economics, Taylor and Francis Journals, vol. 16(1-2), pages 73-91, January. [Downloadable!] (restricted)
    Other versions:

  9. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2005. "Measuring half-lives: using a non-parametric bootstrap approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 1-4, January. [Downloadable!] (restricted)
    Other versions:

NEP Fields

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (5) 2005-07-25 2007-01-02 2008-10-28 2009-03-22 2009-07-28 Author is listed
  2. NEP-CWA: Central & Western Asia (1) 2007-01-02
  3. NEP-ECM: Econometrics (4) 2004-10-18 2004-10-21 2008-10-28 2009-08-08
  4. NEP-ETS: Econometric Time Series (4) 2004-10-18 2004-10-21 2009-03-22 2009-08-08
  5. NEP-FIN: Finance (2) 2005-03-06 2005-03-20
  6. NEP-FMK: Financial Markets (2) 2005-07-25 2006-03-05
  7. NEP-FOR: Forecasting (1) 2009-07-28
  8. NEP-IFN: International Finance (9) 2002-07-08 2003-07-21 2004-10-18 2004-10-21 2005-03-20 2006-03-05 2007-01-02 2009-03-22 2009-07-28 Author is listed
  9. NEP-MON: Monetary Economics (2) 2005-07-25 2009-07-28
  10. NEP-MST: Market Microstructure (1) 2009-07-28
  11. NEP-OPM: Open MacroEconomics (1) 2009-03-22
  12. NEP-ORE: Operations Research (1) 2008-10-28
  13. NEP-REG: Regulation (1) 2005-03-20
  14. NEP-SEA: South East Asia (1) 2007-01-02
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This page was last updated on 2009-12-11.

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