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Mark Salmon

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Personal Details

First Name: Mark
Middle Name:
Last Name: Salmon
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RePEc Short-ID: psa111

Email:
Homepage:
Postal Address: Warwick Business School University of Warwick Coventry CV4 7AL UK
Phone: 0044 (0)2476574168

Affiliation

(in no particular order)

Works

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Working papers

  1. Mark Salmon & Roman Kozhan, 2008. "Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation," Working Papers wp08-05, Warwick Business School, Finance Group.
  2. Mark Salmon & Roman Kozhan, 2008. "On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates," Working Papers wp08-06, Warwick Business School, Finance Group.
  3. 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.
  4. Christoph Schleicher & Mark Salmon, 2006. "Pricing Multivariate Currency Options with Copulas," Working Papers wp06-21, Warwick Business School, Finance Group.
  5. Christoph Schleicher & Mark Salmon & Matthew Hurd, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)," Working Papers wp05-14, Warwick Business School, Finance Group.
  6. Gemmill, Gordon T & Hwang, Soosung & Salmon, Mark, 2005. "Performance Measurement with Loss Aversion," CEPR Discussion Papers 5173, C.E.P.R. Discussion Papers.
  7. Hwang, Soosung & Salmon, Mark, 2004. "Market Stress and Herding," CEPR Discussion Papers 4340, C.E.P.R. Discussion Papers.
  8. Mark Salmon & Soosung Hwang, 2001. "An Analysis of Performance Measures Using Copulae," Working Papers wp01-13, Warwick Business School, Finance Group.
  9. Mark Salmon & Soosung Hwang, 2001. "A New Measure of Herding and Empirical Evidence," Working Papers wp01-12, Warwick Business School, Finance Group.
  10. Mark Salmon & Paul Marriott & Frank Critchley, 2001. "On Preferred Point Geometry in Statistics," Working Papers wp01-04, Warwick Business School, Finance Group.
  11. Mark Salmon & Nicolas Gaussel & Eric Bouy?, 2001. "Investigating Dynamic Dependence Using Copulae," Working Papers wp01-03, Warwick Business School, Finance Group.
  12. Mark Salmon & Massimiliano Marcellino, 2001. "Robust Decision Theory and the Lucas Critique," Working Papers wp01-10, Warwick Business School, Finance Group.
  13. Mark Salmon & Robert Hillman, 1999. "From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?," Working Papers wp99-12, Warwick Business School, Finance Group.
  14. Mark Salmon & Paul Marriott & Frank Critchley, 1999. "An Elementary Account of Amari's Expected Geometry," Working Papers wp99-06, Warwick Business School, Finance Group.
  15. Mark Salmon & Paul Marriott, 1999. "An Introduction to Differential Geometry in Econometrics," Working Papers wp99-10, Warwick Business School, Finance Group.
  16. 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.
  17. Miller, Marcus & Salmon, Mark, 1990. "When Does Coordination Pay?," CEPR Discussion Papers 425, C.E.P.R. Discussion Papers.
  18. 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.
  19. Salmon, Mark, 1988. "Error Correction Models, Co-integration and the Internal Model Principle," CEPR Discussion Papers 265, C.E.P.R. Discussion Papers.
  20. 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.
  21. 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.
  22. 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.
  23. Salmon, Mark, 1982. "Error Correction Mechanisms," The Warwick Economics Research Paper Series (TWERPS) 199, University of Warwick, Department of Economics.
  24. 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.

Articles

  1. 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.
  2. 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.
  3. Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
  4. Marcellino, Massimiliano & Salmon, Mark, 2002. "Robust Decision Theory And The Lucas Critique," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 167-185, February.
  5. Salmon, Mark, 2002. "Editor'S Introduction," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 1-4, February.
  6. 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.
  7. 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 1213-22, September.
  8. Miller, Marcus & Salmon, Mark, 1990. "When does coordination pay?," Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 553-569, October.
  9. 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.
  10. 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.
  11. Salmon, Mark, 1986. "The principle of effective demand revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 231-237, June.
  12. 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 625-46, October.
  13. 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 124-37, Supplemen.
  14. Kiefer, Nicholas M. & Salmon, Mark, 1983. "Testing normality in econometric models," Economics Letters, Elsevier, vol. 11(1-2), pages 123-127.
  15. Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-29, September.

Chapters

  1. 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.

Books

  1. Marriott,Paul & Salmon,Mark (ed.), 2000. "Applications of Differential Geometry to Econometrics," Cambridge Books, Cambridge University Press, number 9780521651165, April.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-FIN: Finance (2) 2005-08-13 2005-09-29. Author is listed
  2. NEP-FMK: Financial Markets (2) 2005-08-13 2005-09-29. Author is listed
  3. NEP-IFN: International Finance (2) 2004-06-13 2005-08-13. Author is listed
  4. NEP-MON: Monetary Economics (1) 2005-08-13. Author is listed

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