Publications
by members of
ICMA Centre for Financial Markets
Henley Business School
University of Reading
Reading, 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. Find also a compilation of publications from alumni here.This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |
Working papers
2023
- Michael P. Clements & Shixuan Wang, 2023. "Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?," Economics Discussion Papers em-dp2023-05, Department of Economics, University of Reading.
2022
- Michael Clements & Robert W. Rich & Joseph Tracy, 2022. "Surveys of Professionals," Working Papers 22-13, Federal Reserve Bank of Cleveland.
2021
- Cepni, Oguzhan & Clements, Michael P., 2021.
"How Local is the Local Inflation Factor? Evidence from Emerging European Countries,"
Working Papers
8-2021, Copenhagen Business School, Department of Economics.
- Cepni, Oguzhan & Clements, Michael P., 2024. "How local is the local inflation factor? Evidence from emerging European countries," International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
- Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
- Balatti, Mirco & López-Quiles, Carolina, 2021. "Limited liability, strategic default and bargaining power," Working Paper Series 2519, European Central Bank.
2020
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020.
"Forecasting: theory and practice,"
Papers
2012.03854, arXiv.org, revised Jan 2022.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Michael P. Clements, 2020.
"Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts,"
ICMA Centre Discussion Papers in Finance
icma-dp2020-01, Henley Business School, University of Reading.
- Clements, Michael P., 2021. "Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts," International Journal of Forecasting, Elsevier, vol. 37(2), pages 634-646.
- Michael P. Clements, 2020.
"Individual Forecaster Perceptions of the Persistence of Shocks to GDP,"
ICMA Centre Discussion Papers in Finance
icma-dp2020-02, Henley Business School, University of Reading.
- Michael P. Clements, 2022. "Individual forecaster perceptions of the persistence of shocks to GDP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 640-656, April.
- Clements, Michael P. & Galvao, Ana Beatriz, 2020. "Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty," EMF Research Papers 36, Economic Modelling and Forecasting Group.
- Balatti, Mirco, 2020. "Inflation volatility in small and large advanced open economies," Working Paper Series 2448, European Central Bank.
- Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Kleemann, Michael & Reichenbachas, Tomas & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz, 2020. "Banking euro area stress test model," Working Paper Series 2469, European Central Bank.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020.
"Social media and price discovery: the case of cross-listed firms,"
Discussion Papers
20-05, Department of Economics, University of Birmingham.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2023. "Social media and price discovery: The case of cross‐listed firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
- Emese Lazar & Shuyuan Qi & Radu Tunaru, 2020. "Measures of Model Risk in Continuous-time Finance Models," Papers 2010.08113, arXiv.org, revised Oct 2020.
2019
- Clements, Michael P. & Galvao, Ana Beatriz, 2019.
"Measuring the Effects of Expectations Shocks,"
EMF Research Papers
31, Economic Modelling and Forecasting Group.
- Clements, Michael P. & Galvão, Ana Beatriz, 2021. "Measuring the effects of expectations shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Hansen, Ib & Kleemann, Michael & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz & Covi, Giovanni & di Iasi, 2019. "Macroprudential stress test of the euro area banking system," Occasional Paper Series 226, European Central Bank.
2018
- Michael P. Clements, 2018. "Assessing Macro-Forecaster Herding: Modelling versus Testing," ICMA Centre Discussion Papers in Finance icma-dp2018-01, Henley Business School, University of Reading.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Does connection with @realDonaldTrump affect stock prices?," Working Papers 2018-07, Swansea University, School of Management.
- Vu Tran & Rasha Alsakka & Owain ap Gwilym, 2018. "Multiple credit ratings and market heterogeneity," Working Papers 2018-26, Swansea University, School of Management.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2018.
"Social media bots and stock markets,"
Working Papers
2018-30, Swansea University, School of Management.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media bots and stock markets," European Financial Management, European Financial Management Association, vol. 26(3), pages 753-777, June.
- Carol Alexander & Emese Lazar & Silvia Stanescu, 2018.
"Analytic Moments for GARCH Processes,"
Papers
1808.09666, arXiv.org, revised Sep 2018.
- Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
2017
- Michael P Clements & Ana Beatriz Galvao, 2017. "Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables," ICMA Centre Discussion Papers in Finance icma-dp2017-01, Henley Business School, University of Reading.
- Michael Clements, 2017.
"Do forecasters target first or later releases of national accounts data?,"
ICMA Centre Discussion Papers in Finance
icma-dp2017-03, Henley Business School, University of Reading.
- Clements, Michael P., 2019. "Do forecasters target first or later releases of national accounts data?," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1240-1249.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance icma-dp2017-07, Henley Business School, University of Reading.
- Emmanouil Platanakis & Charles Sutcliffe, 2017. "Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes," ICMA Centre Discussion Papers in Finance icma-dp2017-08, Henley Business School, University of Reading.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017.
"Harmful Diversification: Evidence from Alternative Investments,"
ICMA Centre Discussion Papers in Finance
icma-dp2017-09, Henley Business School, University of Reading.
- Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
- Emese Lazar & Ning Zhang, 2017.
"Model Risk of Expected Shortfall,"
ICMA Centre Discussion Papers in Finance
icma-dp2017-10, Henley Business School, University of Reading.
- Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
2016
- Jennifer Castle & David Hendry & Michael P. Clements, 2016.
"An Overview of Forecasting Facing Breaks,"
Economics Series Working Papers
779, University of Oxford, Department of Economics.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016. "An Overview of Forecasting Facing Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Michael Clements, 2016.
"Are Macroeconomic Density Forecasts Informative?,"
ICMA Centre Discussion Papers in Finance
icma-dp2016-02, Henley Business School, University of Reading.
- Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
- Michael Clements, 2016. "Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2016-08, Henley Business School, University of Reading.
- Michael Clements, 2016. "Sir Clive W.J. Granger's Contributions to Forecasting," ICMA Centre Discussion Papers in Finance icma-dp2016-09, Henley Business School, University of Reading.
- Chouliaras, Andreas, 2016. "The Effect of Infomation on Financial Markets: A Survey," MPRA Paper 71396, University Library of Munich, Germany.
2015
- Michael P. Clements, 2015.
"Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision,"
ICMA Centre Discussion Papers in Finance
icma-dp2015-02, Henley Business School, University of Reading.
- Michael P. Clements, 2017. "Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 420-433, July.
- Michael Clements, 2015. "Forecasters' Disagreement about How the Economy Operates, and the Role of Long-run Relationships," ICMA Centre Discussion Papers in Finance icma-dp2015-09, Henley Business School, University of Reading.
- Emmanouil Platanakis & Charles Sutcliffe, 2015.
"Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011,"
ICMA Centre Discussion Papers in Finance
icma-dp2015-05, Henley Business School, University of Reading.
- Platanakis, Emmanouil & Sutcliffe, Charles, 2016. "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 14-28.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2015.
"The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe,"
ICMA Centre Discussion Papers in Finance
icma-dp2015-01, Henley Business School, University of Reading.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2015. "'Buying and Selling of Money for Time': Foreign Exchange and Interest Rates in Medieval Europe," ICMA Centre Discussion Papers in Finance icma-dp2015-03, Henley Business School, University of Reading.
- Chouliaras, Andreas, 2015. "High Frequency Newswire Textual Sentiment: Evidence from international stock markets during the European Financial Crisis," MPRA Paper 62524, University Library of Munich, Germany.
- Chouliaras, Andreas, 2015. "Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms," MPRA Paper 65875, University Library of Munich, Germany.
- Chouliaras, Andreas, 2015. "The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns," MPRA Paper 65585, University Library of Munich, Germany.
2014
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Michael P. Clements, 2014.
"Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-02, Henley Business School, University of Reading.
- Clements, Michael P., 2016. "Long-run restrictions and survey forecasts of output, consumption and investment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 614-628.
- Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.
- Michael P. Clements, 2014.
"Real-Time Factor Model Forecasting and the Effects of Instability,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-05, Henley Business School, University of Reading.
- Clements, Michael P., 2016. "Real-time factor model forecasting and the effects of instability," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 661-675.
- Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, University of Reading.
- Michael P. Clements, 2014.
"Do US Macroeconomic Forecasters Exaggerate Their Differences?,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-10, Henley Business School, University of Reading.
- Michael P. Clements, 2015. "Do US Macroeconomic Forecasters Exaggerate their Differences?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 649-660, December.
- Michael P Clements, 2014. "Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-12, Henley Business School, University of Reading.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014.
"Did Purchasing Power Parity Hold in Medieval Europe?,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-01, Henley Business School, University of Reading.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Did Purchasing Power Parity Hold in Medieval Europe?," Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
- Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014.
"The Equity-like Behaviour of Sovereign Bonds,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-16, Henley Business School, University of Reading.
- Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017. "The equity-like behaviour of sovereign bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
- Yan Liu & Carol Padgett & Simone Varotto, 2014.
"Corporate Governance, Bank Mergers and Executive Compensation,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-18, Henley Business School, University of Reading.
- Yan Liu & Carol Padgett & Simone Varotto, 2017. "Corporate Governance, Bank Mergers and Executive Compensation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 12-29, January.
- Simone Varotto & Lei Zhao, 2014.
"Systemic Risk and Bank Size,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-17, Henley Business School, University of Reading.
- Varotto, Simone & Zhao, Lei, 2018. "Systemic risk and bank size," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 45-70.
- Chouliaras, Andreas & Grammatikos, Theoharry, 2014.
"Extreme Returns in the European Financial Crisis,"
MPRA Paper
58978, University Library of Munich, Germany.
- Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
2013
- Charles Sutcliffe, 2013.
"Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios,"
ICMA Centre Discussion Papers in Finance
icma-dp2013-06, Henley Business School, University of Reading.
- Sutcliffe, Charles, 2015. "Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 163-174.
- Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
2012
- Clements, Michael P., 2012.
"Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth,"
Economic Research Papers
270629, University of Warwick - Department of Economics.
- Clements, Michael P, 2012. "Subjective and Ex Post Forecast Uncertainty : US Inflation and Output Growth," The Warwick Economics Research Paper Series (TWERPS) 995, University of Warwick, Department of Economics.
- Clements, Michael P., 2012.
"US inflation expectations and heterogeneous loss functions, 1968–2010,"
Economic Research Papers
270653, University of Warwick - Department of Economics.
- Michael P. Clements, 2014. "US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 1-14, January.
- Clements, Michael P., 2012. "US inflation expectations and heterogeneous loss functions, 1968–2010," The Warwick Economics Research Paper Series (TWERPS) 986, University of Warwick, Department of Economics.
- Clements, Michael P., 2012.
"Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation,"
Economic Research Papers
270748, University of Warwick - Department of Economics.
- Clements, Michael P., 2014. "Probability distributions or point predictions? Survey forecasts of US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 99-117.
- Clements, Michael P, 2012. "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," The Warwick Economics Research Paper Series (TWERPS) 976, University of Warwick, Department of Economics.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Filippo Coro & Alfonso Dufour & Simone Varotto, 2012. "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance icma-dp2012-06, Henley Business School, University of Reading.
- Carol Alexander & Daniel Ledermann, 2012. "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance icma-dp2012-09, Henley Business School, University of Reading.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012.
"Price Discovery of Credit Spreads in Tranquil and Crisis Periods,"
MPRA Paper
42847, University Library of Munich, Germany.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2013. "Price discovery of credit spreads in tranquil and crisis periods," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012.
"Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options,"
MPRA Paper
56781, University Library of Munich, Germany.
- Davide Avino & Emese Lazar & Simone Varotto, 2011. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," ICMA Centre Discussion Papers in Finance icma-dp2011-17, Henley Business School, University of Reading.
- Carol Alexander & Xi Chen, 2012. "A General Approach to Real Option Valuation with Applications to Real Estate Investments," ICMA Centre Discussion Papers in Finance icma-dp2012-04, Henley Business School, University of Reading.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012.
"Futures basis, inventory and commodity price volatility: An empirical analysis,"
MPRA Paper
39903, University Library of Munich, Germany.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
- Avino, Davide & Lazar, Emese, 2012. "Rethinking Capital Structure Arbitrage," MPRA Paper 42850, University Library of Munich, Germany.
2011
- Clements, Michael P., 2011.
"Do Professional Forecasters Pay Attention to Data Releases?,"
Economic Research Papers
270768, University of Warwick - Department of Economics.
- Clements, Michael P., 2012. "Do professional forecasters pay attention to data releases?," International Journal of Forecasting, Elsevier, vol. 28(2), pages 297-308.
- Clements, Michael P, 2011. "Do Professional Forecasters Pay Attention to Data Releases?," The Warwick Economics Research Paper Series (TWERPS) 956, University of Warwick, Department of Economics.
- Michael P. Clements & Ana Beatriz Galvão, 2011. "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers 678, Queen Mary University of London, School of Economics and Finance.
- Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2011.
"Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price,"
Post-Print
hal-00709557, HAL.
- Adrian R. Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2012. "Over the moon or sick as a parrot? The effects of football results on a club's share price," Applied Economics, Taylor & Francis Journals, vol. 44(26), pages 3435-3452, September.
- Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2009. "Over the Moon or Sick as a Parrot? The Effect's of Football Results on a Club's Share Price," ICMA Centre Discussion Papers in Finance icma-dp2009-08, Henley Business School, University of Reading.
- Daniel Ledermann, 2011. "ROM Simulation with Rotation Matrices," ICMA Centre Discussion Papers in Finance icma-dp2011-06, Henley Business School, University of Reading.
- Simone Varotto, 2011.
"Liquidity Risk, Credit Risk, Market Risk and Bank Capital,"
ICMA Centre Discussion Papers in Finance
icma-dp2011-02, Henley Business School, University of Reading.
- Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 134-152, April.
- Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
2010
- Clements, Michael P., 2010.
"Why are survey forecasts superior to model forecasts?,"
Economic Research Papers
270770, University of Warwick - Department of Economics.
- Clements, Michael P., 2010. "Why are survey forecasts superior to model forecasts?," The Warwick Economics Research Paper Series (TWERPS) 954, University of Warwick, Department of Economics.
- Clements, Michael P. & Beatriz Galvao, Ana, 2010.
"Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions,"
Economic Research Papers
270771, University of Warwick - Department of Economics.
- Clements, Michael P. & Galvão, Ana Beatriz, 2010. "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," The Warwick Economics Research Paper Series (TWERPS) 953, University of Warwick, Department of Economics.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market," MPRA Paper 23380, University Library of Munich, Germany.
- Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market," MPRA Paper 23381, University Library of Munich, Germany.
- Simone Varotto, 2010.
"Stress Testing Credit Risk: The Great Depression Scenario,"
ICMA Centre Discussion Papers in Finance
icma-dp2010-03, Henley Business School, University of Reading.
- Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
- khnifer, mohammed, 2010. "The Rise and Fall of Gulf Finance House," MPRA Paper 27403, University Library of Munich, Germany.
2009
- Charles Sutcliffe, 2009. "Back to the Future: A Long Term Solution to the Occupational Pensions Crisis," ICMA Centre Discussion Papers in Finance icma-dp2009-13, Henley Business School, University of Reading.
- Carol Alexander & Walter Ledermann & Daniel Ledermann, 2009. "Exact Moment Simulation using Random Orthogonal Matrices," ICMA Centre Discussion Papers in Finance icma-dp2009-09, Henley Business School, University of Reading.
2008
- Clements, Michael P., 2008.
"Rounding of probability forecasts: The SPF forecast probabilities of negative output growth,"
Economic Research Papers
269880, University of Warwick - Department of Economics.
- Clements, Michael P., 2008. "Rounding of probability forecasts : The SPF forecast probabilities of negative output growth," The Warwick Economics Research Paper Series (TWERPS) 869, University of Warwick, Department of Economics.
- Clements, Michael P., 2008.
"Explanations of the inconsistencies in survey respondents' forecasts,"
Economic Research Papers
269881, University of Warwick - Department of Economics.
- Clements, Michael P., 2010. "Explanations of the inconsistencies in survey respondents' forecasts," European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
- Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics.
- Clements, Michael P. & Beatriz Galvao, Ana, 2008.
"First Announcements and Real Economic Activity,"
Economic Research Papers
271314, University of Warwick - Department of Economics.
- Clements, Michael P. & Beatriz Galvão, Ana, 2010. "First announcements and real economic activity," European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.
- Clements, Michael P. & Galvão, Ana Beatriz, 2009. "First Announcements and Real Economic Activity," The Warwick Economics Research Paper Series (TWERPS) 885, University of Warwick, Department of Economics.
- Adrian R. Bell & Chris Brooks & Tony Moore, 2008. "Interest in medieval accounts: Examples from England, 1272-1340," ICMA Centre Discussion Papers in Finance icma-dp2008-07, Henley Business School, University of Reading.
- Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
- Carol Alexander & Emese Lazar, 2008. "Markov Switching GARCH Diffusion," ICMA Centre Discussion Papers in Finance icma-dp2008-01, Henley Business School, University of Reading.
2007
- Michael P. Clements & Ana Beatriz Galvão, 2007. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth," Working Papers 616, Queen Mary University of London, School of Economics and Finance.
- Fei Chen & Charles Sutcliffe, 2007. "Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features," ICMA Centre Discussion Papers in Finance icma-dp2007-04, Henley Business School, University of Reading.
- Charles Sutcliffe, 2007. "Should Defined Benefit Pension Schemes be Career Average or Final Salary?," ICMA Centre Discussion Papers in Finance icma-dp2007-06, Henley Business School, University of Reading.
- Adrian Bell & Charles Sutcliffe, 2007.
"Valuing Medieval Annuities: Were Corrodies Underpriced?,"
ICMA Centre Discussion Papers in Finance
icma-dp2007-15, Henley Business School, University of Reading, revised Jul 2009.
- Bell, Adrian & Sutcliffe, Charles, 2010. "Valuing medieval annuities: Were corrodies underpriced?," Explorations in Economic History, Elsevier, vol. 47(2), pages 142-157, April.
- Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, University of Reading.
- Samantha Heslop & Simone Varotto, 2007. "Admissions of International Graduate Students: Art or Science? A Business School Experience," ICMA Centre Discussion Papers in Finance icma-dp2007-08, Henley Business School, University of Reading.
2006
- Clements, Michael P., 2006.
"Internal consistency of survey respondentsíforecasts: Evidence based on the Survey of Professional Forecasters,"
Economic Research Papers
269742, University of Warwick - Department of Economics.
- Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics.
- Clements, Michael P. & Galvao, Ana Beatriz, 2006.
"Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation,"
Economic Research Papers
269743, University of Warwick - Department of Economics.
- Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
- Clements, Michael P. & Harvey, David I., 2006.
"Forecast Encompassing Tests and Probability Forecasts,"
Economic Research Papers
269744, University of Warwick - Department of Economics.
- Michael P. Clements & David I. Harvey, 2010. "Forecast encompassing tests and probability forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
- Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
- Clements, Michael P. & Galvao, Ana Beatriz & Kim, Jae H., 2006.
"Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility,"
Economic Research Papers
269747, University of Warwick - Department of Economics.
- Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
- Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics.
2005
- Charles Sutcliffe, 2005.
"Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria,"
ICMA Centre Discussion Papers in Finance
icma-dp2005-09, Henley Business School, University of Reading.
- Sutcliffe, C. M. S., 2006. "Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria," Annals of Actuarial Science, Cambridge University Press, vol. 1(2), pages 203-220, September.
- John Board & Charles Sutcliffe, 2005.
"Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate,"
ICMA Centre Discussion Papers in Finance
icma-dp2005-11, Henley Business School, University of Reading.
- John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
- John Board & Alfonso Dufour & Charles Sutcliffe & Stephen Wells, 2005. "A False Perception? The relative riskiness of AIM and listed Stocks," ICMA Centre Discussion Papers in Finance icma-dp2006-01, Henley Business School, University of Reading.
- Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?," ICMA Centre Discussion Papers in Finance icma-dp2005-01, Henley Business School, University of Reading, revised Nov 2005.
- Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)," ICMA Centre Discussion Papers in Finance icma-dp2005-08, Henley Business School, University of Reading.
- Arup Daripa & Simone Varotto, 2005.
"Ex Ante Versus Ex Post Regulation of Bank Capital,"
Birkbeck Working Papers in Economics and Finance
0518, Birkbeck, Department of Economics, Mathematics & Statistics.
- Arup Daripa & Simone Varotto, 2010. "Ex-Ante Versus Ex-Post Regulation Of Bank Capital," World Scientific Book Chapters, in: Lloyd P Blenman & Harold A Black & Edward J Kane (ed.), Banking And Capital Markets New International Perspectives, chapter 2, pages 29-58, World Scientific Publishing Co. Pte. Ltd..
- Dr Arup Daripa & Dr. Simone Varotto, 2004. "Ex Ante versus Ex Post Regulation of Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2004-12, Henley Business School, University of Reading.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
- Jianming Kou & Dr Simone Varotto, 2005. "Predicting Agency Rating Migrations with Spread Implied Ratings," ICMA Centre Discussion Papers in Finance icma-dp2005-06, Henley Business School, University of Reading.
- Carol Alexandra & Emese Lazar, 2005. "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance icma-dp2004-09, Henley Business School, University of Reading, revised Jul 2004.
- Carol Alexandra & Emese Lazar, 2005. "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance icma-dp2005-13, Henley Business School, University of Reading.
- Carol Alexandra & Emese Lazar, 2005. "Asymmetries and Volatility Regimes in the European Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2005-14, Henley Business School, University of Reading.
2004
- Alfonso Dufour & Frank Skinner, 2004. "MTS Time Series: Market and Data Description for the European Bond and Repo Database," ICMA Centre Discussion Papers in Finance icma-dp2004-06, Henley Business School, University of Reading.
- Carol Alexandra & Emese Lazar, 2004.
"Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling,"
ICMA Centre Discussion Papers in Finance
icma-dp2004-05, Henley Business School, University of Reading.
- Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
- Carol Alexander & Emese Lazar, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336, April.
- Carol Alexandra & Emese Lazar, 2004. "The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance icma-dp2004-13, Henley Business School, University of Reading.
2003
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003.
"Forecasting economic and financial time-series with non-linear models,"
Departmental Working Papers
200309, Rutgers University, Department of Economics.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
- Geetajali Bali & Frank Skinner, 2003. "The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions," ICMA Centre Discussion Papers in Finance icma-dp2003-01, Henley Business School, University of Reading.
- Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
- Carol Alexandra & Emese Lazar, 2003. "Symmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance icma-dp2003-09, Henley Business School, University of Reading.
2002
- Stephen Wells & Charles Sutcliffe & John Board, 2002. "Market Regulation in a Dynamic Environment," FMG Special Papers sp144, Financial Markets Group.
2001
- Clements, Michael P. & Hendry, David F., 2001.
"Economic forecasting: some lessons from recent research,"
Working Paper Series
82, European Central Bank.
- Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
- David Hendry & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
- David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
- David Hendry & Michael P. Clements, 2001.
"Pooling of Forecasts,"
Economics Papers
2002-W9, Economics Group, Nuffield College, University of Oxford.
- David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
- Hans-Martin Krolzig & Michael P. Clements & Department of Economics & University of Warwick, 2001.
"Modelling Business Cycle Features Using Switching Regime Models,"
Economics Series Working Papers
58, University of Oxford, Department of Economics.
- Clements, M.C. & Krolzig, H.-M., 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 9958, University of Oxford, Department of Economics.
- Sun, P. & Sutcliffe, C., 2001.
"Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options,"
Papers
01-177, University of Southampton - Department of Accounting and Management Science.
- Peng Sun & Charles Sutcliffe, 2003. "Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(8), pages 773-797, August.
- Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, University of Reading.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001.
"Stability of ratings transitions,"
Bank of England working papers
133, Bank of England.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
2000
- Bennell, J. & Sutcliffe, C., 2000. "Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options," Papers 00-156, University of Southampton - Department of Accounting and Management Science.
- Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
1999
- Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999.
"On SETAR non- linearity and forecasting,"
Econometric Institute Research Papers
EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003. "On SETAR non-linearity and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
- Board, J. & Sutcliffe, C. & Ziemba, W., 1999. "The Application of Operations Research Techniques to Financial Markets," Papers 99-147, University of Southampton - Department of Accounting and Management Science.
- Zacharatos, N. & Sutcliffe, C., 1999. "Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data," Papers 99-151, University of Southampton - Department of Accounting and Management Science.
- Dufour, Alfonso & Engle, Robert F, 1999.
"Time and the Price Impact of a Trade,"
University of California at San Diego, Economics Working Paper Series
qt62c0h04j, Department of Economics, UC San Diego.
- Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
1998
- Clements, Michael P. & Smith, Jeremy, 1998.
"Non-Linearities In Exchange Rates,"
Economic Research Papers
268786, University of Warwick - Department of Economics.
- Clements, M.P. & Smith, J., 1998. "Non-Linearities in Exchange Rates," The Warwick Economics Research Paper Series (TWERPS) 504, University of Warwick, Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1998.
"Evaluating The Forecast Densities Of Linear And Non-Linear Models: Applications To Output Growth And Unemployment,"
Economic Research Papers
268791, University of Warwick - Department of Economics.
- Clements, M.P. & Smith J., 1998. "Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment," The Warwick Economics Research Paper Series (TWERPS) 509, University of Warwick, Department of Economics.
- Clements, Michael P. & Hendry, David F., 1998.
"Forecasting With Difference-Stationary And Trend-Stationary Models,"
Economic Research Papers
268798, University of Warwick - Department of Economics.
- Michael P. Clements & David F.Hendry, 2001. "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-19.
- David Hendry & Michael P. Clements, 2000. "Forecasting with Difference-Stationary and Trend-Stationary Models," Economics Series Working Papers 5, University of Oxford, Department of Economics.
- Clements, M.P. & Hendry, D.P., 1998. "Forecasting with Difference-Stationary and Trend-Stationary Models," The Warwick Economics Research Paper Series (TWERPS) 516, University of Warwick, Department of Economics.
- Clements, Michael & Krolzig, Hans-Martin, 1998.
"Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions,"
Economic Research Papers
269248, University of Warwick - Department of Economics.
- Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
- Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
1997
- Clements, Michael & Smith, Jeremy, 1997.
"Forecasting Seasonal Uk Consumption Components,"
Economic Research Papers
268761, University of Warwick - Department of Economics.
- Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 479, University of Warwick, Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," Economic Research Papers 268769, University of Warwick - Department of Economics.
- Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics.
- Clements, Michael P. & Madlener, Reinhard, 1997.
"Seasonality, Cointegration, And The Forecasting Of Energy Demand,"
Economic Research Papers
268766, University of Warwick - Department of Economics.
- Clements, M.P. & Madlener, R., 1997. "Seasonality, Cointegration, and the Forecasting of Energy Demand," The Warwick Economics Research Paper Series (TWERPS) 484, University of Warwick, Department of Economics.
- Clements, Michael P. & Krolzig, Hans-Martin, 1997.
"A Comparison Of The Forecast Performance Of Markov-Switching And Threshold Autoregressive Models Of Us Gnp,"
Economic Research Papers
268771, University of Warwick - Department of Economics.
- Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 47-75.
- Clements, M.P. & Krolzig, H.-M., 1997. "A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP," The Warwick Economics Research Paper Series (TWERPS) 489, University of Warwick, Department of Economics.
- Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
1996
- Clements, Michael P. & Hendry, David F., 1996.
"Multi-Step Estimation For Forecasting,"
Economic Research Papers
268696, University of Warwick - Department of Economics.
- Clements, Michael P & Hendry, David F, 1996. "Multi-step Estimation for Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 657-684, November.
- Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation for Forecasting," The Warwick Economics Research Paper Series (TWERPS) 447, University of Warwick, Department of Economics.
- Clements, Michael P., 1996.
"Evaluating the rationality of fixed-event forecasts,"
Economic Research Papers
268705, University of Warwick - Department of Economics.
- Clements, M.C., 1996. "Evaluating the Rationality of Fixed-Event Forecasts," The Warwick Economics Research Paper Series (TWERPS) 457, University of Warwick, Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1996.
"The Performance of Alternative Forecasting Methods for SETAR Models,"
Economic Research Papers
268737, University of Warwick - Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
- Clements, Michael P & Smith, Jeremy, 1996. "Performance of Alternative Forecasting Methods for Setar Models," The Warwick Economics Research Paper Series (TWERPS) 467, University of Warwick, Department of Economics.
- Clements, Michael P & Smith, Jeremy, 1996.
"A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models,"
The Warwick Economics Research Paper Series (TWERPS)
464, University of Warwick, Department of Economics.
- Clements, Michael P & Smith, Jeremy, 1999. "A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 123-141, March-Apr.
- Board, J. & Sutcliffe, C., 1996. "The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options," Papers 96-126, University of Southampton - Department of Accounting and Management Science.
1995
- Board, J. & Sutcliffe, C., 1995. "The Performance of Covered Calls and Protective Puts," Papers 105, University of Southampton - Department of Accounting and Management Science.
1994
- Beattie, V. & Casson, P. & Dale, R. & McKenzie, G. & Sutcliffe, C. & Turner, M., 1994. "Loan Loss Provision by International Banks: Estimation, Determinants and Evidence," Papers 94-90, University of Southampton - Department of Accounting and Management Science.
1993
- Board, J. & Sutcliffe, C., 1993.
"The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk,"
Papers
93-76, University of Southampton - Department of Accounting and Management Science.
- John Board & Charles Sutcliffe, 1996. "The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 29-54, February.
1992
- Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
- Clements, M.P. & Hendry, D.F., 1992. "Forecasting in Cointegrated Systems," Economics Series Working Papers 99139, University of Oxford, Department of Economics.
1991
- Clements, M.P., 1991. "Testing Structural Hypotheses by Encompassing : Us Wages and Prices is the Mark-Up Pricing Hypothesis Dead?," Economics Series Working Papers 99114, University of Oxford, Department of Economics.
1990
- Clements, M.P., 1990. "The Mathematical Structure Of Models That Exhibit Cointegration: A Survey Of Recent Approaches," Economics Series Working Papers 9985, University of Oxford, Department of Economics.
1989
- Clements, M.P., 1989. "The Estimation And Testing Of Cointegrating Vectors: A Survey Of Recent Approaches And An Application To The U.K. Non-Durable Consumption Function," Economics Series Working Papers 9979, University of Oxford, Department of Economics.
Journal articles
2024
- Cepni, Oguzhan & Clements, Michael P., 2024.
"How local is the local inflation factor? Evidence from emerging European countries,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
- Cepni, Oguzhan & Clements, Michael P., 2021. "How Local is the Local Inflation Factor? Evidence from Emerging European Countries," Working Papers 8-2021, Copenhagen Business School, Department of Economics.
- Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024. "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, vol. 92(C).
2023
- Bantis, Evripidis & Clements, Michael P. & Urquhart, Andrew, 2023. "Forecasting GDP growth rates in the United States and Brazil using Google Trends," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1909-1924.
- Affan Hameed & Carol Padgett & Michael P. Clements & Subhan Ullah, 2023. "The choice of performance measures, target setting and vesting levels in UK firms' Chief Executive Officer equity‐based compensation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4246-4270, October.
- Michael P. Clements & Ana Beatriz Galvão, 2023. "Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 164-185, March.
- Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023. "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, vol. 29(7), pages 800-825, May.
- Niculaescu, Corina E. & Sangiorgi, Ivan & Bell, Adrian R., 2023. "Does personal experience with COVID-19 impact investment decisions? Evidence from a survey of US retail investors," International Review of Financial Analysis, Elsevier, vol. 88(C).
- Niculaescu, Corina-Elena & Sangiorgi, Ivan & Bell, Adrian R., 2023. "Venture capital financing in the eSports industry," Research in International Business and Finance, Elsevier, vol. 65(C).
- Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone, 2023. "Complexity and the default risk of mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
2022
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Michael P. Clements, 2022.
"Individual forecaster perceptions of the persistence of shocks to GDP,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 640-656, April.
- Michael P. Clements, 2020. "Individual Forecaster Perceptions of the Persistence of Shocks to GDP," ICMA Centre Discussion Papers in Finance icma-dp2020-02, Henley Business School, University of Reading.
- Michael P. Clements, 2022. "Forecaster Efficiency, Accuracy, and Disagreement: Evidence Using Individual‐Level Survey Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 537-568, March.
- Bell, Adrian R. & Brooks, Chris & Urquhart, Andrew, 2022. "Why have UK universities become more indebted over time?," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 771-783.
- Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2022. "The first real estate bubble? Land prices and rents in medieval England c. 1300–1500," Research in International Business and Finance, Elsevier, vol. 62(C).
- Ilia Zaznov & Julian Kunkel & Alfonso Dufour & Atta Badii, 2022. "Predicting Stock Price Changes Based on the Limit Order Book: A Survey," Mathematics, MDPI, vol. 10(8), pages 1-33, April.
- Attinasi, Maria Grazia & Balatti, Mirco & Mancini, Michele & Metelli, Luca, 2022. "Supply chain disruptions and the effects on the global economy," Economic Bulletin Boxes, European Central Bank, vol. 8.
- Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
- Yushuang Jiang & Emese Lazar, 2022. "Forecasting VIX Using Filtered Historical Simulation [A GARCH Option Pricing Model with Filtered Historical Simulation]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 655-680.
2021
- Clements, Michael P. & Galvão, Ana Beatriz, 2021.
"Measuring the effects of expectations shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
- Clements, Michael P. & Galvao, Ana Beatriz, 2019. "Measuring the Effects of Expectations Shocks," EMF Research Papers 31, Economic Modelling and Forecasting Group.
- Clements, Michael P., 2021.
"Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 634-646.
- Michael P. Clements, 2020. "Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts," ICMA Centre Discussion Papers in Finance icma-dp2020-01, Henley Business School, University of Reading.
- Clements, Michael P., 2021. "Rounding behaviour of professional macro-forecasters," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1614-1631.
- Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
- Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
- Zucheng Zhao & Charles Sutcliffe, 2021. "What determines the asset allocation of defined benefit pension funds?," Applied Economics, Taylor & Francis Journals, vol. 53(36), pages 4178-4191, August.
- Zucheng Zhao & Charles Sutcliffe, 2021. "Asset–liability models and the Chinese basic pension fund," Economic and Political Studies, Taylor & Francis Journals, vol. 9(2), pages 186-216, April.
- Ran Tao & Chris Brooks & Adrian Bell, 2021. "Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 27(8), pages 774-795, May.
- Attinasi, Maria Grazia & Balatti, Mirco, 2021. "Globalisation and its implications for inflation in advanced economies," Economic Bulletin Articles, European Central Bank, vol. 4.
- Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
- Carol Alexander & Emese Lazar, 2021. "The continuous limit of weak GARCH," Econometric Reviews, Taylor & Francis Journals, vol. 40(2), pages 197-216, February.
2020
- Clements, Michael P. & Reade, J. James, 2020. "Forecasting and forecast narratives: The Bank of England Inflation Reports," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1488-1500.
- Michael P. Clements, 2020. "Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?," Econometrics, MDPI, vol. 8(2), pages 1-16, May.
- Tao, Ran & Brooks, Chris & Bell, Adrian R., 2020. "When is a MAX not the MAX? How news resolves information uncertainty," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 33-51.
- Cathcart, Lara & Dufour, Alfonso & Rossi, Ludovico & Varotto, Simone, 2020. "The differential impact of leverage on the default risk of small and large firms," Journal of Corporate Finance, Elsevier, vol. 60(C).
- Alfonso Dufour & Miriam Marra & Ivan Sangiorgi & Frank S. Skinner, 2020. "Explaining repo specialness," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(2), pages 172-196, April.
- Balatti, Mirco & Hanheide, Philipp, 2020. "A revised weighting scheme for the international environment projections," Economic Bulletin Boxes, European Central Bank, vol. 7.
- Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
2019
- Clements, Michael P., 2019.
"Do forecasters target first or later releases of national accounts data?,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1240-1249.
- Michael Clements, 2017. "Do forecasters target first or later releases of national accounts data?," ICMA Centre Discussion Papers in Finance icma-dp2017-03, Henley Business School, University of Reading.
- Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019.
"Harmful diversification: Evidence from alternative investments,"
The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
- Gong, Mengfeng & Gao, Yuan & Koh, Lenny & Sutcliffe, Charles & Cullen, John, 2019. "The role of customer awareness in promoting firm sustainability and sustainable supply chain management," International Journal of Production Economics, Elsevier, vol. 217(C), pages 88-96.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2019. "The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models," Applied Economics Letters, Taylor & Francis Journals, vol. 26(6), pages 516-521, March.
- Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2019. "Medieval Property Investors, ca. 1300–1500," Enterprise & Society, Cambridge University Press, vol. 20(3), pages 575-612, September.
- Zhang, Hanyu & Dufour, Alfonso, 2019. "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 131-146.
- Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019. "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
- Aftab, Zary & Varotto, Simone, 2019. "Liquidity and shadow banking," Journal of International Money and Finance, Elsevier, vol. 99(C).
- Vu Tran & Rasha Alsakka & Owain ap Gwilym, 2019. "Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(13), pages 1211-1233, September.
- Lazar, Emese & Zhang, Ning, 2019.
"Model risk of expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
- Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
2018
- Meng, Yijun & Clements, Michael P. & Padgett, Carol, 2018. "Independent directors, information costs and foreign ownership in Chinese companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 139-157.
- Clements, Michael P., 2018.
"Are macroeconomic density forecasts informative?,"
International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
- Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
- Michael P. Clements, 2018. "Do Macroforecasters Herd?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 265-292, March.
- Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
- Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.
- Varotto, Simone & Zhao, Lei, 2018.
"Systemic risk and bank size,"
Journal of International Money and Finance, Elsevier, vol. 82(C), pages 45-70.
- Simone Varotto & Lei Zhao, 2014. "Systemic Risk and Bank Size," ICMA Centre Discussion Papers in Finance icma-dp2014-17, Henley Business School, University of Reading.
2017
- Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
- Michael P. Clements & Ana Beatriz Galvão, 2017. "Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 389-406, July.
- Michael P. Clements, 2017.
"Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 420-433, July.
- Michael P. Clements, 2015. "Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision," ICMA Centre Discussion Papers in Finance icma-dp2015-02, Henley Business School, University of Reading.
- Emmanouil Platanakis & Charles Sutcliffe, 2017. "Asset–liability modelling and pension schemes: the application of robust optimization to USS," The European Journal of Finance, Taylor & Francis Journals, vol. 23(4), pages 324-352, March.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Cambium non est mutuum: exchange and interest rates in medieval Europe," Economic History Review, Economic History Society, vol. 70(2), pages 373-396, May.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017.
"Did Purchasing Power Parity Hold in Medieval Europe?,"
Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014. "Did Purchasing Power Parity Hold in Medieval Europe?," ICMA Centre Discussion Papers in Finance icma-dp2014-01, Henley Business School, University of Reading.
- Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017.
"The equity-like behaviour of sovereign bonds,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
- Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
- Yan Liu & Carol Padgett & Simone Varotto, 2017.
"Corporate Governance, Bank Mergers and Executive Compensation,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 12-29, January.
- Yan Liu & Carol Padgett & Simone Varotto, 2014. "Corporate Governance, Bank Mergers and Executive Compensation," ICMA Centre Discussion Papers in Finance icma-dp2014-18, Henley Business School, University of Reading.
- Andreas Chouliaras & Theoharry Grammatikos, 2017.
"Extreme Returns in the European financial crisis,"
European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
- Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
- Balatti, Mirco & Brooks, Chris & Kappou, Konstantina, 2017. "Fundamental indexation revisited: New evidence on alpha," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 1-15.
2016
- Clements, Michael P., 2016.
"Real-time factor model forecasting and the effects of instability,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 661-675.
- Michael P. Clements, 2014. "Real-Time Factor Model Forecasting and the Effects of Instability," ICMA Centre Discussion Papers in Finance icma-dp2014-05, Henley Business School, University of Reading.
- Clements, Michael P., 2016.
"Long-run restrictions and survey forecasts of output, consumption and investment,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 614-628.
- Michael P. Clements, 2014. "Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment," ICMA Centre Discussion Papers in Finance icma-dp2014-02, Henley Business School, University of Reading.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Platanakis, Emmanouil & Sutcliffe, Charles, 2016.
"Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011,"
Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 14-28.
- Emmanouil Platanakis & Charles Sutcliffe, 2015. "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance icma-dp2015-05, Henley Business School, University of Reading.
- Adrian R. Bell & Chris Brooks & Nick Taylor, 2016. "Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 10(1), pages 5-30, january.
2015
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015.
"Robust approaches to forecasting,"
International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
- Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.
- Michael P. Clements, 2015.
"Do US Macroeconomic Forecasters Exaggerate their Differences?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 649-660, December.
- Michael P. Clements, 2014. "Do US Macroeconomic Forecasters Exaggerate Their Differences?," ICMA Centre Discussion Papers in Finance icma-dp2014-10, Henley Business School, University of Reading.
- Michael P. Clements, 2015. "Are Professional Macroeconomic Forecasters Able To Do Better Than Forecasting Trends?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 349-382, March.
- Sutcliffe, Charles, 2015.
"Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios,"
International Review of Financial Analysis, Elsevier, vol. 38(C), pages 163-174.
- Charles Sutcliffe, 2013. "Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios," ICMA Centre Discussion Papers in Finance icma-dp2013-06, Henley Business School, University of Reading.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2015. "Time varying price discovery," Economics Letters, Elsevier, vol. 126(C), pages 18-21.
- Rasha Alsakka & Owain ap Gwilym & Patrycja Klusak & Vu Tran, 2015. "Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 275-308, July.
2014
- Clements, Michael P., 2014.
"Probability distributions or point predictions? Survey forecasts of US output growth and inflation,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 99-117.
- Clements, Michael P., 2012. "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," Economic Research Papers 270748, University of Warwick - Department of Economics.
- Clements, Michael P, 2012. "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," The Warwick Economics Research Paper Series (TWERPS) 976, University of Warwick, Department of Economics.
- Michael P. Clements, 2014. "Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 206-216, April.
- Michael P. Clements, 2014.
"US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 1-14, January.
- Clements, Michael P., 2012. "US inflation expectations and heterogeneous loss functions, 1968–2010," The Warwick Economics Research Paper Series (TWERPS) 986, University of Warwick, Department of Economics.
- Clements, Michael P., 2012. "US inflation expectations and heterogeneous loss functions, 1968–2010," Economic Research Papers 270653, University of Warwick - Department of Economics.
- Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014. "The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70," Economic History Review, Economic History Society, vol. 67(1), pages 123-145, February.
- Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
- Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
- Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
2013
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
- Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
- Michael P. Clements & Ana Beatriz Galvão, 2013. "Real‐Time Forecasting Of Inflation And Output Growth With Autoregressive Models In The Presence Of Data Revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 458-477, April.
- Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2013.
"Price discovery of credit spreads in tranquil and crisis periods,"
International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
- Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
2012
- Clements Michael P., 2012. "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-27, January.
- Clements, Michael P., 2012.
"Do professional forecasters pay attention to data releases?,"
International Journal of Forecasting, Elsevier, vol. 28(2), pages 297-308.
- Clements, Michael P., 2011. "Do Professional Forecasters Pay Attention to Data Releases?," Economic Research Papers 270768, University of Warwick - Department of Economics.
- Clements, Michael P, 2011. "Do Professional Forecasters Pay Attention to Data Releases?," The Warwick Economics Research Paper Series (TWERPS) 956, University of Warwick, Department of Economics.
- Michael P. Clements & Ana Beatriz Galvão, 2012. "Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 554-562, May.
- Adrian R. Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2012.
"Over the moon or sick as a parrot? The effects of football results on a club's share price,"
Applied Economics, Taylor & Francis Journals, vol. 44(26), pages 3435-3452, September.
- Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2009. "Over the Moon or Sick as a Parrot? The Effect's of Football Results on a Club's Share Price," ICMA Centre Discussion Papers in Finance icma-dp2009-08, Henley Business School, University of Reading.
- Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2011. "Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price," Post-Print hal-00709557, HAL.
- Fei Chen & Charles Sutcliffe, 2012. "Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures," The European Journal of Finance, Taylor & Francis Journals, vol. 18(6), pages 575-595, August.
- Fei Chen & Charles Sutcliffe, 2012. "Pricing And Hedging Short Sterling Options Using Neural Networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 128-149, April.
- Alfonso Dufour & Minh Nguyen, 2012. "Permanent trading impacts and bond yields," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 841-864, October.
- Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
- Varotto, Simone, 2012.
"Stress testing credit risk: The Great Depression scenario,"
Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
- Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
- Andreas S. Chouliaras & Apostolos G. Christopoulos & Dimitris Kenourgios & Petros Kalantonis, 2012. "The PIIGS stock markets before and after the 2008 financial crisis: a dynamic cointegration and causality analysis," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(3), pages 232-249.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012.
"Futures basis, inventory and commodity price volatility: An empirical analysis,"
Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
2011
- Clements, Michael P. & Harvey, David I., 2011.
"Combining probability forecasts,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223.
- Clements, Michael P. & Harvey, David I., 2011. "Combining probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223, April.
- Michael P. Clements, 2011.
"An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(1), pages 207-220, February.
- Michael P. Clements, 2011. "An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(1), pages 207-220, February.
- Bell, Adrian R. & Dale, Richard S., 2011. "The Medieval Pilgrimage Business," Enterprise & Society, Cambridge University Press, vol. 12(3), pages 601-627, September.
- Simone Varotto, 2011.
"Liquidity risk, credit risk, market risk and bank capital,"
International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 134-152, April.
- Simone Varotto, 2011. "Liquidity Risk, Credit Risk, Market Risk and Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2011-02, Henley Business School, University of Reading.
2010
- Clements, Michael P., 2010.
"Explanations of the inconsistencies in survey respondents' forecasts,"
European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
- Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics.
- Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents' forecasts," Economic Research Papers 269881, University of Warwick - Department of Economics.
- Clements, Michael P. & Beatriz Galvão, Ana, 2010.
"First announcements and real economic activity,"
European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.
- Clements, Michael P. & Galvão, Ana Beatriz, 2009. "First Announcements and Real Economic Activity," The Warwick Economics Research Paper Series (TWERPS) 885, University of Warwick, Department of Economics.
- Clements, Michael P. & Beatriz Galvao, Ana, 2008. "First Announcements and Real Economic Activity," Economic Research Papers 271314, University of Warwick - Department of Economics.
- Michael P. Clements & David I. Harvey, 2010.
"Forecast encompassing tests and probability forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
- Clements, Michael P. & Harvey, David I., 2006. "Forecast Encompassing Tests and Probability Forecasts," Economic Research Papers 269744, University of Warwick - Department of Economics.
- Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
- Bell, Adrian & Sutcliffe, Charles, 2010.
"Valuing medieval annuities: Were corrodies underpriced?,"
Explorations in Economic History, Elsevier, vol. 47(2), pages 142-157, April.
- Adrian Bell & Charles Sutcliffe, 2007. "Valuing Medieval Annuities: Were Corrodies Underpriced?," ICMA Centre Discussion Papers in Finance icma-dp2007-15, Henley Business School, University of Reading, revised Jul 2009.
- Bell, Adrian, 2010. "An Economic and Social History of Later Medieval Europe, 1000–1500. By Steven A. Epstein. Cambridge: University of Cambridge Press, 2009. Pp.xi, 290. $85.00, hardback; $28.99, paper," The Journal of Economic History, Cambridge University Press, vol. 70(4), pages 995-996, December.
2009
- Clements, Michael P. & Milas, Costas & van Dijk, Dick, 2009. "Forecasting returns and risk in financial markets using linear and nonlinear models," International Journal of Forecasting, Elsevier, vol. 25(2), pages 215-217.
- Clements, Michael P., 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 680-683, October.
- Michael P. Clements & Ana Beatriz Galvao, 2009.
"Forecasting US output growth using leading indicators: an appraisal using MIDAS models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
- Michael P. Clements & Ana Beatriz Galvão, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206, November.
- Carol Alexander & Emese Lazar, 2009. "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.
2008
- Clements, Michael P & Galvão, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
- Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
- Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008.
"Quantile forecasts of daily exchange rate returns from forecasts of realized volatility,"
Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
- Clements, Michael P. & Galvao, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," Economic Research Papers 269747, University of Warwick - Department of Economics.
- Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics.
- Clements, Michael P., 2008. "Consensus and uncertainty: Using forecast probabilities of output declines," International Journal of Forecasting, Elsevier, vol. 24(1), pages 76-86.
- Jianming Kou & Simone Varotto, 2008. "Timeliness of Spread Implied Ratings," European Financial Management, European Financial Management Association, vol. 14(3), pages 503-527, June.
- Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
2007
- Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
- Fred Joutz & Michael P. Clements & Herman O. Stekler, 2007. "An evaluation of the forecasts of the federal reserve: a pooled approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 121-136.
- John Board & Charles Sutcliffe, 2007.
"Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate,"
Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
- John Board & Charles Sutcliffe, 2005. "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance icma-dp2005-11, Henley Business School, University of Reading.
- Bell, Adrian R. & Brooks, Chris & Dryburgh, Paul, 2007. "Interest rates and efficiency in medieval wool forward contracts," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 361-380, February.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
2006
- Michael Clements, 2006. "Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts," Empirical Economics, Springer, vol. 31(1), pages 49-64, March.
- Sutcliffe, C. M. S., 2006.
"Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria,"
Annals of Actuarial Science, Cambridge University Press, vol. 1(2), pages 203-220, September.
- Charles Sutcliffe, 2005. "Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria," ICMA Centre Discussion Papers in Finance icma-dp2005-09, Henley Business School, University of Reading.
- Geetanjali Bali & Frank S. Skinner, 2006. "The Original Maturity of Corporate Bonds: The Influence of Credit Rating, Asset Maturity, Security, and Macroeconomic Conditions," The Financial Review, Eastern Finance Association, vol. 41(2), pages 187-203, May.
- Emese Lazar & Carol Alexander, 2006.
"Normal mixture GARCH(1,1): applications to exchange rate modelling,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
- Carol Alexander & Emese Lazar, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336, April.
- Carol Alexandra & Emese Lazar, 2004. "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance icma-dp2004-05, Henley Business School, University of Reading.
2005
- Michael P. Clements & Robert Witt, 2005. "Forecasting Quarterly Aggregate Crime Series," Manchester School, University of Manchester, vol. 73(6), pages 709-727, December.
- Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
- Michael P. Clements & David F. Hendry, 2005. "Evaluating a Model by Forecast Performance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 931-956, December.
- Sutcliffe, Charles, 2005. "The cult of the equity for pension funds: should it get the boot?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(1), pages 57-85, March.
2004
- Michael P. Clements, 2004. "Evaluating the Bank of England Density Forecasts of Inflation," Economic Journal, Royal Economic Society, vol. 114(498), pages 844-866, October.
- David F. Hendry & Michael P. Clements, 2004.
"Pooling of forecasts,"
Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
- David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004.
"Forecasting economic and financial time-series with non-linear models,"
International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
- Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
- Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
- Sutcliffe, C. M. S., 2004. "Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance," British Actuarial Journal, Cambridge University Press, vol. 10(5), pages 1111-1131, December.
- Julia Bennell & Charles Sutcliffe, 2004. "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 12(4), pages 243-260, October.
2003
- Clements, Michael P & Krolzig, Hans-Martin, 2003.
"Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
- Clements, Michael & Krolzig, Hans-Martin, 1998. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economic Research Papers 269248, University of Warwick - Department of Economics.
- Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
- Michael P. Clements & Marianne Sensier, 2003. "Asymmetric output‐gap effects in Phillips Curve and mark‐up pricing models: Evidence for the US and the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(4), pages 359-374, September.
- Clements, Michael P. & Galvão, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(4), pages 567-585, September.
- Hendry, David F. & Clements, Michael P., 2003.
"Economic forecasting: some lessons from recent research,"
Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
- Clements, Michael P. & Hendry, David F., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 82, European Central Bank.
- David Hendry & Michael P. Clements & Department of Economics & University of Warwick, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
- David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
- Clements, Michael P., 2003. "Some possible directions for future research," International Journal of Forecasting, Elsevier, vol. 19(1), pages 1-3.
- Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
- Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003.
"On SETAR non-linearity and forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
- Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
- Peng Sun & Charles Sutcliffe, 2003.
"Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(8), pages 773-797, August.
- Sun, P. & Sutcliffe, C., 2001. "Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options," Papers 01-177, University of Southampton - Department of Accounting and Management Science.
2002
- Michael P. Clements & David F. Hendry, 2002. "Modelling methodology and forecast failure," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 319-344, June.
- Clements, Michael P. & Smith, Jeremy, 2002. "Evaluating multivariate forecast densities: a comparison of two approaches," International Journal of Forecasting, Elsevier, vol. 18(3), pages 397-407.
- Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
- Hans-Martin Krolzig & Michael P. Clements, 2002. "Can oil shocks explain asymmetries in the US Business Cycle?," Empirical Economics, Springer, vol. 27(2), pages 185-204.
- Ana B. C. Galvão & Michael P. Clements, 2002. "Conditional mean functions of non-linear models of US output," Empirical Economics, Springer, vol. 27(4), pages 569-586.
2001
- Clements, Michael P. & Hendry, David F., 2001.
"An Historical Perspective on Forecast Errors,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 177, pages 100-112, July.
- Michael P. Clements & David F. Hendry, 2001. "An Historical Perspective on Forecast Errors," National Institute Economic Review, National Institute of Economic and Social Research, vol. 177(1), pages 100-112, July.
- Michael P. Clements & David F.Hendry, 2001.
"Forecasting with difference-stationary and trend-stationary models,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-19.
- David Hendry & Michael P. Clements, 2000. "Forecasting with Difference-Stationary and Trend-Stationary Models," Economics Series Working Papers 5, University of Oxford, Department of Economics.
- Clements, Michael P. & Hendry, David F., 1998. "Forecasting With Difference-Stationary And Trend-Stationary Models," Economic Research Papers 268798, University of Warwick - Department of Economics.
- Clements, M.P. & Hendry, D.P., 1998. "Forecasting with Difference-Stationary and Trend-Stationary Models," The Warwick Economics Research Paper Series (TWERPS) 516, University of Warwick, Department of Economics.
- Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
- Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
- Clements, Michael P & Taylor, Nick, 2001. "Robust Evaluation of Fixed-Event Forecast Rationality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(4), pages 285-295, July.
- John Board & Gleb Sandmann & Charles Sutcliffe, 2001. "The Effect of Futures Market Volume on Spot Market Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(7‐8), pages 799-819, September.
2000
- John Board & Charles Sutcliffe, 2000. "The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(7‐8), pages 887-909, September.
- John Board & Charles Sutcliffe & Anne Vila, 2000. "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 259-276, September.
- J. Board & C. Sutcliffe & E. Patrinos, 2000. "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 1-17.
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
- Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000.
"Stability of rating transitions,"
Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
1999
- Michael P. Clements & Reinhard Madlener, 1999. "Seasonality, Cointegration, and Forecasting UK Residential Energy Demand," Scottish Journal of Political Economy, Scottish Economic Society, vol. 46(2), pages 185-206, May.
- Clements, Michael P & Smith, Jeremy, 1999.
"A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 123-141, March-Apr.
- Clements, Michael P & Smith, Jeremy, 1996. "A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models," The Warwick Economics Research Paper Series (TWERPS) 464, University of Warwick, Department of Economics.
- Michael P. Clements & David F. Hendry, 1999. "On winning forecasting competitions in economics," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 123-160.
1998
- Michael P. Clements & Hans-Martin Krolzig, 1998.
"A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP,"
Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 47-75.
- Clements, Michael P. & Krolzig, Hans-Martin, 1997. "A Comparison Of The Forecast Performance Of Markov-Switching And Threshold Autoregressive Models Of Us Gnp," Economic Research Papers 268771, University of Warwick - Department of Economics.
- Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
- John Board & Charles Sutcliffe, 1998. "Options trading when the underlying market is not transparent," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 225-242, April.
- Arupratan Daripa & Simone Varotto, 1998. "Value at risk and precommitment: approaches to market risk regulation," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 137-143.
1997
- Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
- Clements, Michael P. & Smith, Jeremy, 1997.
"The performance of alternative forecasting methods for SETAR models,"
International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
- Clements, Michael P. & Smith, Jeremy, 1996. "The Performance of Alternative Forecasting Methods for SETAR Models," Economic Research Papers 268737, University of Warwick - Department of Economics.
- Clements, Michael P & Smith, Jeremy, 1996. "Performance of Alternative Forecasting Methods for Setar Models," The Warwick Economics Research Paper Series (TWERPS) 467, University of Warwick, Department of Economics.
- John Board & Charles Sutcliffe, 1997. "Inventory‐based stock market transparency rules," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 5(1), pages 23-28, January.
- Rob Gray & David Alexander & Brian Rutherford & Geoffrey Whittington & Charles Sutcliffe, 1997. "Book Reviews," Accounting and Business Research, Taylor & Francis Journals, vol. 28(1), pages 83-88, December.
1996
- Clements, Michael P & Hendry, David F, 1996.
"Multi-step Estimation for Forecasting,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 657-684, November.
- Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation For Forecasting," Economic Research Papers 268696, University of Warwick - Department of Economics.
- Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation for Forecasting," The Warwick Economics Research Paper Series (TWERPS) 447, University of Warwick, Department of Economics.
- Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.
- John Board & Charles Sutcliffe, 1996. "Trade Transparency and the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 2(3), pages 355-365, November.
- John Board & Charles Sutcliffe, 1996.
"The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 29-54, February.
- Board, J. & Sutcliffe, C., 1993. "The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk," Papers 93-76, University of Southampton - Department of Accounting and Management Science.
1995
- Clements, Michael P, 1995. "Rationality and the Role of Judgement in Macroeconomic Forecasting," Economic Journal, Royal Economic Society, vol. 105(429), pages 410-420, March.
- Clements, Michael P & Hendry, David F, 1995. "Macro-economic Forecasting and Modelling," Economic Journal, Royal Economic Society, vol. 105(431), pages 1001-1013, July.
- Clements, Michael P & Hendry, David F, 1995. "Forecasting in Cointegration Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 127-146, April-Jun.
1994
- David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
- John L. G. Board & Charles M. S. Sutcliffe, 1994. "Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence," Management Science, INFORMS, vol. 40(4), pages 516-534, April.
1991
- Clements, Michael P. & Mizon, Grayham E., 1991. "Empirical analysis of macroeconomic time series : VAR and structural models," European Economic Review, Elsevier, vol. 35(4), pages 887-917, May.
1987
- Walker, John & Rossi, Vanessa & Clements, Michael, 1987. "The World and UK Economy: Analysis and Prospects," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 3(1), pages 1-1, Spring.
1986
- Rossi, Vanessa & Clements, Michael, 1986. "The World Economy: Analysis and Prospects," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 2(1), pages 1-1, Summer.
- Walker, John & Clements, Michael, 1986.
"The UK Economy: Analysis and Prospects,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 2(2), pages 1-1, Summer.
- Walker, John & Clements, Michael, 1986. "The UK Economy: Analysis and Prospects," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 2(4), pages 1-1, Winter.
- Walker, John & Clements, Michael, 1986. "The UK Economy: Analysis and Prospects," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 2(3), pages 1-1, Autumn.
- Clements, Michael & Walker, John & Rossi, Vanessa, 1987. "The UK Economy: Analysis and Prospects," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 3(2), pages 1-1, Summer.
- C M S Sutcliffe & J L G Board, 1986. "Designing Secondary School Catchment Areas Using Goal Programming," Environment and Planning A, , vol. 18(5), pages 661-675, May.
1983
- Sinclair, M Thea & Sutcliffe, Charles M S, 1983. "Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension," Scottish Journal of Political Economy, Scottish Economic Society, vol. 30(3), pages 275-286, November.
1982
- Sinclair, M Thea & Sutcliffe, Charles M S, 1982. "Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 44(4), pages 321-338, November.
- Charles Sutcliffe, 1982. "Inflation and Prisoner's Dilemmas," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 4(4), pages 574-585, July.
1978
- Sinclair, M Thea & Sutcliffe, Charles M S, 1978. "The First Round of the Keynesian Regional Income Multiplier," Scottish Journal of Political Economy, Scottish Economic Society, vol. 25(2), pages 177-186, June.
Books
2016
- Charles Sutcliffe, 2016. "Finance and Occupational Pensions," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-94863-5, December.
2015
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-36130-1, December.
2013
- Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Finance," Books, Edward Elgar Publishing, number 14545.
2011
- Clements, Michael P. & Hendry, David F. (ed.), 2011. "The Oxford Handbook of Economic Forecasting," OUP Catalogue, Oxford University Press, number 9780195398649, Decembrie.
2002
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, December.
2001
- Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
1998
- Clements,Michael & Hendry,David, 1998.
"Forecasting Economic Time Series,"
Cambridge Books,
Cambridge University Press, number 9780521632423.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809.
Chapters
2015
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Introduction," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 1, pages 1-2, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Regression Analyses with Multiple Variables," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 10, pages 64-72, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Market-Switching Stocks," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 11, pages 73-82, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "GARCH Analysis of Switchers," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 12, pages 83-86, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Conclusions," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 13, pages 87-92, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Activities," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 2, pages 3-4, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Interviews," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 3, pages 5-6, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Literature Review," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 4, pages 7-30, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Empirical Analysis," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 5, pages 31-40, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Preliminary Data Analysis," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 6, pages 41-48, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Volatility Estimation," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 7, pages 49-53, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Basic Analysis of Relative Volatility," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 8, pages 54-57, Palgrave Macmillan.
- John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Relative Risk Allowing for Size, Age or Liquidity," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 9, pages 58-63, Palgrave Macmillan.
2010
- Arup Daripa & Simone Varotto, 2010.
"Ex-Ante Versus Ex-Post Regulation Of Bank Capital,"
World Scientific Book Chapters, in: Lloyd P Blenman & Harold A Black & Edward J Kane (ed.), Banking And Capital Markets New International Perspectives, chapter 2, pages 29-58,
World Scientific Publishing Co. Pte. Ltd..
- Dr Arup Daripa & Dr. Simone Varotto, 2004. "Ex Ante versus Ex Post Regulation of Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2004-12, Henley Business School, University of Reading.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Birkbeck Working Papers in Economics and Finance 0518, Birkbeck, Department of Economics, Mathematics & Statistics.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Finance 0511009, University Library of Munich, Germany.
2009
- Michael P. Clements & David I. Harvey, 2009. "Forecast Combination and Encompassing," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 4, pages 169-198, Palgrave Macmillan.
2008
- Michael P. Clements & David F. Hendry, 2008. "Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 3-39, Emerald Group Publishing Limited.
2006
- Clements, Michael P. & Hendry, David F., 2006. "Forecasting with Breaks," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 12, pages 605-657, Elsevier.
- Michael P. Clements & Ana Beatriz Galvao, 2006. "Combining Predictors and Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 55-73, Emerald Group Publishing Limited.
2002
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Executive Summary and Policy Implications," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 1, pages 1-4, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "A New Regulatory Framework," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 10, pages 254-261, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Introduction and Overview," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 2, pages 5-32, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "The Recognised Investment Exchanges," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 3, pages 33-50, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Fragmentation and Consolidation," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 4, pages 51-100, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Policy Responses to Fragmentation," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 6, pages 141-178, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Theory and Results on Transparency," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 7, pages 179-206, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "The Regulation of Transparency," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 8, pages 207-239, Palgrave Macmillan.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Over the Counter (OTC) Markets," Palgrave Macmillan Books, in: Transparency and Fragmentation, chapter 9, pages 240-253, Palgrave Macmillan.