Journal Articles "Macroprudential Policy in the Euro Area" Accepted for publication at the Journal of Money, Credit and Banking(with A. Fernandez-Gallardo). "Higher order risk attitudes: New model insights and heterogeneity of preferences," Experimental Economics, 2023, 26, 145-192 (with K. Georgalos and D. Peel). Online version Link "On the predictions of Cumulative Prospect Theory for third and fourth order risk preferences," Theory and Decision, 2022 (with D. Peel and K. Georgalos). Online version Link (Open Access) "On the contribution of the Markowitz model of utility to explain risky choice in experimental research." Journal of Economic Behavior and Organization, 2021, 182, 527-543 (with K. Georgalos and D. Peel). Link "House prices, (un)affordability and systemic risk." New Zealand Economic Papers 2021, 55 (Issue 1: Housing Unaffordability, eds. Peter C.B. Phillips and Ryan Greenaway Mac-Grevy), 105-123 (with E. Pavlidis and A. Skouralis). Link "Temporal aggregation of random walk processes and implications for economic analysis." Studies in Nonlinear Dynamics and Econometrics 2020, 24, Issue 2 (with Y. Ahmad). Link "Flexible distribution functions, higher-order preferences and optimal portfolio allocations." Quantitative Finance 2019, 19, 699-703 (with T. Ñiguez, D. Peel and J. Perote). Link(free eprint) "Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market." Journal of Money, Credit and Banking 2018, 50, 5, 834-856 (with E. Pavlidis and D. Peel). Link “A nonlinear analysis of the real exchange rate-consumption relationship” Macroeconomic Dynamics, 2018, 22, 1825-1843 (with E. Pavlidis and D. Peel). Link “Testing for speculative bubbles using spot and forward prices” International Economic Review 2017, 58, 1191-1226 (with E. Pavlidis and D. Peel). Link “Wealth fluctuations and investment in risky assets: The UK micro evidence on household asset allocation” Journal of Empirical Finance 2016, 38, 221-235 (with P. Wang). Link “Episodes of exuberance in housing markets: in search of the smoking gun” Journal of Real Estate Finance and Economics 2016, 53, 419-449 (with E. Pavlidis, A. Yusupova, D. Peel, E. Martinez-Garcia, and V. Grossman). Link “Pure higher-order effects in the portfolio choice model” Finance Research Letters 2016, 19, 255-260 (with T. Ñiguez and D. Peel). Link “Testing for linear and nonlinear Granger causality in the real exchange rate – consumption relation” Economics Letters 2015, 132, 13-17 (with E. Pavlidis and D. Peel). Link “Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study” Studies in Nonlinear Dynamics and Econometrics 2013, 17, 297-312 (with E. Pavlidis and D. Peel). Link “Nonlinear dynamics in economics and finance and unit root testing” European Journal of Finance 2013, 19, 572-588 (with E. Pavlidis, D.A. Peel, and C. Siriopoulos). Link(free eprint) “Forecasting monetary policy rules in South Africa” International Journal of Forecasting 2012, 28, 446-455 (with R. Naraidoo). Link “On the stability of CRRA utility under high degrees of uncertainty” Economics Letters 2012, 115, 244-248 (with T. Ñiguez, D. Peel, and J. Perote). Link “Forecast evaluation of nonlinear models: The case of long-span real exchange rates” Journal of Forecasting 2012, 31, 580-595 (with E. Pavlidis, and D. Peel). Link “Real exchange rates and time-varying trade costs” Journal of International Money and Finance 2011, 30, 1157-1179 (with E. Pavlidis, and D. Peel). Link “Sampling of nonlinear models: Evidence on speed of adjustment in index futures markets” Journal of Futures Markets 2011, 31, 192-203 (with D. Peel). Link “Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form” Studies in Nonlinear Dynamics and Econometrics 2010, 14, Issue 3 (with E. Pavlidis and D. Peel). Link “The Forward Premium Puzzle in the interwar period and deviations from covered interest parity”, Economics Letters 2010, Vol. 108, pp. 55-57 (with A. Spiru, and D. Peel). Link “Inflation dynamics in the U.S.: Global but not local mean reversion” Journal of Money, Credit and Banking 2010, 42, 135-150 (with A. Nobay and D. Peel). Link “Linkages between Shanghai and Hong Kong stock indices” Applied Financial Economics 2009, 19, 1847-1857 (with S. Zhang). Link “On the relationship between inflation persistence and temporal aggregation” Journal of Money, Credit and Banking 2007, 39, 1521-1531 (with A. Duarte, and K. Holden). Link “Deterministic impulse response in a nonlinear model. An analytic expression” Economics Letters 2007, 95, 315-319 (with I. Venetis, and D. Peel). Link “A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994” Journal of Money, Credit and Banking 2006, 38, 1971-1990 (with D. Peel). Link “Temporal aggregation of an ESTAR process: Some implications for purchasing power parity adjustment” Journal of Applied Econometrics 2006, 21, 655-668 (with D. Peel). Link “On the speed of adjustment in ESTAR models when allowance is made for bias in estimation” Economics Letters 2006, 90, 272-277 (with D. Peel). Link “The term structure and real economic activity in the US in the inter-war period” Journal of Macroeconomics 2005, 27, 331-343, (with K. Matthews and D. Peel). Link “The process followed by PPP data. On the properties of Linearity tests” Applied Economics 2005, 37, 2515-2522 (with D. Peel). Link “Predicting real growth and the probability of recession in the Euro-area using the yield spread” International Journal of Forecasting 2005, 21, 261-277 (with A. Duarte, and I. Venetis). Link “Nonlinear purchasing power parity under the gold standard” Southern Economic Journal 2004, 71, 302-313 (with D. Peel). Link “Asymmetry in the link between the yield spread and industrial production, Threshold effects and forecasting” Journal of Forecasting 2004, 23, 373-384 (with I. Venetis). Link “On the equilibrium value of the peseta” Applied Financial Economics 2003, 13, 317-335 (with A. Duarte and K. Holden). Link “Further evidence on PPP adjustment speeds: The case of real effective exchange rates and the EMS” Oxford Bulletin of Economics and Statistics 2003, 65, (with I. Venetis and D. Peel). Link “Re-examination of the predictability of economic activity using the yield spread: A non-linear approach” International Review of Economics and Finance 2003, 12, 187-206 (with I. Venetis and D. Peel). Link “PPP adjustments speeds in high frequency data when equilibrium real exchange rates is proxied by a time trend” The Manchester School 2003, 71 (Supplement 1), 39-53 (with D. Peel). Link “On public investment, the real exchange and growth: some empirical evidence from the UK and the US” The Manchester School 2003, 71, 242-264, (with S. Ghosh, I. Mourmouras, and S, Pal). Link
Book Chapters “The Econometrics of Exchange Rate”, in The Handbook of Econometrics Vol. 2, Chapter 22; T. Mills and K. Patterson eds., Palgrave London, March 2009, (with E. Pavlidis and D. Peel). Link “Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution”, in Advances in Doctoral Research in Management Vol. 2 Ch. 8, World Scientific Publishing LTd, 2008 (with E. Pavlidis and D. Peel). Link “Ex ante real returns in forward market speculation in the interwar period: Evidence and Prediction”, in New Trends in Macroeconomics, C. Diebolt and C. Kyrtsou Eds., Springer Verlag, New York, 2005 (with D. Peel). Link “Testing for market efficiency in gambling markets: Some observations and new statistical tests based on a bootstrap method”, in Information Efficiency in Financial and Betting Markets, Leighton Vaughan-Williams Ed., Cambridge University Press, 2005 (with D. Peel, J. Law, J. Peirson). Link “Alan Walters and the demand for money: An empirical retrospective”, in Money Matters. Essays in honour of Sir Alan Walters, ed.: Patrick Minford, Edward Elgar, January 2004 (with K. Matthews and D. Peel). Link