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1

How the Subprime Crisis went global: Evidence from bank credit default swap spreads

Barry Eichengreen, Ashoka Mody, Milan Nedeljkovic, Lucio Sarno

Journal:

Journal of International Money and Finance

Année:

2012

Langue:

english

Fichier:

PDF, 743 KB

english, 2012

2

Currency momentum strategies

Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf

Journal:

Journal of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 629 KB

english, 2012

3

Mean reversion in stock index futures markets: A nonlinear analysis

Michael Monoyios, Lucio Sarno

Journal:

Journal of Futures Markets

Année:

2002

Langue:

english

Fichier:

PDF, 204 KB

english, 2002

4

Soil-pile-structure interaction: experimental outcomes from shaking table tests

Durante, Maria Giovanna, Di Sarno, Luigi, Mylonakis, George, Taylor, Colin A., Simonelli, Armando Lucio

Journal:

Earthquake Engineering & Structural Dynamics

Année:

2016

Langue:

english

Fichier:

PDF, 2.48 MB

english, 2016

5

Carry Trades and Global Foreign Exchange Volatility

LUKAS MENKHOFF, LUCIO SARNO, MAIK SCHMELING, ANDREAS SCHRIMPF

Journal:

The Journal of Finance

Année:

2012

Langue:

english

Fichier:

PDF, 445 KB

english, 2012

6

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

MENKHOFF, LUKAS, SARNO, LUCIO, SCHMELING, MAIK, SCHRIMPF, ANDREAS

Journal:

The Journal of Finance

Année:

2016

Langue:

english

Fichier:

PDF, 800 KB

english, 2016

7

Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?

Lucio Sarno, Giorgio Valente

Journal:

Journal of Banking & Finance

Année:

2006

Langue:

english

Fichier:

PDF, 246 KB

english, 2006

8

Arbitrage in the foreign exchange market: Turning on the microscope

Q. Farooq Akram, Dagfinn Rime, Lucio Sarno

Journal:

Journal of International Economics

Année:

2008

Langue:

english

Fichier:

PDF, 308 KB

english, 2008

9

The scapegoat theory of exchange rates: the first tests

Fratzscher, Marcel, Rime, Dagfinn, Sarno, Lucio, Zinna, Gabriele

Journal:

Journal of Monetary Economics

Année:

2015

Langue:

english

Fichier:

PDF, 437 KB

english, 2015

10

Timing exchange rates using order flow: The case of the Loonie

Michael King, Lucio Sarno, Elvira Sojli

Journal:

Journal of Banking & Finance

Année:

2010

Langue:

english

Fichier:

PDF, 271 KB

english, 2010

11

The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation

Lucio Sarno, Daniel L. Thornton

Journal:

Journal of Banking & Finance

Année:

2003

Langue:

english

Fichier:

PDF, 265 KB

english, 2003

12

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino, Sarno, Lucio, Tsiakas, Ilias

Journal:

Journal of Banking & Finance

Année:

2014

Langue:

english

Fichier:

PDF, 571 KB

english, 2014

13

When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries

Fratzscher, Marcel, Gloede, Oliver, Menkhoff, Lukas, Sarno, Lucio, Stöhr, Tobias

Journal:

American Economic Journal Macroeconomics

Année:

2019

Langue:

english

Fichier:

PDF, 661 KB

english, 2019

14

International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum

Mark P. Taylor, Lucio Sarno

Journal:

International Journal of Finance & Economics

Année:

2004

Langue:

english

Fichier:

PDF, 115 KB

english, 2004

15

The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value

Pasquale Della Corte, Lucio Sarno, Daniel L. Thornton

Journal:

Journal of Financial Economics

Année:

2008

Langue:

english

Fichier:

PDF, 335 KB

english, 2008

16

Spot and forward volatility in foreign exchange

Pasquale Della Corte, Lucio Sarno, Ilias Tsiakas

Journal:

Journal of Financial Economics

Année:

2011

Langue:

english

Fichier:

PDF, 552 KB

english, 2011

17

Real interest rates, liquidity constraints and financial deregulation: Private consumption behavior in the U.K.

Lucio Sarno, Mark P. Taylor

Journal:

Journal of Macroeconomics

Année:

1998

Langue:

english

Fichier:

PDF, 1.21 MB

english, 1998

18

Does the law of one price hold in international financial markets? Evidence from tick data

Q. Farooq Akram, Dagfinn Rime, Lucio Sarno

Journal:

Journal of Banking & Finance

Année:

2009

Langue:

english

Fichier:

PDF, 336 KB

english, 2009

19

A cross-country financial accelerator: Evidence from North America and Europe

Ashoka Mody, Lucio Sarno, Mark P. Taylor

Journal:

Journal of International Money and Finance

Année:

2007

Langue:

english

Fichier:

PDF, 269 KB

english, 2007

20

Exchange rates and fundamentals: evidence on the economic value of predictability

Abhay Abhyankar, Lucio Sarno, Giorgio Valente

Journal:

Journal of International Economics

Année:

2005

Langue:

english

Fichier:

PDF, 284 KB

english, 2005

21

The out-of-sample success of term structure models as exchange rate predictors: a step beyond

Richard H. Clarida, Lucio Sarno, Mark P. Taylor, Giorgio Valente

Journal:

Journal of International Economics

Année:

2003

Langue:

english

Fichier:

PDF, 128 KB

english, 2003

22

The behavior of real exchange rates during the post-Bretton Woods period

Mark P. Taylor, Lucio Sarno

Journal:

Journal of International Economics

Année:

1998

Langue:

english

Fichier:

PDF, 280 KB

english, 1998

23

What drives international portfolio flows?

Sarno, Lucio, Tsiakas, Ilias, Ulloa, Barbara

Journal:

Journal of International Money and Finance

Année:

2015

Langue:

english

Fichier:

PDF, 1.09 MB

english, 2015

24

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

Sarno, Lucio, Thornton, Daniel L., Valente, Giorgio

Journal:

Journal of Financial and Quantitative Analysis

Année:

2007

Langue:

english

Fichier:

PDF, 300 KB

english, 2007

25

What Do Stock Markets Tell Us About Exchange Rates?

Cenedese, Gino, Payne, Richard, Sarno, Lucio, Valente, Giorgio

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 587 KB

english, 2014

26

Asset Prices, Exchange Rates and the Current Account

Fratzscher, Marcel, Juvenal, Luciana, Sarno, Lucio

Journal:

SSRN Electronic Journal

Année:

2009

Langue:

english

Fichier:

PDF, 293 KB

english, 2009

27

Business cycles and currency returns

Colacito, Riccardo, Riddiough, Steven J., Sarno, Lucio

Journal:

Journal of Financial Economics

Année:

2020

Fichier:

PDF, 3.13 MB

2020

28

The cost of carry model and regime shifts in stock index futures markets: An empirical investigation

Lucio Sarno, Giorgio Valente

Journal:

Journal of Futures Markets

Année:

2000

Langue:

english

Fichier:

PDF, 239 KB

english, 2000

29

Estimating the Mean-reverting Component in Stock Prices: A Cross-country comparison

Liam A. Gallagher, Lucio Sarno, Mark P. Taylor

Journal:

Scottish Journal of Political Economy

Année:

1997

Langue:

english

Fichier:

PDF, 557 KB

english, 1997

30

The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index

Lucio Sarno, Ibrahim Chowdhury

Journal:

Année:

2003

Langue:

english

Fichier:

PDF, 265 KB

english, 2003

31

Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles

Mark P. Taylor, David A. Peel, Lucio Sarno

Journal:

International Economic Review

Année:

2001

Langue:

english

Fichier:

PDF, 264 KB

english, 2001

32

Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?

Journal:

Canadian Journal of Economics/Revue canadienne d'économique

Année:

2005

Langue:

english

Fichier:

PDF, 310 KB

english, 2005

33

Properties of foreign exchange risk premiums

Lucio Sarno, Paul Schneider, Christian Wagner

Journal:

Journal of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 1.66 MB

english, 2012

34

A century of equity premium predictability and the consumption–wealth ratio: An international perspective

Pasquale Della Corte, Lucio Sarno, Giorgio Valente

Journal:

Journal of Empirical Finance

Année:

2010

Langue:

english

Fichier:

PDF, 415 KB

english, 2010

35

Empirical exchange rate models and currency risk: some evidence from density forecasts

Lucio Sarno, Giorgio Valente

Journal:

Journal of International Money and Finance

Année:

2005

Langue:

english

Fichier:

PDF, 243 KB

english, 2005

36

Global liquidity risk in the foreign exchange market

Chiara Banti, Kate Phylaktis, Lucio Sarno

Journal:

Journal of International Money and Finance

Année:

2012

Langue:

english

Fichier:

PDF, 359 KB

english, 2012

37

Exchange rate forecasting, order flow and macroeconomic information

Dagfinn Rime, Lucio Sarno, Elvira Sojli

Journal:

Journal of International Economics

Année:

2010

Langue:

english

Fichier:

PDF, 1.70 MB

english, 2010

38

Real exchange rates under the recent float: unequivocal evidence of mean reversion

Lucio Sarno, Mark P Taylor

Journal:

Economics Letters

Année:

1998

Langue:

english

Fichier:

PDF, 53 KB

english, 1998

39

Handbook of Exchange Rates (James/Handbook of Exchange Rates) || Technical Analysis in the Foreign Exchange Market

James, Jessica, Marsh, Ian W., Sarno, Lucio

Année:

2012

Langue:

english

Fichier:

PDF, 232 KB

english, 2012

40

An Economic Evaluation of Empirical Exchange Rate Models

Della Corte, Pasquale, Sarno, Lucio, Tsiakas, Ilias

Journal:

Review of Financial Studies

Année:

2009

Langue:

english

Fichier:

PDF, 380 KB

english, 2009

41

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*

Clarida, Richard H., Sarno, Lucio, Taylor, Mark P., Valente, Giorgio

Journal:

The Journal of Business

Année:

2006

Langue:

english

Fichier:

PDF, 402 KB

english, 2006

42

Purchasing Power Parity and the Real Exchange Rate

Lucio Sarno and Mark P. Taylor

Journal:

IMF Economic Review

Année:

2002

Langue:

english

Fichier:

PDF, 6.16 MB

english, 2002

43

Official Intervention in the Foreign Exchange Market: Is It Effective and, If so, How Does It Work?

Lucio Sarno and Mark P. Taylor

Journal:

Journal of Economic Literature

Année:

2001

Langue:

english

Fichier:

PDF, 813 KB

english, 2001

44

Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale, Ramadorai, Tarun, Sarno, Lucio

Journal:

Journal of Financial Economics

Année:

2016

Langue:

english

Fichier:

PDF, 3.28 MB

english, 2016

45

Currency Premia and Global Imbalances

Corte, Pasquale Della, Riddiough, Steven J., Sarno, Lucio

Journal:

Review of Financial Studies

Année:

2016

Langue:

english

Fichier:

PDF, 368 KB

english, 2016

46

The Economics of Exchange Rates || Exchange rate determination: theories and evidence

Sarno, Lucio, Taylor, Mark P., Frankel, Jeffery A.

Année:

2003

Langue:

english

Fichier:

PDF, 385 KB

english, 2003

47

Developments in Macro-Finance Yield Curve Modelling || Tail risks and contract design from a financial stability perspective

Chadha, Jagjit S., Durre, Alain C. J., Joyce, Michael A. S., Sarno, Lucio

Année:

2014

Langue:

english

Fichier:

PDF, 141 KB

english, 2014

48

Risky bank guarantees

Mäkinen, Taneli, Sarno, Lucio, Zinna, Gabriele

Journal:

Journal of Financial Economics

Année:

2019

Langue:

english

Fichier:

PDF, 3.48 MB

english, 2019

49

Adjustment costs and nonlinear dynamics in the demand for money: Italy, 1861–1991

Journal:

International Journal of Finance & Economics

Année:

1999

Langue:

english

Fichier:

PDF, 278 KB

english, 1999

50

New evidence on the forward unbiasedness hypothesis in the foreign-exchange market

Kleopatra Nikolaou, Lucio Sarno

Journal:

Journal of Futures Markets

Année:

2006

Langue:

english

Fichier:

PDF, 180 KB

english, 2006