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Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
Pavlidis E., Paya I. and D. Peel
Studies
in Nonlinear Dynamics and Econometrics – 2010
Wealth fluctuations and investment in risky assets: The UK micro evidence on household asset allocation
Paya I. and P. Wang
Journal of Empirical Finance – 2016
Deterministic impulse response in a nonlinear model. An analytic expression
Venetis I.,Paya I. and D. Peel
Economics Letters – 2007
Inflation dynamics in the U.S.: Global but not local mean reversion
Novay A., Paya I. and D. Peel
Journal of Money, Credit and Banking – 2010
Sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
Paya I. and D. Peel
Journal of Futures Markets – 2011
Linkages between Shanghai and Hong Kong stock indices
Paya I. and S. Zhang
Applied Financial Economics – 2009
Testing for linear and nonlinear Granger causality in the real exchange rate – consumption relation
Pavlidis E., Paya I. and D. Peel
Economics Letters – 2015
On the relationship between inflation persistence and temporal aggregation
Paya I., Duarte A. and K. Holden
Journal of Money, Credit and Banking – 2007
Episodes of exuberance in housing markets: in search of the smoking gun”
Pavlidis E., Yusupova A., Paya I., Peel D., Martinez-Garcia E. and V. Grossman
Journal of Real Estate Finance and Economics – 2016
Real exchange rates and time-varying trade costs
Pavlidis E., Paya I. and D. Peel
Journal of International Money and Finance – 2011