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Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. A. and A. Perez
Studies in Nonlinear Dynamics and Econometrics – 2021
The Forward Premium Puzzle in the interwar period and deviations from covered interest parity
Paya I., Peel D. and A. Spiru
Economics Letters – 2010
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
Linkages between Shanghai and Hong Kong stock indices
Paya I. and S. Zhang
Applied Financial Economics – 2009
On the relationship between inflation persistence and temporal aggregation
Paya I., Duarte A. and K. Holden
Journal of Money, Credit and Banking – 2007
Deterministic impulse response in a nonlinear model. An analytic expression
Venetis I.,Paya I. and D. Peel
Economics Letters – 2007
A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994”
Paya I. and D. Peel
Journal
of Money, Credit and Banking – 2006
Forecast evaluation of nonlinear models: The case of long-span real exchange rates”
Pavlidis E., Paya I. and D. Peel
Journal of Forecasting – 2012
Real exchange rates and time-varying trade costs
Pavlidis E., Paya I. and D. Peel
Journal of International Money and Finance – 2011
Sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
Paya I. and D. Peel
Journal of Futures Markets – 2011