Current Research

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  1. The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets. (with Katja Gisler). Online Appendix (PDF File, 1.85MB). (September 2016). Show Abstract

  2. Measuring the Output Gap in Switzerland with Linear Opinion Pools. (with Oliver Müller). Data (ZIP File, 100kB). (August 2016). Show Abstract

  3. Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models. Online Appendix (PDF File, 2.87MB). (April 2016). Show Abstract

  4. Macroeconomic Factors and Equity Premium Predictability (with Martin Tischhauser). Data (ZIP File, 1.07MB). (March 2016). Show Abstract


Published Articles

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  1. The Term Structure of Interest Rates in an estimated New Keynesian Policy Model. (with Philipp Lentner). (forthcoming). Journal of Macroeconomics. Show Abstract

  2. (2016) Global Equity Market Volatility Spillovers: A Broader Role for the United States (with Katja Gisler). International Journal of Forecasting, 32(4), 1317–1339. Show Abstract

  3. (2016) Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability (with Gion Donat Piras). Journal of International Money and Finance, 60(February), 313–359. Data (ZIP File, 1.71MB). Show Abstract

  4. (2015) Forecasting Copper Prices with Dynamic Averaging and Selection Models (with Carlo Moretto), North American Journal of Economics and Finance, 33(1), 1–38. On-line appendix. Show Abstract

  5. (2015) Measuring Fund Style, Performance and Activity: A New Style Profiling Approach (with Robert Hill and Jon Eggins), Accounting and Finance, 55(1), 29–55. Show Abstract

  6. (2014) Equilibrium Credit: The Reference Point for Macroprudential Supervisors (with Martin Melecky). Journal of Banking and Finance, 41(4), 135–154. Addon Material (PDF File, 249KB). Show Abstract

    Median Coverage: World Bank Blog, Globalmacromatters Blog, paper presented at the 2013 Cleveland Federal Reserve high level conference on Financial Stability, background paper to Chapter 6 of the World Development Report 2014: Risk and Opportunity: Managing Risk for Development.

  7. (2013) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers (with Martin Melecky), Journal of Financial Stability, 9(3), 347–370. Show Abstract

    Policy Usage: Our proposed stress testing methodology (tool) was used by World Bank staff in technical assistance missions (FSAPs) in a number of Balkan, Eastern European, and Middle Eastern countries.

  8. (2012) Understanding forecast failure of ESTAR models of real exchange rates. Empirical Economics, 34(1), 399-426. Data (Excel File, 56KB). Show Abstract

  9. (2010) The impact of ECB monetary policy decisions and communication on the yield curve (with Claus Brand and Jarkko Turunen), Journal of the European Economic Association, 8(6), 1266–1298. Show Abstract

  10. (2008) An estimated New Keynesian Policy Model for Australia (with Martin Melecky), The Economic Record, 84(264), 1-16. Additional Notes (PDF File, 259KB). Show Abstract

  11. (2006) Bootstrap causality tests of the relationship between the equity markets of the U.S. and other developed countries: Pre- and post-September 11 (with Eduardo Roca and Abdulnasser Hatemi-J), Journal of Applied Business Research, 22(3), 65-74. Show Abstract

  12. (2005) The extent and stability of long-run relationships between stock prices: Evidence from the U.S., the U.K. and Australia (with Eduardo Roca), Investment Management and Financial Innovations, 2(4), 80-94. Show Abstract

  13. (2002) Equity market price interdependence between Australia and the Asian Tigers (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74. Show Abstract


Old Working Papers

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