Mico Loretan
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Mico |
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Loretan |
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Affiliations
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Schweizerische Nationalbank (SNB)
Research profile
author of:
- Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets (RePEc:att:wimass:9208)
by Loretan, M. & Phillips, P.C.B. - The international financial crisis: timeline, impact and policy responses in Asia and the Pacific (RePEc:bis:bisbpc:52-03)
by Andrew Filardo & Jason George & Mico Loretan & Guonan Ma & Anella Munro & Ilhyock Shim & Philip Wooldridge & James Yetman & Haibin Zhu - Private information, stock markets, and exchange rates (RePEc:bis:bisbpc:52-07)
by Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan - Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market (RePEc:bis:bisbpc:52-19)
by Don H Kim & Mico Loretan & Eli M Remolona - Evaluating changes in correlations during periods of high market volatility (RePEc:bis:bisqtr:0006e)
by Mico Loretan & William B English - The development of money markets in Asia (RePEc:bis:bisqtr:0809f)
by Mico Loretan & Philip Wooldridge - Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (RePEc:bis:biswps:249)
by Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan - Private information, stock markets, and exchange rates (RePEc:bis:biswps:271)
by Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan - International portfolio rebalancing and exchange rate fluctuations in Thailand (RePEc:bis:biswps:287)
by Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan - Private information, stock markets, and exchange rates (RePEc:bth:wpaper:2009-07)
by Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan - The Durbin-Watson Ratio Under Infinite Variance Errors (RePEc:cwl:cwldpp:898r)
by Peter C.B. Phillips & Mico Loretan - Estimating Long Run Economic Equilibria (RePEc:cwl:cwldpp:928)
by Peter C.B. Phillips & Mico Loretan - Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns (RePEc:cwl:cwldpp:947)
by Peter C.B. Phillips & Mico Loretan - Contagion and Risk in the Amplification of Crisis : Evidence from Asian Names in the CDS Market (RePEc:eab:wpaper:22861)
by Don H. Kim & Mico Loretan & Eli M. Remolona - Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market (RePEc:eee:asieco:v:21:y:2010:i:3:p:314-326)
by Kim, Don H. & Loretan, Mico & Remolona, Eli M. - Economic models of systemic risk in financial systems (RePEc:eee:ecofin:v:7:y:1996:i:2:p:147-152)
by Loretan, Mico - On the properties of the coefficient of determination in regression models with infinite variance variables (RePEc:eee:econom:v:181:y:2014:i:1:p:15-24)
by Kurz-Kim, Jeong-Ryeol & Loretan, Mico - The Durbin-Watson ratio under infinite-variance errors (RePEc:eee:econom:v:47:y:1991:i:1:p:85-114)
by Phillips, Peter C. B. & Loretan, Mico - Exchange rate fluctuations and international portfolio rebalancing (RePEc:eee:ememar:v:18:y:2014:i:c:p:34-44)
by Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip & Chan, Eric - Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248)
by Loretan, Mico & Phillips, Peter C. B. - Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (RePEc:eee:empfin:v:17:y:2010:i:2:p:212-240)
by Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico - Private information, capital flows, and exchange rates (RePEc:eee:jimfin:v:81:y:2018:i:c:p:40-55)
by Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip - Pitfalls in tests for changes in correlations (RePEc:fip:fedgif:597)
by Brian H. Boyer & Michael S. Gibson & Mico Loretan - Evaluating \"correlation breakdowns\" during periods of market volatility (RePEc:fip:fedgif:658)
by William B. English & Mico Loretan - A note on the coefficient of determination in models with infinite variance variables (RePEc:fip:fedgif:895)
by Jeong-Ryeol Kurz-Kim & Mico Loretan - Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (RePEc:fip:fedgif:905)
by Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan - Systemic risk in a model economy with a stylized banking system (RePEc:fip:fedgpr:y:1995:p:433-456)
by Mico Loretan - Indexes of the foreign exchange value of the dollar (RePEc:fip:fedgrb:y:2005:i:win:p:1-8:n:v.91no.1)
by Mico Loretan - Private Information, Capital Flows, and Exchange Rates (RePEc:imf:imfwpa:2012/213)
by Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan - Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand (RePEc:imf:imfwpa:2012/214)
by Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan - Estimating Long-run Economic Equilibria (RePEc:oup:restud:v:58:y:1991:i:3:p:407-436.)
by Peter C. B. Phillips & Mico Loretan - Private information, capital flows, and exchange rates (RePEc:snb:snbwpa:2015-12)
by Jacob Gyntelberg & Dr. Mico Loretan & Tientip Subhanij - Rate-optimal tests for jumps in diffusion processes (RePEc:spr:stpapr:v:54:y:2013:i:4:p:1009-1041)
by Taesuk Lee & Mico Loretan & Werner Ploberger - A note on the coefficient of determination in regression models with infinite-variance variables (RePEc:zbw:bubdp1:5574)
by Loretan, Michael Stanislaus & Kurz-Kim, Jeong-Ryeol