Search Results - "Paya, Ivan"

Higher order risk attitudes: new model insights and heterogeneity of preferences by Georgalos, Konstantinos, Paya, Ivan, Peel, David

“…It is now well established that higher-order risk preferences play a crucial role in determining the risky choices of decision makers in a wide range of…”
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Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation by Paya, Ivan, Wang, Peng

“…This paper is the first to examine whether UK households exhibit constant or time-varying relative risk aversion within a microdata panel framework. We analyse…”
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On the predictions of cumulative prospect theory for third and fourth order risk preferences by Paya, Ivan, Peel, David A., Georgalos, Konstantinos

“…In this paper, we analyse higher-order risky choices by the representative cumulative prospect theory (CPT) decision maker from three alternative reference…”
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Forecasting monetary policy rules in South Africa by Naraidoo, Ruthira, Paya, Ivan

“…This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules, augmented with an indicator of financial stability, for…”
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Real exchange rates and time-varying trade costs by Pavlidis, Efthymios G., Paya, Ivan, Peel, David A.

“…This paper re-examines the empirical modeling of Purchasing Power Parity (PPP) deviations in the presence of commodity market frictions. First, we show that a…”
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On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty by Ñíguez, Trino-Manuel, Paya, Ivan, Peel, David, Perote, Javier

“…Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is…”
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Forecast Evaluation of Nonlinear Models: The Case of Long-Span Real Exchange Rates by Pavlidis, Efthymios G., Paya, Ivan, Peel, David A.

“…ABSTRACT This paper deals with the nonlinear modeling and forecasting of the dollar–sterling and franc–sterling real exchange rates using long spans of data…”
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A New Analysis of the Determinants of the Real Dollar-Sterling Exchange Rate: 1871-1994 by Ivan Paya, Peel, David A.

“…The high persistence of both PPP deviations and the proxy variables for the equilibrium real rate might create a problem of spurious coefficient significance…”
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The Bank of Korea's nonlinear monetary policy rule by Koo, Jahyun, Paya, Ivan, Peel, David A.

“…A new test for nonlinear causality and also nonparametric procedures suggest significant nonlinearity in the implementation of the Taylor rule by the Bank of…”
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Nonlinear dynamics in economics and finance and unit root testing by Pavlidis, Efthymios G., Paya, Ivan, Peel, David A., Siriopoulos, Costas

“…The recent financial crisis exposed the inability of traditional theoretical and empirical models to parsimoniously capture the rich dynamics of the economic…”
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Predicting real growth and the probability of recession in the Euro area using the yield spread by Duarte, Agustin, Venetis, Ioannis A., Paya, Ivan

“…Although the spread has been established as a leading indicator of economic activity, recent studies in US and European Union (EU) countries have documented,…”
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Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets by Paya, Ivan, Peel, David A.

“…Based on the cost‐of‐carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies…”
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The forward premium puzzle in the interwar period and deviations from covered interest parity by Paya, Ivan, Peel, David A., Spiru, Alina

“…We revisit the forward premium puzzle in the interwar period and find that, as the deviation from covered interest rate parity increases, the coefficient on…”
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The Kőszegi–Rabin expectations-based model and risk-apportionment tasks for elicitation of higher order risk preferences by Georgalos, Konstantinos, Paya, Ivan, Peel, David

“…This paper examines the predictions of expectations-based reference-dependent models for risk-apportionment tasks that elicit higher-order risk attitudes. We…”
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Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment by Paya, Ivan, Peel, David A.

“…Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these…”
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The process followed by PPP data. On the properties of linearity tests by Paya, Ivan, Peel, David A.

“…Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated…”
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Deterministic impulse response in a nonlinear model. An analytical expression by Venetis, Ioannis A., Paya, Ivan, Peel, David A.

“…This paper derives an analytical expression of the “impulse response function” for the skeleton of a restricted version of the typical ESTAR model reported in…”
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On the speed of adjustment in ESTAR models when allowance is made for bias in estimation by Paya, Ivan, Peel, David A.

“…The purpose of this letter is to show, via simulation and bootstrap methods, that the estimates of the speed of adjustment parameter obtained in ESTAR models…”
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Nonlinear Purchasing Power Parity under the Gold Standard by Ivan Paya, Peel, David A.

“…Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP) does not hold for 16 real…”
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On the contribution of the Markowitz model of utility to explain risky choice in experimental research by Georgalos, Konstantinos, Paya, Ivan, Peel, David A.

“…•We illustrate new properties of the Markowitz model of utility.•We estimate mixture models for three prominent recent risky-choice data sets.•The Markowitz…”
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