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Ana-Maria Fuertes

Global rank #5570 93%

Institution: City University

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://www.cass.city.ac.uk/faculties-and-research/experts/ana-maria-fuertes

First Publication: 1997

Most Recent: 2023

RePEc ID: pfu3 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.67 0.67 0.00 2.01
Last 10 Years 0.00 0.67 7.37 0.00 8.71
All Time 0.00 0.67 16.92 0.00 18.77

Publication Statistics

Raw Publications 25
Coauthorship-Adjusted Count 18.68

Publications (25)

Year Article Journal Tier Authors
2023 The Negative Pricing of the May 2020 WTI Contract The Energy Journal B 3
2021 The risk premia of energy futures Energy Economics A 3
2020 Fear of hazards in commodity futures markets Journal of Banking & Finance B 4
2019 A comprehensive appraisal of style-integration methods Journal of Banking & Finance B 3
2019 Uncovered equity “disparity” in emerging markets Journal of International Money and Finance B 3
2018 The skewness of commodity futures returns Journal of Banking & Finance B 4
2018 On the predictability of emerging market sovereign credit spreads Journal of International Money and Finance B 2
2017 Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching International Journal of Forecasting B 3
2017 Commodity Markets, Long-Run Predictability, and Intertemporal Pricing Review of Finance B 3
2016 Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? International Journal of Forecasting B 3
2016 Hot money in bank credit flows to emerging markets during the banking globalization era Journal of International Money and Finance B 3
2016 On cross-border bank credit and the U.S. financial crisis transmission to equity markets Journal of International Money and Finance B 3
2015 ECB policy and Eurozone fragility: Was De Grauwe right? Journal of International Money and Finance B 3
2013 Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction International Journal of Forecasting B 2
2012 Exchange rate pass-through into import prices revisited: What drives it? Journal of International Money and Finance B 3
2010 Tactical allocation in commodity futures markets: Combining momentum and term structure signals Journal of Banking & Finance B 3
2009 On forecasting daily stock volatility: The role of intraday information and market conditions International Journal of Forecasting B 3
2007 Optimal design of early warning systems for sovereign debt crises International Journal of Forecasting B 2
2006 Testing for sign and amplitude asymmetries using threshold autoregressions Journal of Economic Dynamics and Control B 2
2006 Valuation ratios and price deviations from fundamentals Journal of Banking & Finance B 2
2006 Large market shocks and abnormal closed-end-fund price behaviour Journal of Banking & Finance B 2
2005 Purchasing power parity and the theory of general relativity: the first tests Journal of International Money and Finance B 4
2003 Numerical issues in threshold autoregressive modeling of time series Journal of Economic Dynamics and Control B 3
2003 Numerical issues in threshold autoregressive modeling of time series Journal of Economic Dynamics and Control B 3
1997 New panel unit root tests of PPP Economics Letters C 2