Portrait of Professor Ana-Maria Fuertes

Professor Ana-Maria Fuertes

Professor of Finance and Econometrics

Bayes Business School,

Contact

Visit Ana-Maria Fuertes

Room BR5068, Bunhill Row

Postal address

City St George's, University of London
Northampton Square
London
EC1V 0HB
United Kingdom

About

Overview

Ana-Maria Fuertes is Professor of Finance and Econometrics at Bayes Business School (formerly Cass), City, University of London, which she joined in January 2001. Professor Fuertes has taught Statistics, Financial Econometrics, Forecasting, Time Series Econometrics, Operations Research, International Finance and Macroeconomics. She has acted as a consultant for Deutsche Bank and Barclays Capital. She has delivered bespoke postgraduate courses and has been awarded several teaching excellence prizes.

Her research interests are on commodity markets, empirical asset pricing, credit risk modeling and forecasting financial markets. Professor Fuertes’ research has been published in leading journals such as the Review of Finance, Journal of Banking and Finance, Journal of International Money and Finance, International Journal of Forecasting and Journal of Economic Dynamics and Control. Her research has won academic prizes and has been featured in investors’ blogs – e.g. Elitetrader, Amphitrading, Quantpedia, Yahoo Finance – and in policy blogs. She has served as Associate Editor of the Journal of the Royal Statistical Society (Series A), Journal of Economic Behaviour and Organization and Journal of Computational Statistics and Data Analysis. She is currently Associate Editor of the International Journal of Forecasting and the J.P. Morgan Global Commodities Applied Research Digest (GCARD).

Professor Fuertes holds a PhD in International Finance, an MSc in Control Engineering, and a BSc in Industrial Engineering. Before joining academia, she worked as a Systems Analyst and Software Trainer for ESAI S.L. and as Cost-Analyst Programmer for INDALUX S.A. (est. 1950, a Spanish company recently acquired by the dutch technology firm PHILIPS).

Qualifications
MSc and PhD.

Awards
1. Commodity and Energy Markets Association (CEMA) Conference (2017) Best Paper Award.
2. Bayes Business School (formerly Cass), City, University of London (2008) Teaching and Learning Excellence Prize.
3. Bayes Business School (formerly Cass), City, University of London (2002) Teaching and Learning Excellence Prize.
4. Bayes Business School (formerly Cass), City, University of London (2011) Student Voice Award Nominee.
5. Social Science Research Network (December 2017) Top 10% of Authors on SSRN by total new downloads within last 12 months.

Languages
English, Spanish, German

Expertise

Primary topics

  • Commodities
  • Banking
  • Financial Econometrics
  • International Finance
  • Asset Pricing
  • Financial Markets
  • Quantitative Finance
  • Bond Markets
  • Econometrics

Additional topics

  • Financial Risk & Risk Management

Industries

  • commodities

Research

Research topics

Intertemporal asset pricing

International capital flows

Macroeconomic Impact of Bank Capital Regulation

Sovereign Credit Spread Modeling in Emerging Markets

Equity Risk Premium Predictability

Research students

Daniel Almeida (co-supervision Carlos III University doctoral program)

Attendance: Sep 2015 – present, full-time

Thesis title: Essays on Financial Market Predictability

Role: 2nd Supervisor

Orkun Saka

Attendance: Sep 2012 – present, full-time

Thesis title: Essays on Debt Crises

Role: 1st Supervisor

Cheng Yan

Attendance: Sep 2011 – Jun 2015, full-time

Thesis title: International Capital Flows and Asset Pricing

Role: 2nd Supervisor

Mattew Osborne

Attendance: Sep 2009 – Dec 2013, full-time

Thesis title: Behavioural and macroeconomic impacts of bank regulation

Role: 1st Supervisor

Wei Liu

Attendance: Sep 2008 – Aug 2013, full-time

Thesis title: Essays on Economic Value of Intraday Covariation Estimators for Risk Prediction

Role: 1st Supervisor

Fei Fei

Attendance: Oct 2007 – Jun 2013, full-time

Thesis title: Credit Risk Measurement

Role: 1st Supervisor

Giorgos Rallis

Attendance: Oct 2005 – Jul 2010, full-time

Thesis title: "On Commodity Trading Strategies: Momentum, Term Structure, Maturity, Indexation"

Role: 1st Supervisor

Elena Kalotychou

Attendance: Dec 2000 – Mar 2005, full-time

Thesis title: "Sovereign Default Prediction"

Role: 1st Supervisor

Publications

Chapters (2)

  1. Fuertes, A.M. and Heffernan, S. (2006). Bank Heterogeneities in the Interest Rate Transmission Mechanism. In Reis, J. (Ed.),
  2. Fuertes, A.-.M., Coakley, J. and Perez, M.T. (2001). A Rational Interpolation Approach to Least Squares Estimation for Band-TARs. Numerical Analysis and Its Applications (pp. 198–206). Springer-Verlag.

Conference papers and proceedings (62)

  1. Fuertes, A.M. and Olmo, J. (2012). Optimally Harnessing Intra-day and Inter-day Information for Value-at-Risk Prediction. 9th International Conference on Computational Management Science, Imperial College London London.
  2. Fuertes, A.M. and Olmo, J. (2012). Optimally Harnessing Intra-day and Inter-Day Information for Daily VaR Prediction. Swiss Institute of Banking and Finance - University of St Gallen Switzerland.
  3. Fuertes, A.M., Phylaktis, K. and Brun Aguerre, R. (2011). Country and Time-Variation in Import Exchange Rate Pass-Through: Is it Driven by Macro Factors? 3rd EMG Conference on "Emerging Markets Finance" Cass Business School, City University London.
  4. Fuertes, A.M., Kalotychou, E. and Fei, F. (2011). Credit Rating Migration and Business Cycles. ECARES (European Centre for Advanced Research in Economics and Statistics), Universite Libre de Bruxelles Bruxelles, Belgium.
  5. Fuertes, A.M., Fei, F. and Kalotychou, E. (2011). Credit Rating Migration and Business Cycles. Seminar Series - Keele University Keele, U.K..
  6. Fuertes, A.M. and Olmo, J. (2011). On Forecasting Volatility: What Improves VaR? 28th GdRE Simposium on Money, Banking and Finance University of Reading.
  7. Fuertes, A.M. and Olmo, J. (2011). Optimally Harnessing Inter-day and Intra-day Information for Daily Value-at-Risk Prediction. Money, Macro and Finance Research Group 43rd Annual International Conference (MMF 2011) Birmingham University.
  8. Fuertes, A.M., Kalotychou, E. and Fei, F. (2010). Credit Rating Migrations and Business Cycles. 16th Annual Conference of the Society for Computational Economics on 'Computing in Economics & Finance' City University, London.
  9. Fuertes, A.M., Kalotychou, E. and Fei, F. (2010). Credit Rating Migrations and Business Cycles. BMRC-QASS International Conference on �Macro and Financial Economics� Brunel University.
  10. Fuertes, A.M., Kalotychou, E. and Fei, F. (2010). Credit Ratings Migration and Business Cycles. Seminar Series - London Metropolitan University London.
  11. Fuertes, A.M., Kalotychou, E. and Fei, F. (2010). Credit Ratings Migration and Business Cycles. Seminar Series - Newcastle University Business School.
  12. Fuertes, A.M., Brun Aguerre, R. and Phylatkis, K. (2010). Exchange Rate Pass-Through Revisited: What Drives It? 4th International Conference on Computation and Financial Econometrics (CFE10) Birkbeck College, London.
  13. Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2009). Intraday Price and Volume Information for Volatility-Based Trading: Does it Really Pay? 3rd International Conference on Computational and Financial Econometrics (CFE09) 29-31 October, Limassol, Cyprus.
  14. Fuertes, A.M., Kalotychou, E. and Izzeldin, M. (2008). Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions. Seminar Series - City University City University, Department of Economics.
  15. Fuertes, A.M., Kalotychou, E. and Izzeldin, M. (2008). Forecasting Stock Market Volatility: The Role of Intraday Information and Market Conditions. Seminar Series - Essex Business School Essex Business School, University of Essex.
  16. Kalotychou, E., Fuertes, A. and Izzeldin, M. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. � 28th International Symposium on Forecasting Nice, France.
  17. Kalotychou, E., Fuertes, A. and Izzeldin, M. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. � Financial Management Association Europe Prague, Czech Republic.
  18. Kalotychou, E. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. 3rd ESRC Seminar Series: Nonlinear Economics and Finance Keele University, UK.
  19. Fuertes, A.M., Kalotychou, E. and Izzeldin, M. (2008). Forecasting Stock Market Volatility: the Role of Intraday Information and Market Conditions. British Accounting Association annual conference Blackpool.
  20. Kalotychou, E. and Fuertes A, I.M. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. Financial Management Association Annual Meeting Dallas.
  21. Fuertes, A.M. (2007). Asymmetries in the British Interest Rate Transmission Mechanism. CFE07/IASC International Workshop on Computational and Financial Econometrics University of Geneva, Switzerland.
  22. Fuertes, A.M., Kalotychou, E. and Izzeldin, M. (2007). Forecasting Stock Market Volatility: The Role of High-Frequency Data and Market Conditions. Essex University, School of Accounting Finance and Management.
  23. Fuertes, A.M., Heffernan, S.A. and Kalotychou, E. (2007). Nonlinearity in the British Interest Rate Transmission Mechanism: Tests and Implications. Money, Macro and Finance Conference University of Birmingham.
  24. Fuertes, A.M., Heffernan, S. and Kalotychou, E. (2007). Nonlinearity in the British Interest Rate Transmission Meechanism: Tests and Implications. 5th INFINITI Conference on International Finance Trinity College, Dublin.
  25. Fuertes, A.M., Heffernan, S. and Kalotychou, E. (2007). Nonlinearity in the British Retail Rate Setting Process: Tests and Policy Implications. 15th Meeting of the Society for Nonlinear Dynamics and Econometrics (SNDE) Paris.
  26. Kalotychou, E. and Fuertes, A. (2006). The role of heterogeneity in early warning systems for sovereign debt crises. European Financial Management Association Madrid, Spain.
  27. Kalotychou, E. and Fuertes, A. (2006). The role of heterogeneity in early warning systems for sovereign debt crises. Financial Management Association Europe Stockholm, Sweden.
  28. Kalotychou, E. and Fuertes, A. (2005). Optimal Early Warning Systems for Sovereign Debt Crises. Bank of England, International Finance Division.
  29. Fuertes, A.M. and Kalotychou, E. (2005). Optimal Early Warning Systems for Sovereign Debt Crises. 13th International Symposium of the Society for Nonlinear Dynamics & Econometrics (SNDE) City University, London, March 2005.
  30. Fuertes, A.M., Smith, R. and Coakley, J. (2004). Factor Models and Cross-Section Dependence in Panels (with R. Smith). Seminar Econometric Institute, Erasmus University, Rotterdam (March 2004) ; Tinbergen Institute, Amsterdam (March 2004).
  31. Fuertes, A.M. (2004). Forecasting Sovereign Default using Panel Data Models: A Comparative Analysis. 10th Annual Conference of the Society of Computational Economics Frei University, Amsterdam, July 2004).
  32. Fuertes, A.M. and Kalotychou, E. (2004). Forecasting Sovereign Default Using Panel Data Models: A Comparative Analysis. 59th European Meeting of the Econometric Society (ESEM), August 2004 University Carlos III, Madrid.
  33. Fuertes, A.M. (2004). Market-wide Shocks and Overreaction in UK Closed-end Funds. European Financial Management Association conference Basel, Switzerland, June 2004..
  34. Fuertes, A.M. (2004). Market-wide Shocks and Overreaction in UK Closed-end Funds. Money, Macro and Finance Conference September, Cass Business School.
  35. Kalotychou, E. and Fuertes, A. (2004). The role of heterogeneity in early warning systems for sovereign default. 17th Australasian Finance & Banking Conference Sydney, Australia.
  36. Fuertes, A.M. and Kalotychou, E. (2004). The Role of Heterogeneity in Early Warning Systems for Sovereign Default. Invited seminar University of Cambridge, Faculty of Economics & Politics, November 2004..
  37. Fuertes, A.M. (2003). Momentum and Reversal Dynamics in US Valuation Ratios. Bank of England Seminar; University of Kent (Department of Economics) Seminar; Cass Faculty of Finance Workshop.
  38. Coakley, J. and Fuertes, A.M. (2003). Momentum and Reversal Dynamics in US Valuation Ratios. Royal Statistical Society meeting on New Developments in Empirical Finance.
  39. Coakley, J. and Fuertes, A.M. (2003). A New Interpretation of the Exchange Rate - Yield Differential Nexus. The 9th International SCE Conference on Computing in Economics & Finance Washington, Seattle.
  40. Fuertes, A.M. (2003). Momentum and Reversal Dynamics in US Valuation Ratios. The 10th International Symposium of the Society for Nonlinear Dynamics & Econometrics (SNDE) Florence.
  41. Fuertes, A.M. (2003). Momentum and Reversal Dynamics in US Valuation Ratios. The 30th Annual Meeting of the European Finance Association (EFA) Glasgow.
  42. Fuertes, A.M. (2003). Robust Panel Tests for Long-Run Dependence: A Sieve Bootstrap Approach. The 9th International Conference of the Society of Computational Economics (SCE) on Computing in Economics & Finance Washington, Seattle (Session Chairman).
  43. Fuertes, A.M. (2003). The Feldstein-Horioka Puzzle is not as bad as you think. Money, Macro and Finance Conference Cambridge University.
  44. Fuertes, A.M. (2002). Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models. Society for Computational Economics Annual Conference on Computing in Economics & Finance Aix en Provenze.
  45. Fuertes, A.M. (2002). Momentum and Reversal Dynamics in US Valuation Ratios. Money, Macro and Finance (MMF) Warwick.
  46. Fuertes, A.M. (2002). A Principal Components Approach to Between Group Dependence in Panels. The 10th International Conference on Panel Data, Academy of Science Berlin.
  47. Fuertes, A.M. (2002). A Principal Components Approach to Between Group Dependence in Panels. University of Wales, Department of Economics Seminar Swansea.
  48. Fuertes, A.M. (2002). Momentum and Reversal Dynamics in US Valuation Ratios. The 8th International SCE Conference on Computing in Economics & Finance Aix en Provenze, France.
  49. Fuertes, A.M. (2001). Asymmetries and the Forward Premium Puzzle. Royal Economic Society (RES) Annual Conference University of Durham, March 2001..
  50. Fuertes, A.M. (2001). Bootstrap Likelihood Ratio Tests for Sign and Amplitude Asymmetries. Society for Computational Economics Annual Conference on Computing in Economics and Finance Yale University, June 2001.
  51. Fuertes, A.M. (2001). A Principal Components Approach to Between-Group Dependence in Panels. Society for Computational Economics Annual Conference on Computing in Economics and Finance Yale University, June. University of Maastricht, Department of Quantitative Economics, November. Leeds University Business School, Economics Division, December..
  52. Fuertes, A.M. (2001). Small Sample Properties of Panel Time-Series Estimators with I(1) Errors. Annual EC2 Conference CORE, Louvain-la-Neuve, December 2001..
  53. Fuertes, A.M. (2000). Bootstrap LR Tests of Sign and Amplitude Asymmetrics. Centre for Nonlinear Dynamics in Economics and Finance (CeNDEF) Workshop in Economics Dynamics University of Amsterdam, January..
  54. Fuertes, A.M. (2000). Is There a Base Currency Effect Long Run PPP? Money, Macro and Finance (MMF) Annual Conference Southbank University, September..
  55. Fuertes, A.M. (2000). Asymmetric Dynamics in UK Real Interest Rates. RES Annual Conference University of St. Andrews, July..
  56. Fuertes, A.M. (2000). Asymmetries and the Forward Premium Puzzle. Eighth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE) Atlanta and Brunel University, Department of Economics and Finance, May..
  57. Fuertes, A.M. (1999). Nonlinearities in Excess Foreign Exchange Returns. SNDE Seventh Annual Symposium and MMF Annual Conference New York University, March and University of Oxford, September.
  58. Fuertes, A.M. (1999). Short Run Dynamics of Real Exchange Rates Post-1973. Birkbeck College, Department of Economics Seminar.
  59. Fuertes, A.M. (1999). Transaction Costs and Real Exchange Rate Dynamics in Europe. RES Annual Conference Nottingham University, March..
  60. Fuertes, A.M. (1998). New Tests of the Exchange Rate Interest Differential Relation in an OECD Panel. RES Annual Conference University of Warwick, March and School of Oriental and African Studies, March..
  61. Fuertes, A.M. (1998). Short Run dynamics of Real Exchange Rates Post 1973. MMF Annual Conference Imperial College, September..
  62. Fuertes, A.M. (1998). TAR Models of European Real Exchange Rates. ESEM Annual Conference Humboldt University, Berlin, August..

Internet publication

  1. Fuertes, A.M., Kalotychou, E. and Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?

Journal articles (65)

  1. de Almeida, D., Fuertes, A.-.M. and Hotta, L.K. (2025). Out-of-Sample Predictability of the Equity Risk Premium. Mathematics, 13(2), pp. 257–257. doi:10.3390/math13020257.

    [publisher’s website]

  2. Fuertes, A.-.M. and Zhao, N. (2023). A Bayesian perspective on commodity style integration. Journal of Commodity Markets, 30, pp. 100328–100328. doi:10.1016/j.jcomm.2023.100328.

    [publisher’s website]

  3. Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2023). The Negative Pricing of the May 2020 WTI Contract. The Energy Journal, 44(1), pp. 119–142. doi:10.5547/01956574.44.1.afer.
  4. Fuertes, A., Liu, Z. and Tang, W. (2022). Risk‐neutral skewness and commodity futures pricing. Journal of Futures Markets, 42(4), pp. 751–785. doi:10.1002/fut.22308.
  5. Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2021). The risk premia of energy futures. Energy Economics, 102, pp. 105460–105460. doi:10.1016/j.eneco.2021.105460.
  6. Fuertes, A.-.M. and Robles, M.-.D. (2021). Bank credit risk events and peers' equity value. International Review of Financial Analysis, 75, pp. 101668–101668. doi:10.1016/j.irfa.2021.101668.

    [publisher’s website]

  7. Fernandez-Perez, A., Fuertes, A.M., Gonzalez-Fernandez, M. and Miffre, J. (2020). Fear of hazards in commodity futures markets. Journal of Banking and Finance, 119, pp. 105902–105902. doi:10.1016/j.jbankfin.2020.105902.
  8. Fan, J.H., Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2019). Speculative Pressure. Journal of Futures Markets. doi:10.2139/ssrn.3279425.
  9. Fuertes, A.-.M., Phylaktis, K. and Yan, C. (2019). Uncovered equity “disparity” in emerging markets. Journal of International Money and Finance, 98, pp. 102066–102066. doi:10.1016/j.jimonfin.2019.102066.

    [publisher’s website]

  10. Crook, J., Bellotti, T., Mues, C. and Fuertes, A.-.M. (2019). Preface to the Papers on ‘Credit Risk Modelling’. Journal of the Royal Statistical Society Series A: Statistics in Society, 182(4), pp. 1139–1142. doi:10.1111/rssa.12525.

    [publisher’s website]

  11. Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2019). A comprehensive appraisal of style-integration methods. Journal of Banking & Finance, 105, pp. 134–150. doi:10.1016/j.jbankfin.2019.05.016.

    [publisher’s website]

  12. Audzeyeva, A. and Fuertes, A.-.M. (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140–157. doi:10.1016/j.jimonfin.2018.07.005.

    [publisher’s website]

  13. Fernandez-Perez, A., Frijns, B., Fuertes, A.-.M. and Miffre, J. (2018). The skewness of commodity futures returns. Journal of Banking & Finance, 86, pp. 143–158. doi:10.1016/j.jbankfin.2017.06.015.

    [publisher’s website]

  14. Fei, F., Fuertes, A.-.M. and Kalotychou, E. (2017). Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. International Journal of Forecasting, 33(3), pp. 662–678. doi:10.1016/j.ijforecast.2017.01.006.

    [publisher’s website]

  15. Brun-Aguerre, R., Fuertes, A.-.M. and Greenwood-Nimmo, M. (2017). Heads I win; Tails you lose: Asymmetry in Exchange rate Pass-through into Import Prices. Journal of the Royal Statistical Society Series A: Statistics in Society, 180(2), pp. 587–612. doi:10.1111/rssa.12213.

    [publisher’s website]

  16. Osborne, M., Fuertes, A. and Milne, A. (2016). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis. doi:10.1016/j.irfa.2016.02.005.
  17. Fuertes, A.-.M. and Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? Journal of Risk and Financial Management, 9(3), pp. 10–10. doi:10.3390/jrfm9030010.

    [publisher’s website]

  18. Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2016). Commodity Markets, Long-Run Predictability, and Intertemporal Pricing. Review of Finance. doi:10.1093/rof/rfw034.

    [publisher’s website]

  19. Fuertes, A., Phylaktis, K. and Yan, C. (2016). On Cross-Border Bank Credit and the U.S. Financial Crisis Transmission to Equity Markets. Journal of International Money and Finance: theoretical and empirical research in international economics and finance. doi:10.1016/j.jimonfin.2016.06.014.
  20. Andrada-Félix, J., Fernández-Rodríguez, F. and Fuertes, A.-.M. (2016). Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay? International Journal of Forecasting, 32(3), pp. 695–715. doi:10.1016/j.ijforecast.2015.10.004.

    [publisher’s website]

  21. Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2016). Is idiosyncratic volatility priced in commodity futures markets? International Review of Financial Analysis, 46, pp. 219–226. doi:10.1016/j.irfa.2016.06.002.

    [publisher’s website]

  22. Pappas, V., Ongena, S., Izzeldin, M. and Fuertes, A.M. (2016). A Survival Analysis of Islamic and Conventional Banks. Journal of Financial Services Research, 2016, pp. 1–36. doi:10.1007/s10693-016-0239-0.
  23. Fuertes, A.-.M., Phylaktis, K. and Yan, C. (2016). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, pp. 29–52. doi:10.1016/j.jimonfin.2014.10.002.

    [publisher’s website]

  24. Ahoniemi, K., Fuertes, A.-.M. and Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525–551. doi:10.1093/jjfinec/nbu032.
  25. Saka, O., Fuertes, A.-.M. and Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was De Grauwe right? Journal of International Money and Finance, 54, pp. 168–185. doi:10.1016/j.jimonfin.2015.03.002.

    [publisher’s website]

  26. Fuertes, A., Miffre, J. and Fernandez‐Perez, A. (2015). Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility. Journal of Futures Markets, 35(3), pp. 274–297. doi:10.1002/fut.21656.

    [publisher’s website]

  27. Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2014). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? Review of Quantitative Finance and Accounting, 45(2), pp. 251–278. doi:10.1007/s11156-014-0436-6.
  28. Fuertes, A.M., Muradoglu, G. and Ozturkkal, B. (2014). A behavioral analysis of investor diversification. European Journal of Finance, 20(6), pp. 499–523. doi:10.1080/1351847X.2012.719829.
  29. Fuertes, A. (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality? Investment and Pensions Europe, 2014(Summer - Research Insights supplement).
  30. Rallis, G., Miffre, J. and Fuertes, A.-.M. (2013). Strategic and Tactical Roles of Enhanced Commodity Indices. Journal of Futures Markets, 33(10). doi:10.1002/fut.21571.
  31. Fuertes, A.M. and Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28–42. doi:10.1016/j.ijforecast.2012.05.005.
  32. Belsley, D.A., Kontoghiorghes, E.J., Van Dijk, H.K., Bauwens, L., Belsley, D.A., Kontoghiorghes, E.J. … Zeileis, A. (2012). The Annals of Computational and Financial Econometrics, first issue. Computational Statistics & Data Analysis, 56(11), pp. 2991–2992. doi:10.1016/j.csda.2012.04.004.

    [publisher’s website]

  33. Brun-Aguerre, R., Fuertes, A.M. and Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it? Journal of International Money and Finance, 31(4), pp. 818–844. doi:10.1016/j.jimonfin.2012.01.009.
  34. Fei, F., Fuertes, A.M. and Kalotychou, E. (2012). Credit Rating Migration Risk and Business Cycles. Journal of Business Finance and Accounting, 39(1-2), pp. 229–263. doi:10.1111/j.1468-5957.2011.02272.x.
  35. Fuertes, A.-.M., Miffre, J. and Rallis, G. (2011). Investors tracking maturity-enhanced commodity indexes face liquidity risk. Hedge Funds Review.
  36. Fuertes, A.M., Miffre, J. and Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking and Finance, 34(10), pp. 2530–2548. doi:10.1016/j.jbankfin.2010.04.009.
  37. Kalotychou, E., Fuertes, A.-.M. and Todorovic, N. (2010). Translating overnight and intraday returns to improve daily volatility forecast accuracy. Hedge Funds Review.
  38. Fuertes, A.M., Heffernan, S. and Kalotychou, E. (2010). How do UK banks react to changing central bank rates? Journal of Financial Services Research, 37(2-3), pp. 99–130. doi:10.1007/s10693-009-0056-9.
  39. Fuertes, A. (2010). Tactical Allocation in Commodity Futures Markets. Hedge Funds Review.
  40. Fuertes, A.M., Miffre, J. and Tan, W.H. (2009). Momentum profits, nonnormality risks and the business cycle. Applied Financial Economics, 19(12), pp. 935–953. doi:10.1080/09603100802167304.
  41. Fuertes, A.M., Izzeldin, M. and Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25(2), pp. 259–281. doi:10.1016/j.ijforecast.2009.01.006.
  42. Fuertes, A. and Heffernan, S.A. (2009). Interest rate transmission in the UK: a comparative analysis across financial firms and products. International Journal of Finance & Economics, 14(1), pp. 45–63. doi:10.1002/ijfe.366.

    [publisher’s website]

  43. Fuertes, A.M. (2008). Sieve bootstrap t-tests on long-run average parameters. Computational Statistics and Data Analysis, 52(7), pp. 3354–3370. doi:10.1016/j.csda.2007.11.014.
  44. Izzeldin, M., Fuertes, A.M. and Kalotychou, E. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. .
  45. Fuertes, A.M. and Kalotychou, E. (2007). On sovereign credit migration: A study of alternative estimators and rating dynamics. Computational Statistics and Data Analysis, 51(7), pp. 3448–3469. doi:10.1016/j.csda.2006.07.003.
  46. Fuertes, A.M. and Kalotychou, E. (2007). Optimal design of early warning systems for sovereign debt crises. International Journal of Forecasting, 23(1), pp. 85–100. doi:10.1016/j.ijforecast.2006.07.001.
  47. Fuertes, A.M. and Kalotychou, E. (2006). Early warning systems for sovereign debt crises: The role of heterogeneity. Computational Statistics and Data Analysis, 51(2), pp. 1420–1441. doi:10.1016/j.csda.2006.08.023.
  48. Fuertes, A.M. and Thomas, D.C. (2006). Large market shocks and abnormal closed-end-fund price behaviour. Journal of Banking and Finance, 30(9), pp. 2517–2535. doi:10.1016/j.jbankfin.2005.10.008.
  49. Coakley, J. and Fuertes, A.M. (2006). Valuation ratios and price deviations from fundamentals. Journal of Banking and Finance, 30(8), pp. 2325–2346. doi:10.1016/j.jbankfin.2005.08.004.
  50. Coakley, J., Fuertes, A.M. and Smith, R. (2006). Unobserved heterogeneity in panel time series models. Computational Statistics and Data Analysis, 50(9), pp. 2361–2380. doi:10.1016/j.csda.2004.12.015.
  51. Coakley, J. and Fuertes, A.M. (2006). Testing for sign and amplitude asymmetries using threshold autoregressions. Journal of Economic Dynamics and Control, 30(4), pp. 623–654. doi:10.1016/j.jedc.2005.03.007.
  52. Fuertes, A.M., Izzeldin, M. and Murphy, A. (2005). A guided tour of TSMod 4.03. Journal of Applied Econometrics, 20(5), pp. 691–698. doi:10.1002/jae.825.
  53. Coakley, J., Flood, R.P., Fuertes, A.M. and Taylor, M.P. (2005). Purchasing power parity and the theory of general relativity: The first tests. Journal of International Money and Finance, 24(2), pp. 293–316. doi:10.1016/j.jimonfin.2004.12.008.
  54. Coakley, J., Fuertes, A.M. and Spagnolo, F. (2004). Is the Feldstein-Horioka puzzle history? Manchester School, 72(5), pp. 569–590. doi:10.1111/j.1467-9957.2004.00409.x.
  55. Coakley, J., Wood, A. and Fuertes, A.M. (2004). A new interpretation of the exchange rate-yield diffferential nexus. International Journal of Finance and Economics, 9(3), pp. 201–218. doi:10.1002/ijfe.230.
  56. Coakley, J., Fuertes, A.-.M. and Pérez, M.-.T. (2003). Numerical issues in threshold autoregressive modeling of time series. Journal of Economic Dynamics and Control, 27(11-12), pp. 2219–2242. doi:10.1016/s0165-1889(02)00123-9.

    [publisher’s website]

  57. Coakley, J. and Fuertes, A.M. (2002). Asymmetric dynamics in UK real interest rates. Applied Financial Economics, 12(6), pp. 379–387. doi:10.1080/09603100010003304.
  58. Coakley, J. and Fuertes, A. (2001). A Non‐Linear Analysis of Excess Foreign Exchange Returns. The Manchester School, 69(6), pp. 623–642. doi:10.1111/1467-9957.00274.

    [publisher’s website]

  59. Coakley, J. and Fuertes, A.-.M. (2001). Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective. Studies in Nonlinear Dynamics and Econometrics, 5(3), pp. 179–202. doi:10.1162/10811820160080086.

    [publisher’s website]

  60. Coakley, J. and Fuertes, A.M. (2001). Border costs and real exchange rate dynamics in Europe. Journal of Policy Modeling, 23(6), pp. 669–676. doi:10.1016/S0161-8938(01)00081-3.
  61. Coakley, J. and Fuertes, A.-.M. (2001). Nonparametric cointegration analysis of real exchange rates. Applied Financial Economics, 11(1), pp. 1–8. doi:10.1080/09603100150210200.

    [publisher’s website]

  62. Fuertes, A.M. (2001). Exchange rate modelling. ECONOMIC JOURNAL, 111(475).
  63. Coakley, J. and Fuertes, A.-.M. (2000). Is there a base currency effect in long-run PPP? International Journal of Finance & Economics, 5(4), pp. 253–263. doi:10.1002/1099-1158(200010)5:43.0.co;2-j.

    [publisher’s website]

  64. Coakley, J. and Fuertes, A.M. (2000). Short‐run Real Exchange Rate Dynamics. The Manchester School, 68(4), pp. 461–475. doi:10.1111/1467-9957.00205.

    [publisher’s website]

  65. Coakley, J. and Fuertes, A.M. (1997). New panel unit root tests of PPP. Economics Letters, 57(1), pp. 17–22. doi:10.1016/s0165-1765(97)81874-5.

    [publisher’s website]

Reports (18)

  1. Fuertes, A., Saka, O. and Kalotychou, E. (2014). ECB policy and Eurozone fragility: Was De Grauwe right? CEPS.
  2. Fuertes, A. and Espinola, Z. (2004). Towards an Early Warning System for the Paraguayan Banking System. Central Bank of Paraguay.
  3. Fuertes, A., Smith, R. and Coakley, J. (2004). Unobserved Heterogeneity in Panel Time Series Models. London: Birkbeck, University of London.
  4. Fuertes, A. and Coakley, J. (2003). Momentum and Reversal Dynamics in US Valuation Ratios. University of Essex.
  5. Fuertes, A.-.M., Coakley, J. and Spagnolo, F. (2003). The Feldstein-Horioka Puzzle Is Not as Bad as you Think. SSRN.
  6. Fuertes, A., Coakley, J. and Wood, A. (2002). Reinterpreting the Real Exchange Rate - Real Yield Differential Nexus. Warwick Business School.
  7. Fuertes, A., Coakley, J. and Smith, R. (2002). A Principal Components Approach to Between-Group Dependence in Panels. Birkbeck College.
  8. Fuertes, A. and Coakley, J. (2001). Rethinking the Forward Premium Puzzle in a Nonlinear Framework. Warwick Business School Financial Econometrics Research Centre.
  9. Fuertes, A.-.M., Coakley, J. and Smith, R. (2001). Small Sample Properties of Panel Time-Series Estimators with I(1) Errors. Birkbeck College.
  10. Fuertes, A., Spagnolo, F. and Coakley, J. (2001). 'The Feldstein-Horioka Puzzle Is Not as Bad as you Think. Birkbeck College.
  11. Fuertes, A., Zoega, G. and Coakley, J. (1999). Evaluating the Persistence and Structuralist Theories of Unemployment. CEPR.
  12. Fuertes, A.-.M. and Coakley, J. (1999). Asymmetric Dynamics in UK Real Interest Rates. Birkbeck College.
  13. Fuertes, A.-.M. and Coakley, J. (1999). Asymmetries and the Forward Premium Puzzle. Birkbeck College.
  14. Fuertes, A. (1998). Non-linearities in Excess Foreign Exchange Returns. Birkbeck College.
  15. Fuertes, A.-.M. and Coakley, J. (1997). New Tests of the Exchange Rate Interest Rate Differential Relation in an OECD Panel. Birkbeck College.
  16. Fuertes, A. and Coakley, J. (1997). Short Run Dynamics of Real Exchange Rates Post 1973. Birkbeck College.
  17. Fuertes, A.-.M. and Coakley, J. (1997). TAR Models of European Real Exchange Rates. Birkbeck College.
  18. Fuertes, A. Momentum and Reversal Dynamics in US Valuation Ratios. SSRN.

Scholarly editions (2)

  1. Fuertes, A.-.M. and Kalotychou, E. Forecasting sovereign default using panel models: A comparative analysis.
  2. Fuertes, A.-.M. and Kalotychou, E. Elements in the Design of an Early Warning System for Sovereign Default.

Education

Subject/Academic Leadership

- Best lecturer Student Voice Award Nominaton 2010-11
- 2 Teaching & Learning Prize Awards for excellence in P/G teaching (2007-08, 2001-02)

Professional activities

Editorial activity (30)

  1. Finance Research Letters, Associate Editor, 2015 – present.
  2. Journal of Economic Behavior and Organization, Special Editor, 2014 – 2015.
  3. Journal of the Royal Statistical Society - Series A, Associate Editor, 2014 – present.
  4. Omega (International Journal of Management Science), Referee, 2014 – present.
  5. Journal of the Operational Research Society, Referee, 2013 – present.
  6. Review of Finance, Referee, 2013 – present.
  7. European Journal of Finance, Referee, 2012 – present.
  8. Computational Statistics and Data Analysis (Special Issue: The Annals of Computational & Financial Econometrics, Special Editor, 2010 – 2011.
  9. Journal of Banking and Finance, Referee, 2010 – present.
  10. Journal of Financial Services Research, Referee, 2010 – present.
  11. Journal of Macroeconomics, Referee, 2009 – present.
  12. European Financial Management, Referee, 2008 – present.
  13. International Journal of Forecasting, Referee, 2008 – present.
  14. Journal of Business & Economic Statistics, Referee, 2008 – present.
  15. Journal of International Money and Finance, Referee, 2008 – present.
  16. Empirical Economics, Referee, 2007 – present.
  17. Journal of Empirical Finance, Referee, 2007 – present.
  18. Frontiers in Finance and Economics (www.ffe.esc-lille.com), Associate Editor, 2004 – present.
  19. Studies in Nonlinear Dynamics and Econometrics, Referee, 2004 – present.
  20. Economic Journal, Referee, 2002 – present.
  21. Journal of Economic Dynamics and Control, Referee, 2002 – present.
  22. Oxford Bulletin of Economics & Statistics, Referee, 2002 – present.
  23. Journal of Banking and Finance, Referee, 2001 – present.
  24. Computational Statistics and Data Analysis, Referee, 2000 – present.
  25. Journal of Applied Econometrics, Referee, 2000 – present.
  26. Journal of Econometrics, Referee, 2000 – present.
  27. Applied Economics, Referee, 1999 – present.
  28. Applied Financial Economics, Referee, 1999 – present.
  29. Economics Letters, Referee, 1999 – present.
  30. International Journal of Finance & Economics, Referee, 1999 – present.

Events/conferences (91)

  1. 11th International Conference on Computational and Financial Econonetrics (CFE 2017). (Conference) Senate House, University of London< UK (2017). Chair.
    Paper: Harvesting Commodity Styles: An Integrated Framework
    Author: Fernandez-Perez, A.
    Co-authors: Fuertes, A.-M., Miffre, J.
  2. 15th INFINITI conference on International Finance. (Conference) University of Valencia, Spain (2017). Session/Day Chair.
    Paper: Harvesting Commodity Risk Premia
    Author: Fernandez-Perez, A.
    Co-authors: Fuertes, A.-M.; Miffre, J.
  3. Invited seminar. (Seminar) Universite Paris-Dauphine, Paris, France (2017). Invited speaker.
    Paper: Harvesting Commodity Risk Premia
    Author: Fernandez-Perez, A.
    Co-authors: Fuertes, A.-M.; Miffre, J.
  4. Center for Environmental & Energy Economic Worskshop on "Energy Commodities & Finance". (Workshop) Durham Business School, University of Durham (2017). Invited speaker.
    Paper: Harvesting Commodity Risk Premia
    Author: Fernadez-Perez, A.
    Co-authors: Fuertes, A.-M.; Miffre, J.
  5. Invited seminar. (Seminar) University College Dublin, Ireland (2017). Invited speaker.
    Paper: Harvesting Commodity Risk Premia
    Author: Fernandez-Perez, A.
    Co-authors: Fuertes, A.-M.; Miffre, J.
  6. Invited seminar. (Seminar) Universidad Autonoma de Madrid (Spain) (2015). Invited speaker.
    Paper: Commodity Markets, Long-Run Predictability and Intertemporal Pricing
    Author: Fuertes A.-M.
    Co-authors: Miffre, J.; Fernandez-Perez, A.
  7. 9th Energy Finance conference. (Conference) Cass Business School (London, UK) (2015).
    Paper: Commodity Markets, Long-Run Predictability and Intertemporal Pricing
    Author: Fuertes A.-M.
    Co-authors: Miffre, J; Fernandez-Perez, A
  8. 13th INFINITI Conference on International Finance. (Conference) Ljubljana (Slovenia) (2015).
    Paper: Commodity Markets, Long-Run Predictability and Intertemporal Pricing
    Author: Fuertes A.-M.
    Co-authors: Miffre, J; Fernandez-Perez, A
  9. 12th INFINITI Conference on International Finance. (Conference) Prato (Italy) (2014). Session/Day Chair.
  10. 4th Emerging Markets Finance conference. (Conference) Cass Business School, City University London (2014). Session/Day Chair and Organising Committee.
  11. Liverpool University Management School. (Seminar) Liverpool (UK) (2014). Invited speaker.
    Paper: Commodity Markets, Long-Run Predictability and Intertemporal Pricing
    Author: Fuertes A.-M.
    Co-authors: Miffre, J; Fernandez-Perez, A.
  12. Modeling Macroeconomics & Financial Time-Series. (Conference) Loughborough University (Loughborough, UK) (2014).
    Paper: Commodity Risk Factors and Intertemporal Asset Pricing
    Author: Fuertes A.-M.
    Co-authors: J. Miffre, A. Fernandez-Perez
  13. MMF Workshop on "Empirical Modeling in Financial Markets". (Conference) Brunel University (Brunel, UK) (2014).
    Paper: Commodity risk factors and intertemporal asset pricing
    Author: Fuertes A.-M.
    Co-authors: J. Miffre, A. Fernandez-Perez
  14. Conference in Honour of Professor Ron Smith. (Conference) Birkbeck College, University of London, UK (2014). Invited speaker.
    Paper: Commodity Risk Factors and Intertemporal Asset Pricing
    Author: Fuertes A.-M.
    Co-authors: J. Miffre, A. Fernandez-Perez
  15. 7th International conference on Computational & Financial Econometrics. (Conference) Birkbeck University of London (2013). Session/Day Chair and Organising Committee.
  16. 5th International conference on Computational & Financial Econometrics. (Conference) London, Birkbeck University of London (2013). Chair and Organising Committee.
  17. 19th Panel Data Conference. (Conference) Cass Business School, City University London (2013). Session/Day Chair and Organising Committee.
  18. University of Edinburgh Credit Research Center. (Seminar) UK (2013). Invited speaker.
    Paper: Modeling dependence in CDS and equity markets: Dynamic copula with Markov-switching
    Author: Fuertes A.-M.
    Co-authors: F. Fei, E. Kalotychou
  19. Swiss Institute of Banking and Finance - University of St Gallen. (Seminar) Switzerland (2012).
    Paper: Optimally Harnessing Intra-day and Inter-Day Information for Daily VaR Prediction
    Author: Fuertes A.-M.
    Co-authors: J. Olmo
  20. Leeds University Business School. (Seminar) UK (2012).
    Paper: Overnight News and Daily Equity Trading Risk Limits
    Author: Fuertes A.-M.
    Co-authors: J. Olmo, K. Ahoniemi
  21. Durham University Business School. (Seminar) UK (2012).
    Paper: Overnight News and Daily Equity Trading Risk Limits
    Author: Fuertes A.-M.
    Co-authors: J. Olmo, K. Ahoniemi
  22. 9th International Conference on Computational Management Science, Imperial College London. (Conference) London (2012). Invited speaker.
    Paper: Optimally Harnessing Intra-day and Inter-day Information for Value-at-Risk Prediction
    Author: Fuertes A.-M.
    Co-authors: J. Olmo
  23. 2nd International Conference of the Financial Engineering and Banking Society (FEBS'2012). (Conference) London (2012).
    Paper: Overnight News and Daily Equity Trading Risk Limits
    Author: Fuertes A.-M.
    Co-authors: J. Olmo, K. Ahoniemi
  24. 18th International Conference of the Society for Computational Economics. (Conference) Prague (Czech Republic) (2011). Organising Committee.
  25. ECARES (European Centre for Advanced Research in Economics and Statistics), Universite Libre de Bruxelles. (Seminar) Bruxelles, Belgium (2011). Invited speaker.
    Paper: Credit Rating Migration and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, F. Fei
  26. Keele University. (Seminar) Keele, U.K. (2011). Invited speaker.
    Paper: Credit Rating Migration and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: F. Fei and E. Kalotychou
  27. Money, Macro and Finance Research Group 43rd Annual International Conference (MMF 2011). (Conference) Birmingham University (2011).
    Paper: Optimally Harnessing Inter-day and Intra-day Information for Daily Value-at-Risk Prediction
    Author: Fuertes A.-M.
    Co-authors: J. Olmo
  28. 3rd EMG Conference on "Emerging Markets Finance". (Conference) Cass Business School, City University London (2011).
    Paper: Country and Time-Variation in Import Exchange Rate Pass-Through: Is it Driven by Macro Factors?
    Author: Fuertes A.-M.
    Co-authors: K. Phylaktis, R. Brun-Aguerre
  29. 28th GdRE Simposium on Money, Banking and Finance. (Conference) University of Reading (2011).
    Paper: On Forecasting Volatility: What Improves VaR?
    Author: Fuertes A.-M.
    Co-authors: J. Olmo
  30. 12th INFINITI Conference on International Finance. (Conference) Prato (Italy) (2011).
    Paper: Heads I win, tails you lose: Asymmetry in Aggregate Exchange Rate Pass-Through
    Author: Fuertes A.-M.
    Co-authors: R. Brun-Aguerre, M. Greenwood-Nimmo
  31. Seminar Series - London Metropolitan University. (Seminar) London (2010).
    Paper: Credit Ratings Migration and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, F. Fei
  32. BMRC-QASS International Conference on “Macro and Financial Economics”. (Conference) Brunel University (2010). Invited speaker.
    Paper: Credit Rating Migrations and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, F. Fei
  33. 4th International Conference on Computation and Financial Econometrics (CFE10). (Conference) Birkbeck College, London (2010).
    Paper: Exchange Rate Pass-Through Revisited: What Drives It?
    Author: Fuertes A.-M.
    Co-authors: R. Brun-Aguerre, K. Phylatkis
  34. 16th Annual Conference of the Society for Computational Economics on 'Computing in Economics & Finance'. (Conference) City University, London (2010). Invited speaker.
    Paper: Credit Rating Migrations and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, F. Fei
  35. Seminar Series - Newcastle University Business School. (Seminar) (2010).
    Paper: Credit Ratings Migration and Business Cycles
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, F. Fei
  36. 8th INFINITI Conference on International Finance. (Conference) Trinity College Dublin (2010). Organising Committee.
  37. 4th International Conference on “Computational and Financial Econometrics” (CFE10). (Conference) Birkbeck College, University of London (2010). Chair and Organising Committee.
  38. SCE 2010 (16th International Conference of the Society for Computational Economics on Computing in Economics and Finance). (Conference) City University, London (2010). Chair and Organising Committee.
  39. 3rd International Conference on Computational and Financial Econometrics (CFE09. (Conference) Limassol, Cyprus (2009). Invited speaker.
    Paper: Intraday Price and Volume Information for Volatility-Based Trading: Does it Really Pay?
    Author: Fuertes A.-M
    Co-authors: Kalotychou, E., Todorovic, N.
  40. CFE09 International Conference on Computational and Financial Econometrics, Limassol, Cyprus. (Conference) Limassol, Cyprus (2009). Chair and Organising Committee.
  41. Seminar Series - Essex Business School. (Seminar) Essex Business School, University of Essex (2008). Invited speaker.
    Paper: Forecasting Stock Market Volatility: The Role of Intraday Information and Market Conditions
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, M. Izzeldin
  42. Seminar Series - City University. (Seminar) City University, Department of Economics (2008).
    Paper: Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, M. Izzeldin
  43. British Accounting Association annual conference. (Conference) Blackpool (2008).
    Paper: Forecasting Stock Market Volatility: the Role of Intraday Information and Market Conditions
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, M. Izzeldin
  44. 16th European Financial Management Association (EFMA) annual meeting. (Conference) Vienna University of Economics & Business Administration, Austria (2007). Chair.
  45. (Seminar) Essex University, School of Accounting Finance and Management (2007). Invited speaker.
    Paper: Forecasting Stock Market Volatility: The Role of High-Frequency Data and Market Conditions
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou, M. Izzeldin
  46. CFE07/IASC International Workshop on Computational and Financial Econometrics. (Conference) University of Geneva, Switzerland (2007). Invited speaker.
    Paper: Asymmetries in the British Interest Rate Transmission Mechanism
    Author: Fuertes AM
  47. 5th INFINITI Conference on International Finance. (Conference) Trinity College, Dublin (2007). Invited speaker.
    Paper: Nonlinearity in the British Interest Rate Transmission Meechanism: Tests and Implications
    Author: Fuertes A.-M.
    Co-authors: S.Heffernan, E. Kalotychou
  48. 15th Meeting of the Society for Nonlinear Dynamics and Econometrics (SNDE). (Conference) Paris (2007).
    Paper: Nonlinearity in the British Retail Rate Setting Process: Tests and Policy Implications
    Author: Fuertes A.-M.
    Co-authors: S. Heffernan, E. Kalotychou
  49. Money, Macro and Finance Conference. (Conference) University of Birmingham (2007).
    Paper: Nonlinearity in the British Interest Rate Transmission Mechanism: Tests and Implications
    Author: Fuertes AM
    Co-authors: SA Heffernan, E Kalotychou
  50. CFE07 International Conference on Computational and Financial Econometrics. (Conference) University of Geneva, Switzerland (2007). Chair and Organising Committee.
  51. Invited seminar BANK OF ENGLAND. (Seminar) (2005).
    Paper: Optimal Early Warning Systems for Sovereign Debt Crises
  52. 13th International Symposium of the Society for Nonlinear Dynamics & Econometrics (SNDE). (Conference) City University, London (2005).
    Paper: Optimal Early Warning Systems for Sovereign Debt Crises
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou
  53. Invited seminar University of Cambridge, Faculty of Economics & Politics. (Seminar) (2004). Invited speaker.
    Paper: The Role of Heterogeneity in Early Warning Systems for Sovereign Default
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou
  54. Money, Macro and Finance Conference. (Conference) Cass Business School (2004).
    Paper: Market-wide Shocks and Overreaction in UK Closed-end Funds
  55. 10th Annual Conference of the Society of Computational Economics. (Conference) (2004).
    Paper: Forecasting Sovereign Default using Panel Data Models: A Comparative Analysis
    Author: Frei University, Amsterdam
  56. 10th Annual Conference of the Society for Computational Economics (SCE) on Computing in Economics and Finance. (Conference) University of Amsterdam (2004). Chair.
  57. European Financial Management Association conference. (Conference) Basel, Switzerland (2004).
    Paper: Market-wide Shocks and Overreaction in UK Closed-end Funds
  58. Seminar Econometric Institute, Erasmus University, Rotterdam (March 2004) ; Tinbergen Institute, Amsterdam (March 2004). (Seminar) (2004). Invited speaker.
    Paper: Factor Models and Cross-Section Dependence in Panels (with R. Smith)
    Author: Fuertes A.M.
    Co-authors: R. Smith, J. Coakley
  59. 59th European Meeting of the Econometric Society (ESEM). (Conference) University Carlos III, Madrid (2004).
    Paper: Forecasting Sovereign Default Using Panel Data Models: A Comparative Analysis
    Author: Fuertes A.-M.
    Co-authors: E. Kalotychou
  60. 9th Annual Conference of the Society for Computational Economics (SCE) on Computing in Economics and Finance. (Conference) University of Washington, Seattle (2003). Chair.
  61. The 9th International SCE Conference on Computing in Economics & Finance. (Conference) Washington, Seattle (2003).
    Paper: A New Interpretation of the Exchange Rate - Yield Differential Nexus
    Co-authors: Jerry Coakley
  62. The 9th International Conference of the Society of Computational Economics (SCE) on Computing in Economics & Finance. (Conference) Washington, Seattle (Session Chairman) (2003).
    Paper: Robust Panel Tests for Long-Run Dependence: A Sieve Bootstrap Approach
  63. The 30th Annual Meeting of the European Finance Association (EFA). Glasgow (2003).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
  64. The 10th International Symposium of the Society for Nonlinear Dynamics & Econometrics (SNDE). Florence (2003).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
  65. Royal Statistical Society meeting on New Developments in Empirical Finance. (2003).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
    Co-authors: Jerry Coakley
  66. Money, Macro and Finance Conference. (Conference) Cambridge University (2003).
    Paper: The Feldstein-Horioka Puzzle is not as bad as you think
  67. Bank of England Seminar; University of Kent (Department of Economics) Seminar; Cass Faculty of Finance Workshop. (Seminar) (2003).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
  68. 8th Annual Conference of the Society for Computational Economics (SCE) on Computing in Economics and Finance. (Conference) University of Aix-en-Provenze, France (2002). Chair.
  69. 9th International Conference on Computational Management Science, Imperial College. (Conference) London (2002). Invited speaker.
    Paper: Optimally Harnessing Inter-day and Intra-day Information for Daily VaR Prediction
    Author: Fuertes A.-M.
    Co-authors: J. Olmo
  70. University of Wales, Department of Economics Seminar. (Seminar) Swansea (2002).
    Paper: A Principal Components Approach to Between Group Dependence in Panels
  71. The 8th International SCE Conference on Computing in Economics & Finance. (Conference) Aix en Provenze, France (2002).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
  72. The 10th International Conference on Panel Data, Academy of Science. (Conference) Berlin (2002).
    Paper: A Principal Components Approach to Between Group Dependence in Panels
  73. Society for Computational Economics Annual Conference on Computing in Economics & Finance. (Conference) Aix en Provenze (2002).
    Paper: Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models
  74. Money, Macro and Finance (MMF). Warwick (2002).
    Paper: Momentum and Reversal Dynamics in US Valuation Ratios
  75. Annual EC2 Conference. (Conference) CORE, Louvain-la-Neuve (2001).
    Paper: Small Sample Properties of Panel Time-Series Estimators with I(1) Errors
  76. Society for Computational Economics Annual Conference on Computing in Economics and Finance. (Conference) Yale University (2001).
    Paper: Bootstrap Likelihood Ratio Tests of Sign and Amplitude Asymmetries
  77. Society for Computational Economics Annual Conference on Computing in Economics and Finance. (Conference) Yale University (2001).
    Paper: Bootstrap Likelihood Ratio Tests for Sign and Amplitude Asymmetries
  78. Royal Economic Society (RES) Annual Conference. (Conference) University of Durham (2001).
    Paper: Asymmetries and the Forward Premium Puzzle
  79. Society for Computational Economics Annual Conference on Computing in Economics and Finance. (Conference) Yale University, June. University of Maastricht, Department of Quantitative Economics, November. Leeds University Business School, Economics Division, December. (2001).
    Paper: A Principal Components Approach to Between-Group Dependence in Panels.
  80. Money, Macro and Finance (MMF) Annual Conference. (Conference) Southbank University (2000).
    Paper: Is There a Base Currency Effect Long Run PPP?
  81. Society for Computational Economics Annual Conference on Computing in Economics and Finance (CEF) Annual Conference. (Conference) Universitat Pompeu Fabra, Barcelona (2000).
    Paper: Numerical Issues in Threshold Autoregressive Modelling of Time Series
  82. RES Annual Conference. (Conference) University of St. Andrews (2000).
    Paper: Asymmetric Dynamics in UK Real Interest Rates
  83. Eighth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (SNDE). Atlanta and Brunel University, Department of Economics and Finance (2000).
    Paper: Asymmetries and the Forward Premium Puzzle
  84. Centre for Nonlinear Dynamics in Economics and Finance (CeNDEF) Workshop in Economics Dynamics. (Workshop) University of Amsterdam (2000).
    Paper: Bootstrap LR Tests of Sign and Amplitude Asymmetrics
  85. RES Annual Conference. (Conference) Nottingham University (1999).
    Paper: Transaction Costs and Real Exchange Rate Dynamics in Europe
  86. SNDE Seventh Annual Symposium and MMF Annual Conference. New York University, March and University of Oxford, September (1999).
    Paper: Nonlinearities in Excess Foreign Exchange Returns
  87. Birkbeck College, Department of Economics Seminar. (Seminar) (1999).
    Paper: Short Run Dynamics of Real Exchange Rates Post-1973
  88. Annual EC2 Conference on Financial Econometrics and Econometric Society European Meeting (ESEM). (Conference) University of Carlos III, Madrid, December and University of Santiago de Compostela, Spain. (1999).
    Paper: Asymmetric Dynamics in UK Real Interest Rates
  89. MMF Annual Conference. (Conference) Imperial College (1998).
    Paper: Short Run dynamics of Real Exchange Rates Post 1973
  90. ESEM Annual Conference. (Conference) Humboldt University, Berlin (1998).
    Paper: TAR Models of European Real Exchange Rates
  91. RES Annual Conference. (Conference) University of Warwick, March and School of Oriental and African Studies, March. (1998).
    Paper: New Tests of the Exchange Rate Interest Differential Relation in an OECD Panel

Media appearances (14)

  1. What does the UK experience tell us about cyclicality in banks’ risk appetite? (with M. Osborne and A. Milne). (2016) Bank Underground (blog for Bank of England staff to share views that challenge – or support – prevailing policy orthodoxies) (website).
  2. Skewness: A new signal for long-short commodity investing Investment and Pensions Europe (with B. Frijns, J. Miffre and A. Fernandez-Perez). (2015).
  3. Skewness strategies in commodity futures markets (with J. Miffre and A. Fernandez-Perez). (2015) Hedge Fund Review (website).
  4. How did the ECB save the Eurozone without spending a single euro? (with E. Kalotychou and O. Saka). (2015) VoX CEPR’s Policy Portal (website).
  5. How did the ECB save the Eurozone without spending a single euro? (with E. Kalotychou and O. Saka). (2015) World Economic Forum policy portal (website).
  6. The OMT and self-fulfilling panic in Eurozone debt markets (with E. Kalotychou and O. Saka). Document, Brussels. (2014) Center for European Policy Studies (CEPS) (website).
  7. Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality? (with J. Miffre and A. Fernandez-Perez). (2014) Investment & Pensions Europe (website).
  8. Triple Scoring of Commodities: Momentum, Term Structure and Idiosyncratic Volatility (with J. Miffre and A. Fernandez-Perez). (2013) Hedge Fund Review (website).
  9. Bancos Islamicos, Menos Peligrosos que las Intermediarias Convencionales. (2012) ABC (newspaper).
  10. Do Islamic Banks ‘Live Free and Die Harder’ ? (with M. Izzeldin, S. Ongena and V. Pappas), SSRN Working Paper. (2012) SSRN (website).
  11. Speculative Commodity Indexes (with J. Miffre and G. Rallis). (2011) Hedge Fund Review.
  12. Translating Overnight and Intraday Returns to Improve Daily Volatility Forecast Accuracy (with N.Todorovic and E. Kalotychou). (2010) Hedge Fund Review.
  13. Translating overnight and intraday returns to improve dialy volatility forecase accuracy. (2010) www.hedgefundreview.com (website).
  14. Tactical Allocation in Commodity Futures (with J. Miffre and G. Rallis). (2010) Hedge Fund Review.