Mico Loretan
Mico Loretan
Economic Advisor, Swiss National Bank
Verified email at
Cited by
Cited by
Estimating long-run economic equilibria
PCB Phillips, M Loretan
The Review of Economic Studies 58 (3), 407-436, 1991
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
M Loretan, PCB Phillips
Journal of empirical finance 1 (2), 211-248, 1994
Pitfalls in tests for changes in correlations
BH Boyer, MS Gibson, M Loretan
Evaluating correlation breakdowns during periods of market volatility
M Loretan, WB English
Available at SSRN 231857, 2000
Indexes of the foriegn exchange value of the dollar
M Loretan
Fed. Res. Bull. 91, 1, 2005
The international financial crisis: timeline, impact and policy responses in Asia and the Pacific
A Filardo, J George, M Loretan, G Ma, A Munro, I Shim, P Wooldridge, ...
BIS papers 52, 2010
Generating market risk scenarios using principal components analysis: methodological and practical considerations
M Loretan
Manuscript, Federal Reserve Board, 1997
Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market
DH Kim, M Loretan, EM Remolona
Journal of Asian Economics 21 (3), 314-326, 2010
Testing covariance stationarity under moment condition failure with an application to common stock returns
PCB Phillips, M Loretan
III. Special feature: Evaluating changes in correlations during periods of high market volatility
M Loretan, WB English
BIS Quarterly Review 2, 29-36, 2000
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
AP Chaboud, B Chiquoine, E Hjalmarsson, M Loretan
Journal of Empirical Finance 17 (2), 212-240, 2010
Pitfalls in tests for changes in correlations. Federal Reserve Board
BH Boyer, MS Gibson, M Loretan
IFS Discussion Paper, 1999
The Durbin-Watson ratio under infinite-variance errors
PCB Phillips, M Loretan
Journal of Econometrics 47 (1), 85-114, 1991
International portfolio rebalancing and exchange rate fluctuations in Thailand
J Gyntelberg, M Loretan, T Subhanij, EHP Chan
BIS Working Paper, 2009
Private information, capital flows, and exchange rates
J Gyntelberg, M Loretan, T Subhanij
Journal of International Money and Finance 81, 40-55, 2018
On the properties of the coefficient of determination in regression models with infinite variance variables
JR Kurz-Kim, M Loretan
Journal of econometrics 181 (1), 15-24, 2014
Exchange rate fluctuations and international portfolio rebalancing
J Gyntelberg, M Loretan, T Subhanij, E Chan
Emerging Markets Review 18, 34-44, 2014
The development of money markets in Asia
M Loretan, PD Wooldridge
BIS Quarterly Review, September, 2008
Private information, stock markets, and exchange rates
J Gyntelberg, M Loretan, T Subhanij, EHP Chan
BIS Working Paper, 2009
Economic models of systemic risk in financial systems
M Loretan
The North American Journal of Economics and Finance 7 (2), 147-152, 1996
The system can't perform the operation now. Try again later.
Articles 1–20