Publicaciones (54) Publicaciones de IVAN PAYA SASTRE

2023

  1. Higher order risk attitudes: new model insights and heterogeneity of preferences

    Experimental Economics, Vol. 26, Núm. 1, pp. 145-192

  2. On the predictions of cumulative prospect theory for third and fourth order risk preferences

    Theory and Decision, Vol. 95, Núm. 2, pp. 337-359

2021

  1. House prices, (un)affordability and systemic risk

    New Zealand Economic Papers, Vol. 55, Núm. 1, pp. 105-123

  2. On the contribution of the Markowitz model of utility to explain risky choice in experimental research

    Journal of Economic Behavior and Organization, Vol. 182, pp. 527-543

2020

  1. Temporal aggregation of random walk processes and implications for economic analysis

    Studies in Nonlinear Dynamics and Econometrics, Vol. 24, Núm. 2

2019

  1. Flexible distribution functions, higher-order preferences and optimal portfolio allocation

    Quantitative Finance, Vol. 19, Núm. 4, pp. 699-703

2018

  1. A NONLINEAR ANALYSIS of the REAL EXCHANGE RATE-CONSUMPTION RELATIONSHIP

    Macroeconomic Dynamics, Vol. 22, Núm. 7, pp. 1825-1843

  2. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market

    Journal of Money, Credit and Banking, Vol. 50, Núm. 5, pp. 833-856

2017

  1. TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES

    International Economic Review, Vol. 58, Núm. 4, pp. 1191-1226

2016

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun

    Journal of Real Estate Finance and Economics, Vol. 53, Núm. 4, pp. 419-449

  2. Pure higher-order effects in the portfolio choice model

    Finance Research Letters, Vol. 19, pp. 255-260

  3. Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation

    Journal of Empirical Finance, Vol. 38, pp. 221-235

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

    Documentos de trabajo - Banco de España

  2. Testing for linear and nonlinear Granger causality in the real exchange rate-consumption relation

    Economics Letters, Vol. 132, pp. 13-17

2013

  1. Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study

    Studies in Nonlinear Dynamics and Econometrics, Vol. 17, Núm. 3, pp. 297-312

  2. Nonlinear dynamics in economics and finance and unit root testing

    European Journal of Finance, Vol. 19, Núm. 6, pp. 572-588

2012

  1. Forecast evaluation of nonlinear models: The case of long-span real exchange rates

    Journal of Forecasting, Vol. 31, Núm. 7, pp. 580-595

  2. Forecasting monetary policy rules in South Africa

    International Journal of Forecasting, Vol. 28, Núm. 2, pp. 446-455

  3. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

    Economics Letters, Vol. 115, Núm. 2, pp. 244-248

  4. The Bank of Korea's nonlinear monetary policy rule

    Applied Economics Letters, Vol. 19, Núm. 12, pp. 1193-1202