Items where Author is "Peel, D"

Journal Article

Paya, I and Nobay, A and Peel, D (2010) Inflation dynamics in the US: global but not local mean reversion. Journal of Money, Credit and Banking, 42 (1). pp. 135-150. ISSN 0022-2879

Pavlidis, Efthymios and Paya, I and Peel, D (2010) Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form. Studies in Nonlinear Dynamics and Econometrics, 14 (3). pp. 1-38. ISSN 1558-3708

Aretz, K and Peel, D (2010) Spreads vs professional forecasters as predictors of future output change. Journal of Forecasting, 29 (6). pp. 517-522. ISSN 0277-6693

Paya, I and Peel, D and Spiru, A M (2010) The forward premium puzzle in the interwar period and deviations from covered interest parity. Economics Letters, 108 (1). pp. 55-57. ISSN 0165-1765

Paya, I and Zhang, S and Peel, D (2009) Linkages between Shanghai and Hong Kong stock indices. Applied Financial Economics, 19 (23). pp. 1847-1857. ISSN 0960-3107

Peel, D and Law, D (2009) On skewness of return and buying more than one ticket in a lottery. Applied Economics Letters, 16 (10). pp. 1350-4851. ISSN 1350-4851

Peel, D and Monticini, A (2009) Testing for central bank independence and inflation using the wild bootstrap. Economics Bulletin, 29 (3). pp. 1602-1607. ISSN 1545-2921

Peel, D and Christodoulakis, G (2009) The central bank inflation bias in the presence of asymmetric preferences and non-normal shocks. Economics Bulletin, 29 (3). pp. 1608-1620. ISSN 1545-2921

Peel, D and Zhang, J (2009) The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory. Economics Letters, 105 (3). pp. 326-329. ISSN 0165-1765

Peel, D and Law, D (2009) A more general non-expected utility model as an explanation of gambling outcomes for individuals and markets. Economica, 76 (302). pp. 251-263. ISSN 0013-0427

Peel, D and Cain, M and Law, D (2008) Bounded cumulative prospect theory: some implications for gambling outcomes. Applied Economics, 40 (1). pp. 5-15. ISSN 0003-6846

Peel, D and Zhang, J and Law, D (2008) The Markowitz model of utility supplemented with a small degree of probablility distortion as an explanation of outcomes of allais experiments over large and small payoffs and gambling on unlikely outcomes. Applied Economics, 40 (1). pp. 17-26. ISSN 0003-6846

Peel, D and Law, D (2008) Subjective skewness of return as an explanation of the optimal choice between gambles in cumulative prospect theory. Journal of Gambling Business and Economics, 2 (2). pp. 97-107. ISSN 1751-8008

Peel, D and Law, D (2007) Betting on odds on favorites as an optimal choice in cumulative prospect theory. Economics Bulletin, 4 (26). pp. 1-10. ISSN 1545-2921

Venetis, I A and Paya, I and Peel, D (2007) Deterministic impulse response in a nonlinear model: an analytical expression. Economics Letters, 95 (3). pp. 315-319. ISSN 0165-1765

Clatworthy, M A and Peel, D and Pope, P F (2007) Evaluating the properties of analysts' forecasts: a bootstrap approach. British Accounting Review, 39 (1). pp. 3-13. ISSN 0890-8389

Law, D and Peel, D (2007) Gambling and nonexpected utility: the perils of the power function. Applied Economics Letters, 14 (2). pp. 79-82. ISSN 1350-4851

Davidson, J and Monticini, A and Peel, D (2007) Implementing the wild bootstrap using a two-point distribution. Economics Letters, 93 (3). pp. 309-315. ISSN 0165-1765

Minford, P and Peel, D (2007) On the equality of real interest rates across borders in integrated capital markets. Open Economies Review, 18 (1). pp. 119-125. ISSN 0923-7992

Meenagh, D and Minford, P and Peel, D (2007) Simulating stock returns under switching regimes- a new test of market efficiency. Economics Letters, 94 (2). pp. 235-239. ISSN 0165-1765

Byers, D and Davidson, J and Peel, D (2007) The long memory model of political support: some further results. Applied Economics, 39 (20). pp. 2547-2552. ISSN 0003-6846

Ioannides, C and Peel, D and Matthews, K (2006) Expected stock returns, aggregate consumption and wealth: some further empirical evidence. Journal of Macroeconomics, 28 (2). pp. 439-445. ISSN 0164-0704

Paya, I and Peel, D (2006) On the speed of adjustment in ESTAR models when allowance is made for bias in estimation. Economics Letters, 90 (2). pp. 272-277. ISSN 0165-1765

Davidson, J and Peel, D and Byers, D (2006) Support for Governments and leaders: fractional cointegration analysis of poll evidence from the UK, 1960-2004. Studies in Nonlinear Dynamics and Econometrics, 10 (1). Article 3. ISSN 1558-3708

Paya, I and Peel, D (2006) Temporal aggregation of an ESTAR process : some implications for purchasing power parity adjustment. Journal of Applied Econometrics, 21 (5). pp. 655-668. ISSN 0883-7252

Peel, D and Paya, I (2006) A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994. Journal of Money, Credit and Banking, 38 (8). pp. 1971-1990. ISSN 0022-2879

Venetis, I A and Peel, D (2005) Non-linearity in stock index returns: the volatility and serial correlation relationship. Economic Modelling, 22 (1). pp. 1-19. ISSN 0264-9993

Peel, D and Venetis, I A (2005) Smooth transition models and arbitrage consistency. Economica, 72 (3). pp. 413-430. ISSN 0013-0427

Ioannides, C and Peel, D (2005) Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap. Economics Letters, 87 (2). pp. 221-226. ISSN 0165-1765

Paya, I and Peel, D (2005) The process followed by PPP data: on the properties of linearity tests. Applied Economics, 37 (21). pp. 2515-2522. ISSN 0003-6846

Paya, I and Matthews, K and Peel, D (2005) The term spread and real economic activity in the US inter-war period. Journal of Macroeconomics, 27 (2). pp. 331-343. ISSN 0164-0704

Paya, I and Peel, D (2004) Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting. Journal of Forecasting, 23 (5). pp. 373-384. ISSN 0277-6693

Peel, D and Paya, I (2004) Nonlinear purchasing power parity under the gold standard. Southern Economic Journal, 71 (2). pp. 302-313. ISSN 0038-4038

Cain, M and Peel, D (2004) Utility and the skewness of return in gambling. Geneva Papers on Risk and Insurance Theory, 29 (2). pp. 145-163. ISSN 0926-4957

Peel, D (2004) The utility of gambling and the favourite long-shot bias. European Journal of Finance, 10 (5). pp. 370-390. ISSN 1351-847X

Nobay, A R and Peel, D (2003) Optimal discretionary monetary policy in a model of asymmetric central bank preferences. Economic Journal, 113 (489). pp. 657-665. ISSN 0013-0133

Peel, D and Ioannides, C (2003) Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes. Economics Letters, 78 (2). pp. 147-152. ISSN 0165-1765

Taylor, M P and Peel, D and Sarno, L (2003) Nonlinear equilibrium correction in U.S. real money balances, 1869 - 1997. Journal of Money, Credit and Banking, 35 (5). pp. 787-799. ISSN 0022-2879

Peel, D and Paya, I (2003) PPP adjustment speeds in high frequency data when equilibrium real exchange rates is proxied by a time trend. Manchester School, 71. pp. 39-53. ISSN 1463-6786

Cain, M and Law, D and Peel, D (2003) The favourite-longshot bias, bookmaker margins and insider trading in a variety of betting markets. Bulletin of Economic Research, 55 (3). pp. 263-273. ISSN 0307-3378

Peel, D and Taylor, M P (2002) Covered interest rate arbitrage in the interwar period and the Keynes-Einzig conjecture. Journal of Money, Credit and Banking, 34 (1). pp. 51-75. ISSN 0022-2879

Law, D and Peel, D (2002) Insider trading, herding behaviour and market plungers in the British horse-race betting market. Economica, 69 (274). pp. 327-338. ISSN 0013-0427

Sarno, L and Peel, D and Taylor, M P (2001) Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International Economic Review, 42 (4). pp. 1015-1042. ISSN 0020-6598

Law, D and Cain, M and Peel, D (2001) The relationship between two indicators of insider trading in british racetrack betting. Economica, 68 (1269). pp. 97-104. ISSN 0013-0427

Byers, D and Peel, D (2000) Non-linear dynamics of inflation in high inflation economies. Manchester School, 68 (3). pp. 23-37. ISSN 1463-6786

Taylor, M P and Peel, D (2000) Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals. Journal of International Money and Finance. pp. 33-53. ISSN 0261-5606

Nobay, A R and Peel, D (2000) Optimal monetary policy with a nonlinear Philips curve. Economics Letters, 67 (2). pp. 159-164. ISSN 0165-1765

Law, D and Cain, M and Peel, D (2000) The favourite-longshot bias and market efficiency in UK football betting. Scottish Journal of Political Economy, 47 (1). pp. 25-36. ISSN 0036-9292

Peel, D and Speight, A (1998) Modelling business cycle nonlinearity in conditional mean and conditional variance: some international evidence. Economica, 65 (258). pp. 211-229. ISSN 0013-0427

Taylor, M P and Peel, D (1998) Periodically collapsing stock price bubbles: a robust test. Economics Letters, 61 (2). pp. 221-228. ISSN 0165-1765

Batchelor, R and Peel, D (1998) Rationality testing under asymmetric loss. Economics Letters, 61 (1). pp. 49-54. ISSN 0165-1765

Davidson, D and Peel, D (1998) A non-linear error correction mechanism based on the bilinear model. Economics Letters, 58 (2). pp. 165-170. ISSN 0165-1765

Chappell, D and Peel, D (1998) A note on some properties of the ESTAR Model. Economics Letters, 60 (3). pp. 311-315. ISSN 0165-1765

Taylor, M P and Peel, D (1998) The slope of the yield curve and real economic activity: tracing the transmission mechanism. Economics Letters, 58 (2). pp. 165-174. ISSN 0165-1765

Byers, D and Davidson, D and Peel, D (1997) Modelling political popularity: an analysis of long-range dependence in opinion poll series. Journal of the Royal Statistical Society: Series A Statistics in Society, 160 (3). pp. 471-490. ISSN 0964-1998

Nobay, A R and Peel, D and Michael, P (1997) Transactions costs and nonlinear adjustment in real exchange rates: an empirical investigation. Journal of Political Economy, 105 (4). pp. 862-879. ISSN 0022-3808

Nobay, A R and Michael, P and Peel, D (1996) Purchasing power parity yet again: evidence from spatially seperated commodity markets. Journal of International Money and Finance, 13 (6). pp. 637-657. ISSN 0261-5606

Raeburn, E and Lane, J and Peel, D (1995) Some empirical evidence on the time series properties of four UK Asset Prices. Economica, 63 (251). pp. 405-426. ISSN 0013-0427

Nobay, A R and Michael, P and Peel, D (1994) The German hyperinflation and the demand for money revisited. International Economic Review, 35 (1). pp. 1-22. ISSN 0020-6598

Peel, D and Speight, A (1994) Testing for non-linear dependence in interwar exchange rates. Weltwirtschaftliches Archiv. pp. 391-417. ISSN 1610-2878

Pope, P F and Yadav, P K and Peel, D (1993) Deregulation and UK stock market volatility. Journal of Business Finance and Accounting, 20 (3). pp. 359-372. ISSN 1468-5957

Peel, D (1992) Some analysis of the long-run time series properties of consumption and income in the UK. Economics Letters, 39 (2). pp. 173-178. ISSN 0165-1765

Pope, P F and Peel, D (1991) Forward foreign exchange rates and risk premia - a reappraisal. Journal of International Money and Finance, 10 (3). pp. 443-456. ISSN 0261-5606

Byers, D and Peel, D (1991) Some evidence on the efficiency of the sterling-dollar and sterling-franc forward exchange rates in the inter-war period. Economics Letters, 35 (1). pp. 317-322. ISSN 0165-1765

Holden, K and Peel, D (1990) On testing for unbiasedness and efficiency of forecasts. Manchester School. pp. 121-127. ISSN 1463-6786

Pope, P F and Yadav, P K and Peel, D (1990) Volatility and the big bang factor - has the big bang made UK stock prices more volatile? Professional Investor. pp. 20-22. ISSN 0958-2541

Pope, P F and Peel, D (1989) Information, prices and efficiency in a fixed-odds betting market. Economica, 56 (223). pp. 323-341. ISSN 0013-0427

Peel, M J and Peel, D (1988) Some further empirical evidence on predicting private company failure. Accounting and Business Research. ISSN 2159-4260

Peel, M J and Peel, D (1988) A multilogit approach to predicting corporate failure: some UK evidence. Omega: The International Journal of Management Science, 16 (4). pp. 309-318. ISSN 0305-0483

Chrystal, A and Peel, D (1986) What can economists learn from politics and vice versa. The American Economic Review. pp. 62-65. ISSN 0002-8282

Holden, K and Peel, D (1985) Surprises in the consumption function, incomplete current inflation and moving average errors : a note. Economic Journal, 95 (377). pp. 183-188. ISSN 0013-0133

Calvo, G. and Peel, D (1983) Growth and inflationary finance: variations on a Mundellian theme. Journal of Political Economy, 91 (5). pp. 880-887. ISSN 0022-3808

Holden, K and Peel, D (1983) Forecasts and expectations: some evidence for the U.K. Journal of Forecasting. pp. 51-58. ISSN 0277-6693

Minford, A P L and Peel, D (1982) The microfoundations of the Philips curve with rational expectations. Oxford Economic Papers, 34 (3). pp. 449-451. ISSN 0030-7653

Minford, A P L and Peel, D (1982) The political theory of the business cycle. European Economic Review, 17 (2). pp. 253-270. ISSN 0014-2921

Peel, D (1981) Non-uniqueness and the role of the monetary authorities. Economics Letters, 7 (1). pp. 25-28. ISSN 0165-1765

Minford, A P L and Peel, D (1980) The natural rate hypothesis and rational expectations. A critique of some recent developments. Oxford Economic Papers, 31 (1). pp. 71-81. ISSN 0030-7653

Peel, D and Metcalf, S J (1979) Divergent expectations and the dynamic stability of some simple macro economic models. Economic Journal, 89 (356). pp. 789-798. ISSN 0013-0133

Chappell, D and Peel, D (1979) On the political theory of business cycle. Economics Letters, 2 (4). pp. 327-332. ISSN 0165-1765

Holden, K and Peel, D (1979) Prices and money supply in Latin American Countries 1958-1975. The Review of Economics and Statistics, 61 (3). pp. 446-450. ISSN 0034-6535

Peel, D (1979) The behaviour of a simple macro model with endogenous demand and supply of labour. International Economic Review, 20 (2). pp. 381-389. ISSN 0020-6598

Minford, A P L and Peel, D (1979) The classical supply hypothesis and the observational equivalence of classical and Keynesian models. Economics Letters, 2 (3). pp. 229-233. ISSN 0165-1765

Chappell, D and Peel, D (1978) Optimal recruitment advertising. Management Science. pp. 910-918. ISSN 0025-1909

Peel, D and Walker, I (1978) Short-run employment functions. Excess supply and the speed of adjustment. Economica, 45 (178). pp. 195-205. ISSN 0013-0427

Peel, D (1977) Some implications of alternative monetary rules in an extension of Black's model. European Economic Review. pp. 260-275. ISSN 0014-2921

Holden, K and Peel, D (1977) An empirical investigation of inflationary expectations. Oxford Bulletin of Economics and Statistics, 39 (4). pp. 291-300. ISSN 0305-9049

Latham, R W and Peel, D (1977) The tax on wages increases when the firm is a monopsonist. Journal of Public Economics, 8 (2). pp. 247-53. ISSN 0047-2727

Latham, R.W. and Peel, D (1974) Adjustment costs and short-run returns to labour. The Review of Economics and Statistics, 40 (3). pp. 393-396. ISSN 0034-6535

Peel, D (1973) The non-uniqueness of Dorfman-Steiner condition: a note. Economica, 40 (158). ISSN 0013-0427

Contribution in Book/Report/Proceedings

Pavlidis, Efthymios and Paya, I and Peel, D (2009) The econometrics of exchange rates. In: The Handbook of Econometrics Vol. 2 : Applied econometrics. Palgrave, London, pp. 1025-1083. ISBN 9781403917997

Paya, I and Pavlidis, Efthymios and Peel, D (2008) Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution. In: Advances in Doctoral Research in Management Vol. 2 :. World Scientific Publishing, Singapore. ISBN 9789812778659

Paya, I and Peel, D (2005) Ex ante real returns in forward market speculation in the interwar period: evidence and prediction. In: New Trends in Macroeconomics :. Springer, Berlin, pp. 125-146. ISBN 3-540-21448-8

Paya, I and Peel, D and Law, D and Peirson, J (2005) Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method. In: Information Efficiency in Financial and Betting Markets :. Cambridge University Press, Cambridge, pp. 346-365. ISBN 0521816033

Matthews, K and Peel, D and Paya, I (2004) Alan Walters and the demand for money: an empirical retrospective. In: Money Matters. Essays in Honour of Sir Alan Walters :. Edward Elgar, Cheltenham. ISBN 1-84376-443-1

Pope, P F and Peel, D and Yadav, P K (2000) Volatility and the big bang factor - has the big bang made UK stock prices more volatile? In: Double Takes (reprinted) :. John Wiley and Sons Ltd, Chichester, pp. 231-235. ISBN 0-471-89313-7

Nobay, A R and Michael, P and Peel, D (1999) Nonlinear adjustment towards long-run money demand: an empirical investigation. In: Nonlinear Time Series Analysis of Economic and Financial Data :. Kluwer Academic Publishers, Dordrecht, pp. 179-190. ISBN 0792383796

Speight, A and Peel, D (1999) Nonlinear hyperinflationary exchange rate dynamics: the Polish Zloty 1988-1990. In: Money and Macroeconomic Policy :. Edward Elgar, Cheltenham, pp. 175-198.

Byers, J D and Peel, D (1994) Linear and Non Linear Models of Economic Time Series. An introduction with applications to industrial economics. In: Current Issues in Industrial Economics :. Macmillan, London, pp. 227-259. ISBN 0333560825

Monograph

Pavlidis, Efthymios and Paya, I and Peel, D and Spiru, A M (2009) Bubbles in House Prices and their Impact on Consumption: Evidence for the US. Working Paper. The Department of Economics, Lancaster University.

Venetis, I A and Paya, I and Peel, D (2009) ESTAR model with multiple fixed points. Testing and Estimation. Working Paper. The Department of Economics, Lancaster University.

Clatworthy, M A and Peel, D and Pope, P F (2006) Are analysts’ loss functions asymmetric? Working Paper. The Department of Economics, Lancaster University.

Clatworthy, M A and Peel, D and Pope, P F (2005) Are analysts' loss functions asymmetric? Working Paper. The Department of Economics, Lancaster University.

Cain, M and Law, D and Peel, D (2005) Cumulative prospect theory and gambling. Working Paper. The Department of Economics, Lancaster University.

Byers, D and Peel, D and Thomas, D A (2005) Habit, aggregation and long memory: evidence from television audience data. Working Paper. The Department of Economics, Lancaster University.

Peel, D and Venetis, I A (2005) Smooth transition models and arbitrage consistency. Working Paper. The Department of Economics, Lancaster University.

Byers, D and Davidson, J and Peel, D (2005) The long memory model of political support: some further results. Working Paper. The Department of Economics, Lancaster University.

Book/Report/Proceedings

Peel, D (2009) Economics of Betting Markets. Routledge, London and New York. ISBN 9780415557306