Ana Maria Fuertes

Having gained an MSc in Control Engineering, Ana-Maria graduated with a PhD in Economics from the University of Valladolid (Spain). She was formerly Lecturer at the Economics Department of the School of Engineering and Management (ETSII) in Valladolid, Research Fellow at London Metropolitan University and Lecturer at London Metropolitan University before she joined Cass Business School in 2001. Ana-Maria holds two Teaching and Learning Prize awards for excellence in post-graduate teaching. Her teaching experience includes Statistical Methods in Finance, Forecasting Financial Markets, International Finance, Time Series Econometrics and Operations Research. She has acted as a consultant for Deutsche Bank and Barclays Capital.

Qualifications

• BSc Industrial Eng, Escuela Tecnica Superior de Ingenieros Industriales, University of Valladolid, Valladolid, Spain
• MSc Control Eng, Escuela Tecnica Superior de Ingenieros Industriales, University of Valladolid, Spain
• PhD in International Finance, ETSII, Universidad de Valladolid, Spain

Memberships of Committees

• Invited Member, City University, London, Jun 2010
• Invited Committee Member, International Workshop on Computational & Financial Econometrics, Department of Econometrics, University of Geneva, 2007 – present

Memberships of Professional Organisations

• Co-chair, European Reseach Consortium of Informatics and Mathematics (ERCIM), Apr 2007 – present
• Referee (grant proposals and end-of-award reports), The Economic and Social Research Council (ESRC)

Languages

English (can read, write, speak, understand spoken and peer review) and Spanish; Castilian (can read, write, speak, understand spoken and peer review).

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/Professions

commodities

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

Chapters (3)

• Fuertes, A.-.M. and Heffernan, S. (2006). Bank Heterogeneities in the Interest Rate Transmission Mechanism. In Reis, J. (Ed.),
• Fuertes, A.-.M., Heffernan, S. and Kalotychou, E. (2006). Nonlinearity in the British Interest Rate Transmission Mechanism. In Davis, J. and Mathias, P. (Eds.),
• 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.

Journal Articles (53)

• 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.
• Fernandez-Perez, A., Fuertes, A.M. and Miffre, J. (2017). Commodity markets, long-run predictability, and intertemporal pricing∗. Review of Finance, 21(3), pp. 1159–1188. doi:10.1093/rof/rfw034.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• Fuertes, A.M., 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.
• 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.
• 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.
• Fuertes, A. (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality? Investment and Pensions Europe, 2014(Summer - Research Insights supplement) .
• 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.
• 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.
• Belsley, D.A., Kontoghiorghes, E.J., Van Dijk, H.K., Bauwens, L., Belsley, D.A., Kontoghiorghes, E.J., Koopman, S.J., McAleer, M., van Dijk, H.K., Amendola, A., Billio, M., Croux, C., Chen, C.W.S., Davidson, R., Duchesne, P., Foschi, P., Francq, C., Fuertes, A.-.M., Koop, G., Khalaf, L., Paolella, M., Pollock, D.S.G., Ruiz, E., Paap, R., Proietti, T., Winker, P., Yu, P.L.H., Zakoian, J.-.M. and 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.
• 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.
• 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.
• Fuertes, A.-.M., Miffre, J. and Rallis, G. (2011). Investors tracking maturity-enhanced commodity indexes face liquidity risk. Hedge Funds Review .
• 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.
• Kalotychou, E., Fuertes, A.-.M. and Todorovic, N. (2010). Translating overnight and intraday returns to improve daily volatility forecast accuracy. Hedge Funds Review .
• 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.
• Fuertes, A. (2010). Tactical Allocation in Commodity Futures Markets. Hedge Funds Review .
• 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.
• 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.
• Fuertes, A.-.M. 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.
• 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.
• Izzeldin, M., Fuertes, A.M. and Kalotychou, E. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. .
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• Coakley, J. and Fuertes, A.-.M. (2001). A Non-Linear Analysis of Excess Foreign Exchange Returns. The Manchester School, 69(6), pp. 623–642. doi:10.1111/1467-9957.00274.
• Fuertes, A.M. (2001). Exchange rate modelling. ECONOMIC JOURNAL, 111(475), pp. F771–F773.
• 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.
• 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.
• 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.
• 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.
• Coakley, J. and Fuertes, A.M. (2000). Short-run real exchange rate dynamics. Manchester School, 68(4), pp. 461–475.
• 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.
• Fuertes, A.-.M., Fernandez-Perez, A., and Miffre, J., The Skewness of Commodity Futures Returns. Journal of Banking and Finance

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)

Editorial Activities (30)

• Finance Research Letters, Associate Editor, 2015 – present.
• Journal of Economic Behavior and Organization, Special Editor, 2014 – 2015.
• Journal of the Royal Statistical Society - Series A, Associate Editor, 2014 – present.
• Omega (International Journal of Management Science), Referee, 2014 – present.
• Journal of the Operational Research Society, Referee, 2013 – present.
• Review of Finance, Referee, 2013 – present.
• European Journal of Finance, Referee, 2012 – present.
• Computational Statistics and Data Analysis (Special Issue: The Annals of Computational & Financial Econometrics, Special Editor, 2010 – 2011.
• Journal of Banking and Finance, Referee, 2010 – present.
• Journal of Financial Services Research, Referee, 2010 – present.
• Journal of Macroeconomics, Referee, 2009 – present.
• Journal of International Money and Finance, Referee, 2008 – present.
• European Financial Management, Referee, 2008 – present.
• International Journal of Forecasting, Referee, 2008 – present.
• Journal of Business & Economic Statistics, Referee, 2008 – present.
• Empirical Economics, Referee, 2007 – present.
• Journal of Empirical Finance, Referee, 2007 – present.
• Frontiers in Finance and Economics (www.ffe.esc-lille.com), Associate Editor, 2004 – present.
• Studies in Nonlinear Dynamics and Econometrics, Referee, 2004 – present.
• Economic Journal, Referee, 2002 – present.
• Journal of Economic Dynamics and Control, Referee, 2002 – present.
• Oxford Bulletin of Economics & Statistics, Referee, 2002 – present.
• Journal of Banking and Finance, Referee, 2001 – present.
• Computational Statistics and Data Analysis, Referee, 2000 – present.
• Journal of Applied Econometrics, Referee, 2000 – present.
• Journal of Econometrics, Referee, 2000 – present.
• Applied Economics, Referee, 1999 – present.
• Applied Financial Economics, Referee, 1999 – present.
• Economics Letters, Referee, 1999 – present.
• International Journal of Finance & Economics, Referee, 1999 – present.