Sarno, Lucio, Schneider, Paul and Wagner, Christian. (2012) Properties of foreign exchange risk premiums. Journal of Financial Economics, Vol.105 (No.2). pp. 279-310. ISSN 0304-405X

Della Corte, Pasquale, Sarno, Lucio and Sestieri, Giulia. (2012) The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? Review of Economics and Statistics, Vol.94 (No.1). pp. 100-115. ISSN 0034-6535

Della Corte, Pasquale and Tsiakas, Ilias (2012) Statistical and economic methods for evaluating exchange rate predictability. In: James, J. and Sarno, Lucio and Marsh, I.W., (eds.) Handbook of exchange rates. Wiley Handbooks in Financial Engineering and Econometrics (Chapter 8). Wiley-Blackwell Publishing Ltd., pp. 239-283. ISBN 978-0-470-76883-9

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias. (2011) Spot and forward volatility in foreign exchange. Journal of Financial Economics, Vol.100 (No.3). pp. 496-513. ISSN 0304-405X

Della Corte, Pasquale, Sarno, Lucio and Valente, Giorgio. (2010) A century of equity premium predictability and the consumption-wealth ratio: an international perspective. Journal of Empirical Finance, Vol.17 (No.3). pp. 313-331. ISSN 0927-5398

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias. (2009) An economic evaluation of empirical exchange rate models. Review of Financial Studies, Vol.22 (No.9). pp. 3491-3530. ISSN 0893-9454

Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio. (2009) The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, Vol.47 (No.1). pp. 81-100. ISSN 0022-1090

Akram, Qaisar Farooq, Rime, Dagfinn and Sarno, Lucio. (2008) Arbitrage in the foreign exchange market : turning on the microscope. Journal of International Economics, Vol.76 (No.2). pp. 237-253. ISSN 0022-1996

Della Corte, Pasquale, Sarno, Lucio and Thornton, Daniel L. (2008) The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value. In: 62nd European Meeting of the Econometric-Society, Budapest, Hungary, Aug 27-31, 2007. Published in: Journal of Financial Economics, Vol.89 (No.1). pp. 158-174.

Akram, Qaisar Farooq, Rime, Dagfinn and Sarno, Lucio (2008) Arbitrage in the foreign exchange market: turning on the microscope. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Valente, Giorgio (2008) Exchange rates and fundamentals: footloose or evolving relationship? Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2007) An economic evaluation of empirical exchange rate models. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Della Corte, Pasquale, Sarno, Lucio and Thornton, Daniel L. (2007) The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Ellison, Martin, Sarno, Lucio and Vilmunen, Jouko. (2007) Caution or activism? Monetary policy strategies in an open economy. Macroeconomic Dynamics, Vol.11 (No.4). pp. 519-541. ISSN 1365-1005

Sarno, Lucio, Thornton, Daniel L. and Wen, Yi. (2007) What's unique about the federal funds rate? Evidence from a spectral perspective. Oxford Bulletin of Economics and Statistics, Vol.69 (No.2). pp. 293-319. ISSN 0305-9049

Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio. (2007) The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, Vol.42 (No.1). pp. 81-100. ISSN 0022-1090

Mody, Ashoka, Sarno, Lucio and Taylor, Mark P., 1958-. (2007) A cross-country financial accelerator: evidence from North America and Europe. Journal of International Money and Finance, Vol.26 (No.1). pp. 149-165. ISSN 0261-5606

Sarno, Lucio and Valente, Giorgio. (2006) Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? JOURNAL OF BANKING & FINANCE, 30 (11). pp. 3147-3169. ISSN 0378-4266

Clarida, Richard H., Sarno, Lucio, Taylor, Mark P., 1958- and Valente, Giorgio. (2006) The role of asymmetries and regime shifts in the term structure of interest rates. The Journal of Business, Vol.79 (No.3). pp. 1193-1224. ISSN 0021-9398

Clarida, Richard H., Sarno, Lucio, Taylor, Mark P. and Valente, Giorgio. (2006) The role of asymmetries and regime shifts in the term structure of interest rates. The Journal of Business, Vol.79 (No.3). pp. 1193-1224. ISSN 0021-9398

Sarno, Lucio, Valente, Giorgio and Leon, H. L. (Hyginus Lambert) (2006) Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Mody, Ashoka, Sarno, Lucio and Taylor, Mark P., 1958- (2005) A cross-country financial accelerator: evidence from North America and Europe. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio (2005) Towards a solution to the puzzles in exchange rate economics: where do we stand? Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre).

Abhyankar, Abhay, 1951-, Sarno, Lucio and Valente, Giorgio (2004) Exchange rates and fundamentals: evidence on the economic value of predictability. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre).

Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio (2004) Federal funds rate prediction. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Valente, Giorgio (2004) Empirical exchange rate models and currency risk: some evidence from density forecasts. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre).

Sarno, Lucio and Valente, Giorgio (2004) Asset prices and international spillovers: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Abhyankar, Abhay, 1951-, Sarno, Lucio and Valente, Giorgio (2004) Exchange rates and fundamentals: evidence on the economic value of predictability. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Chadha, Jagjit, Sarno, Lucio and Valente, Giorgio (2003) Monetary policy rules, asset prices and exchange rates. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Valente, Giorgio (2003) Modeling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre).

Sarno, Lucio, Valente, Giorgio and Wohar, Mark E. (2003) Monetary fundamentals and exchange rate dynamics under different nominal regimes. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio, Taylor, Mark P., 1958- and Chowdhury, Ibrahim, 1972- (2002) Non-linear dynamics in deviations from the law of one price: a broad-based empirical study. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio, Taylor, Mark P., 1958- and Peel, D. (2002) Non-linear equilibrium correction in US real money balances, 1869-1997. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Clarida, Richard H., Sarno, Lucio, Taylor, Mark P., 1958- and Valente, Giorgio (2002) The out-of-sample success of term structure models as exchange rate predictors: a step beyond. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Thornton, Daniel L. (2002) The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Taylor, Mark P., 1958- and Sarno, Lucio. (2001) Real exchange rate dynamics in transition economies: a nonlinear analysis. Studies in Nonlinear Dynamics and Econometrics, Vol.5 (No.3). pp. 153-177. ISSN 1558-3708

Sarno, Lucio and Taylor, Mark P., 1958- (2001) Purchasing power parity and the real exchange rate. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Taylor, Mark P., 1958- (2001) Official intervention in the foreign exchange market: is it effective, and, if so, how does it work? Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Taylor, Mark P., 1958-, Peel, D. and Sarno, Lucio (2001) Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio (2000) Nonlinear dynamics, spillovers and growth in the G7 economies: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).

Sarno, Lucio and Taylor, Mark P., 1958- (1999) The persistence of capital inflows and the behaviour of stock prices in East Asia emerging markets: some empirical evidence. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). (Discussion paper (Centre for Economic Policy Research (Great Britain)).