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~person:"Gil-Alaña, Luis A."
~person:"Lux, Thomas"
~person:"Robinson, Peter M."
~subject:"Fractional Integration"
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Fractional Integration
Zeitreihenanalyse
117
Time series analysis
114
long memory
100
Long memory
63
Schätzung
58
fractional integration
56
Estimation
55
Theorie
41
Theory
41
persistence
35
Volatility
29
Volatilität
28
Fractional integration
26
Aktienmarkt
23
Capital income
23
Kapitaleinkommen
23
Persistence
23
Cointegration
22
Kointegration
22
Börsenkurs
20
Stock market
20
Share price
17
Structural break
15
Strukturbruch
15
Interest rate
13
Long Memory
13
R/S analysis
13
USA
13
United States
13
Zins
13
Großbritannien
12
United Kingdom
12
ARCH-Modell
10
Business cycle
10
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10
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9
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9
GDP
9
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9
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Free
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8
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6
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6
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2
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10
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Gil-Alaña, Luis A.
Lux, Thomas
Robinson, Peter M.
Caporale, Guglielmo Maria
18
Plastun, Alex
10
Gil-Alana, Luis A.
6
Leschinski, Christian
6
Wenger, Kai
6
Sibbertsen, Philipp
4
Caporale, GM
3
Gil-Alana, LA
3
Makarenko, Inna
3
Anoruo, Emmanuel
2
Delle Monache, Davide
2
Gil-Alana, Luis
2
Grassi, Stefano
2
Iliyasu, Jamilu
2
Jensen, Mark J.
2
Rodríguez, Gabriel
2
Saba, Ndayezhin D.
2
Santucci de Magistris, Paolo
2
Ñíguez, Trino-Manuel
2
A. Gil-Alana, Luis
1
Aloy, Marcel
1
Barassi, Marco R
1
Bhattacharya, Mousumi
1
Bhattacharya, Sharad Nath
1
Boutahar, Mohamed
1
Braha, Habtu
1
Byers, D
1
Davidson, J
1
Duarte, A
1
Duarte, Agustin
1
Figueroa, Renzo Pardo
1
Gente, Karine
1
Guhathakurta, Kousik
1
Herrera, Andres
1
Maria Caporale, Guglielmo
1
Nazarski, M
1
Nielsen, Morten Oerregaard
1
Paya, I
1
Paya, Ivan
1
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
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Economics and finance working paper series
4
Discussion papers / Deutsches Institut für Wirtschaftsforschung
2
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1
Journal of economics and finance
1
Journal of economics and finance : JEF
1
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ECONIS (ZBW)
8
EconStor
2
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1
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1
Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Journal of economics and finance : JEF
46
(
2022
)
4
,
pp. 678-703
Persistent link: https://www.econbiz.de/10013442222
Saved in:
2
Long
memory
and data frequency in financial markets
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
2000 to 2016 using two different long
memory
approaches (R/S analysis and fractional integration) for robustness purposes …
Persistent link: https://www.econbiz.de/10011622025
Saved in:
3
Is market fear persistent? : a long-
memory
analysis
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-
memory
approaches (R …
Persistent link: https://www.econbiz.de/10011664417
Saved in:
4
Is market fear persistent? : a long-
memory
analysis
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
Persistent link: https://www.econbiz.de/10011893067
Saved in:
5
Persistence in the cryptocurrency market
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
Persistent link: https://www.econbiz.de/10011893899
Saved in:
6
Long
memory
and data frequency in financial markets
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
2000 to 2016 using two different long
memory
approaches (R/S analysis and fractional integration) for robustness purposes …
Persistent link: https://www.econbiz.de/10011619594
Saved in:
7
Long
memory
and data frequency in financial markets
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
Persistent link: https://www.econbiz.de/10011656648
Saved in:
8
Long
memory
in the Ukrainian stock market and financial crises
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2013
Persistent link: https://www.econbiz.de/10010241526
Saved in:
9
Long
memory
in the Ukrainian stock market and financial crises
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Journal of economics and finance
40
(
2016
)
2
,
pp. 235-257
Persistent link: https://www.econbiz.de/10011658783
Saved in:
10
Unemployment and input prices: A fractional cointegration approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2000
opposed to classical cointegration, which implies long
memory
and slow reversion to equilibrium. This suggests that an …
Persistent link: https://www.econbiz.de/10010310351
Saved in:
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