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Persistence in the Mint Stock Markets: Evidence from a Fractional Integration Model

Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 2026

Persistent link: https://econbiz.de/10015616017

Total Solar Irradiance: Evidence from a Long-Memory Model

Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 2026

Persistent link: https://econbiz.de/10015616104

Long memory in Latin American sovereign risk : daily evidence on the EMBI

Asturias Schaub, Luis Rodrigo; Caporale, Guglielmo Maria; … - 2026

This paper analyses the long-memory properties of sovereign bond spreads in 17 Latin American countries as well as two regional aggregates using daily EMBI (Emerging Markets Bond Index) data from April 2013 to January 2026 (3,163 observations per series). Parametric methods show that all 19...

Persistent link: https://econbiz.de/10015654662

Persistence in the mint stock markets : evidence from a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper investigates persistence in the MINT (Mexico, Indonesia, Nigeria, Turkey) stock markets applying fractional integration methods to daily data from 1 January 2022 to 31 October 2025. Different model specifications are estimated for prices, log prices and log returns under the...

Persistent link: https://econbiz.de/10015591911

Total solar irradiance : evidence from a long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2026

This paper analyses aggregated data (5 days period) on total solar irradiance (TSI) based on the 3D MHD numerical simulations of solar surface and atmosphere (Yeo et al., 2017), from 30 April 2010 to 8 July 2023. It improves upon earlier studies by including in the sample the most recent...

Persistent link: https://econbiz.de/10015591987

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://econbiz.de/10015626655

Long memory in Kenyan commodity prices

Caporale, Guglielmo Maria; Njoroge, Mwangi Victor; … - 2026

This study investigates the long-memory properties of the prices of three Kenyan commodities (tea, coffee and horticultural products) by applying fractional integration methods to monthly data spanning the period from August 1998 to December 2024. The empirical results provide evidence of...

Persistent link: https://econbiz.de/10015626665

Trump tariffs and persistence in crude oil prices : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper examines the impact on crude oil prices of the trade tariffs announced by the Trump administration on 2 April 2025 ("Liberation Day"). More specifically, it uses fractional integration methods to analyse daily data on WTI, Brent and Murban oil prices spanning the period from 3 June...

Persistent link: https://econbiz.de/10015626737

Climate change, macroeconomic factors and the Nigerian indigenous meat and milk industry : a long-memory approach

Caporale, Guglielmo Maria; Umeh, Samuel Chibuzor; … - 2026

This paper investigates the relationship between climate change, macroeconomic variables and indigenous livestock production in Nigeria over the period 1981-2023 using fractional integration and multivariate regression methods. More specifically, it examines how temperature and precipitation...

Persistent link: https://econbiz.de/10015626781

Inflation persistence in the SCO countries : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper uses fractional integration methods to analyse the long-memory and persistence properties of inflation in the Shanghai Cooperation Organization (SCO) countries over the period from 1 January 1997 to 8 January 2025. This approach is more general than standard models based on the I(0)...

Persistent link: https://econbiz.de/10015627506