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Testing stock market convergence : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - In: Empirica : journal of european economics 42 (2015) 3, pp. 481-498
Persistent link: https://www.econbiz.de/10011485529
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Exploring asset pricing anomalies
Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19
Persistent link: https://www.econbiz.de/10011368742
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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International portfolio flows and exchange rate volatility in emerging Asian markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - In: Journal of international money and finance 76 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011788040
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954
Persistent link: https://www.econbiz.de/10002099538
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Long rage dependence in daily stock returns
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 14 (2004) 6, pp. 375-383
Persistent link: https://www.econbiz.de/10001970911
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Equilibrium cross section of returns
Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732
Persistent link: https://www.econbiz.de/10001786306
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Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 23-30
Persistent link: https://www.econbiz.de/10009507857
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136
Persistent link: https://www.econbiz.de/10010257552