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Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
Arestis, Philip (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10003208246
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Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
Arestis, Philip; Caporale, Guglielmo Maria; Cipollini, … - In: International journal of finance & economics : IJFE 10 (2005) 4, pp. 359-367
Persistent link: https://www.econbiz.de/10003171746
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Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis
Arestis, Philip; Caporale, Guglielmo Maria; Cipollini, … - 2009
)identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the major nternational lender in …
Persistent link: https://www.econbiz.de/10014088850
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Cyber-attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - In: Journal of international financial markets, … 74 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012803683
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …
Persistent link: https://www.econbiz.de/10003931070
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963286
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Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731952
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10009735715
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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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