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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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Testing for persistence in mutual fund performance and the ex post verification problem : evidence from the Greek market
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2007
Persistent link: https://www.econbiz.de/10003410801
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Testing for persistence in mutual fund performance and ex-post verification problem : evidence from the Greek market
Babalos, Vassilios; Caporale, Guglielmo Maria; … - In: The European journal of finance 14 (2008) 7/8, pp. 735-753
Persistent link: https://www.econbiz.de/10003816554
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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 fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849
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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