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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

Central Bank Swap Arrangements in the COVID-19 Crisis

Aizenman, Joshua; Itō, Hiro; Pasricha, Gurnain Kaur - National Bureau of Economic Research - 2021

Facing acute strains in the offshore dollar funding markets during the COVID-19 crisis, the Federal Reserve (Fed) implemented measures to provide US dollar liquidity by reinforcing swap arrangements with five major central banks, reactivating them with nine other central banks and establishing a...

Persistent link: https://www.econbiz.de/10012496139

Multiple cyclical fractional structures in financial time series

Caporale, Guglielmo Maria (contributor); … - 2008

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Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

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A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

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Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices

Caporale, Guglielmo Maria (contributor); … - 2007

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Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

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Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003963304

Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012

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Exchange rate dynamics and monetary unions in Africa : a fractional integration and cointegration analysis

Balparda, Borja; Caporale, Guglielmo Maria; Carcel, Hector - 2015

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