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A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - In: Economic modelling 18 (2001) 4, pp. 643-658

Persistent link: https://www.econbiz.de/10001654141

A time-series analysis of US entrepreneurship : evidence from fractional integration

Gil-Alaña, Luis A.; Payne, James E. - In: Applied economics letters 22 (2015) 7/9, pp. 521-524

Persistent link: https://www.econbiz.de/10010528813

Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

Monge, Manuel; Gil-Alaña, Luis A. - In: Applied economics letters 23 (2016) 10/12, pp. 701-704

Persistent link: https://www.econbiz.de/10011628404

The dynamics of the real exchange rates in Europe : a comparative study across countries using fractional integration

Gil-Alaña, Luis A. - In: Applied economics letters 11 (2004) 7, pp. 429-432

Persistent link: https://www.econbiz.de/10002111184

Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate

Gil-Alaña, Luis A. - In: Applied economics letters 10 (2003) 2, pp. 103-105

Persistent link: https://www.econbiz.de/10001747248

The relationship between the S&P 500 spot and futures indices : brothers or cousins?

Chiu, Chien-liang; Chiang, Shu-mei; Kao, Feng - In: Applied financial economics 16 (2006) 5, pp. 405-412

Persistent link: https://www.econbiz.de/10003289287

Hedging with zero-value at risk hedge ratio

Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269

Persistent link: https://www.econbiz.de/10003291892

The stock market and the Fed

Mattesini, Fabrizio; Becchetti, Leonardo - In: Applied financial economics 19 (2009) 1/3, pp. 99-110

This article investigates the reaction of the Federal Reserve to developments in the stock market. The issue is analysed by first constructing an Index of Stock Price Misalignment (ISPM) in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach...

Persistent link: https://www.econbiz.de/10003825824

Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436

Long memory at the long-run and the seasonal monthly frequencies in the US money stock

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied economics letters 13 (2006) 15, pp. 965-968

Persistent link: https://www.econbiz.de/10003402311