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Testing of seasonal fractional integration in UK and Japanese consumption and income

Gil-Alaña, Luis A.; Robinson, Peter M. - 1998

Persistent link: https://www.econbiz.de/10000994028

Testing of seasonal fractional integration in UK and Japanese consumption and income

Gil-Alaña, Luis A. - 1998

Persistent link: https://www.econbiz.de/10013420179

A test of US equity market reaction to surprises in an era of high trading volume

Ajayi, Richard A.; Mehdian, Seyed M.; Perry, Mark J. - In: Applied financial economics 16 (2006) 6, pp. 461-469

Persistent link: https://www.econbiz.de/10003335013

Testing for stock market bubbles using nonlinear models and fractional integration

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321

Persistent link: https://www.econbiz.de/10003605836

The relative influence of the East and the West on Middle Eastern emerging stock markets : an empirical investigation

Ajayi, Richard A.; Mehdian, Seyed M.; Perry, Mark J. - In: Applied financial economics 20 (2010) 4/6, pp. 407-415

This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide...

Persistent link: https://www.econbiz.de/10003963313

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764

Persistent link: https://www.econbiz.de/10009384839

Anomalies in US equity markets : a re-examination of the January effect

Mehdian, Seyed M.; Perry, Mark J. - In: Applied financial economics 12 (2002) 2, pp. 141-145

Persistent link: https://www.econbiz.de/10001646555

Fractional integration in the purchasing power parity

Gil-Alaña, Luis A. - 1998

Persistent link: https://www.econbiz.de/10000994027

Global reaction of security prices to major US-induced surprises : an empirical investigation

Ajayi, Richard A. - In: Applied financial economics 5 (1995) 4, pp. 203-218

Persistent link: https://www.econbiz.de/10001186670