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Fractional integration in the stock market volatility series

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783

Persistent link: https://www.econbiz.de/10001763176

UK unemployment dynamics : a fractionally cointegrated approach

Gil-Alaña, Luis A. - In: Economia internazionale 59 (2006) 1, pp. 33-50

Persistent link: https://www.econbiz.de/10003330750

The UK unemployment : long memory, seasonality and other implicit dynamics

Gil-Alaña, Luis A. - In: Economia internazionale 56 (2003) 3, pp. 323-335

Persistent link: https://www.econbiz.de/10001984767

Measuring the memory parameter on several transformations of asset returns

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 675-692

Persistent link: https://www.econbiz.de/10003133833

Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios

Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073

Persistent link: https://www.econbiz.de/10003377864

Permanent and transitory dynamics in house prices and consumption : some implications for the real effects of the financial crisis

Bagliano, Fabio C.; Morana, Claudio - In: Applied financial economics 20 (2010) 1/3, pp. 151-170

In this article, a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important...

Persistent link: https://www.econbiz.de/10003935987

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

New insights on the US OIS spreads term structure during the recent financial turmoil

Morana, Claudio - In: Applied financial economics 24 (2014) 4/6, pp. 291-317

Persistent link: https://www.econbiz.de/10010399449

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