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Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional …

Persistent link: https://www.econbiz.de/10012866377

Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

Persistent link: https://www.econbiz.de/10014241989

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

The Relationship between Prices and Output in the UK and the US

Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2021

This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...

Persistent link: https://www.econbiz.de/10013235154

Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

Persistent link: https://www.econbiz.de/10013306037

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009

, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France … former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes …

Persistent link: https://www.econbiz.de/10010271959

US House Prices by Census Division : Persistence, Trends and Structural Breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...

Persistent link: https://www.econbiz.de/10014264457

Long memory in German energy price indices

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

This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...

Persistent link: https://www.econbiz.de/10010288234

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021

five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers …) to a one-standard-deviation shock to the number of COVID-19 cases are statistically insignificant, except for France … activity in all countries in the early stages of the pandemic (especially in Italy), and a positive one on CDS at the same time …

Persistent link: https://www.econbiz.de/10013211119