Narrow search
Showing 1 - 10 of 74
Cover Image
Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013427736
Cover Image
Tourism Persistence in the Southeastern European Countries: The Impact of Covid-19
Caporale, Guglielmo Maria; Imeri, Amir; Gil-Alaña, Luis A. - 2022
This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria … persistence of the series examined and also reduced the importance of their seasonal component. …
Persistent link: https://www.econbiz.de/10013470265
Cover Image
Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous … subsample estimates imply an increase over time in the degree of persistence of both series. …
Persistent link: https://www.econbiz.de/10013470277
Cover Image
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 … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …
Persistent link: https://www.econbiz.de/10013470304
Cover Image
Fade-Out of Educational Interventions: Statistical and Substantive Sources
Andersen, Simon Calmar; Bodilsen, Simon Tranberg; … - 2022
What appears to be ineffectiveness of educational interventions in the long run may actually be caused by statistical artefacts in the equating of tests taken at different time points or by the nature of the skill development in the absence of targeted interventions. We use longitudinal data on...
Persistent link: https://www.econbiz.de/10013470352
Cover Image
US House Prices by Census Division: Persistence, Trends and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko - 2022
This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices …
Persistent link: https://www.econbiz.de/10014290053
Cover Image
Atmospheric Pollution in Chinese Cities: Trends and Persistence
Caporale, Guglielmo Maria; Carmona-González, Nieves; … - 2022
This paper applies fractional integration methods to investigate the behaviour of various pollutants (PM10, PM25, SO2 and NO2) in seven Chinese cities (Shanghai, Beijing, Chongqing, Tianjin, Shenzhen, Nanjing and Xian) using daily data over the period January 1, 2014 – November 18, 2022. The...
Persistent link: https://www.econbiz.de/10014290071
Cover Image
Trends and Persistence in the Greenland Ice Sheet Mass
Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - 2023
This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods …
Persistent link: https://www.econbiz.de/10014377530
Cover Image
Immigration and Nationalism in the Long Run
Lang, Valentin; Schneider, Stephan A. - 2023
During recent waves of immigration, support for nationalist parties has increased in many countries, but the political backlash against immigration differs strongly across regions. We identify an underlying cause for these differences by studying how local experience with immigration shapes...
Persistent link: https://www.econbiz.de/10014377595
Cover Image
Persistence in Tax Revenues: Evidence from Some OECD Countries
Caporale, Guglielmo Maria; Tapia, Silvia García; … - 2023
This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long …
Persistent link: https://www.econbiz.de/10014469622