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Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria - 2014

, 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/10013071161

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10013126003

The Weekly Structure of US Stock Prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2021

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10013316133

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

Caporale, Guglielmo Maria - 2013

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper …

Persistent link: https://www.econbiz.de/10013094028

Long Memory in German Energy Price Indices

Barros, Carlos Pestana - 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/10013100504

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria - 2015

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across...

Persistent link: https://www.econbiz.de/10013019858

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Persistent link: https://www.econbiz.de/10013013497

Is Market Fear Persistent? A Long-Memory Analysis?

Caporale, Guglielmo Maria - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10012951779

Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria - 2017

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

Persistent link: https://www.econbiz.de/10012958457