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Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022
(US, Europe, Asia/Pacific, the Rest of the World and the Total) and investment types (Buyout & Growth Equity, Venture …
Persistent link: https://www.econbiz.de/10013285647
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
Persistent link: https://www.econbiz.de/10013539252
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; 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/10013368898
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Observation-driven filters for timeseries with stochastic trends and mixed causal non-causal dynamics
Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele - 2023
consistent with financial theory, for a decomposition of the time-series in trend and bubble components, and for meaningful real …
Persistent link: https://www.econbiz.de/10014380706