Similar Search Results

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all …

Persistent link: https://www.econbiz.de/10012022262

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012138849

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009

integration ; misalignment ; second-generation panel unit-root and cointegration tests …

Persistent link: https://www.econbiz.de/10003891665

Cointegration tests of PPP : do they also exhibit erratic behaviour?

Caporale, Guglielmo Maria (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003377315

US disposable personal income and housing price index : a fractional integration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …

Persistent link: https://www.econbiz.de/10008697849

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

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/10008732289

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

. -- cointegration ; oil market ; futures prices ; price discovery …

Persistent link: https://www.econbiz.de/10003965099

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …

Persistent link: https://www.econbiz.de/10009011784

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10011392612

The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015

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 states, whilst the fractional cointegration analysis suggests that a long …

Persistent link: https://www.econbiz.de/10011283833