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Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, 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/10003850335
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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
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/10011283833
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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/10012494781
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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
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques … estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null …
Persistent link: https://www.econbiz.de/10011619627
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On the persistence of UK inflation : a long-range dependence approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an …
Persistent link: https://www.econbiz.de/10011819378
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Gold and silver as safe havens : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Gil-Alaña, 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/10013445596
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper …
Persistent link: https://www.econbiz.de/10008798823
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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
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A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496720