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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

Geopolitical risk and cross-border portfolio flows : effects and Channels

Caporale, Guglielmo Maria; Ali, Faek Menla - 2024

worth, the evaporation of liquidity and rising risk premia are the key channels through which geopolitical uncertainty …

Persistent link: https://www.econbiz.de/10015065292

Risk pooling, leverage, and the business cycle

Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana - 2019 - This version: 10th July 2019

This paper investigates the interdependence between the risk-pooling activity of the financial sector and: output …, consumption, risk-free rate, and Sharpe ratio in a dynamic general equilibrium model of a productive economy. Due to their … to mitigate their risk through a financial sector. The financial sector pools risky claims issued by different firms …

Persistent link: https://www.econbiz.de/10012040094

Brexit and uncertainty in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main...

Persistent link: https://www.econbiz.de/10011793915

Long memory in US real output per capita

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 - 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

Persistent link: https://www.econbiz.de/10003850276

Analysing the determinants of credit risk for General Insurance firms in the UK

Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016

This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK … wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm …-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their …

Persistent link: https://www.econbiz.de/10011497884

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging...

Persistent link: https://www.econbiz.de/10003808130

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 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/10009011784

International capital markets structure, preferences and puzzles : the US-China case

Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - 2014

(consumption correlation puzzle), the low risk-free rate (risk-free rate puzzle) and the high equity risk premium (equity premium …

Persistent link: https://www.econbiz.de/10010250047

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

Persistent link: https://www.econbiz.de/10003720605