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Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

Persistent link: https://www.econbiz.de/10011654734

Measuring persistence of the world population : a fractional integration approach

Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; … - 2023

This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that...

Persistent link: https://www.econbiz.de/10013550205

Persistence in UK historical data on life expectancy

Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; … - 2023

This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but...

Persistent link: https://www.econbiz.de/10013550208

Long-run trends and cycles in US house prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

Persistent link: https://www.econbiz.de/10014427184

Persistence in tax revenues : evidence from some OECD countries

Caporale, Guglielmo Maria; Tapia, Silvia García; … - 2023

, Finland, Spain, Sweden and USA). The analysis is also carried out for inflation in the same set of countries. Again the I(1 …, stronger evidence of mean reversion is found for the differences between the three original tax series and inflation compared … to the tax series themselves, which points to the existence of a linkage between taxation and inflation, especially in …

Persistent link: https://www.econbiz.de/10014382942

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

Persistent link: https://www.econbiz.de/10013285647

Persistence in the passion investment market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly...

Persistent link: https://www.econbiz.de/10012821953

Persistence in the Russian stock market volatility indices

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

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

Persistent link: https://www.econbiz.de/10011903723

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 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/10011669019

Trends and cycles in macro series : the case of US real GDP

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...

Persistent link: https://www.econbiz.de/10011750067