Narrow search
Showing 1 - 10 of 1,001
Cover Image
Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10011646274
Cover Image
Sources of real exchange rate volatility and international financial integration : a dynamic GMM panel approach
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial … emerging countries. -- emerging economies ; real exchange rate ; volatility ; financial integration ; GMM method ; dynamic …
Persistent link: https://www.econbiz.de/10009378390
Cover Image
A long-memory model for multiple cycles with an application to the S&P500
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024
This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...
Persistent link: https://www.econbiz.de/10014470433
Cover Image
Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016
post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011482859
Cover Image
Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
Cover Image
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
Cover Image
Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …
Persistent link: https://www.econbiz.de/10012026436
Cover Image
Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438
Cover Image
Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723
Cover Image
Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …
Persistent link: https://www.econbiz.de/10012158166