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Fractional integration and mean reversion in stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: The quarterly review of economics and finance : journal … 42 (2002) 3, pp. 599-609
Persistent link: https://www.econbiz.de/10001712171
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria - 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/10013135946
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US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 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/10013137093
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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated...
Persistent link: https://www.econbiz.de/10013083442
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Linkages between the US and European Stock Markets : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10013014905
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Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests
Caporale, Guglielmo Maria - 2017
This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...
Persistent link: https://www.econbiz.de/10012955893
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Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012960910
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 50-61
Persistent link: https://www.econbiz.de/10012430865
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria; Gil-Alana, 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 …
Persistent link: https://www.econbiz.de/10014183200
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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; Cunado, Juncal; Gil-Alana, … - 2015
period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity 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/10014135216