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Multi-factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alana, 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/10010271118

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

Persistent link: https://www.econbiz.de/10010271381

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 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/10010286312

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …

Persistent link: https://www.econbiz.de/10010274513

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Persistence in youth unemployment

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

longmemory processes respectively. The evidence suggests that persistence is particularly high in Japan and some EU countries …

Persistent link: https://www.econbiz.de/10010289802

Business cycles, international trade and capital flows: Evidence from Latin America

Caporale, Guglielmo Maria; Girardi, Alessandro - 2012

American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the …

Persistent link: https://www.econbiz.de/10010289807

Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10010271352

US disposable personal income and housing price index: A fractional integration analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...

Persistent link: https://www.econbiz.de/10010285761

Persistence and cycles in the US federal funds rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10010289805