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Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach
Beirne, John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641941
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Realized volatility uncertainty
Allen, David E. (contributor); McAleer, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760022
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849
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Multiple cyclical fractional structures in financial time series
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641950
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Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739803
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Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003805629
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Non-normality and recursive unit root tests for PPP : solving the PPP puzzle?
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003434214
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A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428263
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Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428295
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Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428302