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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

The social cost of carbon under climate volatility risk

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Persistent link: https://www.econbiz.de/10014325501

Multiple cyclical fractional structures in financial time series

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641950

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739803

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428263

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

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428302

Estimating persistence in the volatility of asset returns with signal plus noise models

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

Persistent link: https://www.econbiz.de/10003963304

Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour

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Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014