Narrow search
Showing 1 - 4 of 4
Cover Image
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
Cover Image
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
Cover Image
Panel data tests of PPP: A critical overview
Caporale, Guglielmo Maria; Cerrato, Mario - 2004
This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of … necessarily outperform OLS. Finally, cointegration between different groups in the panel could also be a source of size …
Persistent link: https://www.econbiz.de/10010293710
Cover Image
Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …
Persistent link: https://www.econbiz.de/10010293734