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

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

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

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

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

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

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274514

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

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

Persistent link: https://www.econbiz.de/10003880587

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

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

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10003889148

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

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

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10003898817

Fractional cointegration and aggregate money demand functions

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: The Manchester School 73 (2005) 6, pp. 737-753

Persistent link: https://www.econbiz.de/10003202926

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Review of financial economics : RFE 13 (2004) 4, pp. 327-340

Persistent link: https://www.econbiz.de/10002375332

Fiscal consolidation : an exercise in the methodology of coordination

Caporale, Guglielmo Maria; Chui, Michael; Hall, Stephen G. - In: Journal of economic integration 20 (2005) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10003051978

Aggregate money demand functions in five industrial countries: are they cointegrated?

Caporale, Guglielmo Maria; Hall, Stephen G.; Urga, Giovanni - In: Estudos econômicos : publicação trimestral do … 31 (2001) 2, pp. 395-423

Persistent link: https://www.econbiz.de/10001702504

Fiscal consolidation : an exercise in the methodology of coordination

Caporale, Guglielmo Maria (contributor) - 1998

Persistent link: https://www.econbiz.de/10001635328

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