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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: International journal of finance & economics : IJFE 21 (2016) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10011560168
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Review of financial economics : RFE 13 (2004) 3, pp. 245-258
Persistent link: https://www.econbiz.de/10002087632
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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
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Why are stock market returns correlated with future economic activities?
Guo, Hui - In: Review / Federal Reserve Bank of St. Louis 84 (2002) 2, pp. 19-33
Persistent link: https://www.econbiz.de/10001697099
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The cost of carry model and regime shifts in stock index futures markets : an empirical investigation
Sarno, Lucio; Valente, Giorgio - In: The journal of futures markets 20 (2000) 7, pp. 603-624
Persistent link: https://www.econbiz.de/10001523738
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Empirical exchange rate models and currency risk : some evidence density forecasts
Sarno, Lucio; Valente, Giorgio - In: Journal of international money and finance 24 (2005) 2, pp. 363-385
Persistent link: https://www.econbiz.de/10002636012
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Monetary policy rules, asset prices, and exchange rates
Chadha, Jagjit; Sarno, Lucio; Valente, Giorgio - In: IMF staff papers 51 (2004) 3, pp. 529-552
Persistent link: https://www.econbiz.de/10002733163
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Stock prices, firm size, and changes in the federal funds rate target
Guo, Hui - In: The quarterly review of economics and finance : journal … 44 (2004) 4, pp. 487-507
Persistent link: https://www.econbiz.de/10002375555
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A rational pricing explanation for failure of the CAPM
Guo, Hui - In: Review / Federal Reserve Bank of St. Louis 86 (2004) 3, pp. 23-33
Persistent link: https://www.econbiz.de/10002156472
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Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns
Guo, Hui; Savickas, Robert - In: Journal of banking & finance 34 (2010) 7, pp. 1637-1649
Persistent link: https://www.econbiz.de/10008649421