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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

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10011332871

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

The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report

Hautsch, Nikolaus; Hess, Dieter - In: European finance review : the official journal of the … 6 (2002) 2, pp. 133-161

Persistent link: https://www.econbiz.de/10001707962

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

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764

Persistent link: https://www.econbiz.de/10009384839

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015

Persistent link: https://www.econbiz.de/10003804813

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 11 (2023) 1, pp. 1-12

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10014500683

The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 118-123

Persistent link: https://www.econbiz.de/10014249042

Macro-financial linkages in the high-frequency domain : economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1581-1608

Persistent link: https://www.econbiz.de/10014533276