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Gold and silver as safe havens : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … is found for the gold price differential vis-à-vis BEF, BSE, CAC, DOW, KLS, KS1, MXX, N100, NAS, NYA and SP5 and for both …
Persistent link: https://www.econbiz.de/10013445596
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Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … is found for the gold price differential vis-à-vis BEF, BSE, CAC, DOW, KLS, KS1, MXX, N100, NAS, NYA and SP5 and for both …
Persistent link: https://www.econbiz.de/10014241989
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A comment on "the stability of long-run money demand in five industrial countries"
Caporale, Guglielmo Maria; Hall, Stephen G.; Urga, Giovanni - 1996
Persistent link: https://www.econbiz.de/10000561693
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Modelling the US economy
Caporale, Guglielmo Maria (contributor) - 1997
Persistent link: https://www.econbiz.de/10000619827
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Wage differentials, employment, and globalisation : evidence from an international panel
Caporale, Guglielmo Maria; Haq, Mohammad - 1998
Persistent link: https://www.econbiz.de/10000681378
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Parameter instability, superexogeneity and the monetary model of the exchange rate
Caporale, Guglielmo Maria; Pittis, Nikitas - 1998
Persistent link: https://www.econbiz.de/10000650908
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Revisiting forward looking consumption and financial liberalisation in the United Kingdom
Caporale, Guglielmo Maria; Williams, Geoffrey - 1997
Persistent link: https://www.econbiz.de/10000638569
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Multiple shift and fractional integration in the US and UK unemployment rates
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739796
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Long memory at the long run and at the cyclical frequencies : modelling real wages in England ; 1260-1994
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirical economics : a journal of the Institute for … 31 (2006) 1, pp. 83-93
Persistent link: https://www.econbiz.de/10003307049
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Multi-factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003832660