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Budget deficits and interest rates : Ricardian equivalence revisited
Caporale, Guglielmo Maria; Pittis, Nikitas; … - 1997
Persistent link: https://www.econbiz.de/10000962390
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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/10000978635
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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria - In: Journal of policy modeling : JPMOD ; a social science … 20 (1998) 5, pp. 581-601
Persistent link: https://www.econbiz.de/10001246740
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Unit roots and long-run causality : investigating the relationship between output, money and interest rates
Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112
Persistent link: https://www.econbiz.de/10001247848
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Parameter instability, superexogeneity, and the monetary model of the exchange rate
Caporale, Guglielmo Maria; Pittis, Nikitas - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 3, pp. 501-524
Persistent link: https://www.econbiz.de/10001618429
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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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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012138849
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Non-normality, heteroscedasticity and recursive unit root tests of PPP : solving the PPP puzzle?
Caporale, Guglielmo Maria; Gregoriou, Andros - In: Applied economics letters 16 (2009) 1/3, pp. 223-226
Persistent link: https://www.econbiz.de/10003822964
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Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
Antypas, Antonios - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012857914
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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - In: Research in international business and finance 52 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012548351