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Volatility transmission and financial crises

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Journal of economics and finance 30 (2006) 3, pp. 376-390

Persistent link: https://www.econbiz.de/10003413566

Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods

Caporale, Guglielmo Maria - 2019

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

Persistent link: https://www.econbiz.de/10012871648

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863

Volatility forecasts for the RTS stock index : option-implied volatility versus alternative methods

Caporale, Guglielmo Maria; Teterkina, Daria - 2019

Persistent link: https://www.econbiz.de/10011996358

Volatility forecasts for the RTS stock index : optionimplied volatility versus alternative methods

Caporale, Guglielmo Maria; Teterkina, Daria - 2019

Persistent link: https://www.econbiz.de/10011997328

A long-memory model for multiple cycles with an application to the S&P500

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024

This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...

Persistent link: https://www.econbiz.de/10014470433