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A comparison between tests for changes in the adjustment coefficients in cointegrated systems
Barassi, Marco R. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003391491
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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
Persistent link: https://www.econbiz.de/10002068644
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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …
Persistent link: https://www.econbiz.de/10009728982
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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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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
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Unit roots and long-run causality : the case of output and financial variables
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1995
Persistent link: https://www.econbiz.de/10000909158
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619595
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619627
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Exchange rate dynamics and monetary unions in Africa : a fractional integration and cointegration analysis
Balparda, Borja; Caporale, Guglielmo Maria; Carcel, Hector - 2015
Persistent link: https://www.econbiz.de/10010527158
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: International economics : a journal published by CEPII … 152 (2017), pp. 116-123
Persistent link: https://www.econbiz.de/10011802433