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Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000897287

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

Exchange rates and macro news in emerging markets

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of … countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the …

Persistent link: https://www.econbiz.de/10011441480

Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92

Persistent link: https://www.econbiz.de/10011476078

Exchange rates and macro news in emerging markets

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Research in international business and finance 46 (2018), pp. 516-527

Persistent link: https://www.econbiz.de/10011983723

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

Persistent link: https://www.econbiz.de/10011387464