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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

Macro-financial linkages in the high-frequency domain : economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1581-1608

Persistent link: https://www.econbiz.de/10014533276

Analysing the determinants of credit risk for general insurance firms in the UK

Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016

This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK … wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm …-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their …

Persistent link: https://www.econbiz.de/10011497181

Analysing the determinants of credit risk for General Insurance firms in the UK

Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016

Persistent link: https://www.econbiz.de/10011497884

Analysing the determinants of credit risk for general insurance firms in the UK

Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016

Persistent link: https://www.econbiz.de/10011536775

Editorial: risk analysis in complex systems : intelligent systems in finance

Serguieva, Antoaneta; Caporale, Guglielmo Maria; Tsang, … - In: Intelligent systems in accounting finance and … 16 (2009) 1/2, pp. 1-3

Persistent link: https://www.econbiz.de/10003876058

Price overreactions in the cryptocurrency market

Caporale, Guglielmo Maria; Plastun, Alex - 2018

Persistent link: https://www.econbiz.de/10011995547

Long-term price overreactions : are markets inefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

Persistent link: https://www.econbiz.de/10010520828

Price overreactions in the cryptocurrency market

Caporale, Guglielmo Maria; Plastun, Alex - 2018

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...

Persistent link: https://www.econbiz.de/10011789179

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940

Persistent link: https://www.econbiz.de/10011972202