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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2011
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10013131806
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2013
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10013094028
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Persistence in youth unemployment
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
such as Spain, Portugal, Ireland and Finland, where appropriate policy actions are of the essence. Specifically, active …
Persistent link: https://www.econbiz.de/10009666800
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Persistence in the Realized Betas : Some Evidence for the Spanish Stock Market
Caporale, Guglielmo Maria - 2020
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...
Persistent link: https://www.econbiz.de/10012838240
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Persistence in youth unemployment
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
-memory processes respectively. The evidence suggests that persistence is particularly high in Japan and some EU countries such as Spain …
Persistent link: https://www.econbiz.de/10009630623
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The asymmetric behaviour of Spanish unemployment persistence
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
Persistent link: https://www.econbiz.de/10011893396
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Persistence in the realized betas : some evidence for the Spanish stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...
Persistent link: https://www.econbiz.de/10012194334
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A comment on "the stability of long-run money demand in five industrial countries"
Caporale, Guglielmo Maria; Hall, Stephen G.; Urga, Giovanni - 1996
Persistent link: https://www.econbiz.de/10000561693
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Modelling the US economy
Caporale, Guglielmo Maria (contributor) - 1997
Persistent link: https://www.econbiz.de/10000619827
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Wage differentials, employment, and globalisation : evidence from an international panel
Caporale, Guglielmo Maria; Haq, Mohammad - 1998
Persistent link: https://www.econbiz.de/10000681378