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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; … - 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/10012179768
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009426696
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …
Persistent link: https://www.econbiz.de/10014183200
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …
Persistent link: https://www.econbiz.de/10013126003
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Financial integration in the GCC region: market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012052792
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2018
Persistent link: https://www.econbiz.de/10011995788
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012026436
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - In: Open economies review 31 (2020) 2, pp. 309-316
Persistent link: https://www.econbiz.de/10012229747
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Fiscal Consolidation: An Exercise in the Methodology of Coordination
Caporale, Guglielmo Maria; Chui, Michael - In: Journal of Economic Integration 20 (2005), pp. 1-25
This paper outlines a new methodology for the study of international policy coordination, which builds on two separate approaches previously used in the literature: optimal simple rules, and game-theoretic analysis. The new approach is illustrated by using the example of a changed target for the...
Persistent link: https://www.econbiz.de/10009390603