Narrow search
Showing 1 - 10 of 179
Cover Image
Bond Markets and Macroeconomic Performance
Caporale, Guglielmo Maria; Williams, Geoffrey - In: Zagreb International Review of Economics and Business 4 (2001) 1, pp. 27-44
the G7. The econometric methodology followed takes into account stationarity, cointegration and exogeneity features of the …
Persistent link: https://www.econbiz.de/10005698467
Cover Image
A non-linear analysis of Gibson's paradox in the Netherlands, 1800 - 2012
Caporale, Guglielmo Maria; Škare, Marinko - 2014
Persistent link: https://www.econbiz.de/10010364606
Cover Image
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
Cover Image
Estimator Choice and Fisher's Paradox: A Monte Carlo Study
Caporale, Guglielmo Maria; Pittis, Nikitas - In: Econometric Reviews 23 (2004) 1, pp. 25-52
This paper argues that Fisher's paradox can be explained away in terms of estimator choice. We analyse by means of Monte Carlo experiments the small sample properties of a large set of estimators (including virtually all available single-equation estimators), and compute the critical values...
Persistent link: https://www.econbiz.de/10009228508
Cover Image
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …
Persistent link: https://www.econbiz.de/10010635677
Cover Image
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …
Persistent link: https://www.econbiz.de/10010636593
Cover Image
On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
Caporale, Guglielmo Maria; Hunter, John; Menla Ali, Faek - In: International Review of Financial Analysis 33 (2014) C, pp. 87-103
. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange … rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and … Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite …
Persistent link: https://www.econbiz.de/10010786517
Cover Image
Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010270503
Cover Image
Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010271375
Cover Image
On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …
Persistent link: https://www.econbiz.de/10010292798