Similar Search Results

Coordination and price shocks : an empirical analysis

Caporale, Guglielmo Maria (contributor) - 1997

Persistent link: https://www.econbiz.de/10000974807

IGARCH models and structural breaks

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Applied economics letters 10 (2003) 12, pp. 765-768

Persistent link: https://www.econbiz.de/10001819341

Coordination and price shocks : an empirical analysis

Caporale, Guglielmo Maria; Chui, Michael; Hall, Stephen G. - In: Economic modelling 18 (2001) 4, pp. 569-584

Persistent link: https://www.econbiz.de/10001654125

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003963304

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 23-30

Persistent link: https://www.econbiz.de/10009507857

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by...