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Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011341081

Linkages between the US and European Stock Markets: A Fractional Cointegration Approach

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

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

Persistent link: https://www.econbiz.de/10011388186

Macro News and Commodity Returns

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

Persistent link: https://www.econbiz.de/10011388239

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10010270472

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

Persistent link: https://www.econbiz.de/10010274514

Testing for Convergence in Stock Markets: A Non-linear Factor Approach

Erdogan, Burcu; Caporale, Guglielmo Maria; Kuzin, … - 2010

Persistent link: https://www.econbiz.de/10010274541

Quoted spreads and trade imbalance dynamics in the European treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010

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/10010275008

Quoted spreads and trade imbalance dynamics in the European treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010

Persistent link: https://www.econbiz.de/10010285725

Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

Persistent link: https://www.econbiz.de/10012018228