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~person:"Caporale, Guglielmo Maria"
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Caporale, Guglielmo Maria
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1
Conditional leptokurtosis and non-linear dependence in exchange rate
returns
Caporale, Guglielmo Maria
;
Hassapis, Christis
;
Pittis, …
-
1994
Persistent link: https://www.econbiz.de/10000897287
Saved in:
2
Interest and exchange rate risk and stock
returns
: a multivariate Garch-M modelling approach
Beirne, John
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003641941
Saved in:
3
Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria
;
Erdogan, Burcu
;
Kuzin, Vladimir
-
2009
Persistent link: https://www.econbiz.de/10003880587
Saved in:
4
Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria
;
Erdogan, Burcu
;
Kuzin, Vladimir
-
2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock
returns
to an extensive dataset …
Persistent link: https://www.econbiz.de/10003889148
Saved in:
5
Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria
;
Erdogan, Burcu
;
Kuzin, Vladimir
-
2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock
returns
to an extensive dataset …
Persistent link: https://www.econbiz.de/10003898817
Saved in:
6
Testing for persistence in mutual fund performance and the ex post verification problem : evidence from the Greek market
Babalos, Vassilios
;
Caporale, Guglielmo Maria
; …
-
2007
Persistent link: https://www.econbiz.de/10003410801
Saved in:
7
Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2010
at a daily frequency. We model both absolute values of
returns
and squared
returns
using long-memory techniques, being …
Persistent link: https://www.econbiz.de/10003931070
Saved in:
8
Estimating persistence in the volatility of asset
returns
with signal plus noise models
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2010
therefore stationary and mean-reverting. -- Fractional integration ; long memory ; stochastic volatility ; asset
returns
…
Persistent link: https://www.econbiz.de/10003968659
Saved in:
9
Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria
;
Erdogan, Burcu
;
Kuzin, Vladimir
-
2010
Persistent link: https://www.econbiz.de/10008908037
Saved in:
10
Modelling stochastic volatility in asset
returns
using fractionally integrated semiparametric techniques
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Applied financial economics letters
2
(
2006
)
1
,
pp. 9-12
Persistent link: https://www.econbiz.de/10003301505
Saved in:
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