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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994
Persistent link: https://www.econbiz.de/10000897287
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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
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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
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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
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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
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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
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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
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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
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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
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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