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Searching for inefficiencies in exchange rate dynamics
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 49 (2017) 3, pp. 405-432
Persistent link: https://www.econbiz.de/10011762118
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis …
Persistent link: https://www.econbiz.de/10012837673
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis …
Persistent link: https://www.econbiz.de/10012839021
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis …
Persistent link: https://www.econbiz.de/10012196296
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415
applied including ADF, PP and KPSS tests, Granger causality tests, correlation analysis, regression analysis, Probit and Logit …
Persistent link: https://www.econbiz.de/10013174306
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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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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria - In: Journal of policy modeling : JPMOD ; a social science … 20 (1998) 5, pp. 581-601
Persistent link: https://www.econbiz.de/10001246740
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Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92
Persistent link: https://www.econbiz.de/10011476078
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International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility …
Persistent link: https://www.econbiz.de/10011387464
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International portfolio flows and exchange rate volatility in emerging Asian markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - In: Journal of international money and finance 76 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011788040