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Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-in-mean Analysis

Babalos, Vassilios - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10012987395

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis : A VAR-GARCH-In-Mean Analysis

Babalos, Vassilios - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10012990997

The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility …

Persistent link: https://www.econbiz.de/10012625628

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558

Persistent link: https://www.econbiz.de/10014557642

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Persistent link: https://www.econbiz.de/10013235116

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003116139

Long Run and Cyclical Dynamics in the U.S. Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

, real risk-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing … found only for the price/dividend ratio. When the cyclical component is also taken into account, the series appear to be … stationary but to exhibit long memory with respect to both components in almost all cases. The exception is the price/dividend …

Persistent link: https://www.econbiz.de/10013316966

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics letters 29 (2022) 4, pp. 366-370

Persistent link: https://www.econbiz.de/10012803550