Narrow search
Showing 1 - 10 of 326
Cover Image
Parameter instability and forecasting performance : a Monte Carlo study
Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - 2004
and of the variance of the process driving the slope coefficient. A loss is also incurred when a TVCM different from the …
Persistent link: https://www.econbiz.de/10009728979
Cover Image
Parameter instability and forecasting performance : a Monte Carlo study
Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - 2004
Persistent link: https://www.econbiz.de/10002139996
Cover Image
Testing for contagion : a conditional correlation analysis
Caporale, Guglielmo Maria; Cipollini, Andrea; Spagnolo, … - In: Journal of empirical finance 12 (2005) 3, pp. 476-489
Persistent link: https://www.econbiz.de/10002900513
Cover Image
Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included … (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these … tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or …
Persistent link: https://www.econbiz.de/10009728982
Cover Image
Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance : some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
Persistent link: https://www.econbiz.de/10002068644
Cover Image
Seven pitfalls of technical analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
Persistent link: https://www.econbiz.de/10013489574
Cover Image
Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736
Cover Image
Macro-financial linkages in the high-frequency domain : economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1581-1608
Persistent link: https://www.econbiz.de/10014533276
Cover Image
Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013041344
Cover Image
The effects of US Covid-19 policy responses on cryptocurrencies, Fintech and artificial intelligence stocks : a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the...
Persistent link: https://www.econbiz.de/10014500447