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Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
Caporale, Guglielmo Maria; Sousa, Ricardo M. - 2011
deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for …
Persistent link: https://www.econbiz.de/10014176823
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Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
Caporale, Guglielmo Maria - 2013
deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for …
Persistent link: https://www.econbiz.de/10013092228
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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
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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
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/10012844423
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The effects of physical and transition climate risk on stock markets : some multi-country evidence
Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024
This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in … results suggest a positive impact of transition risk on stock returns and a negative one of physical risk, especially in the … short term. Further, while physical risk appears to have an immediate impact, transition risk is shown to affect stock …
Persistent link: https://www.econbiz.de/10014564303
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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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Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
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Persistence and Cycles in US Hours Worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10014171216
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Persistence and Cycles in US Hours Worked
Caporale, Guglielmo Maria - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterized by auto-correlations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10013108087
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Are stock and housing returns complements or substitutes? : evidence from OECD countries
Caporale, Guglielmo Maria; Souza, Ricardo M. - 2011
deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for …
Persistent link: https://www.econbiz.de/10009579643