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Predicting BRICS stock returns using ARFIMA models

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - In: Applied financial economics 24 (2014) 16/18, pp. 1159-1166

Persistent link: https://www.econbiz.de/10010418936

Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries

André, Christophe; Gil-Alaña, Luis A.; Gupta, Rangan - In: Applied economics 46 (2014) 16/18, pp. 2127-2138

Persistent link: https://www.econbiz.de/10010413319

Productivity and GDP : international evidence of persistence and trends over 130 years of data

Gil-Alaña, Luis A.; Solarin Sakiru Adebola; Gupta, Rangan - 2021

Persistent link: https://www.econbiz.de/10012661157

The behaviour of real interest rates : new evidence from a "suprasecular" perspective

Canarella, Giorgio; Gil-Alaña, Luis A.; Gupta, Rangan; … - In: International finance : the only journal bridging the … 25 (2022) 1, pp. 46-64

Persistent link: https://www.econbiz.de/10013183818

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Persistent link: https://www.econbiz.de/10010290338

Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model

Christensen, Bent Jesper; Zhu, Jie; Nielsen, Morten … - Economics Department, Queen's University - 2009

Persistent link: https://www.econbiz.de/10004979471

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007

Persistent link: https://www.econbiz.de/10005034729