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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455804

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Research in international business and finance 58 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013286262

The influence of economic policy uncertainty shocks on art market

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Applied economics 55 (2023) 29, pp. 3404-3421

Persistent link: https://www.econbiz.de/10014299160

Testing the hypothesis of duration dependence in the US housing market

Dettoni, Robinson; Gil-Alaña, Luis A. - In: Finance research letters 58 (2023) 4, pp. 1-9

Persistent link: https://www.econbiz.de/10014632834

Long-run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Journal of forecasting 33 (2014) 2, pp. 147-161

Persistent link: https://www.econbiz.de/10010424845

A simple non-linear model with fractional integration for financial time series data

Gil-Alaña, Luis A. - In: International review of financial analysis 17 (2008) 5, pp. 838-848

Persistent link: https://www.econbiz.de/10003792309

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: International journal of finance & economics : IJFE 21 (2016) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10011560168

Fractional integration in the stock market volatility series

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783

Persistent link: https://www.econbiz.de/10001763176

Measuring the degree of persistence in the U.S. economic policy uncertainty index

Gil-Alaña, Luis A.; Payne, James E. - In: Applied economics letters 27 (2020) 10, pp. 831-835

Persistent link: https://www.econbiz.de/10012266923

Brexit and uncertainty in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-9

This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities...

Persistent link: https://www.econbiz.de/10011857194