Narrow search
Showing 1 - 10 of 49
Cover Image
High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all …
Persistent link: https://www.econbiz.de/10012022262
Cover Image
The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...
Persistent link: https://www.econbiz.de/10011392136
Cover Image
The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015
This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...
Persistent link: https://www.econbiz.de/10011392612
Cover Image
Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520824
Cover Image
The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015
period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …
Persistent link: https://www.econbiz.de/10011280006
Cover Image
The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015
period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …
Persistent link: https://www.econbiz.de/10011283833
Cover Image
The relationship between health care expenditure and disposable personal income in the US States : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015
Persistent link: https://www.econbiz.de/10011284934
Cover Image
Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011334455
Cover Image
Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011343058
Cover Image
Testing the Marshall-Lerner condition in Kenya
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Mudida, … - 2012
Persistent link: https://www.econbiz.de/10009664461