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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies …
Persistent link: https://www.econbiz.de/10009579224
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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012
technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies …
Persistent link: https://www.econbiz.de/10009514773
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Testing of fractional cointegration in macroeconomic time series
Gil-Alaña, Luis A. - 2000
Persistent link: https://www.econbiz.de/10001550570
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US disposable personal income and housing price index : a fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10008662898
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US disposable personal income and housing price index : a fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10008697849
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Fractional cointegration in US term spreads
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
. -- Term structure ; long memory ; fractional integration ; fractional cointegration …
Persistent link: https://www.econbiz.de/10003939723
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10008732289
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Fractional cointegration in US term spreads
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963290
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009011784
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009426696