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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

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863

Persistence in ESG and Conventional Stock Market Indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012582161

Fractional integration and data frequency

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739811

Stochastic volatility in the Spanish stock market : a long memory model with a structural break

Gil-Alaña, Luis A.; Cuñado Eizaguirre, Juncal; Perez … - In: The European journal of finance 14 (2008) 1/2, pp. 23-31

Persistent link: https://www.econbiz.de/10003744669

Testing of nonstationary cycles in financial time series data

DePeña, Francisco Javier; Gil-Alaña, Luis A. - In: Review of quantitative finance and accounting 27 (2006) 1, pp. 47-65

Persistent link: https://www.econbiz.de/10003344302

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

Stock market returns and terrorist violence : evidence from the Basque Country

Barros, Carlos Pestana; Gil-Alaña, Luis A. - In: Applied economics letters 16 (2009) 13/15, pp. 1575-1579

Persistent link: https://www.econbiz.de/10003895001

Basque terrorism : police action, political measures and the influence of violence on the stock market in the Basque Country

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - In: Defence and peace economics 20 (2009) 4, pp. 287-301

Persistent link: https://www.econbiz.de/10003902479

Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428295

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