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Testing fractional persistence and non-linearities in the natural gas market : an application of non-linear deterministic terms based on Chebyshev polynomials in time

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Carcel, Hector - In: Energy economics 52 (2015) 1, pp. 240-245

Persistent link: https://www.econbiz.de/10011568248

CPI and inflation in Kenya : structural breaks, non-linearities and dependence

Gil-Alaña, Luis A.; Mudida, Robert - In: International economics : a journal published by CEPII … 150 (2017), pp. 72-79

Persistent link: https://www.econbiz.de/10011793805

The relationship between prices and output in the UK and the US

Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2021

find that the only significant relationship implies the existence of a lagged effect of prices on output in the case of the …

Persistent link: https://www.econbiz.de/10012494781

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

Persistent link: https://www.econbiz.de/10011995731

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Long range dependence in the Indian stock market : evidence of fractional integration, non-linearities and breaks

Gil-Alaña, Luis A.; Tripathy, Trilochan - In: Journal of quantitative economics : official journal of … 14 (2016) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10011639888

Long range dependence in the indian stock market : evidence of fractional integration, non-linearities and breaks

Gil-Alaña, Luis A.; Tripathy, Trilochan - In: Journal of quantitative economics 14 (2016) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10012418211

Persistence in the Russian Stock Market Volatility Indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011931993

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

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in … long-run equilibrium relationship between high and low prices. Further, the estimated fractional differencing parameter is …

Persistent link: https://www.econbiz.de/10012022262