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Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352

Persistent link: https://www.econbiz.de/10011589005

Term premium in a fractionally cointegrated yield curve

Abbritti, Mirko; Carcel, Hector; Gil-Alaña, Luis A.; … - In: Journal of banking & finance 149 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014462435

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …

Persistent link: https://www.econbiz.de/10012199998

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 45 (2021) 3, pp. 413-427

Persistent link: https://www.econbiz.de/10012547070

Persistence in the realized betas : some evidence for the Spanish stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

Persistent link: https://www.econbiz.de/10012194334

The Deaton paradox in a long memory context with structural breaks

Gil-Alaña, Luis A.; Moreno, Antonio; Cho, Seonghoon - In: Applied economics 44 (2012) 25/27, pp. 3309-3322

Persistent link: https://www.econbiz.de/10009617935

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

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across...

Persistent link: https://www.econbiz.de/10011280006

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

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the 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...

Persistent link: https://www.econbiz.de/10011283833

Fractional cointegration in the consumption and income relationship using semiparametric techniques

Gil-Alaña, Luis A. (contributor) - In: Economics bulletin : EB (2004)

Persistent link: https://www.econbiz.de/10003073568

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001550571

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