Narrow search
Showing 1 - 10 of 236
Cover Image
Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2019
monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10012891049
Cover Image
Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012958879
Cover Image
Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012960910
Cover Image
The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria - 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/10013019858
Cover Image
Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria; Gil-Alana, 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 …
Persistent link: https://www.econbiz.de/10014183200
Cover Image
The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 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/10014135216
Cover Image
Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 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 …
Persistent link: https://www.econbiz.de/10013126003
Cover Image
US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 2013
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10013094212
Cover Image
Fractional Cointegration in US Term Spreads
Caporale, Guglielmo Maria - 2010
This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...
Persistent link: https://www.econbiz.de/10013142866
Cover Image
Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis
Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …
Persistent link: https://www.econbiz.de/10014239604