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Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …
Persistent link: https://www.econbiz.de/10013470342
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High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach
Yaya, OlaOluwa S; Gil-Alana, Luis A. - 2018
applies fractional integration and cointegration techniques; in particular, an FCVAR model is estimated to capture both the …-memory properties of their linear combination. Fractional cointegration in found in all cases, with the range showing stationary and …
Persistent link: https://www.econbiz.de/10015262314
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Linkages between the US and European stock markets: A fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Orlando, … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011335360
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Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Orlando, … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011388186
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US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Abakah, … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10012799686
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Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013177658
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The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012599250
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alana, 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/10010274822
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alana, 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/10010285754
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 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/10008727291