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Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012123055

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

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

applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000 – 15 …

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

The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields

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

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock …-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following …. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an …

Persistent link: https://www.econbiz.de/10012494826

The impact of the Covid-19 pandemic on persistence in the European stock markets

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

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets …. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the … not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices …

Persistent link: https://www.econbiz.de/10012653308

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the U.S. and that the degree of memory can be related to firm characteristics such as market capitalization, book-to-market ratio, prior performance and price...

Persistent link: https://www.econbiz.de/10011750708

Persistence in high frequency financial data : the case of the EuroStoxx 50 futures prices

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 12 (2024) 1, pp. 1-9

assets because they are updated more rapidly in response to news. This paper explores persistence in high-frequency data (and … trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results show that persistence is … intraday ones are anti-persistent. In addition, persistence varies over time. These findings imply that the Efficient Market …

Persistent link: https://www.econbiz.de/10015394356

Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10013368898

Earthquakes and stock market performance : evidence from Japan

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Muñoz, … - 2025

This paper examines the stochastic behaviour of the number of earthquakes (in total and also classified by magnitude) and stock market log prices and returns in the case of Japan over the period from January 2009 to February 2024 using fractional integration methods. Their linkages are then...

Persistent link: https://www.econbiz.de/10015393850

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

Saart, Patrick; Gao, Jiti - 2012

This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...

Persistent link: https://www.econbiz.de/10014166683

Semiparametric Autoregressive Conditional Duration Model : Theory and Practice

Saart, Patrick - 2012

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed shape of the hazard function, i.e. its two most...

Persistent link: https://www.econbiz.de/10013101136