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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520824
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10011334455
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10011343058
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013
positive excess kurtosis and GARCH-e ects when persistence increases. …
Persistent link: https://www.econbiz.de/10010239739
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Youth unemployment in Europe : persistence and macroeconomic determinants
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2014
This paper investigates the statistical features and the macroeconomic determinants of youth unemployment in a number of European countries. First, it explores its short and long memory properties by estimating both autoregressive and fractional integration models. This type of analysis sheds...
Persistent link: https://www.econbiz.de/10010256726
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136
Persistent link: https://www.econbiz.de/10010257552
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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: International journal of finance & economics : IJFE 21 (2016) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10011560168
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Youth unemployment in Europe : persistence and macroeconomic determinants
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Comparative economic studies 56 (2014) 4, pp. 581-591
Persistent link: https://www.econbiz.de/10010487651
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of banking & finance 41 (2014), pp. 109-118
Persistent link: https://www.econbiz.de/10010408487