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Multi-factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10010271118
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Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10010271959
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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp
Brunetti, Celso; Lildholdt, Peter M. - 2002
the volatility dynamics for SF/USD and USD/GBP. We find that both series are highly persistent, and in particular, USD …
Persistent link: https://www.econbiz.de/10014113375
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Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731952
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Multi-factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003832660
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Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10003850335
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Multi-Factor Gegenbauer Processes and European Inflation Rates
Caporale, Guglielmo Maria - 2014
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10013071161
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On the Risk Return Relationship
Wang, Jian-Xin - 2012
volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107127