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Opportunities for international portfolio diversification across the South Eastern European region
Okičić, Jasmina - In: International review of entrepreneurship : IRE 13 (2015) 3, pp. 215-232
Persistent link: https://www.econbiz.de/10011662931
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Threshold cointegration and threshold dynamics
Chung, Pin Johnny - 2003
Persistent link: https://www.econbiz.de/10003384124
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, 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 …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009011784
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, 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 …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009426696
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirical economics : a journal of the Institute for … 47 (2014) 4, pp. 1389-1410
Persistent link: https://www.econbiz.de/10010461103
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
Persistent link: https://www.econbiz.de/10009231360
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Review of financial economics : RFE 13 (2004) 3, pp. 245-258
Persistent link: https://www.econbiz.de/10002087632
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Foreign exchange market efficiency : did the EMS make a difference? ; A cointegration-based empirical investigation
Tronzano, Marco - In: Economia internazionale 55 (2002) 1, pp. 69-103
Persistent link: https://www.econbiz.de/10001697810
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 1999
Persistent link: https://www.econbiz.de/10001615056
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Fractional integration and mean reversion in stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
Persistent link: https://www.econbiz.de/10001615066