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Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000897287

Volatility transmission and financial crises

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Journal of economics and finance 30 (2006) 3, pp. 376-390

Persistent link: https://www.econbiz.de/10003413566

Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria - In: Journal of policy modeling : JPMOD ; a social science … 20 (1998) 5, pp. 581-601

Persistent link: https://www.econbiz.de/10001246740

Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000147732

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...