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Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 23-30

Persistent link: https://www.econbiz.de/10009507857

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

The PPP hypothesis revisited : evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

Persistent link: https://www.econbiz.de/10009731975

The Kenyan stock market : inefficiency, long memory, persistence and anomalies in the NSE-20

Balparda, Borja; Caporale, Guglielmo Maria; Gil-Alaña, … - In: African journal of economic and sustainable development 4 (2015) 3, pp. 254-277

Persistent link: https://www.econbiz.de/10011440196

Inflation in Mozambique : empirical facts based on persistence, seasonality and breaks

Gil-Alaña, Luis A.; Barros, Carlos Pestana; Faria, … - In: Applied economics 46 (2014) 19/21, pp. 2545-2555

Persistent link: https://www.econbiz.de/10010417196

Long-run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Journal of forecasting 33 (2014) 2, pp. 147-161

Persistent link: https://www.econbiz.de/10010424845

Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries

André, Christophe; Gil-Alaña, Luis A.; Gupta, Rangan - In: Applied economics 46 (2014) 16/18, pp. 2127-2138

Persistent link: https://www.econbiz.de/10010413319

Fractional integration with Bloomfield disturbances in the specification of real output in the G7 countries

Gil-Alaña, Luis A. (contributor) - In: Topics in macroeconomics 3 (2003) 1

Persistent link: https://www.econbiz.de/10001800507

Trends and cycles in macro series : the case of US real GDP

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Bulletin of economic research 74 (2022) 1, pp. 123-134

Persistent link: https://www.econbiz.de/10012819299

Persistence in the passion investment market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly...

Persistent link: https://www.econbiz.de/10012821953