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Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Recent econometric techniques for macroeconomic and …, (pp. 293-302). 2021

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (nonzero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012395490

Testing of unit root cycles in US macroeconomic series

Gil-Alaña, Luis A. - In: Business fluctuations and cycles, (pp. 171-192). 2008

Persistent link: https://www.econbiz.de/10003854129

Is the US inflation rate a persistent variable?

Gil-Alaña, Luis A. - In: Inflation : roles, targeting, and dynamics, (pp. 151-162). 2008

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Semiparametric estimation of the fractional differencing parameter in the US interest rate

Gil-Alaña, Luis A. - In: Liquidity, interest rates and banking, (pp. 235-247). 2009

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CAC-40 stock market index : long memory in the returns and in the volatility processes at different data frequencies

Gil-Alaña, Luis A.; Laniepce, Arnold - In: Stock returns : cyclicity, prediction and economic …, (pp. 211-220). 2009

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Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries : a stochastic hidden Markov model approach

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Some stochastic implications of the government's budget constraint : an empirical analysis

Caporale, Guglielmo Maria - In: Budgetary policy modelling : public expenditure, (pp. 78-101). 1997

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Sterling's relationship with the Deutschmark : a probabilistic reduction approach

Caporale, Guglielmo Maria - In: Exchange rate policy in Europe, (pp. 45-59). 1997

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Financial development and its effects on economic growth : a dynamic analysis

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The finance-growth nexus : evidence from ten new EU members

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