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The long memory of the forward premium during the 1920s’ float : evidence from the European foreign exchange market
Choudhry, Taufiq - In: The European journal of finance 19 (2013) 9/10, pp. 964-977
Persistent link: https://www.econbiz.de/10010245643
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Investing in mutual funds : are you paying for performance or for the ties of the manager?
Siriopoulos, Costas; Skaperda, Maria - In: Bulletin of applied economics 7 (2020) 2, pp. 153-164
Persistent link: https://www.econbiz.de/10012813848
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Is violation of the random walk assumption an exception or a rule in capital markets?
Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501
Persistent link: https://www.econbiz.de/10012485200
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On long memory behaviour and predictability of financial markets
Vo, Long H.; Roberts, Leigh - School of Economics and Finance, Victoria Business School - 2014
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10010860335
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Statistical persistence of air pollutants (O3,SO2,NO2 and PM10) in Mexico City
Meraz, M.; Rodriguez, E.; Femat, R.; Echeverria, J.C.; … - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 202-217
The rescaled range (R/S) analysis was used for analyzing the statistical persistence of air pollutants in Mexico City …-range persistence is not a uniform property over a wide range of time scales, from days to months. In fact, although the air pollutant … weekly) cycles are reflected in the dependence of the persistence strength as quantified in terms of the Hurst exponent. It …
Persistent link: https://www.econbiz.de/10011209662
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Non-Linearities and Fractional Integration in the US Unemployment Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...
Persistent link: https://www.econbiz.de/10009442364
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Non-Linearities And Fractional Integration In The Us Unemployment Rate
Caporale, GM; Gil-Alana, LA - 2004
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...
Persistent link: https://www.econbiz.de/10009481459
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Non-Linearities And Fractional Integration In The Us Unemployment Rate
Caporale, GM; Gil-Alana, LA - 2005
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...
Persistent link: https://www.econbiz.de/10009481461
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Persistence in Tax Revenues: Evidence from Some OECD Countries
Caporale, Guglielmo Maria; Tapia, Silvia García; … - 2023
This paper examines persistence in tax revenues in a set of 21 OECD countries over the period 1965-2021 using long …
Persistent link: https://www.econbiz.de/10014469622
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Long-Run Trends and Cycles in US House Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko - 2023
fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of …
Persistent link: https://www.econbiz.de/10014469660