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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10013368898

Stock market prices and dividends in the US : bubbles or long-run equilibria relationships?

Dettoni, Robinson; Gil-Alaña, Luis A.; Yaya, OlaOluwa S. - In: International review of financial analysis 94 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014544069

The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 118-123

Persistent link: https://www.econbiz.de/10014249042

Persistent and long-term co-movements between gender equality and global prices

Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - In: Economies : open access journal 12 (2024) 7, pp. 1-15

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

Persistent link: https://www.econbiz.de/10014636175

Stock market prices and exchange rates in Nigeria : insights from a nonlinear and asymmetric analysis

Dada, James Temitope; Olaniyi, Clement Olalekan; … - In: International journal of business and emerging markets … 16 (2024) 4, pp. 453-476

Persistent link: https://www.econbiz.de/10015075341

Stock market indices and interest rates in the US and Europe: persistence and long-run linkages

Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko; … - In: Studies in Economics and Finance 41 (2024) 5, pp. 1044-1056

Purpose This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and...

Persistent link: https://www.econbiz.de/10015356128

Earthquakes and stock market performance : evidence from Japan

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Muñoz, … - 2025

This paper examines the stochastic behaviour of the number of earthquakes (in total and also classified by magnitude) and stock market log prices and returns in the case of Japan over the period from January 2009 to February 2024 using fractional integration methods. Their linkages are then...

Persistent link: https://www.econbiz.de/10015393850

Stock markets and exchange rates throughout the Covid-19 pandemic : other evidences for Italy and China case

Regaïeg, Rym; Jmaii, Amal; Mgadmi, Nidhal - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1425-1447

Persistent link: https://www.econbiz.de/10015403606

Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens

Castelnuovo, Efrem; Mori, Lorenzo - 2022

uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes in uncertainty are … associated with an increase in (left) skewness and a downturn in real activity. Empirical findings related to VAR impulse … response of skewness to uncertainty shocks shows that skewness substantially amplifies the recessionary effects of uncertainty. …

Persistent link: https://www.econbiz.de/10013470321

Identification using higher-order moments restrictions

Andrade, Philippe; Ferroni, Filippo; Melosi, Leonardo - 2023

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

Persistent link: https://www.econbiz.de/10014480420