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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
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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
Persistent link: https://www.econbiz.de/10013306037
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2010
Persistent link: https://www.econbiz.de/10008908037
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2013
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10013095490
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2009
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10013155201
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Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940
Persistent link: https://www.econbiz.de/10010341577
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979875
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late … apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default …
Persistent link: https://www.econbiz.de/10003983199
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late … apparent in the post-Lehman collapse phase of the crisis for the euro area as financial CDS premia rose due to possible default …
Persistent link: https://www.econbiz.de/10009129975
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Aggregate money demand functions in five industrial countries : are they cointegrated?
Caporale, Guglielmo Maria (contributor) - 1997
Persistent link: https://www.econbiz.de/10000964959