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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Review of financial economics : RFE 13 (2004) 3, pp. 245-258
Persistent link: https://www.econbiz.de/10002087632
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Fractional integration and mean reversion in stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: The quarterly review of economics and finance : journal … 42 (2002) 3, pp. 599-609
Persistent link: https://www.econbiz.de/10001712171
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Term structure persistence
Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352
Persistent link: https://www.econbiz.de/10011589005
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Testing of fractional cointegration in macroeconomic time series
Gil-Alaña, Luis A. - In: Oxford bulletin of economics and statistics 65 (2003) 4, pp. 517-529
Persistent link: https://www.econbiz.de/10001776839
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Testing of unit and fractional root cycles in macroeconomic time series
Gil-Alaña, Luis A. - In: European review of economics and finance 2 (2003) 1, pp. 5-21
Persistent link: https://www.econbiz.de/10001777301
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - In: The econometrics journal 3 (2000) 2, pp. 177-197
Persistent link: https://www.econbiz.de/10001546181
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Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
Gil-Alaña, Luis A. - In: Empirical economics : a journal of the Institute for … 28 (2003) 1, pp. 101-113
Persistent link: https://www.econbiz.de/10001724101
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Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device
Herwartz, Helmut - In: Economics letters 103 (2009) 3, pp. 160-162
Persistent link: https://www.econbiz.de/10003854913
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Testing the value of directional forecasts in the presence of serial correlation
Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42
Persistent link: https://www.econbiz.de/10010243646