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~person:"Gil-Alaña, Luis A."
~person:"Kuzin, Vladimir"
~subject:"Capital income"
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Capital income
Time series analysis
217
Zeitreihenanalyse
217
Estimation
200
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200
fractional integration
164
Cointegration
95
Kointegration
95
USA
90
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90
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persistence
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long memory
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33
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fractional cointegration
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Gil-Alaña, Luis A.
Kuzin, Vladimir
Caporale, Guglielmo Maria
33
Bekaert, Geert
11
Diebold, Francis X.
9
Harvey, Campbell R.
9
Erdogan, Burcu
7
An, Jiyoun
6
Campbell, John Y.
6
Krippner, Leo
6
Bollerslev, Tim
5
Gil-Alana, Luis A.
5
Hamao, Yasushi
5
Hoxha, Indrit
5
Kalemli-Ozcan, Sebnem
5
Lewis, Karen K.
5
Vollrath, Dietrich
5
Yılmaz, Kamil
5
Ammer, John
4
Andersen, Torben G.
4
Cotter, John
4
De Santis, Roberto A.
4
Desai, Mihir A.
4
Foley, C. Fritz
4
Gabriel, Stuart A.
4
Lai, Sandy
4
Lucas, André
4
Plastun, Alex
4
Roll, Richard
4
Tellis, Gerard J.
4
Tirunillai, Seshadri
4
Wongswan, Jon
4
Yaya, OlaOluwa S.
4
Zaremba, Adam
4
Balli, Faruk
3
Brooks, Robin
3
Burdekin, Richard C. K.
3
Chow, Gregory C.
3
Danthine, Jean-Pierre
3
Del Negro, Marco
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CESifo working papers
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5
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3
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2
International journal of finance & economics : IJFE
2
Journal of economics and finance : JEF
2
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1
CESifo Working Paper Series
1
DIW Berlin Discussion Paper
1
Empirica : journal of european economics
1
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1
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1
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ECONIS (ZBW)
34
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1
Modelling profitability of private equity : a fractional
integration
approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Research in international business and finance
67
(
2024
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451482
Saved in:
2
Modelling profitability of private equity : a fractional
integration
approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2022
integration
methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas …
Persistent link: https://www.econbiz.de/10013285647
Saved in:
3
Fractional
integration
and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data
Yaya, OlaOluwa S.
;
Gil-Alaña, Luis A.
;
Shittu, …
- In:
International journal of finance & economics : IJFE
20
(
2015
)
3
,
pp. 276-290
Persistent link: https://www.econbiz.de/10011348408
Saved in:
4
Fractional
integration
in the volatility series of asset returns
Gil-Alaña, Luis A.
- In:
European review of economics and finance
2
(
2003
)
2
,
pp. 41-52
Persistent link: https://www.econbiz.de/10001802671
Saved in:
5
Fractional
integration
in the stock market volatility series
Gil-Alaña, Luis A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
8
,
pp. 775-783
Persistent link: https://www.econbiz.de/10001763176
Saved in:
6
Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2021
This paper uses R/S analysis and fractional
integration
techniques to examine the persistence of two sets of 12 ESG and …
Persistent link: https://www.econbiz.de/10012520863
Saved in:
7
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
-
2021
prices and bond yields using fractional
integration
techniques. The model is estimated first over the period January 1966 …
Persistent link: https://www.econbiz.de/10012494826
Saved in:
8
Profitability of private equity : mean reversion and transitory shocks
Gil-Alaña, Luis A.
;
Puertolas-Montanes, Francisco
- In:
Journal of economics and finance : JEF
47
(
2023
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10014252694
Saved in:
9
Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2020
fractional
integration
model suitable to capture both persistence and non-linearities, these being two important properties of …
Persistent link: https://www.econbiz.de/10012383724
Saved in:
10
Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Applied economics letters
29
(
2022
)
4
,
pp. 366-370
Persistent link: https://www.econbiz.de/10012803550
Saved in:
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