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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics

Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32

Persistent link: https://www.econbiz.de/10011964613

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: Finance research letters 24 (2018), pp. 34-41

Persistent link: https://www.econbiz.de/10011982450

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94

Persistent link: https://www.econbiz.de/10011982960

Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - In: Research in international business and finance 44 (2018), pp. 227-238

Persistent link: https://www.econbiz.de/10011983039

Persistence in the cryptocurrency market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Research in international business and finance 46 (2018), pp. 141-148

Persistent link: https://www.econbiz.de/10011983590

Fractional integration versus structural change : testing the convergence of CO2 emissions

Barassi, Marco R.; Spagnolo, Nicola; Zhao, Yuqian - In: Environmental & resource economics : the official … 71 (2018) 4, pp. 923-968

Persistent link: https://www.econbiz.de/10012023534

Persistence and cycles in US hours worked

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

Persistent link: https://www.econbiz.de/10010281793

Long memory in German energy price indices

Barros, Carlos P.; Caporale, Guglielmo Maria; … - 2012

, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional … integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results …

Persistent link: https://www.econbiz.de/10010287315

Persistence and cycles in US hours worked

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

Persistent link: https://www.econbiz.de/10010287319

Long memory in German energy price indices

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012

Persistent link: https://www.econbiz.de/10010288234

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