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Year of publication
Subject
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Schätzung 189 Estimation 160 USA 155 Börsenkurs 142 United States 134 Share price 132 fractional integration 127 Theorie 124 Zeitreihenanalyse 120 Volatilität 116 Theory 114 Aktienmarkt 112 Volatility 108 Stock market 104 Time series analysis 103 EU-Staaten 76 Kointegration 75 Welt 70 Capital income 65 Cointegration 65 Kapitaleinkommen 65 EU countries 64 long memory 63 persistence 63 World 58 Wechselkurs 51 Exchange rate 48 ARCH-Modell 43 Großbritannien 42 Schwellenländer 42 Inflation 40 ARCH model 39 China 38 United Kingdom 38 Emerging economies 37 Internationaler Finanzmarkt 35 Konjunktur 34 Eurozone 32 Euro area 31 Spillover-Effekt 31
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Online availability
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Free
Type of publication
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Book / Working Paper Article 20
Type of publication (narrower categories)
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Working Paper 640 Arbeitspapier 373 Graue Literatur 372 Non-commercial literature 372 Conference Paper 1
Language
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English Undetermined 85
Author
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Caporale, Guglielmo Maria Asongu, Simplice 1,174 McAleer, Michael 872 Nijkamp, Peter 833 Sutter, Matthias 691 Zimmermann, Klaus F. 669 Heckman, James J. 653 Belke, Ansgar 648 Aizenman, Joshua 632 Wagner, Joachim 604 Klasen, Stephan 598 Acemoglu, Daron 592 Görg, Holger 587 Woessmann, Ludger 571 Peichl, Andreas 559 Härdle, Wolfgang 542 Güth, Werner 535 Dreher, Axel 515 Hasan, Iftekhar 512 Pesaran, M. Hashem 506 Winter-Ebmer, Rudolf 505 Stark, Oded 497 Snower, Dennis J. 474 Frey, Bruno S. 472 Nunnenkamp, Peter 472 Torgler, Benno 449 Tarp, Finn 438 Mitchell, Olivia S. 435 Schnabel, Claus 427 Schneider, Friedrich 427 Ravallion, Martin 424 Fehr, Ernst 420 Bryson, Alex 411 Poutvaara, Panu 411 Strulik, Holger 411 Afonso, António 406 Lambertini, Luca 405 Peri, Giovanni 405 Falk, Armin 402 Fritsch, Michael 394
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Institution
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CESifo 41 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 32 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 4 Institute for the Study of Labor (IZA) 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 European Central Bank 2 William Davidson Institute <Ann Arbor, Mich.> 2 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Department of Accounting, Economics and Finance, Bristol Business School 1 Department of Economics, Adam Smith Business School 1 Hamburgisches Welt-Wirtschafts-Archiv 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 International Monetary Fund (IMF) 1 Levy Economics Institute 1 Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho 1 University of Leicester / Department of Economics 1 William Davidson Institute, University of Michigan 1
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Published in...
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CESifo Working Paper 186 CESifo working papers 141 CESifo Working Paper Series 118 Economics and finance working paper series 102 DIW Discussion Papers 91 Discussion papers / Deutsches Institut für Wirtschaftsforschung 91 DIW Berlin Discussion Paper 75 Discussion Papers of DIW Berlin 32 IZA Discussion Papers 11 Discussion paper series / IZA 7 William Davidson Institute working papers series 6 Department of Economics working papers 5 IHS economics series : working paper 5 Reihe Ökonomie 5 ECB Working Paper 4 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 4 IZA Discussion Paper 4 Reihe Ökonomie / Economics Series 4 Working Paper 4 Discussion papers of interdisciplinary research project 373 3 SFB 373 Discussion Paper 3 Brunel University London, Economics and Finance Working Paper Series 2 THE WILLIAM DAVIDSON INSTITUTE AT THE UNIVERSITY OF MICHIGAN - Academic Working Papers 2 Working Paper Series / European Central Bank 2 Working paper series / European Central Bank 2 Bank of Finland Research Discussion Paper 1 Bank of Finland Research Discussion Papers 1 Bank of Finland research discussion papers 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Asset Price Dynamics 1 Brunel Economics and Finance Working Paper 1 Brunel University London, Department of Economics and Finance Working Paper Series 1 Brunel University London, Department of Economics and Finance, Working Paper 1 Brunel University London, Economics and Finance Working Paper 1 CEIS Research Paper 1 Discussion papers / Adam Smith Business School, University of Glasgow 1 Discussion papers / University of Leicester, Department of Economics 1 Economics Working Paper Archive 1 HWWA Discussion Paper 1 HWWA discussion paper 1 IMF Working Papers 1
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Source
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ECONIS (ZBW) 578 EconStor 268 RePEc 91 USB Cologne (business full texts) 2 BASE 1
Showing 1 - 10 of 940
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Forecasting inflation with a zero lower bound or negative interest rates : evidence from point and density forecasts
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower bound (the US, the UK and Canada) and in those with negative rates (Japan, the Euro Area and Switzerland). Using shadow rates obtained from two different models (the Wu-Xia...
Persistent link: https://www.econbiz.de/10013176885
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Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting countries (the UK, Canada, Australia, New Zealand and...
Persistent link: https://www.econbiz.de/10013177578
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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/10013177588
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Persistence in the Passion Investment Market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022
This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly...
Persistent link: https://www.econbiz.de/10013177620
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Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013177658
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Cover Image
Nonlinearities in the exchange rate pass-through : the role of inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting countries (the UK, Canada, Australia, New Zealand and...
Persistent link: https://www.econbiz.de/10012806637
Saved in:
Cover Image
Modelling persistence and non-linearities in the US treasury 10-year bond yields
Caporale, Guglielmo Maria; Gil-Alaña, 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/10012813850
Saved in:
Cover Image
Persistence in the passion investment market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022
This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly...
Persistent link: https://www.econbiz.de/10012821953
Saved in:
Cover Image
Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...
Persistent link: https://www.econbiz.de/10013041344
Saved in:
Cover Image
Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of integration around or above 1. The only exception is...
Persistent link: https://www.econbiz.de/10012493035
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