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Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Persistent link: https://www.econbiz.de/10014401286

Monetary policy and the exchange rate during the Asian crisis : identification through heteroscedasticity

Caporale, Guglielmo Maria (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001535797

Money, credit and transactions : drawing causal inference

Caporale, Guglielmo Maria; Howells, Peter G. A. - 1999

Persistent link: https://www.econbiz.de/10001615054

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 1999

Persistent link: https://www.econbiz.de/10001615056

Interest rate linkages : identifying structural relations

Barassi, Marco R.; Caporale, Guglielmo Maria; Hall, … - 2000

Persistent link: https://www.econbiz.de/10001615062

Fractional integration and mean reversion in stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001615066

Irreducibility and structural cointegration relations : an application to the G7 long-term interest rates

Barassi, Marco R.; Caporale, Guglielmo Maria; Hall, … - 2000

Persistent link: https://www.econbiz.de/10001615071

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003116139

Non-linearities and fractional integration in the US unemployment rate

Caporale, Guglielmo Maria (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001873870

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria - 2004

Persistent link: https://www.econbiz.de/10002139613

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