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Testing stock market convergence : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - In: Empirica : journal of european economics 42 (2015) 3, pp. 481-498

Persistent link: https://www.econbiz.de/10011485529

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: International journal of finance & economics : IJFE 21 (2016) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10011560168

Financial integration in the GCC region : market size versus national effects

Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - In: Open economies review 31 (2020) 2, pp. 309-316

Persistent link: https://www.econbiz.de/10012229747

Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 50-61

Persistent link: https://www.econbiz.de/10012430865

Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Recent econometric techniques for macroeconomic and …, (pp. 293-302). 2021

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (nonzero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012395490

Global and regional stock market integration in Asia : a panel convergence approach

Caporale, Guglielmo Maria; You, Kefei; Chen, Lei - In: International review of financial analysis 65 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012208866