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Mean reversion in stock market prices: New evidence based on bull and bear markets

Cunado, J.; Gil-Alana, L.A.; Gracia, Fernando Perez de - In: Research in International Business and Finance 24 (2010) 2, pp. 113-122

In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period...

Persistent link: https://www.econbiz.de/10008488213

A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach

Cunado, J.; Gil-Alana, L.A.; Gracia, F. Perez de - In: Journal of Banking & Finance 29 (2005) 10, pp. 2633-2654

Persistent link: https://www.econbiz.de/10005194978

Dynamic connectedness among the implied volatilities of oil prices and financial assets : new evidence of the COVID-19 pandemic

Antonakakis, Nikolaos; Cuñado Eizaguirre, Juncal; … - In: International review of economics & finance : IREF 83 (2023), pp. 114-123

Persistent link: https://www.econbiz.de/10014239933

Dynamic spillovers across precious metals and oil realized volatilities : evidence from quantile extended joint connectedness measures

Cuñado Eizaguirre, Juncal; Chatziantoniou, Ioannis; … - In: Journal of commodity markets 30 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014426696

Oil prices and economic activity : evidence for G-7 economies based on a wavelet approach

Redin, Dulce; Rodriguez, Ignacio; Cuñado Eizaguirre, Juncal - In: Applied economics letters 25 (2018) 5, pp. 305-308

Persistent link: https://www.econbiz.de/10011854488

Oil volatility, oil and gas firms and portfolio diversification

Antonakakis, Nikolaos; Cuñado Eizaguirre, Juncal; … - In: Energy economics 70 (2018), pp. 499-515

Persistent link: https://www.econbiz.de/10011942874

Oil and asset classes implied volatilities : investment strategies and hedging effectiveness

Antonakakis, Nikolaos; Cuñado Eizaguirre, Juncal; … - In: Energy economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012518750

Commodity price shocks, supply chain disruptions and U.S. inflation

Diaz, Elena; Cuñado Eizaguirre, Juncal; Perez de … - In: Finance research letters 58 (2023) 3, pp. 1-7

Persistent link: https://www.econbiz.de/10014631294

Testing for persistent deviations of stock prices to dividends in the Nasdaq index

Cuñado, J.; Gil-Alana, L.A.; Perez de Gracia, F. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4675-4685

In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998...

Persistent link: https://www.econbiz.de/10011063125

Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand

Gil-Alana, L.A. - In: Economic Modelling 25 (2008) 2, pp. 326-339

Persistent link: https://www.econbiz.de/10005021465