Výsledky vyhledávání - "Caporale, G.M. (Guglielmo M.)"

U.S. house prices by census division: persistence, trends and structural breaks

Autor: Caporale, G.M. (Guglielmo M.), Gil-Alana, L.A. (Luis A.)

This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically the monthly Federal Housing Finance Agency House Price Index for census divisions, and the United Sta

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______1111::56eece340fb052e26ea9afa4eabd3699
https://hdl.handle.net/10171/66150

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Fractional integration and the persistence of UK inflation, 1210-2016

Autor: Caporale, G.M. (Guglielmo M.), Gil-Alana, L.A. (Luis A.)

© 2020 The Authors. This note examines the degree of persistence of UK inflation by applying fractional integration methods to historical data spanning the period 1210–2016; the chosen approach is more general than the popular ARMA models based on

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6d81bbc990fe1684506ca6cc054233ee
https://bura.brunel.ac.uk/handle/2438/19883

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Long-term interest rates in Europe: a fractional cointegration analysis

Autor: Caporale, G.M. (Guglielmo M.), Gil-Alana, L.A. (Luis A.)

Publikováno v: Dadun. Depósito Académico Digital de la Universidad de Navarra
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© 2019 The Authors. This paper uses fractional integration/cointegration techniques to examine the stochastic behaviour of long-term interest rates (on government securities with 10-year maturity) in 23 European countries as well as their long-run l

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::42d3fda31abc3f145868cd7c60c7088a
http://bura.brunel.ac.uk/handle/2438/17661

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

Autor: Caporale, G.M. (Guglielmo M.), Carcel, H. (Hector), Gil-Alana, L.A. (Luis A.)

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______1111::5bb346add966aa064d495336c8ff180e
https://hdl.handle.net/10171/65730

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Persistence in the cryptocurrency market

Autor: Caporale, G.M. (Guglielmo M.), Gil-Alana, L.A. (Luis A.), Plastun, A. (Alex)

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______1111::23e7e2ffc29a91807777021d8bd970c7
https://hdl.handle.net/10171/65727

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Modelling Long Run Trends and Cycles in Financial Time Series Data

Autor: Gil-Alana, L.A. (Luis A.), Cuñado, J. (Juncal), Caporale, G.M. (Guglielmo M.)

Publikováno v: Dadun. Depósito Académico Digital de la Universidad de Navarra
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This paper proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and nonstationary processes based on integer and/or fractional

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::f9c40f9a6a28068e12ca040970a78759
https://hdl.handle.net/10171/43132

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