Guglielmo Maria Caporale

Brunel University - Centre for Empirical Finance

Uxbridge UB8 3PH

United Kingdom

SCHOLARLY PAPERS

75

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Scholarly Papers (75)

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

The Manchester School, Vol. 81, Issue 6, pp. 925-940, 2013
Number of pages: 16 Posted: 12 Oct 2013
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University - Centre for Empirical Finance and Brunel University
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Abstract:

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

DIW Berlin Discussion Paper No. 1289
Number of pages: 51 Posted: 12 Apr 2013 Last Revised: 03 Nov 2013
Guglielmo Maria Caporale, John Hunter and Faek Menla Ali
Brunel University - Centre for Empirical Finance, Brunel University - School of Social Science and Brunel University London - Department of Economics and Finance
Downloads 155 (155,869)

Abstract:

Stock prices, exchange rates, causality-in-variance, cointegration

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

CESifo Working Paper Series No. 4189
Number of pages: 32 Posted: 16 Apr 2013
Guglielmo Maria Caporale, John Hunter and Faek Menla Ali
Brunel University - Centre for Empirical Finance, Brunel University - School of Social Science and Brunel University London - Department of Economics and Finance
Downloads 51 (324,321)

Abstract:

stock prices, exchange rates, causality-in-variance, cointegration

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

DIW Berlin Discussion Paper No. 1386
Number of pages: 22 Posted: 03 Oct 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 62 (294,263)

Abstract:

Efficient Market Hypothesis; weekend effect; trading strategy

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

DIW Berlin Discussion Paper No. 1386
Number of pages: 22 Posted: 19 Jun 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 54 (315,520)

Abstract:

Efficient Market Hypothesis; weekend effect; trading strategy

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

CESifo Working Paper Series No. 4849
Number of pages: 20 Posted: 09 Jul 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 52 (321,351)

Abstract:

efficient market hypothesis, weekend effect, trading strategy

Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

DIW Berlin Discussion Paper No. 1300
Number of pages: 50 Posted: 24 May 2013
Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University - Centre for Empirical Finance and University of Piraeus - Department of Business Administration
Downloads 71 (273,135)

Abstract:

Mutual funds, performance, timing, gender difference, quantile regression

Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

CESifo Working Paper Series No. 4275
Number of pages: 46 Posted: 18 Jun 2013
Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University - Centre for Empirical Finance and University of Piraeus - Department of Business Administration
Downloads 49 (330,471)

Abstract:

mutual funds, performance, timing, gender difference, quantile regression

5.
Downloads 110 (204,161)

Macro News and Commodity Returns

CESifo Working Paper Series No. 5551
Number of pages: 20 Posted: 05 Nov 2015
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 57 (307,217)

Abstract:

macro news, commodity prices, VAR-GARCH model

Macro News and Commodity Returns

DIW Berlin Discussion Paper No. 1508
Number of pages: 21 Posted: 24 Sep 2015
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 53 (318,409)

Abstract:

Macro news, Commodity Prices, VAR-GARCH model

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

CESifo Working Paper Series No. 4752
Number of pages: 22 Posted: 09 May 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 63 (291,807)

Abstract:

efficient market hypothesis, intraday patterns, time of the day anomaly, trading strategy

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

DIW Berlin Discussion Paper No. 1377
Number of pages: 24 Posted: 07 May 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 41 (356,531)

Abstract:

Efficient Market Hypothesis, intraday patterns, time of the day anomaly, trading strategy

Linkages between the US and European Stock Markets: A Fractional Cointegration Approach

Number of pages: 26 Posted: 20 Mar 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. James Orlando
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 49 (330,471)

Abstract:

Stock markets, linkages, fractional integration, fractional cointegration

Linkages between the US and European Stock Markets: A Fractional Cointegration Approach

CESifo Working Paper Series No. 5523
Number of pages: 29 Posted: 19 Oct 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. James Orlando
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 37 (371,105)

Abstract:

stock markets, linkages, fractional integration, fractional cointegration

Linkages between the US and European Stock Markets: A Fractional Cointegration Approach

DIW Berlin Discussion Paper No. 1505
Number of pages: 29 Posted: 24 Sep 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. James Orlando
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 13 (493,240)

Abstract:

Stock markets, linkages, fractional integration, fractional cointegration

Environmental Regulation and Competitiveness: Evidence from Romania

CESifo Working Paper Series No. 3916
Number of pages: 20 Posted: 03 Sep 2012
EDHEC Business School, Brunel University - Centre for Empirical Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 38 (367,337)

Abstract:

environmental stringency, competitiveness, gravity model

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

CESifo Working Paper Series No. 4912
Number of pages: 19 Posted: 20 Aug 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 52 (321,351)

Abstract:

macro news, volatility spillovers, VAR-GARCH-in-mean model

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

DIW Berlin Discussion Paper No. 1399
Number of pages: 20 Posted: 30 Jul 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 37 (371,105)

Abstract:

Macro news, Volatility spillovers, VAR-GARCH-in-mean model

10.
Downloads 89 (235,957)

Persistence in Youth Unemployment

CESifo Working Paper Series No. 3961
Number of pages: 12 Posted: 17 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 46 (339,827)

Abstract:

youth unemployment, persistence, fractional integration

Persistence in Youth Unemployment

DIW Berlin Discussion Paper No. 1248
Number of pages: 14 Posted: 13 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 43 (349,680)

Abstract:

Youth unemployment, persistence, fractional integration

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis

DIW Berlin Discussion Paper No. 1583
Number of pages: 18 Posted: 30 May 2016
Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University - Centre for Empirical Finance and Brunel University
Downloads 68 (279,961)

Abstract:

Equity Fund Flows, Stock Market Returns, VAR-GARCH-in-mean model, Volatility

Loan Loss Provision: Some Empirical Evidence for Italian Banks

CESifo Working Paper Series No. 5253
Number of pages: 39 Posted: 09 Apr 2015
Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez
Brunel University - Centre for Empirical Finance, Federcasse, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 42 (353,091)

Abstract:

loan loss provision, bank lending, financial system cyclicality

Loan Loss Provision: Some Empirical Evidence for Italian Banks

DIW Berlin Discussion Paper No. 1459
Number of pages: 40 Posted: 12 Mar 2015
Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez
Brunel University - Centre for Empirical Finance, Federcasse, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 41 (356,531)

Abstract:

Loan loss provision, bank lending, financial system cyclicality

13.

Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel

CESifo Working Paper Series No. 3502
Number of pages: 27 Posted: 11 Jul 2011
Guglielmo Maria Caporale and Marinko Skare
Brunel University - Centre for Empirical Finance and Juraj Dobrila University of Pula
Downloads 81 (241,087)

Abstract:

employment growth, inflation, output growth, Golden Triangle theory

How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China

DIW Berlin Discussion Paper No. 1481
Number of pages: 41 Posted: 14 May 2015
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University - Centre for Empirical Finance, Middlesex University and University of Surrey
Downloads 46 (339,827)

Abstract:

Loan Spread, Loan Amount, Loan Maturity, China, Financial Crisis

How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China

CESifo Working Paper Series No. 5353
Number of pages: 42 Posted: 02 Jun 2015
Guglielmo Maria Caporale, Suman Lodh and Dr. Monomita Nandy
Brunel University - Centre for Empirical Finance, Middlesex University and University of Surrey - Surrey Business School
Downloads 31 (395,386)

Abstract:

loan spread, loan amount, loan maturity, China, financial crisis

Macro News and Bond Yield Spreads in the Euro Area

CESifo Working Paper Series No. 5008
Number of pages: 26 Posted: 22 Oct 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 56 (309,859)

Abstract:

news, yield spreads, volatility spillovers, VAR-GARCH model

Macro News and Bond Yield Spreads in the Euro Area

DIW Berlin Discussion Paper No. 1413
Number of pages: 27 Posted: 02 Oct 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 20 (453,008)

Abstract:

News, Yield Spreads, Volatility Spillovers, VAR-GARCH model

16.

Short-Term Price Overreactions: Identification, Testing, Exploitation

CESifo Working Paper Series No. 5066
Number of pages: 28 Posted: 02 Dec 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 74 (196,387)

Abstract:

efficient market hypothesis, anomaly, overreaction hypothesis, abnormal returns, contrarian strategy, trading strategy, trading robot, t-test

Exchange Rate Uncertainty and International Portfolio Flows

CESifo Working Paper Series No. 4234
Number of pages: 31 Posted: 22 May 2013
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 42 (353,091)

Abstract:

exchange rate uncertainty, equity flows, bond flows, causality-in-variance

Exchange Rate Uncertainty and International Portfolio Flows

DIW Berlin Discussion Paper No. 1296
Number of pages: 36 Posted: 14 May 2013 Last Revised: 29 Oct 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 30 (399,943)

Abstract:

Exchange rate uncertainty, Equity flows, Bond flows, Causality-in-variance

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis

DIW Berlin Discussion Paper No. 1486
Number of pages: 35 Posted: 10 Jun 2015
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University - Centre for Empirical Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 53 (318,409)

Abstract:

Healthcare expenditure, income elasticity, US states, fractional integration, fractional cointegration

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis

CESifo Working Paper Series No. 5407
Number of pages: 34 Posted: 06 Jul 2015
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University - Centre for Empirical Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 18 (464,463)

Abstract:

healthcare expenditure, income elasticity, US states, fractional integration, fractional cointegration

19.

Fiscal Spillovers in the Euro Area

CESifo Working Paper Series No. 3693
Number of pages: 33 Posted: 11 Jan 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University - Centre for Empirical Finance and National Institute of Statistics (ISTAT)
Downloads 70 (270,271)
Citation 2

Abstract:

global VAR methodology, fiscal spillovers, euro area, public debt

20.

Youth Unemployment in Europe: Persistence and Macroeconomic Determinants

CESifo Working Paper Series No. 4696
Number of pages: 20 Posted: 16 Apr 2014
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 66 (257,867)

Abstract:

youth unemployment, fractional integration, fractional cointegration

Trade Flows and Trade Specialisation: The Case of China

DIW Berlin Discussion Paper No. 1453
Number of pages: 32 Posted: 25 Feb 2015
Guglielmo Maria Caporale, Anamaria Sova and Robert Sova
Brunel University - Centre for Empirical Finance, Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 33 (386,844)

Abstract:

gravity model, panel data analysis, trade specialisation, comparative advantage

Trade Flows and Trade Specialisation: The Case of China

CESifo Working Paper Series No. 5217
Number of pages: 30 Posted: 10 Mar 2015
Guglielmo Maria Caporale, Anamaria Sova and Robert Sova
Brunel University - Centre for Empirical Finance, Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 29 (404,588)

Abstract:

gravity model, panel data analysis, trade specialisation, comparative advantage

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

DIW Berlin Discussion Paper No. 1394
Number of pages: 29 Posted: 28 Jun 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 37 (371,105)

Abstract:

China, Oil price uncertainty, Sectoral stock returns

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

CESifo Working Paper Series No. 4881
Number of pages: 27 Posted: 23 Jul 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 25 (424,766)

Abstract:

China, oil price uncertainty, sectoral stock returns

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

CESifo Working Paper Series No. 4224
Number of pages: 32 Posted: 08 May 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 35 (378,743)

Abstract:

high frequency data, long memory, volatility persistence, structural breaks

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

DIW Berlin Discussion Paper No. 1294
Number of pages: 33 Posted: 14 May 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 24 (430,234)

Abstract:

High frequency data, long memory, volatility persistence, structural breaks

24.

Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach

CESifo Working Paper Series No. 3645
Number of pages: 36 Posted: 30 Nov 2011
Guglielmo Maria Caporale, Thouraya Hadj Amor and Christophe Rault
Brunel University - Centre for Empirical Finance, University of Monastir - FSEGM and University of Orleans
Downloads 59 (255,906)

Abstract:

emerging economies, real exchange rate, volatility, financial integration, GMM method, dynamic panel

International Capital Markets Structure, Preferences and Puzzles: The US-China Case

DIW Berlin Discussion Paper No. 1362
Number of pages: 32 Posted: 13 Feb 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University - Centre for Empirical Finance, Goethe University Frankfurt - Research Center SAFE and HEC Montreal
Downloads 33 (386,844)

Abstract:

Financial autarky, complete markets, long-run risk, anomalies

International Capital Markets Structure, Preferences and Puzzles: The US-China Case

CESifo Working Paper Series No. 4669
Number of pages: 31 Posted: 20 Mar 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University - Centre for Empirical Finance, Goethe University Frankfurt - Research Center SAFE and HEC Montreal
Downloads 24 (430,234)

Abstract:

financial autarky, complete markets, long-run risk, anomalies

Macro News and Exchange Rates in the BRICS

DIW Berlin Discussion Paper No. 1545
Number of pages: 10 Posted: 10 Feb 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 28 (409,413)

Abstract:

BRICS, Exchange Rates, GARCH model, Macro news

Macro News and Exchange Rates in the BRICS

CESifo Working Paper Series No. 5748
Number of pages: 9 Posted: 12 Mar 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 27 (414,287)

Abstract:

BRICS, exchange rates, GARCH model, macro news

27.

Short-Term Price Overreaction: Identification, Testing, Exploitation

DIW Berlin Discussion Paper No. 1423
Number of pages: 29 Posted: 19 Nov 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 53 (242,879)

Abstract:

Efficient Market Hypothesis, anomaly, overreaction hypothesis, abnormal returns, contrarian strategy, trading strategy, trading robot, t-test

28.

US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis

CESifo Working Paper Series No. 3208
Number of pages: 25 Posted: 20 Oct 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 51 (308,154)

Abstract:

personal disposable income, house price index, fractional integration

29.

Inflation and Inflation Uncertainty in the Euro Area

ECB Working Paper No. 1229
Number of pages: 27 Posted: 24 Jul 2010
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University - Centre for Empirical Finance, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 50 (283,552)
Citation 3

Abstract:

Inflation, Inflation Uncertainty, Time-Varying Parameters, GARCH Models, ECB, EMU

Business Cycles, International Trade and Capital Flows: Evidence from Latin America

CESifo Working Paper Series No. 4006
Number of pages: 36 Posted: 27 Nov 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University - Centre for Empirical Finance and National Institute of Statistics (ISTAT)
Downloads 25 (424,766)

Abstract:

international business cycle, Latin America, VAR models, trade and financial linkages

Business Cycles, International Trade and Capital Flows: Evidence from Latin America

DIW Berlin Discussion Paper No. 1254
Number of pages: 37 Posted: 21 Nov 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University - Centre for Empirical Finance and National Institute of Statistics (ISTAT)
Downloads 23 (435,851)

Abstract:

International business cycle, Latin America, VAR models, trade and financial linkages

Spillovers between Food and Energy Prices and Structural Breaks

CESifo Working Paper Series No. 5282
Number of pages: 21 Posted: 14 Apr 2015
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 35 (378,743)

Abstract:

energy and food prices, VAR-GARCH BEKK model, mean and volatility spillovers

Spillovers between Food and Energy Prices and Structural Breaks

DIW Berlin Discussion Paper No. 1466
Number of pages: 22 Posted: 08 Apr 2015
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 11 (504,721)

Abstract:

Energy and food prices, VAR-GARCH BEKK model, Mean and volatility spillovers

Long Memory in German Energy Price Indices

DIW Berlin Discussion Paper No. 1186
Number of pages: 29 Posted: 18 Feb 2012
Carlos Pestana Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 24 (430,234)

Abstract:

energy prices, Germany, fractional integration, persistence, breaks and outliers

Long Memory in German Energy Price Indices

CESifo Working Paper Series No. 3935
Number of pages: 26 Posted: 20 Sep 2012
Carlos Pestana Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 22 (441,530)

Abstract:

energy prices, Germany, fractional integration, persistence, breaks and outliers

Re-Examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal

DIW Berlin Discussion Paper No. 1232
Number of pages: 28 Posted: 13 Aug 2012
Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso
Brunel University - Centre for Empirical Finance, ISAE, Istituto di Studi e Analisi Economica and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 29 (404,588)

Abstract:

Saving rate, Mortgage equity withdrawal, Asset prices, Mortgage rates, Vector Error Correction, Impulse response analysis

Re-Examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal

CESifo Working Paper Series No. 3897
Number of pages: 27 Posted: 29 Aug 2012
Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso
Brunel University - Centre for Empirical Finance, ISAE, Istituto di Studi e Analisi Economica and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 15 (481,715)

Abstract:

saving rate, mortgage equity withdrawal, asset prices, mortgage rates, Vector Error Correction, impulse response analysis

Testing Unemployment Theories: A Multivariate Long Memory Approach

CESifo Working Paper Series No. 4570
Number of pages: 19 Posted: 28 Jan 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Yuliya Lovcha
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra
Downloads 31 (395,386)

Abstract:

unemployment rate, multivariate long memory, fractional integration

Testing Unemployment Theories: A Multivariate Long Memory Approach

DIW Berlin Discussion Paper No. 1345
Number of pages: 21 Posted: 30 Jan 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 12 (498,988)

Abstract:

Unemployment rate, Multivariate long memory, Fractional integration

35.

Fractional Integration and Cointegration in US Financial Time Series Data

CESifo Working Paper Series No. 3416
Number of pages: 43 Posted: 27 Apr 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 43 (333,940)

Abstract:

fractional integration, long-range dependence, fractional cointegration, financial data

Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU

CESifo Working Paper Series No. 4172
Number of pages: 35 Posted: 08 Apr 2013
Guglielmo Maria Caporale, Roberta de Santis and Alessandro Girardi
Brunel University - Centre for Empirical Finance, Italian National Institute of Statistics and National Institute of Statistics (ISTAT)
Downloads 31 (395,386)

Abstract:

output synchronisation, trade intensity, endogeneity, European Monetary Union (EMU)

Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU

DIW Berlin Discussion Paper No. 1277
Number of pages: 37 Posted: 27 Mar 2013
Guglielmo Maria Caporale, Roberta de Santis and Alessandro Girardi
Brunel University - Centre for Empirical Finance, Italian National Institute of Statistics and National Institute of Statistics (ISTAT)
Downloads 11 (504,721)

Abstract:

output synchronisation, trade intensity, endogeneity, European Monetary Union (EMU)

37.

Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis

DIW Berlin Discussion Paper No. 1395
Number of pages: 19 Posted: 28 Jun 2014
Guglielmo Maria Caporale and Marinko Skare
Brunel University - Centre for Empirical Finance and Juraj Dobrila University of Pula
Downloads 41 (300,372)

Abstract:

ARFIMA-(FI)GARCH, Dual long memory, Volatility, Fractional impulse-response, Unemployment, Inflation

38.

Europe Agreements and Trade Balance: Evidence from Four New EU Members

CESifo Working Paper Series No. 3340
Number of pages: 34 Posted: 14 Feb 2011
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University - Centre for Empirical Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 41 (328,101)

Abstract:

regionalisation, trade flows, trade balance, panel data methods

39.

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

CESifo Working Paper Series No. 3281
Number of pages: 31 Posted: 26 Dec 2010
Guglielmo Maria Caporale, Alessandro Girardi and Paolo Paesani
Brunel University - Centre for Empirical Finance, National Institute of Statistics (ISTAT) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 35 (359,739)
Citation 1

Abstract:

liquidity, trading activity, treasury bond market, Europe, commonality

40.

Long-Term Price Overreactions: Are Markets Inefficient?

DIW Berlin Discussion Paper No. 1444
Number of pages: 27 Posted: 22 Jan 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 34 (290,566)

Abstract:

Efficient Market Hypothesis, anomaly, overreaction hypothesis, abnormal returns, contrarian strategy, trading strategy, trading robot, t-test

41.

Bank Lending Procyclicality and Credit Quality During Financial Crises

DIW Berlin Discussion Paper No. 1309
Number of pages: 39 Posted: 10 Jul 2013
Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez
Brunel University - Centre for Empirical Finance, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 33 (322,071)
Citation 1

Abstract:

loan losses, macroeconomic determinants, Italian banking system, SVAR

42.

Testing the Marshall-Lerner Condition in Kenya

DIW Berlin Discussion Paper No. 1247
Number of pages: 28 Posted: 13 Oct 2012
Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 33 (352,999)

Abstract:

Marshall-Lerner condition, fractional integration, fractional cointegration

Persistence and Cycles in US Hours Worked

CESifo Working Paper Series No. 3767
Number of pages: 28 Posted: 04 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 17 (470,234)

Abstract:

hours worked, fractional integration, cycles, technology shocks

Persistence and Cycles in US Hours Worked

DIW Berlin Discussion Paper No. 1200
Number of pages: 29 Posted: 01 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 15 (481,715)

Abstract:

Hours worked, fractional integration, cycles, technology shocks

44.

The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?

DIW Berlin Discussion Paper No. 1458
Posted: 12 Mar 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University

Abstract:

Efficient market hypothesis, weekend effect, trading strategy

Persistence and Cycles in the US Federal Funds Rate

CESifo Working Paper Series No. 4035
Number of pages: 25 Posted: 03 Jan 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 16 (475,926)

Abstract:

Federal Funds rate, persistence, cyclical behavior, fractional integration

Persistence and Cycles in the US Federal Funds Rate

DIW Berlin Discussion Paper No. 1255
Number of pages: 27 Posted: 22 Nov 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 9 (515,684)

Abstract:

Federal Funds rate, persistence, cyclical behaviour, fractional integration

46.

Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries

CESifo Working Paper Series No. 3621
Number of pages: 17 Posted: 27 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University - Centre for Empirical Finance and University of Minho
Downloads 25 (403,122)
Citation 1

Abstract:

consumption, wealth, stock returns, housing returns, OECD countries

47.

Price Discovery and Trade Fragmentation in a Multi - Market Environment: Evidence from the MTS System

CESifo Working Paper Series No. 3525
Number of pages: 42 Posted: 26 Jul 2011
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University - Centre for Empirical Finance and National Institute of Statistics (ISTAT)
Downloads 23 (398,620)

Abstract:

price discovery, liquidity, MTS system

48.

Persistence and Cyclical Dependence in the Monthly Euribor Rate

CESifo Working Paper Series No. 3653
Number of pages: 25 Posted: 01 Dec 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 22 (412,576)

Abstract:

Euribor rate, time dependence, cyclical behaviour

49.

Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets

CESifo Working Paper Series No. 3601
Number of pages: 17 Posted: 06 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University - Centre for Empirical Finance and University of Minho
Downloads 19 (417,519)
Citation 1

Abstract:

consumption, wealth, stock returns, housing returns, emerging markets

50.

The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model

DIW Berlin Discussion Paper No. 1288
Number of pages: 9 Posted: 12 Apr 2013
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 16 (432,779)

Abstract:

PPP, long memory, multivariate fractional integration

51.

Long Memory in the Ukrainian Stock Market

DIW Berlin Discussion Paper No. 1279
Number of pages: 24 Posted: 28 Mar 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 16 (458,490)

Abstract:

stock market prices, efficient market hypothesis, long memory, fractional integration

52.

Fiscal Adjustments and Business Cycle Synchronization

CESifo Working Paper Series No. 4505
Number of pages: 23 Posted: 23 Dec 2013
Luca Agnello, Guglielmo Maria Caporale and Ricardo Sousa
University of Palermo - Department of Economics, Brunel University - Centre for Empirical Finance and University of Minho - Department of Economics
Downloads 13 (458,490)

Abstract:

fiscal consolidation, fiscal stimulus, business cycle synchronization

53.

Local Banking and Local Economic Growth in Italy: Some Panel Evidence

DIW Berlin Discussion Paper No. 1409
Number of pages: 23 Posted: 02 Oct 2014
Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo and Juan Sergio Lopez
Brunel University - Centre for Empirical Finance, Federcasse Research Department, Federcasse - Federazione nazionale banche di credito cooperativo and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 11 (448,262)

Abstract:

Bank lending, local growth, panel data

54.

Fiscal Adjustment and Business Cycle Synchronization

DIW Berlin Discussion Paper No. 1339
Number of pages: 24 Posted: 30 Jan 2014
Luca Agnello, Guglielmo Maria Caporale and Ricardo Sousa
University of Palermo - Department of Economics, Brunel University - Centre for Empirical Finance and University of Minho - Department of Economics
Downloads 10 (453,391)

Abstract:

Fiscal consolidation, fiscal stimulus, business cycle synchronization

55.

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Multinational Finance Journal, Vol. 16, No. 1/2, p. 105-136, 2012
Number of pages: 32 Posted: 19 Jun 2015
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 8 (479,040)
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Abstract:

Fractional integration; Long memory; Exchange rates; Volatility

56.

Long Memory in the Ukrainian Stock Market and Financial Crises

Working Paper No. 13-27. – Brunel University, London,
Number of pages: 31 Posted: 04 Oct 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 5 (484,182)

Abstract:

Persistence, Long Memory, R/S Analysis, Fractional Integration

57.

Modelling Long‐Run Trends and Cycles in Financial Time Series Data

Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 405-421, 2013
Number of pages: 17 Posted: 26 Apr 2013
Guglielmo Maria Caporale, Juncal Cuñado and Luis A. Gil‐Alana
Brunel University - Centre for Empirical Finance, University of Navarra and University of Navarra
Downloads 1 (535,951)
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Abstract:

Fractional integration, Financial time series data, Trends, Cycles

58.

Are the Baltic Countries Ready to Adopt the Euro? A Generalized Purchasing Power Parity Approach

The Manchester School, Vol. 79, No. 3, pp. 429-454, 2011
Number of pages: 26 Posted: 21 Apr 2011
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University - Centre for Empirical Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 1 (535,951)
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Abstract:

59.

Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets

DIW Berlin Discussion Paper No. 1668
Number of pages: 35 Posted: 22 May 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 0 (535,951)

Abstract:

Global and regional integration, Asian stock markets, fractional integration, global financial crisis

60.

Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques

DIW Berlin Discussion Paper No. 1667
Number of pages: 22 Posted: 22 May 2017
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 0 (535,951)

Abstract:

Fisher effect, fractional integration, long memory, G7 countries

61.

Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests

DIW Berlin Discussion Paper No. 1669
Number of pages: 33 Posted: 22 May 2017
Guglielmo Maria Caporale and Kefei You
Brunel University - Centre for Empirical Finance and University of Greenwich
Downloads 0 (527,362)

Abstract:

Asian stock markets, global and regional integration, Phillips-Sul tests, panel and club convergence

62.

Long Memory and Data Frequency in Financial Markets

CESifo Working Paper Series No. 6396
Number of pages: 22 Posted: 18 Apr 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 0 (242,879)

Abstract:

persistence, long memory, R/S analysis, fractional integration

63.

Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB

DIW Berlin Discussion Paper No. 1590
Number of pages: 37 Posted: 13 Jul 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 0 (432,779)

Abstract:

ASEAN Currencies, Chinese RMB, US Dollar Peg, Fractional Integration, Breaks

64.

Analysing the Determinants of Credit Risk for General Insurance Firms in the UK

DIW Berlin Discussion Paper No. 1591
Number of pages: 43 Posted: 13 Jul 2016
Guglielmo Maria Caporale, Mario Cerrato and Xuan Zhang
Brunel University - Centre for Empirical Finance, University of Glasgow and University of Glasgow
Downloads 0 (403,122)

Abstract:

Insolvent, Doubly Stochastic, Insurance, Reinsurance

65.

Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?

DIW Berlin Discussion Paper No. 1588
Number of pages: 39 Posted: 19 Jun 2016
Brunel University - Centre for Empirical Finance, Ege University Department of Economics, Brunel University London, Brunel University London - Department of Economics and Finance and Ege University - Department of Economics
Downloads 0 (437,988)

Abstract:

Taylor rule, nonlinearities, emerging countries

66.

Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group

DIW Berlin Discussion Paper No. 1581
Number of pages: 23 Posted: 25 May 2016
Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini
Brunel University - Centre for Empirical Finance, INALDE Business School and Universidad Nacional del Litoral
Downloads 0 (473,911)

Abstract:

Devaluations, Trade balance, S-Curve, PAG Free Trade Agreement

67.

The Performance of Banks in the MENA Region During the Global Financial Crisis

DIW Berlin Discussion Paper No. 1580
Number of pages: 28 Posted: 25 May 2016
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University - Centre for Empirical Finance, Middlesex University and Brunel University London
Downloads 0 (352,999)

Abstract:

MENA region, banking sector, profitability, global financial crisis

68.

Calendar Anomalies in the Ukrainian Stock Market

DIW Berlin Discussion Paper No. 1573
Number of pages: 37 Posted: 28 Apr 2016 Last Revised: 21 May 2016
Guglielmo Maria Caporale and Alex Plastun
Brunel University - Centre for Empirical Finance and Sumy State University
Downloads 0 (417,519)

Abstract:

Calendar anomalies, day of the week effect, turn of the month effect, month of the year effect, January effect, holiday effect, Halloween effect

69.

Detecting 'Fake' Price Movements: A Convergence/Divergence Indicator

Brunel University London, Economics and Finance Working Paper No. 15-15
Number of pages: 24 Posted: 26 Mar 2016 Last Revised: 15 Sep 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 0 (120,402)

Abstract:

Pair trading, oscillator, trading strategy, convergence/divergence indicator (CDI)

70.

Exchange Rates and Macro News in Emerging Markets

DIW Berlin Discussion Paper No. 1558
Number of pages: 22 Posted: 17 Mar 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 0 (422,542)

Abstract:

Emerging markets, Exchange Rates, GARCH model, Macro news

71.

The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia

DIW Berlin Discussion Paper No. 1557
Number of pages: 34 Posted: 09 Mar 2016
Brunel University - Centre for Empirical Finance, Ege University, Brunel University London, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 0 (300,372)

Abstract:

Bank lending channel, Malaysia, Monetary transmission, Threshold VAR

72.

The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks

CESifo Working Paper Series No. 5630
Number of pages: 21 Posted: 22 Dec 2015
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 0 (484,182)

Abstract:

emerging markets, EMBI, fractional integration, non-linearities

73.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

CESifo Working Paper Series No. 5615
Number of pages: 25 Posted: 22 Dec 2015
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 0 (374,114)

Abstract:

bond flows, equity flows, exchange rates, regime switching

74.

Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Real Estate Economics, Forthcoming
Posted: 20 Mar 2015
Guglielmo Maria Caporale, Ricardo Sousa and Mark E. Wohar
Brunel University - Centre for Empirical Finance, University of Minho and University of Nebraska at Omaha

Abstract:

consumption-wealth ratio, housing returns

75.

Time‐Varying Spot and Futures Oil Price Dynamics

Scottish Journal of Political Economy, Vol. 61, Issue 1, pp. 78-97, 2014
Number of pages: 20 Posted: 04 Dec 2013
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University - Centre for Empirical Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 0 (548,141)
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Abstract: