Luis A. Gil-Alana

University of Navarra - Department of Economics

Campus de Arrosadia

Pamplona, 31006

Spain

SCHOLARLY PAPERS

132

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11,557

SSRN CITATIONS
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Top 9,634

in Total Papers Citations

147

CROSSREF CITATIONS

25

Scholarly Papers (132)

1.
Downloads 706 (69,010)
Citation 26

Persistence in the Cryptocurrency Market

DIW Berlin Discussion Paper No. 1703
Number of pages: 19 Posted: 08 Dec 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 574 (88,593)
Citation 4

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Crypto currency, BitCoin, persistence, long memory, R/S analysis, fractional integration

Persistence in the Cryptocurrency Market

CESifo Working Paper Series No. 6811
Number of pages: 19 Posted: 21 Feb 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 132 (399,904)
Citation 21

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crypto currency, BitCoin, persistence, long memory, R/S analysis, fractional integration

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

DIW Berlin Discussion Paper No. 1386
Number of pages: 22 Posted: 03 Oct 2014
Brunel University London - Department of Economics and 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 179 (309,682)
Citation 3

Abstract:

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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
Brunel University London - Department of Economics and 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 86 (544,173)

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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
Brunel University London - Department of Economics and 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 76 (587,225)

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Efficient Market Hypothesis; weekend effect; trading strategy

3.

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: 16 Jun 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 332 (169,763)

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

4.

Is Market Fear Persistent? A Long-Memory Analysis?

CESifo Working Paper Series No. 6534
Number of pages: 20 Posted: 20 Jul 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 289 (196,537)
Citation 4

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market fear, VIX, persistence, long memory, R/S analysis, fractional integration

5.

Inflation Persistence in Europe: The Effects of the COVID-19 Pandemic and of the Russia-Ukraine War

CESifo Working Paper No. 10071
Number of pages: 10 Posted: 18 Nov 2022
Brunel University London - Department of Economics and Finance, Universidad Villanueva, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 232 (244,475)

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inflation persistence, fractional integration, recursive estimation, Covid-19 pandemic, Russia-Ukraine war

6.

Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches

Empirical Economics, online November 2018
Number of pages: 23 Posted: 18 Nov 2016 Last Revised: 27 Jul 2020
University of Nevada, Las Vegas, University of Navarra - Department of Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 232 (245,417)
Citation 1

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Persistence, Cyclicality, Chebyshev Polynomials, Gegenbauer Processes

7.

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

CESifo Working Paper Series No. 2330
Number of pages: 41 Posted: 13 Jun 2008
Guglielmo Maria Caporale, Juncal Cunado and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - Faculty of Economics and University of Navarra - Department of Economics
Downloads 232 (244,475)
Citation 1

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fractional integration, financial time series data, trends, cycles

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. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 119 (433,197)

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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. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 72 (605,832)

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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. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 37 (825,384)
Citation 2

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Stock markets, linkages, fractional integration, fractional cointegration

9.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 223 (253,832)
Citation 2

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

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

CESifo Working Paper Series No. 4752
Number of pages: 22 Posted: 09 May 2014
Brunel University London - Department of Economics and 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 133 (397,517)
Citation 1

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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
Brunel University London - Department of Economics and 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 85 (548,192)
Citation 1

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

Long Memory in Turkish Unemployment Rates

IZA Discussion Paper No. 11053
Number of pages: 38 Posted: 02 Oct 2017
Luis A. Gil-Alana, Zeynel Abidin Ozdemir and Aysit Tansel
University of Navarra - Department of Economics, Economic Research Forum (ERF) and Middle East Technical University (METU) - Department of Economics
Downloads 124 (419,799)

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unemployment, hysteresis, NAIRU, fractional integration, Turkey

Long Memory in Turkish Unemployment Rates

Number of pages: 36 Posted: 26 Sep 2017
Luis A. Gil-Alana, Zeynel Abidin Ozdemir and Aysit Tansel
University of Navarra - Department of Economics, Economic Research Forum (ERF) and Middle East Technical University (METU) - Department of Economics
Downloads 85 (548,192)

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Unemployment, hysteresis, NAIRU, fractional integration, Turkey

12.

Long Memory and Data Frequency in Financial Markets

DIW Berlin Discussion Paper No. 1647
Number of pages: 21 Posted: 10 Mar 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 197 (284,639)

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

13.
Downloads 191 (292,703)
Citation 1

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 111 (456,864)

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Youth unemployment, persistence, fractional integration

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 80 (569,344)

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youth unemployment, persistence, fractional integration

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
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 126 (414,757)
Citation 2

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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
Brunel University London - Department of Economics and Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 47 (750,113)
Citation 1

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

15.

Economic Growth and Recovery after Civil Wars

Number of pages: 43 Posted: 30 Sep 2013
Luis A. Gil-Alana and Prakarsh Singh
University of Navarra - Department of Economics and Amherst College - Department of Economics
Downloads 167 (329,411)
Citation 1

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economic growth recovery, civil wars, time-series

16.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 162 (338,094)

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personal disposable income, house price index, fractional integration

17.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 161 (339,916)
Citation 1

Abstract:

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

18.

Long Run and Cyclical Dynamics in the U.S. Stock Market

CESifo Working Paper No. 2046
Number of pages: 50 Posted: 06 Jul 2007
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 161 (339,916)
Citation 3

Abstract:

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stock market, fractional cycles, long memory, Gegenbauer processes

19.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 157 (347,164)

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

20.

Term Premium in a Fractionally Cointegrated Yield Curve

Number of pages: 43 Posted: 13 Dec 2017 Last Revised: 18 May 2020
Mirko Abbritti, Hector Carcel, Luis A. Gil-Alana and Antonio Moreno
Università degli Studi di Perugia, University of Navarra - School of Economics, University of Navarra - Department of Economics and School of Economics and Business, University of Navarra
Downloads 156 (349,061)

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U.S. yield curve, stochastic trend, fractional cointegration, term premium, international yield curves

21.

Modelling Structural Breaks in the Us, UK and Japanese Unemployment Rates

CESifo Working Paper Series No. 1734
Number of pages: 40 Posted: 13 Jun 2006
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 156 (349,061)
Citation 1

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unemployment, structural breaks, fractional integration

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 97 (503,165)

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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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 55 (697,879)
Citation 3

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

The Weekly Structure of US Stock Prices

CESifo Working Paper Series No. 3245
Number of pages: 21 Posted: 15 Nov 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 79 (573,711)

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fractional integration, weekly structure, stock prices

The Weekly Structure of US Stock Prices

DIW Berlin Discussion Paper No. 1077
Number of pages: 23 Posted: 17 Nov 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 72 (605,832)

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Fractional Integration, Weekly Structure, Stock Prices

24.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 143 (374,603)
Citation 2

Abstract:

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youth unemployment, fractional integration, fractional cointegration

25.

Persistence in ESG and Conventional Stock Market Indices

CESifo Working Paper No. 9098
Number of pages: 28 Posted: 03 Jun 2021
Brunel University London - Department of Economics and 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 138 (385,141)
Citation 4

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The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?

Number of pages: 27 Posted: 06 May 2006
Bertrand Candelon, Arnaud Dupuy and Luis A. Gil-Alana
University of Maastricht - Department of Economics, Centre de Recherche en Économie Appliquée (CREA) and University of Navarra - Department of Economics
Downloads 70 (615,661)

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Occupational Unemployment, Structuralist, Hysteresis, Structural Break

The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?

IZA Discussion Paper No. 3571
Number of pages: 26 Posted: 07 Jul 2008
Bertrand Candelon, Arnaud Dupuy and Luis A. Gil-Alana
University of Maastricht - Department of Economics, Centre de Recherche en Économie Appliquée (CREA) and University of Navarra - Department of Economics
Downloads 60 (668,559)

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occupational unemployment, structuralist, hysteresis, structural break, fractional integration

27.

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

DIW Berlin Discussion Paper No. 975
Number of pages: 41 Posted: 27 Apr 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 129 (406,076)
Citation 1

Abstract:

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Fractional integration, Long memory, Exchange rates, Volatility

28.

Non-Linearities and Fractional Integration in the Us Unemployment Rate

Number of pages: 23 Posted: 05 Feb 2004
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 124 (418,273)
Citation 3

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Unemployment, Asymmetries, Nonlinearities, Fractional Integration, Persistence, Long Memory

29.
Downloads 120 (428,677)
Citation 1

Brexit and Uncertainty in Financial Markets

CESifo Working Paper Series No. 6874
Number of pages: 20 Posted: 06 Apr 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 78 (578,057)

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Brexit, uncertainty, IVI index, British pound’s implied volatilities, financial markets

Brexit and Uncertainty in Financial Markets

DIW Berlin Discussion Paper No. 1719
Number of pages: 21 Posted: 31 Jan 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 42 (786,209)
Citation 2

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Brexit, uncertainty, IVI index, British pound’s implied volatilities, financial markets

30.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 120 (428,677)
Citation 1

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

31.

A Multivariate Long-Memory Model with Structural Breaks

CESifo Working Paper Series No. 1950
Number of pages: 29 Posted: 18 Apr 2007
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 119 (431,356)

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multivariate models, fractional integration, structural breaks

32.

Stock Market Linkages between the ASEAN Countries, China and the Us: A Fractional Cointegration Approach

CESifo Working Paper No. 7537
Number of pages: 39 Posted: 08 Mar 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 118 (434,156)
Citation 2

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Asian stock markets, financial integration, fractional integration, fractional cointegration

33.

Identification of Segments of European Banks with a Latent Class Frontier Model

CESifo Working Paper Series No. 2110
Number of pages: 26 Posted: 10 Oct 2007
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 116 (439,658)

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European banking, latent class frontier model, technical efficiency

34.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 115 (442,537)

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

35.
Downloads 113 (448,463)
Citation 1

Long Memory in German Energy Price Indices

DIW Berlin Discussion Paper No. 1186
Number of pages: 29 Posted: 18 Feb 2012
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 67 (630,549)
Citation 1

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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
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 46 (756,986)

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

36.
Downloads 112 (451,363)
Citation 1

Central Bank Policy Rates: Are They Cointegrated?

CESifo Working Paper Series No. 6389
Number of pages: 18 Posted: 12 Apr 2017
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 79 (573,711)

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interest rates, long memory, fractional integration and cointegration

Central Bank Policy Rates: Are They Cointegrated?

DIW Berlin Discussion Paper No. 1648
Number of pages: 20 Posted: 17 Mar 2017
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 33 (858,996)

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Interest Rates, long memory, fractional integration and cointegration

37.

Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

CESifo Working Paper Series No. 1989
Number of pages: 28 Posted: 22 May 2007
Guglielmo Maria Caporale, Juncal Cunado and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - Faculty of Economics and University of Navarra - Department of Economics
Downloads 103 (479,554)

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deterministic and stochastic seasonality, fractional integration, structural breaks

38.
Downloads 102 (482,735)
Citation 2

Long Memory in US Real Output per Capita

CESifo Working Paper Series No. 2671
Number of pages: 42 Posted: 29 Jun 2009
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 54 (704,083)

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fractional integration, long memory, convergence

Long Memory in US Real Output Per Capita

DIW Berlin Discussion Paper No. 891
Number of pages: 40 Posted: 31 Aug 2009
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 48 (743,307)
Citation 1

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Fractional Integration, Long Memory, Convergence

Trends and Cycles in Macro Series: The Case of US Real GDP

CESifo Working Paper Series No. 6728
Number of pages: 26 Posted: 11 Jan 2018
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 61 (662,910)

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GDP, GDP per capita, trends, cycles, long memory, fractional integration

Trends and Cycles in Macro Series: The Case of US Real GDP

DIW Berlin Discussion Paper No. 1695
Number of pages: 27 Posted: 21 Oct 2017
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 40 (801,758)

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GDP, GDP per capita, trends, cycles, long memory, fractional integration

40.

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

Bank of Finland Research Discussion Paper No. 20/2016
Number of pages: 38 Posted: 15 Aug 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 100 (489,183)

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F31, C22, ASEAN currencies, Chinese RMB, US dollar peg, fractional integration, breaks

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 65 (641,002)

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Hours worked, fractional integration, cycles, technology shocks

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 35 (841,779)

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hours worked, fractional integration, cycles, technology shocks

On the Persistence of UK Inflation: A Long-Range Dependence Approach

DIW Berlin Discussion Paper No. 1731
Number of pages: 34 Posted: 18 Apr 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 54 (704,083)
Citation 1

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UK inflation, persistence, fractional integration

On the Persistence of UK Inflation: A Long-Range Dependence Approach

CESifo Working Paper Series No. 6968
Number of pages: 33 Posted: 30 May 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 44 (771,363)

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UK inflation, persistence, fractional integration

Testing Unemployment Theories: A Multivariate Long Memory Approach

CESifo Working Paper Series No. 4570
Number of pages: 19 Posted: 28 Jan 2014
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra
Downloads 55 (697,879)

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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 London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 43 (778,777)

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Unemployment rate, Multivariate long memory, Fractional integration

44.

Uncovering the U.S. Term Premium: An Alternative Route

Number of pages: 43 Posted: 26 Mar 2008
Luis A. Gil-Alana and Antonio Moreno
University of Navarra - Department of Economics and School of Economics and Business, University of Navarra
Downloads 98 (495,863)
Citation 12

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Interest Rates, Term Premium, Fractional Integration

45.

Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses: A Fractional Integration Analysis

CESifo Working Paper No. 9624
Number of pages: 22 Posted: 21 Mar 2022
University of Ghana - University of Ghana Business School (UGBS), Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 96 (502,590)
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Covid-19 pandemic, cryptocurrencies, Fintech, artificial intelligence, Covid-19 policies, fractional integration

46.

The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets During the COVID-19 Pandemic

CESifo Working Paper No. 9163
Number of pages: 21 Posted: 09 Jul 2021
University of Cape Coast, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 88 (531,080)
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47.

Is Market Fear Persistent? A Long-Memory Analysis

DIW Berlin Discussion Paper No. 1670
Number of pages: 21 Posted: 19 Jun 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 82 (554,366)
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Market Fear, VIX, Persistence, Long Memory, R/S Analysis, Fractional Integration

48.

Stock Market Prices and Dividends in the US: Bubbles or Long-Run Equilibria Relationships?

Number of pages: 32 Posted: 03 May 2024
OlaOluwa S. Yaya, Luis A. Gil-Alana and Robinson Dettoni
University of Ibadan - Department of Statistics, University of Navarra - Department of Economics and University of Santiago, Chile
Downloads 81 (562,607)

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stock market prices; dividends; fractional cointegration; duration dependence models

49.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 80 (562,607)
Citation 1

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Marshall-Lerner condition, fractional integration, fractional cointegration

50.

Testing Unemployment Hysteresis in European Countries: Argument Based on Three-Generation Unit Root Tests

Number of pages: 27 Posted: 01 Aug 2022
University of Ibadan - Department of Statistics, Centre for Econometrics and Applied Research (CEAR), University of Navarra - Department of Economics, Independent and University of Economics Ho Chi Minh City
Downloads 75 (583,910)

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Europe; hysteresis; labour market; nonlinearity; unemployment; unit roots

51.
Downloads 75 (583,910)
Citation 1

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 43 (778,777)

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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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 32 (867,679)
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Federal Funds rate, persistence, cyclical behaviour, fractional integration

52.

Are BRICS Exchange Rates Chaotic?

Applied Economics Letters, Forthcoming
Number of pages: 9 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, University of Navarra - Department of Economics and University of Nebraska at Omaha
Downloads 74 (588,265)

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Exchange Rate, Chaos, Lyapunov Exponent

53.

Persistence and Cyclical Dynamics of U.S. and U.K. House Prices: Evidence from Over 150 Years of Data

Journal of Policy Modeling, online October 2019
Number of pages: 46 Posted: 19 Jun 2018 Last Revised: 27 Jul 2020
California State University, Los Angeles - Department of Economics & Statistics, University of Navarra - Department of Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 73 (592,692)
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Persistence; house prices; fractional integration, cyclical behavior

54.

Co2 Emissions and GDP: Evidence from China

CESifo Working Paper No. 7881
Number of pages: 28 Posted: 23 Oct 2019
Brunel University London - Department of Economics and Finance, Francisco de Vitoria University and University of Navarra - Department of Economics
Downloads 72 (597,191)
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CO2 emissions, GDP, China, persistence, fractional integration, fractional cointegration

55.

Technology Shocks and Hours Worked: A Fractional Integration Perspective

Number of pages: 44 Posted: 10 Jan 2006
Luis A. Gil-Alana and Antonio Moreno
University of Navarra - Department of Economics and School of Economics and Business, University of Navarra
Downloads 71 (601,747)
Citation 1

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Technology shocks, hours worked, fractional integration

56.

Long Memory and Fractional Integration in High Frequency Financial Time Series

DIW Berlin Discussion Paper No. 1016
Number of pages: 29 Posted: 15 Jul 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 70 (606,447)
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High frequency data; long memory; volatility persistence; structural breaks

57.

The Deaton Paradox in a Long Memory Context with Structural Breaks

Number of pages: 28 Posted: 27 Apr 2009 Last Revised: 28 Apr 2009
Seonghoon Cho, Luis A. Gil-Alana and Antonio Moreno
School of Economics, Yonsei University, University of Navarra - Department of Economics and School of Economics and Business, University of Navarra
Downloads 69 (611,103)

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Consumption Smoothness, Permanent Income Hypothesis, Long Memory, Structural Breaks, Monthly Frequency

Unemployment Persistence in Europe: Evidence from the 27 EU Countries

CESifo Working Paper No. 9392
Number of pages: 24 Posted: 08 Nov 2021
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Huelva
Downloads 40 (801,758)

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unemployment persistence, long memory, Europe, fractional integration

Unemployment Persistence in Europe Evidence from the 27 EU Countries

Number of pages: 22 Posted: 02 Nov 2021
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Huelva
Downloads 28 (904,146)

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Unemployment persistence, long memory, Europe, fractional integration

59.

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

CESifo Working Paper Series No. 5995
Number of pages: 35 Posted: 12 Aug 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and London Metropolitan University
Downloads 66 (625,426)

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ASEAN currencies, Chinese RMB, US dollar peg, fractional integration, breaks

60.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 63 (640,526)

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Euribor rate, time dependence, cyclical behaviour

61.

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

CESifo Working Paper No. 8976
Number of pages: 18 Posted: 05 Apr 2021
Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 62 (645,771)
Citation 1

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62.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 61 (651,002)
Citation 1

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

63.

Violence and the Market for Food: Evidence from Kenya

Number of pages: 44 Posted: 09 Jun 2013
Luis A. Gil-Alana and Prakarsh Singh
University of Navarra - Department of Economics and Amherst College - Department of Economics
Downloads 61 (651,002)

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food prices, persistence, violence, Kenya

64.

Energy Consumption in the GCC Countries: Evidence on Persistence

CESifo Working Paper No. 7470
Number of pages: 21 Posted: 21 Feb 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Manuel Monge
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 60 (656,357)
Citation 3

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fractional integration, energy consumption, GCC countries

65.

Fractional Integration and Cointegration in US Financial Time Series Data

DIW Berlin Discussion Paper No. 1116
Number of pages: 45 Posted: 22 Apr 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 60 (656,357)

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

66.

Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

CESifo Working Paper No. 9554
Number of pages: 13 Posted: 10 Feb 2022
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Ibadan - Department of Statistics
Downloads 58 (667,120)

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non-linearities, Chebyshev polynomials, Fourier functions, persistence, US Treasury, 10-year bond yields

67.

The Dynamics of Unemployment by Territory, Gender, and Age Groups in Iran

Number of pages: 26 Posted: 22 Mar 2021
Iman Cheratian, Saleh Goltabar and Luis A. Gil-Alana
Academic Center for Education, Culture, and Research (ACECR), Tarbiat Modares University, Tehran, Iran, Academic Center for Education, Culture, and Research (ACECR), Tarbiat Modares University, Tehran, Iran and University of Navarra - Department of Economics
Downloads 58 (667,120)

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Unemployment, hysteresis, GARCH-based unit root, Iran.

68.

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

CESifo Working Paper Series No. 6477
Number of pages: 34 Posted: 13 Jun 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 57 (672,603)

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Global and Regional Integration, Asian Stock Markets, Fractional Integration, Global Financial Crisis

69.

Persistence in the Market Risk Premium: Evidence Across Countries

CESifo Working Paper No. 8211
Number of pages: 31 Posted: 15 Apr 2020
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Complutense de Madrid (UCM)
Downloads 56 (678,261)

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CAPM, risk premium, persistence, mean reversion, long memory

70.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 56 (678,261)
Citation 1

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

71.

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

DIW Berlin Discussion Paper No. 1070
Number of pages: 23 Posted: 13 Oct 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 56 (678,261)
Citation 1

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Personal Disposable Income, House Price Index, Fractional Integration

72.

Testing Fractional Integration in Time Series with Artificial Neural Network

Number of pages: 17 Posted: 29 Jul 2022
Independent, University of Navarra - Department of Economics, University of Ibadan - Department of Statistics, University of Malaya (UM), Faculty of Economics & Administration (FEA), Students and Centre for Econometrics and Applied Research (CEAR)
Downloads 55 (683,873)
Citation 1

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Autoregressive neural network; fractional integration; unit root test; non-linearity; Fourier function

73.

Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models

DIW Berlin Discussion Paper No. 1006
Number of pages: 18 Posted: 14 Jul 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 55 (683,873)

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Fractional Integration, Long Memory, Stochastic Volatility, Asset Returns

74.

Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis

CESifo Working Paper No. 9950
Number of pages: 16 Posted: 22 Sep 2022
Brunel University London - Department of Economics and Finance, University of Navarra and University of Navarra - Department of Economics
Downloads 52 (701,455)

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stock market prices, cryptocurrencies, persistence, fractional integration and cointegration

75.

The Impact of the COVID-19 Pandemic on Persistence in the European Stock Markets

CESifo Working Paper No. 9382
Number of pages: 30 Posted: 01 Nov 2021
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra
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Covid-19 pandemic, European stock market indices, persistence, fractional integration

76.

High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach

CESifo Working Paper No. 7652
Number of pages: 24 Posted: 24 Jul 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 52 (701,455)

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high and low prices, range, fractional integration

77.

Fractional Cointegration in US Term Spreads

DIW Berlin Discussion Paper No. 981
Number of pages: 12 Posted: 31 May 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 52 (701,455)

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Term structure, Long memory, Fractional integration, Fractional cointegration

78.

Breakfast Index Commodities and Global Warming Effects

Number of pages: 43 Posted: 12 Jan 2022
affiliation not provided to SSRN, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 51 (707,703)

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sustainability, fractional integration, fractional cointegration, FCVAR, persistence

79.

Inflation in the G7 Countries: Persistence and Structural Breaks

CESifo Working Paper No. 8349
Number of pages: 21 Posted: 10 Jun 2020
Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 49 (720,191)
Citation 2

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80.

Economic Policy Uncertainty: Persistence and Cross-Country Linkages

CESifo Working Paper No. 8289
Number of pages: 27 Posted: 20 May 2020
University of Cape Coast, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
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economic policy uncertainty, persistence, long memory, fractional integration, fractional cointegration.

81.

Cycles and Long-Range Behaviour in the European Stock Market

CESifo Working Paper No. 7943
Number of pages: 17 Posted: 27 Nov 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 47 (732,908)

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European stock markets, long run behavior, cycles, persistence

82.

Persistence in the Russian Stock Market Volatility Indices

CESifo Working Paper No. 7243
Number of pages: 20 Posted: 31 Oct 2018
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and XLRI – Xavier School of Management
Downloads 47 (732,908)
Citation 1

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RTSVX, RVI, volatility, persistence, fractional integration, long memory

83.

Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence

CESifo Working Paper Series No. 7073
Number of pages: 22 Posted: 21 Jul 2018
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 47 (732,908)

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East Africa Community, monetary union, optimal currency areas, fractional integration and cointegration, business cycle synchronization, Hodrick-Prescott filter

84.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 47 (732,908)

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PPP, long memory, multivariate fractional integration

85.

Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market

CESifo Working Paper No. 8171
Number of pages: 27 Posted: 31 Mar 2020
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Complutense de Madrid (UCM)
Downloads 46 (739,396)

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realized beta, CAPM, persistence, mean reversion, long memory

86.

How Do Stocks in BRICS Co-Move With REITs?

Number of pages: 26 Posted: 12 May 2019
University of Navarra - Department of Economics, University of Ibadan - Department of Statistics, University of the Witwatersrand and Capital Markets Board of Turkey
Downloads 46 (739,396)

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Credit and wealth effects; Fractional integration; fractional cointegration; BRIC countries, REIT indices

87.

Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries

CESifo Working Paper No. 8889
Number of pages: 21 Posted: 19 Feb 2021
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Villanueva
Downloads 45 (746,118)

Abstract:

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88.

US Policy Responses to the COVID-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach

CESifo Working Paper No. 9386
Number of pages: 20 Posted: 01 Nov 2021
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Cape Coast
Downloads 44 (752,856)

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Covid-19 pandemic, US sectoral stock indices, fractional integration

89.

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

CESifo Working Paper No. 7667
Number of pages: 29 Posted: 25 Jul 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 44 (752,856)

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European stock markets, nonstationarity, unit roots, fractional integration, persistence, non-linearities

90.

Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK

Applied Econometrics and International Development, Vol. 3, No. 1, 2003
Number of pages: 10 Posted: 17 Aug 2008
Luis A. Gil-Alana
University of Navarra - Department of Economics
Downloads 44 (752,856)

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Time series models, Long memory, Fractional integration, Consumption and Income in the UK

91.

Modelling Profitability of Private Equity: A Fractional Integration Approach

CESifo Working Paper No. 9843
Number of pages: 42 Posted: 20 Jul 2022
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 43 (759,797)

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private equity, profitability, fractional integration, long memory, mean reversion

92.

Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis

CESifo Working Paper No. 10084
Number of pages: 17 Posted: 18 Nov 2022
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 42 (766,815)

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gold and silver, hedge, safe heaven, fractional integration and cointegration

93.

Persistence and Cyclical Dependence in the Monthly Euribor Rate

DIW Berlin Discussion Paper No. 1165
Number of pages: 26 Posted: 28 Oct 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 42 (766,815)

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Euribor rate, time dependence, cyclical behaviour

94.

Precious Metal Prices: A Tale of Four U.S. Recessions

IZA Discussion Paper No. 16012
Number of pages: 17 Posted: 20 Mar 2023
Universitat Internacional de Catalunya, University of Navarra, University of Navarra - Department of Economics and University of Navarra
Downloads 41 (774,075)

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precious metal prices, U.S. recessions, persistence, COVID-19

95.

Persistence in the Passion Investment Market

CESifo Working Paper No. 9586
Number of pages: 29 Posted: 24 Feb 2022
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and Sumy State University
Downloads 41 (774,075)

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

96.

Persistence and Trends in CO 2 Emissions in Africa: Is Chinese FDI Behind These Features?

Number of pages: 35 Posted: 13 Dec 2021
Universidad Francisco de Vitoria, University of Navarra - Department of Economics and University of the Basque Country
Downloads 41 (774,075)

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CO2 emissions, Africa, China, FDI, persistence, time trends

97.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 41 (774,075)

Abstract:

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Fractional integration; Long memory; Exchange rates; Volatility

98.

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
Brunel University London - Department of Economics and 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 (774,075)
Citation 5

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

99.

Persistence and Long Memory in Monetary Policy Spreads

CESifo Working Paper No. 8664
Number of pages: 27 Posted: 10 Nov 2020
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 40 (781,393)

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100.

US Sea Level Data: Time Trends and Persistence

CESifo Working Paper No. 8274
Number of pages: 23 Posted: 14 May 2020
Guglielmo Maria Caporale, Luis A. Gil-Alana and Laura Sauci
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 40 (781,393)
Citation 2

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sea level, time trends, fractional integration

101.

Multi-Factor Gegenbauer Processes and European Inflation Rates

CESifo Working Paper Series No. 2648, DIW Berlin Discussion Paper No. 879
Number of pages: 28 Posted: 28 May 2009
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 40 (781,393)
Citation 1

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fractional integration, long memory, inflation

102.

An Examination of Trade-Weighted Real Exchange Rates Based on Fractional Integration

Number of pages: 25 Posted: 25 Mar 2019
Luis A. Gil-Alana and Tommaso Trani
University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 38 (795,963)

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mean reversion, nonstationarity, persistence, fractional integration, semiparametric methods

103.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 38 (795,963)

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

104.

Testing the Order of Integration of the U.K. Unemployment

Applied Econometrics and International Development, Vol. 2, No. 1, 2002
Number of pages: 20 Posted: 14 Aug 2008
Luis A. Gil-Alana
University of Navarra - Department of Economics
Downloads 38 (795,963)

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Unemployment in UK, Unit roots, Fractionally Integrated Series

105.

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 London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 37 (803,570)

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emerging markets, EMBI, fractional integration, non-linearities

106.

Measuring Persistence of the World Population: A Fractional Integration Approach

CESifo Working Paper No. 10286
Number of pages: 17 Posted: 23 Feb 2023
Brunel University London - Department of Economics and Finance, Universidad Villanueva, University Villanueva and University of Navarra - Department of Economics
Downloads 35 (819,068)

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population growth, long memory, fractional integration, time trends

107.

Atmospheric Pollution in Chinese Cities: Trends and Persistence

CESifo Working Paper No. 10161
Number of pages: 16 Posted: 28 Dec 2022
Brunel University London - Department of Economics and Finance, Francisco de Vitoria University and University of Navarra - Department of Economics
Downloads 34 (827,189)

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China, pollution, trends, persistence, long-range dependence

108.

Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks

CESifo Working Paper No. 10018
Number of pages: 16 Posted: 28 Oct 2022
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 34 (827,189)

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nominal and real wages, mean reversion, persistence, fractional integration, structural breaks

109.

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

CESifo Working Paper Series No. 6482
Number of pages: 21 Posted: 19 Jun 2017
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 34 (827,189)

Abstract:

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Fisher effect, fractional integration, long memory, G7 countries

110.

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

DIW Berlin Discussion Paper No. 1524
Number of pages: 22 Posted: 02 Dec 2015
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 34 (827,189)
Citation 1

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Emerging markets, EMBI, fractional integration, non-linearities

111.

Persistence in UK Historical Data on Life Expectancy

CESifo Working Paper No. 10287
Number of pages: 13 Posted: 23 Feb 2023
Brunel University London - Department of Economics and Finance, Universidad Villanueva, University Villanueva and University of Navarra - Department of Economics
Downloads 33 (835,300)

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life expectancy, long memory, fractional integration

112.

Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach

CESifo Working Paper No. 8674
Number of pages: 32 Posted: 10 Nov 2020
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 30 (860,465)

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113.

Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals

CESifo Working Paper No. 8402
Number of pages: 15 Posted: 07 Jul 2020
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Francisco de Vitoria University
Downloads 30 (860,465)

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fractional integration, long memory, persistence, trends, air pollutants, PM10

114.

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 London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 29 (869,082)

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Fisher effect, fractional integration, long memory, G7 countries

115.

Tourism Persistence in the Southeastern European Countries: The Impact of COVID-19

CESifo Working Paper No. 10006
Number of pages: 19 Posted: 27 Oct 2022
Guglielmo Maria Caporale, Amir Imeri and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Business and Technology and University of Navarra - Department of Economics
Downloads 28 (877,808)

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SEE, Covid-19, fractional integration, persistence, shocks, tourism

116.

Non-Linearities and Persistence in US Long-Run Interest Rates

CESifo Working Paper No. 8744
Number of pages: 11 Posted: 08 Dec 2020
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Complutense de Madrid (UCM)
Downloads 28 (877,808)
Citation 1

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117.

Hourly Energy Prices in Spain. Evidence of Persistence Across Different Months

Number of pages: 14 Posted: 06 Apr 2022
Miguel Angel Martin Valmayor and Luis A. Gil-Alana
Universidad Francisco de Vitoria and University of Navarra - Department of Economics
Downloads 27 (886,935)

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Energy consumption, energy prices, long memory, fractional integration, persistence

118.

Trends and Persistence in the Greenland Ice Sheet Mass

CESifo Working Paper No. 10556
Number of pages: 15 Posted: 21 Jul 2023
Guglielmo Maria Caporale, Luis A. Gil-Alana and Laura Sauci
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of La Rioja
Downloads 26 (896,196)

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Greenland ice sheet mass, long memory, fractional integration, persistence, trends

119.

A Long-Memory Model for Multiple Cycles with an Application to the S&P500

CESifo Working Paper No. 10947
Number of pages: 21 Posted: 13 Feb 2024
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 23 (924,225)

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fractional integration, multiple cycles, stock market indices, S&P500

120.

US House Prices by Census Division: Persistence, Trends and Structural Breaks

CESifo Working Paper No. 10143
Number of pages: 26 Posted: 28 Dec 2022
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 21 (943,731)

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US house prices, fractional integration, persistence, trends, structural breaks

121.

Persistence and Long Run Co-movements Between Gender Equality and Global Prices

Number of pages: 22 Posted: 19 Feb 2024
Juan Infante, Marta del Rio and Luis A. Gil-Alana
Universidad Villanueva, University Villanueva and University of Navarra - Department of Economics
Downloads 20 (953,896)

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Stock market prices; fractional integration; co-movements; main reversion; long memory.

122.

The Relationship between Prices and Output in the UK and the US

CESifo Working Paper No. 8970
Number of pages: 19 Posted: 05 Apr 2021
Brunel University London - Department of Economics and Finance, Francisco de Vitoria University and University of Navarra - Department of Economics
Downloads 20 (953,896)

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123.

Long-Run Trends and Cycles in Us House Prices

CESifo Working Paper No. 10751
Number of pages: 24 Posted: 27 Nov 2023
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 18 (974,148)

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US house prices, trends, cycles, persistence, long memory, fractional integration

124.

Persistence in Tax Revenues: Evidence from Some OECD Countries

CESifo Working Paper No. 10682
Number of pages: 27 Posted: 09 Oct 2023
Brunel University London - Department of Economics and Finance, University of Navarra and University of Navarra - Department of Economics
Downloads 16 (994,585)

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revenues, taxes, persistence, fractional integration, long memory

125.

Persistence and Seasonality in the US Industrial Production Index

CESifo Working Paper No. 10756
Number of pages: 13 Posted: 27 Nov 2023
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Universidad Francisco de Vitoria and University of Navarra
Downloads 12 (1,035,343)

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industrial production index, seasonality, persistence, fractional integration

126.

Polar Amplification: A Fractional Integration Analysis

CESifo Working Paper No. 11073
Number of pages: 23 Posted: 25 Apr 2024
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Francisco de Vitoria University
Downloads 11 (1,045,080)

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polar amplification, Arctic and Antarctic, Northern and Southern hemispheres, temperature anomalies, persistence, fractional integration

127.

The Impact of Russia – Ukraine Conflict on the Crude Oil Prices

Number of pages: 14 Posted: 27 Mar 2024
Amir Imeri, Luis A. Gil-Alana and Manuel Monge
University of Business and Technology, University of Navarra - Department of Economics and Universidad Francisco de Vitoria
Downloads 9 (1,064,047)

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Russia-Ukraine conflict, crude oil prices, persistence, shocks, fractional integration

128.

Exponential Time Trends in a Fractional Integration Model

CESifo Working Paper No. 10774
Number of pages: 21 Posted: 27 Nov 2023
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 9 (1,064,047)

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exponential time trends, fractional integration, Montecarlo simulations

129.

How Do Stocks in BRICS Co-move with Real Estate Stocks?

Gil-Alana, L.A., Yaya, O.S., Akinsomi, O.K. and Coşkun, Y. (2020). How do Stocks in BRICS co-move with Real Estate Stocks? International Review of Economics & Finance.
Posted: 05 Aug 2020
University of Navarra - Department of Economics, University of Ibadan - Department of Statistics, University of the Witwatersrand and Capital Markets Board of Turkey

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Credit and wealth effects; fractional integration; fractional cointegration; BRICS, countries, real estate indices

130.

Macroeconomic Regimes and Foreign Exchange Rate Volatility in India

The IUP Journal of Applied Economics, Vol. XVI, No. 3, July 2017, pp. 25-46
Posted: 04 Aug 2018
Trilochan Tripathy and Luis A. Gil-Alana
XLRI – Xavier School of Management and University of Navarra - Department of Economics

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131.

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 London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University

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Efficient market hypothesis, weekend effect, trading strategy

132.

Unemployment Hysteresis: Empirical Evidence for Latin America

Journal of Applied Economics. Vol XV, No. 2 (November 2012), 213-233
Posted: 30 Nov 2012
Astrid Loretta Ayala, Juncal Cunado and Luis A. Gil-Alana
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Navarra - Department of Economics

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Latin America, unemployment, hysteresis hypothesis, unit root tests, endogenous structural changes, fractional integration