Luis A. Gil-Alana

University of Navarra - Department of Economics

Campus de Arrosadia

Pamplona, 31006

Spain

SCHOLARLY PAPERS

131

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8,823

SSRN CITATIONS
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Top 7,539

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88

CROSSREF CITATIONS

85

Scholarly Papers (131)

1.
Downloads 658 (61,124)
Citation 14

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 542 (77,282)
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 116 (357,488)
Citation 9

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

2.

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 303 (152,200)

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

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 146 (299,720)
Citation 3

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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 78 (464,268)

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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 69 (497,786)

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Efficient Market Hypothesis; weekend effect; trading strategy

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 262 (176,734)
Citation 4

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

5.

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 218 (211,187)

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fractional integration, financial time series data, trends, cycles

6.

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 186 (243,874)

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

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 107 (378,588)
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 79 (460,756)
Citation 1

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

8.

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 176 (255,864)
Citation 1

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Persistence, Cyclicality, Chebyshev Polynomials, Gegenbauer Processes

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 173 (259,690)
Citation 2

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

10.
Downloads 159 (278,871)

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 94 (413,510)

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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 65 (514,063)

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youth unemployment, persistence, fractional integration

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 96 (407,756)

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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 62 (526,967)

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Unemployment, hysteresis, NAIRU, fractional integration, Turkey

12.

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 155 (284,821)
Citation 1

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economic growth recovery, civil wars, time-series

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 73 (482,517)

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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 56 (554,118)

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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 24 (757,701)
Citation 2

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Stock markets, linkages, fractional integration, fractional cointegration

14.

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 148 (295,873)
Citation 3

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stock market, fractional cycles, long memory, Gegenbauer processes

15.

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 144 (302,458)
Citation 1

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unemployment, structural breaks, fractional integration

16.

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 142 (305,777)

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persistence, long memory, R/S analysis, 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 137 (314,535)
Citation 1

Abstract:

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

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 100 (396,787)
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 36 (666,181)
Citation 1

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

19.

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 126 (335,077)

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

20.

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 118 (351,386)

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personal disposable income, house price index, fractional integration

21.

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 117 (353,560)
Citation 1

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Fractional integration, Long memory, Exchange rates, Volatility

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 64 (518,276)

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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 51 (578,787)

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

23.

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 114 (360,166)

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youth unemployment, fractional integration, fractional cointegration

24.

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 113 (362,372)
Citation 3

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

25.

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 110 (369,203)

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multivariate models, fractional integration, structural breaks

26.

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 109 (371,579)
Citation 1

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27.

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 109 (371,579)
Citation 1

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

28.

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 101 (391,488)

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European banking, latent class frontier model, technical efficiency

29.

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 98 (399,300)

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deterministic and stochastic seasonality, fractional integration, structural breaks

30.

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 96 (404,653)
Citation 1

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

31.
Downloads 90 (421,949)
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 61 (531,371)

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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 29 (716,613)
Citation 2

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

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 48 (594,590)

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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 42 (628,578)

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Fractional Integration, Weekly Structure, Stock Prices

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 51 (578,787)

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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 38 (653,078)
Citation 3

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

34.

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 89 (424,912)
Citation 7

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Interest Rates, Term Premium, Fractional Integration

35.

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 84 (439,927)

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

36.

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 82 (446,212)

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

37.
Downloads 80 (452,687)
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 42 (628,578)

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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 38 (653,078)
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 50 (583,964)

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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 28 (724,503)

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GDP, GDP per capita, trends, cycles, long memory, 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 44 (616,866)

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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 32 (693,875)

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Unemployment rate, Multivariate long memory, Fractional integration

40.
Downloads 73 (476,790)
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 39 (646,911)
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 34 (679,738)

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

41.

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 70 (487,622)

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

42.

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 65 (506,954)
Citation 1

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Market Fear, VIX, Persistence, Long Memory, R/S Analysis, Fractional Integration

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 43 (622,676)

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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 22 (775,234)

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Interest Rates, long memory, fractional integration and cointegration

44.

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 64 (510,986)

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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 32 (693,875)

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UK inflation, persistence, fractional integration

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 31 (701,180)
Citation 1

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UK inflation, persistence, fractional integration

46.

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 63 (515,060)
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Marshall-Lerner condition, fractional integration, fractional cointegration

47.

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 63 (515,060)
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Technology shocks, hours worked, fractional integration

48.

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 60 (527,418)

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

49.

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
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Covid-19 pandemic, cryptocurrencies, Fintech, artificial intelligence, Covid-19 policies, fractional integration

50.

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 56 (544,900)
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High frequency data; long memory; volatility persistence; structural breaks

51.

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
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Exchange Rate, Chaos, Lyapunov Exponent

52.

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
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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 29 (716,613)

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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
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hours worked, fractional integration, cycles, technology shocks

54.
Downloads 53 (558,706)
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 31 (701,180)

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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 22 (775,234)
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Federal Funds rate, persistence, cyclical behaviour, fractional integration

55.

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 49 (578,146)
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CO2 emissions, GDP, China, persistence, fractional integration, fractional cointegration

56.

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 49 (578,146)

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

57.

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 48 (583,040)
Citation 1

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58.

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 48 (583,040)
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ASEAN Currencies, Chinese RMB, US Dollar Peg, Fractional Integration, Breaks

59.

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 47 (588,079)

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food prices, persistence, violence, Kenya

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 28 (724,503)

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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 18 (811,641)

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Unemployment persistence, long memory, Europe, fractional integration

61.

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 44 (603,819)

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

62.

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 44 (603,819)

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Term structure, Long memory, Fractional integration, Fractional cointegration

63.

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 43 (609,300)

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Fractional Integration, Long Memory, Stochastic Volatility, Asset Returns

64.

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 42 (614,833)

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

65.

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 41 (620,524)

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Euribor rate, time dependence, cyclical behaviour

66.

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
Downloads 39 (631,869)

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Covid-19 pandemic, European stock market indices, persistence, fractional integration

67.

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
Downloads 39 (631,869)

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economic policy uncertainty, persistence, long memory, fractional integration, fractional cointegration.

68.

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 39 (631,869)
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fractional integration, energy consumption, GCC countries

69.

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 39 (631,869)
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Personal Disposable Income, House Price Index, Fractional Integration

70.

Nonlinearities and Fractional Integration in the US Unemployment Rate

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 4, pp. 521-544, August 2007
Number of pages: 24 Posted: 20 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 39 (631,869)

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71.

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 38 (637,548)
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Persistence; house prices; fractional integration, cyclical behavior

72.

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 37 (643,478)

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sustainability, fractional integration, fractional cointegration, FCVAR, persistence

73.

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 37 (643,478)

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

74.

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 35 (655,834)

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

75.

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 35 (655,834)

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76.

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 34 (662,136)

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European stock markets, long run behavior, cycles, persistence

77.

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 34 (662,136)

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

78.

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 34 (662,136)

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PPP, long memory, multivariate fractional integration

79.

Fractional Cointegration and Aggregate Money Demand Functions

The Manchester School, Vol. 73, pp. 737-753, December 2005
Number of pages: 17 Posted: 26 Dec 2005
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 (662,136)

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80.

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 33 (668,691)

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sea level, time trends, fractional integration

81.

Testing of Fractional Cointegration in Macroeconomic Time Series

Number of pages: 13 Posted: 12 Jul 2003
Luis A. Gil-Alana
University of Navarra - Department of Economics
Downloads 33 (668,691)
Citation 2

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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 32 (675,277)
Citation 1

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

83.

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

84.

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 31 (682,001)

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85.

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 31 (682,001)

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

86.

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 31 (682,001)

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Euribor rate, time dependence, cyclical behaviour

87.

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 30 (689,077)

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

88.

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 30 (689,077)

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high and low prices, range, fractional integration

89.

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 29 (696,264)

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

90.

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 28 (703,507)

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

91.

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 28 (703,507)

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92.

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 28 (703,507)

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Unemployment in UK, Unit roots, Fractionally Integrated Series

93.

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 27 (710,821)

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

94.

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 27 (710,821)

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

95.

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 27 (710,821)

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emerging markets, EMBI, fractional integration, non-linearities

96.

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 27 (710,821)
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fractional integration, long memory, inflation

97.

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 26 (718,416)

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

98.

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 26 (718,416)

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Fractional integration; Long memory; Exchange rates; Volatility

99.

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 26 (718,416)
Citation 5

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

100.

A Joint Test of Fractional Integration and Structural Breaks at a Known Period of Time

Number of pages: 10 Posted: 07 Sep 2004
Luis A. Gil-Alana
University of Navarra - Department of Economics
Downloads 26 (718,416)

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101.

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 25 (726,207)

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

102.

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 25 (726,207)

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

103.

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 25 (726,207)

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

104.

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 25 (726,207)

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Fisher effect, fractional integration, long memory, G7 countries

105.

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

106.

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 24 (734,137)

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

107.

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 24 (734,137)
Citation 1

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

108.

Mean Reversion of Short-Run Interest Rates in Emerging Countries

Review of International Economics, Vol. 14, No. 1, pp. 119-135, February 2006
Number of pages: 17 Posted: 08 May 2006
Bertrand Candelon and Luis A. Gil-Alana
University of Maastricht - Department of Economics and University of Navarra - Department of Economics
Downloads 24 (734,137)
Citation 2

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109.

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 22 (750,348)
Citation 1

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Emerging markets, EMBI, fractional integration, non-linearities

110.

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 20 (767,153)

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

111.

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 20 (767,153)

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112.

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
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Fisher effect, fractional integration, long memory, G7 countries

113.

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 17 (792,893)

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

114.

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
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115.

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

116.

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

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

118.

Fractional Integration and Structural Breaks at Unknown Periods of Time

Journal of Time Series Analysis, Vol. 29, Issue 1, pp. 163-185, January 2008
Number of pages: 23 Posted: 11 Dec 2007
Luis A. Gil-Alana
University of Navarra - Department of Economics
Downloads 13 (830,060)
Citation 3

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119.

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 12 (839,694)

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120.

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

121.

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

122.

Trade Balance and Exchange Rate: Unit Roots, Co-Integration and Long Memory in the US and the UK

Economic Notes, Vol. 37, Issue 1, pp. 59-74, February 2008
Number of pages: 16 Posted: 24 Apr 2008
Luis A. Gil-Alana, Natalia Luqui and Juncal Cunado
University of Navarra - Department of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 6 (899,025)
Citation 4

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123.

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 London - Department of Economics and Finance, University of Navarra and University of Navarra - Department of Economics
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Fractional integration, Financial time series data, Trends, Cycles

124.

Fractional Integration of Nominal Exchange Rates: Evidence from CEECs in the Light of Emu Enlargement

Review of International Economics, Vol. 19, No. 1, pp. 77-92, 2011
Number of pages: 16 Posted: 24 Jan 2011
Carlos Pestana Barros, Luis A. Gil-Alana and Roman Matousek
Technical University of Lisbon - Instituto Superior de Economia e Gestao, University of Navarra - Department of Economics and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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125.

Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data

The Manchester School, Vol. 87, Issue 1, pp. 24-36, 2019
Number of pages: 13 Posted: 11 Dec 2018
Luis A. Gil-Alana and Rangan Gupta
University of Navarra - Department of Economics and University of Pretoria - Department of Economics
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126.

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

127.

The Evolution of the Credit‐To‐GDP Ratio: An Empirical Analysis

International Review of Finance, Vol. 19, Issue 1, pp. 237-244, 2019
Number of pages: 8 Posted: 06 Mar 2019
Luis A. Gil-Alana and Tommaso Trani
University of Navarra - Department of Economics and University of Navarra - School of Economics
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128.

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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129.

The Sustainability of European External Debt: What Have We Learned?

Review of International Economics, Vol. 23, Issue 3, pp. 445-468, 2015
Number of pages: 24 Posted: 20 Jul 2015
Juan Carlos Cuestas, Luis A. Gil-Alana and Paulo Regis
University of Sheffield, University of Navarra - Department of Economics and Xi'an Jiaotong University (XJTU)
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130.

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

131.

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