Luis A. Gil-Alana

University of Navarra - Department of Economics

Campus de Arrosadia

Pamplona, 31006

Spain

SCHOLARLY PAPERS

88

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5,263

CITATIONS
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32

Scholarly Papers (88)

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 Oleksiy Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 452 (60,676)

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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 Oleksiy Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 81 (299,067)

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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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 245 (121,899)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 94 (272,102)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 62 (347,789)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 58 (359,805)

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efficient market hypothesis, weekend effect, trading strategy

4.

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 199 (149,073)

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fractional integration, financial time series data, trends, cycles

5.

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 Oleksiy Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 155 (185,948)

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

6.

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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 138 (204,535)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 81 (299,067)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 55 (369,470)

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

8.

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 136 (206,909)

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economic growth recovery, civil wars, time-series

9.

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 133 (210,655)
Citation 3

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stock market, fractional cycles, long memory, Gegenbauer processes

10.

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 129 (215,881)
Citation 3

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unemployment, structural breaks, fractional integration

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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 57 (362,998)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 47 (396,842)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 15 (558,986)

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Stock markets, linkages, fractional integration, fractional cointegration

12.

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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 116 (233,784)

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persistence, long memory, R/S analysis, 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 - Centre for Empirical Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 79 (303,582)

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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 - Centre for Empirical Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 27 (484,745)

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

14.

Non-Linearities and Fractional Integration in the Us Unemployment Rate

HWWA Working Paper No. 259
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 105 (250,924)
Citation 4

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

15.
Downloads 103 (254,281)

Persistence in Youth Unemployment

CESifo Working Paper Series No. 3961
Number of pages: 12 Posted: 17 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 53 (376,048)

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youth unemployment, persistence, fractional integration

Persistence in Youth Unemployment

DIW Berlin Discussion Paper No. 1248
Number of pages: 14 Posted: 13 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 50 (386,138)

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Youth unemployment, persistence, fractional integration

16.

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 103 (254,281)
Citation 1

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Fractional integration, Long memory, Exchange rates, Volatility

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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 100 (259,446)

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

18.

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 97 (264,662)
Citation 1

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multivariate models, fractional integration, structural breaks

19.

Youth Unemployment in Europe: Persistence and Macroeconomic Determinants

CESifo Working Paper Series No. 4696
Number of pages: 20 Posted: 16 Apr 2014
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 92 (273,838)

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youth unemployment, fractional integration, fractional cointegration

20.

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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 91 (275,760)

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

21.

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 89 (279,651)

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European banking, latent class frontier model, technical efficiency

22.

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 87 (283,627)

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deterministic and stochastic seasonality, fractional integration, structural breaks

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 50 (386,138)

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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 37 (436,362)

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

24.

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 77 (305,272)
Citation 2

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Interest Rates, Term Premium, Fractional Integration

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 42 (415,648)

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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 33 (454,017)

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Fractional Integration, Weekly Structure, Stock Prices

26.

Term Premium and Quantitative Easing in a Fractionally Cointegrated Yield Curve

Number of pages: 42 Posted: 13 Dec 2017 Last Revised: 16 Jun 2018
Mirko Abbritti, Hector Carcel, Luis A. Gil-Alana and Antonio Moreno
University of Navarra, University of Navarra - School of Economics, University of Navarra - Department of Economics and School of Economics and Business, University of Navarra
Downloads 68 (327,217)

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U.S. yield curve, stochastic trend, fractional cointegration, term premium, quantitative easing

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

CESifo Working Paper Series No. 4224
Number of pages: 32 Posted: 08 May 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 39 (427,731)

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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 - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 27 (484,745)

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

28.

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

CESifo Working Paper Series No. 3208
Number of pages: 25 Posted: 20 Oct 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 60 (348,859)

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personal disposable income, house price index, 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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra
Downloads 37 (436,362)

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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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 20 (527,239)

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Unemployment rate, Multivariate long memory, Fractional integration

30.
Downloads 56 (360,801)
Citation 1

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 33 (454,017)
Citation 1

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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 23 (508,489)
Citation 1

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Fractional Integration, Long Memory, Convergence

31.

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 Oleksiy Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 54 (367,079)

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

32.

Fractional Integration and Cointegration in US Financial Time Series Data

CESifo Working Paper Series No. 3416
Number of pages: 43 Posted: 27 Apr 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 54 (367,079)

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

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 - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 27 (484,745)

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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 - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 25 (496,449)

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

34.

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 52 (373,244)
Citation 1

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Technology shocks, hours worked, fractional integration

35.

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 Oleksiy Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 51 (376,465)

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

36.

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 51 (376,465)

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

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 36 (440,676)

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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 14 (565,423)

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Interest Rates, long memory, fractional integration and cointegration

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, Gazi University and Middle East Technical University (METU) - Department of Economics
Downloads 40 (423,666)

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Unemployment, hysteresis, NAIRU, fractional integration, Turkey

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, Gazi University and Middle East Technical University (METU) - Department of Economics
Downloads 9 (598,225)

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unemployment, hysteresis, NAIRU, fractional integration, Turkey

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 35 (445,048)

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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 13 (571,966)

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

40.

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

Number of pages: 23 Posted: 18 Nov 2016
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 48 (386,377)

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Persistence, Cyclicality, Chebyshev Polynomials, Gegenbauer Processes

41.

Testing the Marshall-Lerner Condition in Kenya

DIW Berlin Discussion Paper No. 1247
Number of pages: 28 Posted: 13 Oct 2012
Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 48 (386,377)

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Marshall-Lerner condition, fractional integration, fractional cointegration

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 32 (458,643)

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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 12 (578,534)

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

43.

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 44 (400,255)

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

44.

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 42 (407,538)

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

45.

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 39 (418,812)

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

46.

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 37 (426,879)
Citation 5
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Persistence and Cycles in US Hours Worked

CESifo Working Paper Series No. 3767
Number of pages: 28 Posted: 04 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 18 (539,861)

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hours worked, fractional integration, cycles, technology shocks

Persistence and Cycles in US Hours Worked

DIW Berlin Discussion Paper No. 1200
Number of pages: 29 Posted: 01 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 17 (546,209)

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Hours worked, fractional integration, cycles, technology shocks

48.

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
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food prices, persistence, violence, Kenya

49.

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
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Fractional Integration, Long Memory, Stochastic Volatility, Asset Returns

50.

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
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Term structure, Long memory, Fractional integration, Fractional cointegration

Persistence and Cycles in the US Federal Funds Rate

CESifo Working Paper Series No. 4035
Number of pages: 25 Posted: 03 Jan 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
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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 - Centre for Empirical Finance and University of Navarra - Department of Economics
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Federal Funds rate, persistence, cyclical behaviour, fractional integration

52.

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

DIW Berlin Discussion Paper No. 1590
Number of pages: 37 Posted: 13 Jul 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
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ASEAN Currencies, Chinese RMB, US Dollar Peg, Fractional Integration, Breaks

53.

Testing of Fractional Cointegration in Macroeconomic Time Series

Oxford Bulletin of Economics and Statistics, Vol. 65, pp. 517-529, September 2003
Number of pages: 13 Posted: 12 Jul 2003
Luis A. Gil-Alana
University of Navarra - Department of Economics
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54.

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
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55.

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

56.

Persistence and Cyclical Dependence in the Monthly Euribor Rate

CESifo Working Paper Series No. 3653
Number of pages: 25 Posted: 01 Dec 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
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Euribor rate, time dependence, cyclical behaviour

57.

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
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Personal Disposable Income, House Price Index, 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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
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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 - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
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UK inflation, persistence, fractional integration

59.

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

DIW Berlin Discussion Paper No. 1288
Number of pages: 9 Posted: 12 Apr 2013
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
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PPP, long memory, multivariate fractional integration

60.

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

61.

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

Journal of Time Series Analysis, Vol. 25, No. 5, pp. 691-700, September 2004
Number of pages: 10 Posted: 07 Sep 2004
Luis A. Gil-Alana
University of Navarra - Department of Economics
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62.

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

63.

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
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64.

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
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Euribor rate, time dependence, cyclical behaviour

65.

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
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fractional integration, long memory, inflation

66.

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 19 (515,589)

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

67.

Long Memory in the Ukrainian Stock Market

DIW Berlin Discussion Paper No. 1279
Number of pages: 24 Posted: 28 Mar 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Downloads 18 (521,280)

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

68.

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 16 (532,620)

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Fisher effect, fractional integration, long memory, G7 countries

69.

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

DIW Berlin Discussion Paper No. 1668
Number of pages: 35 Posted: 22 May 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
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Global and regional integration, Asian stock markets, fractional integration, global financial crisis

70.

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Multinational Finance Journal, Vol. 16, No. 1/2, p. 105-136, 2012
Number of pages: 32 Posted: 19 Jun 2015
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
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Fractional integration; Long memory; Exchange rates; Volatility

71.

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 - Centre for Empirical Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
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Persistence, Long Memory, R/S Analysis, Fractional Integration

72.

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
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Unemployment in UK, Unit roots, Fractionally Integrated Series

73.

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

Number of pages: 46 Posted: 19 Jun 2018 Last Revised: 10 May 2019
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
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Persistence; house prices; fractional integration, cyclical behavior

74.

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

CESifo Working Paper Series No. 5630
Number of pages: 21 Posted: 22 Dec 2015
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
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emerging markets, EMBI, fractional integration, non-linearities

75.

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

76.

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

DIW Berlin Discussion Paper No. 1667
Number of pages: 22 Posted: 22 May 2017
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
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Fisher effect, fractional integration, long memory, G7 countries

77.

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
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Emerging markets, EMBI, fractional integration, non-linearities

78.

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

79.

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 9 (573,789)

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fractional integration, energy consumption, GCC countries

80.

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 5 (598,135)

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

81.

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

82.

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 - Dept of Statistics, University of the Witwatersrand and Capital Markets Board of Turkey
Downloads 2 (621,570)

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

83.

Inflation Convergence in Central and Eastern Europe vs. The Eurozone: Non‐Linearities and Long Memory

Scottish Journal of Political Economy, Vol. 63, Issue 5, pp. 519-538, 2016
Number of pages: 20 Posted: 04 Oct 2016
Juan Carlos Cuestas, Luis A. Gil-Alana and Karl Taylor
University of Sheffield, University of Navarra - Department of Economics and University of Sheffield - Department of Economics
Downloads 1 (633,584)
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84.

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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85.

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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86.

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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87.

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 Oleksiy Plastun
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and Sumy State University

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Efficient market hypothesis, weekend effect, trading strategy

88.

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