Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance

Professor of Economics & Finance

Kingston Lane

Marie Jahoda Building

Uxbridge, Middlesex UB8 3PH

United Kingdom

http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University

Centre for Monetary and Financial Economics

London

United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

113

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88

Scholarly Papers (113)

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

ECB Working Paper No. 1113
Number of pages: 49 Posted: 15 Nov 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 307 (95,547)
Citation 7

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Volatility spillovers, Contagion, Stock markets, Emerging markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

IMF Working Paper No. 08/286
Number of pages: 42 Posted: 18 Dec 2008
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 214 (138,921)
Citation 7

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Working Paper

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

CESifo Working Paper Series No. 2545, DIW Berlin Discussion Paper No. 873
Number of pages: 26 Posted: 11 Feb 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) - Policy Development and Review Department and Brunel University
Downloads 167 (174,806)
Citation 7

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volatility spillovers, contagion, stock markets, emerging markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Review of International Economics, Vol. 21, Issue 5, pp. 1060-1075, 2013
Number of pages: 16 Posted: 23 Oct 2013
John Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
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Citation 7
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The Day of the Week Effect in the Crypto Currency Market

CESifo Working Paper Series No. 6716
Number of pages: 22 Posted: 05 Dec 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 362 (79,181)

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efficient market hypothesis, day of the week effect, crypto currency, BitCoin, anomaly, trading strategy

The Day of the Week Effect in the Crypto Currency Market

DIW Berlin Discussion Paper No. 1694
Number of pages: 23 Posted: 20 Oct 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 125 (221,952)

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Efficient market hypothesis, day of the week effect, crypto currency, BitCoin, anomaly, trading strategy

The Day of the Week Effect in the Crypto Currency Market

Brunel University London, Department of Economics and Finance, Working Paper No. 17-19
Number of pages: 21 Posted: 21 Oct 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 94 (272,149)

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Efficient Market Hypothesis, day of the week effect, crypto currency, BitCoin, anomaly, trading strategy

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 (60,689)

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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 (299,117)

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

4.

Selectivity, Market Timing and the Morningstar Star-Rating System

CESifo Working Paper Series No. 2580, DIW Berlin Discussion Paper No. 874
Number of pages: 27 Posted: 16 Mar 2009
Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus - Department of Banking and Financial Management, Brunel University London - Department of Economics and Finance, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 509 (52,816)
Citation 3

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mutual fund, Morningstar Star-Rating System, CAPM, conditional and unconditional portfolio performance evaluation

5.
Downloads 443 ( 62,812)
Citation 1

Time-Varying Spot and Futures Oil Price Dynamics

CESifo Working Paper Series No. 3015
Number of pages: 34 Posted: 21 Apr 2010
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University London - Department of Economics and Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 349 (82,649)
Citation 1

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cointegration, oil market, futures prices, price discovery

Time-Varying Spot and Futures Oil Price Dynamics

DIW Berlin Discussion Paper No. 988
Number of pages: 32 Posted: 04 Jul 2010
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University London - Department of Economics and Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 94 (272,149)
Citation 1

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Cointegration, oil market, futures prices, price discovery

6.

Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis

Brunel Business School, Economics and Finance Working Papers No. 05-08, International Journal of Finance & Economics, (2005), vol. 10(4), pages 359-367
Number of pages: 17 Posted: 25 Mar 2003 Last Revised: 18 May 2009
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and Brunel University
Downloads 391 (72,933)
Citation 1

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Contagion, Financial crises, Conditional Correlation

Price Overreactions in the Cryptocurrency Market

DIW Berlin Discussion Paper No. 1718
Number of pages: 26 Posted: 31 Jan 2018
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 319 (91,555)

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Cryptocurrency market, Bitcoin, overreaction, momentum, abnormal returns, contrarian strategy, trading strategy, trading robot

Price Overreactions in the Cryptocurrency Market

CESifo Working Paper Series No. 6861
Number of pages: 25 Posted: 20 Mar 2018
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 69 (328,434)

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cryptocurrency market, Bitcoin, overreaction, momentum, abnormal returns, contrarian strategy, trading strategy, trading robot

Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity

CEIS Tor Vergata - Research Paper Series No. 23
Number of pages: 28 Posted: 23 Jun 2003
Guglielmo Maria Caporale, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics
Downloads 386 (73,406)
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Monetary Policy, Financial Crisis, Identification

Monetary Policy and the Exchange Rate during the Asian Crisis: Identification through Heteroscedasticity

Journal of International Money and Finance, Vol. 24, No. 1, pp 39-53, CEIS Tor Vergata - Research Paper Series No. 23
Posted: 30 Aug 2005
Guglielmo Maria Caporale, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics

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Monetary Policy, Financial Crisis, Identification

Financial Development and Economic Growth: Evidence from Ten New EU Members

DIW Berlin Discussion Paper No. 940
Number of pages: 43 Posted: 04 Nov 2009
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 308 (95,246)
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Financial Development, Economic Growth, Causality Tests, Transition Economies

Financial Development and Economic Growth: Evidence from Ten New EU Members

IZA Discussion Paper No. 8397
Number of pages: 28 Posted: 06 Sep 2014
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 67 (333,855)
Citation 3

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financial development, economic growth, transition economies

10.

Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem: Evidence From the Greek Market

European Journal of Finance, Vol. 14, pp. 735-753, 2008
Number of pages: 41 Posted: 30 May 2007 Last Revised: 15 Mar 2011
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance, University of Liverpool Management School and University of Piraeus - Department of Business Administration
Downloads 333 (87,817)
Citation 2

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Mutual funds, Performance persistence, Market efficiency,Emerging markets

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

CESifo Working Paper Series No. 3115
Number of pages: 22 Posted: 12 Jul 2010
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University
Downloads 178 (165,090)
Citation 1

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overnight interest rate spread, liquidity risk, credit risk, stochastic volatility

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

DIW Berlin Discussion Paper No. 1029
Number of pages: 22 Posted: 17 Jul 2010
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University
Downloads 145 (197,072)
Citation 1

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Overnight Interest Rate Spread, Liquidity Risk, Credit Risk, Stochastic Volatility

12.

Valuing American Put Options Using Chebyshev Polynomial Approximation

London Metropolitan University Working Paper
Number of pages: 23 Posted: 02 Mar 2005
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 279 (106,475)

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American put options, Bellman equation, Chebyshev polynomial approximation, Chebyshev nodes

13.

Price Gaps: Another Market Anomaly?

Brunel University London, Dept. of Economics and Finance Working Paper No. 16-16
Number of pages: 25 Posted: 11 Oct 2016
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 263 (113,331)

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Price Gaps, Trading Strategy, Technical Analysis, FOREX, Stock Market, Commodities, Anomaly, Efficient Market Hypothesis

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis

CESifo Working Paper Series No. 2794
Number of pages: 20 Posted: 05 Oct 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 172 (170,305)
Citation 2

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volatility spillovers, contagion, stock markets, emerging markets

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis

DIW Berlin Discussion Paper No. 942
Number of pages: 18 Posted: 06 Nov 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 55 (369,525)
Citation 2

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Volatility spillovers, contagion, stock markets, emerging markets

On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries

CESifo Working Paper Series No. 2419
Number of pages: 33 Posted: 13 Oct 2008
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 122 (226,070)
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regionalisation, European integration, panel data methods

On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries

IZA Discussion Paper No. 3782
Number of pages: 30 Posted: 03 Nov 2008
Christophe Rault, Guglielmo Maria Caporale, Anamaria Sova and Robert Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Bucharest Academy of Economic Studies and Academy of Economic Studies
Downloads 99 (262,985)
Citation 5

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regionalisation, European integration, panel data methods

16.

Income and Happiness Across Europe: Do Reference Values Matter?

CESifo Working Paper No. 2146
Number of pages: 33 Posted: 26 Nov 2007
Guglielmo Maria Caporale, Yannis Georgellis, Nicholas NT Tsitsianis and Ya Ping Yin
Brunel University London - Department of Economics and Finance, University of Kent, University of Hertfordshire and University of Hertfordshire
Downloads 203 (146,408)
Citation 3

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comparison income, reference groups, happiness, life satisfaction

17.

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 (149,094)

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fractional integration, financial time series data, trends, cycles

18.

Using Chebyshev Polynomials to Approximate Partial Differential Equations

CESifo Working Paper Series No. 2308
Number of pages: 20 Posted: 28 May 2008
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 196 (151,245)

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European options, Chebyshev polynomial approximation, Chebyshev nodes

19.

Is There a Friday Effect in Financial Markets?

Brunel University London, Department of Economics and Finance Working Paper Series No. 17-04
Number of pages: 23 Posted: 06 Feb 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 162 (179,197)

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Calendar Anomalies, Day-of-the-Week Effect, Stock Market, Efficient Market Hypothesis

Testing for Convergence in Stock Markets: A Non-Linear Factor Approach

CESifo Working Paper Series No. 2845
Number of pages: 27 Posted: 13 Nov 2009
Guglielmo Maria Caporale, Burcu Erdogan and Vladimir Kuzin
Brunel University London - Department of Economics and Finance, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 84 (292,558)
Citation 1

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stock market, financial integration, European Monetary Union convergence, factor model

Testing for Convergence in Stock Markets: A Non-Linear Factor Approach

DIW Berlin Discussion Paper No. 932
Number of pages: 25 Posted: 01 Nov 2009
Guglielmo Maria Caporale, Burcu Erdogan and Vladimir Kuzin
Brunel University London - Department of Economics and Finance, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 75 (313,204)
Citation 1

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Stock Market, Financial Integration, European Monetary Union Convergence, Factor Model

21.

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 (185,969)

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

22.

Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model

CESifo Working Paper Series No. 2444
Number of pages: 31 Posted: 30 Oct 2008
Guglielmo Maria Caporale, Antoaneta Serguieva and Hao Wu
Brunel University London - Department of Economics and Finance, Brunel Business School, Brunel University Centre for Empirical Finance, Brunel University Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University - Centre of Empirical Finance
Downloads 155 (185,969)

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financial contagion, minority/majority game, agent-based model, evolutionary parameter optimisation

23.
Downloads 152 (189,133)
Citation 1

Rating Assignments: Lessons from International Banks

CESifo Working Paper Series No. 2618
Number of pages: 30 Posted: 20 Apr 2009
Guglielmo Maria Caporale, Roman Matousek and Chris Stewart
Brunel University London - Department of Economics and Finance, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and affiliation not provided to SSRN
Downloads 115 (236,410)
Citation 1

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international banks, ratings, ordered choice models, country index

Rating Assignments: Lessons from International Banks

DIW Berlin Discussion Paper No. 868
Number of pages: 29 Posted: 08 Jul 2009
Guglielmo Maria Caporale, Roman Matousek and Chris Stewart
Brunel University London - Department of Economics and Finance, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and affiliation not provided to SSRN
Downloads 37 (436,429)
Citation 1

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International banks, ratings, ordered choice models, country index

24.
Downloads 141 (200,987)
Citation 4

Inflation and Inflation Uncertainty in the Euro Area

CESifo Working Paper Series No. 2720, ECB Working Paper No. 1229
Number of pages: 27 Posted: 30 Jul 2009
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University London - Department of Economics and Finance, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 99 (262,985)
Citation 4

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inflation, inflation uncertainty, time-varying parameters, GARCH models, ECB, EMU

Inflation and Inflation Uncertainty in the Euro Area

DIW Berlin Discussion Paper No. 909
Number of pages: 23 Posted: 23 Oct 2009
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University London - Department of Economics and Finance, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 42 (415,708)
Citation 4

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Inflation, inflation uncertainty, time-varying parameters, GARCH models, ECB, EMU

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

CESifo Working Paper Series No. 5932
Number of pages: 17 Posted: 06 Jul 2016
Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 25 (496,512)

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equity fund flows, stock market returns, VAR-GARCH-in-mean model, volatility

26.

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 (210,691)
Citation 3

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stock market, fractional cycles, long memory, Gegenbauer processes

27.

The Euro and Inflation Uncertainty in the European Monetary Union

CESifo Working Paper Series No. 1842
Number of pages: 37 Posted: 24 Nov 2006
Guglielmo Maria Caporale and Alexandros Kontonikas
Brunel University London - Department of Economics and Finance and University of Glasgow - Department of Economics
Downloads 133 (210,691)
Citation 4

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inflation, inflation uncertainty, inflation persistence, time-varying parameters, GARCH models, ECB, EMU

Islamic Banking, Credit and Economic Growth: Some Empirical Evidence

DIW Berlin Discussion Paper No. 1541
Number of pages: 31 Posted: 14 Jan 2016
Guglielmo Maria Caporale and Mohamad Helmi
Brunel University London - Department of Economics and Finance and Brunel University London
Downloads 88 (283,986)

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Credit, growth, Islamic banking, causality tests

Islamic Banking, Credit and Economic Growth: Some Empirical Evidence

CESifo Working Paper Series No. 5716
Number of pages: 29 Posted: 23 Feb 2016
Guglielmo Maria Caporale and Mohamad Helmi
Brunel University London - Department of Economics and Finance and Brunel University London
Downloads 43 (411,785)

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credit, growth, Islamic banking causality tests

29.

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 (215,901)
Citation 3

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unemployment, structural breaks, fractional integration

30.

Cointegration Tests of PPP: Do They Also Exhibit Erratic Behaviour?

CESifo Working Paper Series No. 1811
Number of pages: 21 Posted: 18 Oct 2006
Guglielmo Maria Caporale and Christoph Hanck
Brunel University London - Department of Economics and Finance and University of Dortmund - Department of Statistics
Downloads 128 (217,173)

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Purchasing Power Parity (PPP), real exchange rate, cointegration, stationarity, parameter instability

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics

CESifo Working Paper No. 1851
Number of pages: 19 Posted: 05 Dec 2006
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 116 (234,929)

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black market and official exchange rates, panel cointegration, impulse response functions

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics

Review of International Economics, Vol. 16, Issue 3, pp. 401-412, August 2008
Number of pages: 12 Posted: 14 Jul 2008
Guglielmo Maria Caporale and Mario Cerrato
Brunel University London - Department of Economics and Finance and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 1 (665,210)
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Environmental Regulation and Competitiveness: Evidence from Romania

William Davidson Institute Working Paper No. 995
Number of pages: 23 Posted: 02 Aug 2010
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 39 (427,785)

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environmental stringency, competiveness, gravity model

Environmental Regulation and Competitiveness: Evidence from Romania

IZA Discussion Paper No. 5029
Number of pages: 22 Posted: 06 Jul 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 33 (454,070)

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environmental stringency, competiveness, gravity model

Trade Specialisation and Economic Convergence: Evidence from Two Eastern European Countries

DIW Berlin Discussion Paper No. 875
Posted: 09 Jul 2009
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 69 (328,434)

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Gravity models, panel data models, trade specialisation, comparative advantage

Trade Specialisation and Economic Convergence: Evidence from Two Eastern European Countries

William Davidson Institute Working Paper No. 959
Number of pages: 32 Posted: 03 Aug 2010
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 44 (407,934)

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gravity models, panel data models, trade specialisation, comparative advantage

34.

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

CESifo Working Paper Series No. 2359
Number of pages: 39 Posted: 30 Jul 2008
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University London - Department of Economics and Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 112 (239,773)

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transition economies, Euro area, (Generalised) Purchasing Power Parity, Vector Error Correction models

35.

Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America

CESifo Working Paper Series No. 2228
Number of pages: 41 Posted: 26 Feb 2008
Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi
Brunel University London - Department of Economics and Finance, John Cabot University and National Institute of Statistics (ISTAT)
Downloads 109 (244,490)

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fiscal shocks, real exchange rate, Latin American countries

36.

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 (250,963)
Citation 4

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

37.

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 (254,322)
Citation 1

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Fractional integration, Long memory, Exchange rates, Volatility

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence

CESifo Working Paper Series No. 2819
Number of pages: 27 Posted: 21 Oct 2009
Guglielmo Maria Caporale, Thouraya Hadj Amor and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of Orleans
Downloads 53 (376,112)

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emerging economies, real exchange rate, financial integration, misalignment, second-generation panel unit-root and cointegration tests

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence

IZA Discussion Paper No. 4038
Number of pages: 21 Posted: 02 Mar 2009
Guglielmo Maria Caporale, Thouraya Hadj Amor and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of Orleans
Downloads 49 (389,577)

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emerging economies, real exchange rate, financial integration, misalignment, second-generation panel unit root and cointegration tests

39.

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 (264,699)
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multivariate models, fractional integration, structural breaks

40.
Downloads 90 (277,677)
Citation 2

Price Formation on the EuroMTS Platform

CESifo Working Paper Series No. 2938
Number of pages: 17 Posted: 17 Feb 2010
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 65 (339,320)
Citation 2

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MTS system, price discovery

Price Formation on the EuroMTS Platform

DIW Berlin Discussion Paper No. 977
Number of pages: 16 Posted: 03 May 2010
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 25 (496,512)
Citation 2

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MTS system, price discovery

41.

Evaluating Greek Equity Funds Using Data Envelopment Analysis

DIW Berlin Discussion Paper No. 906
Number of pages: 22 Posted: 19 Oct 2009
Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Business Administration
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Data envelopment analysis, portfolio efficiency, performance evaluation

42.

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
Carlos Pestana Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana
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
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European banking, latent class frontier model, technical efficiency

43.

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 (283,666)

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deterministic and stochastic seasonality, fractional integration, structural breaks

Calendar Anomalies in the Ukrainian Stock Market

CESifo Working Paper Series No. 5877
Number of pages: 36 Posted: 20 May 2016
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 53 (376,112)

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calendar anomalies, Day of the Week Effect, Turn of the Month Effect, Month of the Year Effect, January Effect, Holiday Effect, Halloween Effect

Calendar Anomalies in the Ukrainian Stock Market

Guglielmo Maria Caporale and Alex Plastun (2017). Calendar anomalies in the Ukrainian stock market. Investment Management and Financial Innovations (open-access), 14(1), 104-114. doi:10.21511/imfi.14(1).2017.11
Number of pages: 11 Posted: 19 Dec 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 19 (533,640)

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Calendar Anomalies, Day of the Week Effect, Turn of the Month Effect, Month of the Year Effect, January Effect, Holiday Effect, Halloween Effect

Calendar Anomalies in the Ukrainian Stock Market

Guglielmo Maria Caporale and Alex Plastun (2017). Calendar anomalies in the Ukrainian stock market. Investment Management and Financial Innovations, 14(1), 104-114. doi:10.21511/imfi.14(1).2017.11
Number of pages: 12 Posted: 15 Jun 2017
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
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calendar anomalies, day-of-the-week effect, turn-of-the-month effect, month-of-the-year effect, January effect, Holiday effect, Halloween effect

Stock Market Integration between Three CEECs, Russia and the UK

CESifo Working Paper Series No. 2978
Number of pages: 24 Posted: 22 Mar 2010
Guglielmo Maria Caporale and Nicola Spagnolo
Brunel University London - Department of Economics and Finance and Brunel University
Downloads 80 (301,300)

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Central and Eastern European countries (CEECs), volatility spillovers, interdependence, contagion, VAR-GARCH-in-mean model

Stock Market Integration between Three CEECs, Russia, and the UK

Review of International Economics, Vol. 19, Issue 1, pp. 158-169, 2011
Number of pages: 12 Posted: 24 Jan 2011
Guglielmo Maria Caporale and Nicola Spagnolo
Brunel University London - Department of Economics and Finance and Brunel University
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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 (415,708)

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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 (454,070)

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Fractional Integration, Weekly Structure, Stock Prices

47.

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries

William Davidson Institute Working Paper No. 970, DIW Berlin Discussion Paper No. 941
Number of pages: 26 Posted: 17 Oct 2009 Last Revised: 05 Nov 2009
Christophe Rault, Thouraya Hadj Amor and Guglielmo Maria Caporale
University of Orleans, Economic Research Forum (ERF) and Brunel University London - Department of Economics and Finance
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emerging economies, real exchange rate, financial integration, misalignment, second-generation panel unit-root and cointegration tests

48.

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

CESifo Working Paper Series No. 5965
Number of pages: 37 Posted: 26 Jul 2016
Brunel University London - Department of Economics and Finance, Ege University Department of Economics, Brunel University London - College of Business, Arts and Social Sciences, University of Sussex -University of Sussex Business School and Ege University - Department of Economics
Downloads 66 (332,516)

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Taylor rule, nonlinearities, emerging countries

49.

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

DIW Berlin Discussion Paper No. 1138
Number of pages: 30 Posted: 30 Jul 2011
Guglielmo Maria Caporale and Marinko Skare
Brunel University London - Department of Economics and Finance and Juraj Dobrila University of Pula
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Employment growth, inflation, output growth, Golden Triangle theory

Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania

IZA Discussion Paper No. 3787
Number of pages: 15 Posted: 03 Nov 2008
Anamaria Sova, Robert Sova, Christophe Rault and Guglielmo Maria Caporale
Bucharest Academy of Economic Studies, Academy of Economic Studies, University of Orleans and Brunel University London - Department of Economics and Finance
Downloads 45 (404,152)

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pollution abatement and control expenditure, transition economy, Multilevel Regression Model (MRM)

Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania

William Davidson Institute Working Paper No. 945
Number of pages: 17 Posted: 14 Oct 2009
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 21 (521,015)

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Pollution Abatement and Control Expenditure, Transition Economy, Multilevel Regression Model (MRM)

51.

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

DIW Berlin Discussion Paper No. 1159
Number of pages: 19 Posted: 07 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance and University of Minho
Downloads 61 (346,090)
Citation 1

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

52.

Persistence in Macroeconomic Time Series: Is it a Model Invariant Property?

Revista de Economia del Rosario, Vol. 4, No. 2, pp. 117-142, 2001
Number of pages: 26 Posted: 06 Sep 2006
Guglielmo Maria Caporale and Nikitas Pittis
Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Banking and Financial Management
Downloads 60 (348,912)

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Persistence, autocorrelation function, conditioning information set, probabilistic structure, dynamic models, Granger causality, cointegration

53.

On the Trade Balance Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries

William Davidson Institute Working Paper No. 912
Number of pages: 33 Posted: 20 Jun 2008
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 58 (354,770)
Citation 5

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Regionalisation, European integration, Panel data methods

54.

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

DIW Berlin Discussion Paper No. 1139
Number of pages: 44 Posted: 30 Jul 2011
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and Independent
Downloads 56 (360,840)

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Price discovery, liquidity, MTS system

55.
Downloads 56 (360,840)
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 (454,070)
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 (508,549)
Citation 1

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Fractional Integration, Long Memory, Convergence

56.

Fiscal Spillovers in the Euro Area

DIW Berlin Discussion Paper No. 1164
Number of pages: 34 Posted: 28 Oct 2011
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 55 (363,961)
Citation 2

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

57.

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 (367,109)

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

The Euro Changeover and Price Adjustments in Italy

CESifo Working Paper Series No. 3386
Number of pages: 11 Posted: 29 Mar 2011
Guglielmo Maria Caporale, Alessandro Girardi and Marco Ventura
Brunel University London - Department of Economics and Finance, National Institute of Statistics (ISTAT) and Istituto di Studi e Analisi Economica (ISAE)
Downloads 33 (454,070)

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Euro changeover, staggered price adjustments, inflation

The Euro Changeover and Price Adjustments in Italy

DIW Berlin Discussion Paper No. 1114
Number of pages: 13 Posted: 25 Mar 2011
Guglielmo Maria Caporale, Alessandro Girardi and Marco Ventura
Brunel University London - Department of Economics and Finance, National Institute of Statistics (ISTAT) and Istituto di Studi e Analisi Economica (ISAE)
Downloads 20 (527,288)

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Euro changeover, staggered price adjustments, inflation

59.

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 (376,514)

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

60.

Exchange Rates and Macro News in Emerging Markets

CESifo Working Paper Series No. 5816
Number of pages: 21 Posted: 18 Apr 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 51 (376,514)

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emerging markets, exchange rates, GARCH model, macro news

61.

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

DIW Berlin Discussion Paper No. 1080
Number of pages: 33 Posted: 09 Jan 2011
Guglielmo Maria Caporale, Alessandro Girardi and Paolo Paesani
Brunel University London - Department of Economics and Finance, National Institute of Statistics (ISTAT) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 51 (376,514)
Citation 1

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Liquidity, trading activity, Treasury bond market, Europe, commonality

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 (440,736)

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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 (565,486)

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Interest Rates, long memory, fractional integration and cointegration

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 (445,101)

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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 (572,030)

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

EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?

CESifo Working Paper Series No. 3074
Number of pages: 30 Posted: 10 Jun 2010
Guglielmo Maria Caporale, Roman Matousek and Chris Stewart
Brunel University London - Department of Economics and Finance, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and affiliation not provided to SSRN
Downloads 24 (502,517)
Citation 1

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EU countries, banks, ratings, ordered probit models, index of indicator variables

EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?

DIW Berlin Discussion Paper No. 1009
Number of pages: 28 Posted: 23 Sep 2010
Guglielmo Maria Caporale, Roman Matousek and Chris Stewart
Brunel University London - Department of Economics and Finance, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and London Metropolitan University
Downloads 22 (514,766)
Citation 1

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EU countries, banks, ratings, ordered probit models, index of indicator variable

EU Banks Rating Assignments: Is There Heterogeneity Between New and Old Member Countries?

Review of International Economics, Vol. 19, No. 1, pp. 189-206, 2011
Number of pages: 18 Posted: 24 Jan 2011
Guglielmo Maria Caporale, Roman Matousek and Chris Stewart
Brunel University London - Department of Economics and Finance, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and London Metropolitan University
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Citation 1
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65.

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

CESifo Working Paper Series No. 5807
Number of pages: 33 Posted: 15 Apr 2016
Brunel University London - Department of Economics and Finance, Ege University Department of Economics, Brunel University London, University of Sussex -University of Sussex Business School and Brunel University London - Economics and Finance
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bank lending channel, Malaysia, monetary transmission, threshold VAR

66.

Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models

CESifo Working Paper Series No. 7167
Number of pages: 26 Posted: 27 Sep 2018
Guglielmo Maria Caporale and Timur Zekokh
Brunel University London - Department of Economics and Finance and National Research University Higher School of Economics
Downloads 44 (400,309)

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cryptocurrencies, volatility, Markov-switching, GARCH

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 (458,695)

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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 (578,598)

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

68.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

DIW Berlin Discussion Paper No. 1519
Number of pages: 26 Posted: 19 Nov 2015
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex -University of Sussex Business School, Brunel University London - Economics and Finance and Brunel University
Downloads 44 (400,309)

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Bond flows, Equity flows, Exchange rates, Regime switching

69.

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 (400,309)

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

70.

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 (407,595)

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

71.

On the Frequency of Price Overreactions

CESifo Working Paper Series No. 7011
Number of pages: 24 Posted: 09 Jul 2018
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 41 (411,280)

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Stock Markets, Anomalies, Overreactions, Abnormal Returns, VIX, Frequency of Overreactions

72.

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 (418,860)

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

73.

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 (426,943)
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74.

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 33 (443,389)

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Fractional Integration, Long Memory, Stochastic Volatility, Asset Returns

75.

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 33 (443,389)

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Term structure, Long memory, Fractional integration, Fractional cointegration

76.

Price Overreactions in the Forex and Trading Strategies

Brunel University London, Economics and Finance Working Paper Series, No. 19-09
Number of pages: 49 Posted: 30 Apr 2019
Guglielmo Maria Caporale and Oleksiy Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 31 (452,259)

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FOREX, Anomalies, Overreactions, Abnormal Returns, Patterns

77.

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 30 (456,832)
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78.

Determinants of Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis

CESifo Working Paper Series No. 3255
Number of pages: 28 Posted: 25 Nov 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 29 (461,580)

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Pollution Abatement and Control Expenditure, Transition Economy, Multilevel Regression Model (MRM)

79.

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 28 (466,528)

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

Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis

William Davidson Institute Working Paper No. 994
Number of pages: 32 Posted: 02 Aug 2010
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 16 (552,641)

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Pollution Abatement and Control Expenditure, Transition Economy, Multilevel Regression Model (MRM)

Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis

IZA Discussion Paper No. 5041
Number of pages: 31 Posted: 12 Jul 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
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pollution abatement and control expenditure, transition economy, Multilevel Regression Model (MRM)

81.

Bitcoin Fluctuations and the Frequency of Price Overreactions

CESifo Working Paper No. 7280
Number of pages: 27 Posted: 21 Feb 2019
Guglielmo Maria Caporale, Oleksiy Plastun and Viktor Oliinyk
Brunel University London - Department of Economics and Finance, Sumy State University and Sumy State University
Downloads 27 (471,547)

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cryptocurrency, Bitcoin, anomalies, overreactions, abnormal returns, frequency of overreactions

82.

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

DIW Berlin Discussion Paper No. 1158
Number of pages: 19 Posted: 07 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance and University of Minho
Downloads 27 (471,547)
Citation 1

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

83.

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

IZA Discussion Paper No. 5683
Number of pages: 35 Posted: 09 May 2011
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 27 (471,547)

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regionalisation, trade flows, trade balance, panel data methods

84.

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 27 (471,547)

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Personal Disposable Income, House Price Index, Fractional Integration

85.

Endogenous Growth Models and Stock Market Development: Evidence from Four Countries

Review of Development Economics, Vol. 9, No. 2, pp. 166-176, May 2005
Number of pages: 11 Posted: 29 Apr 2005
Guglielmo Maria Caporale, Peter Howells and Alaa M. Soliman
Brunel University London - Department of Economics and Finance, University of the West of England (UWE) - School of Economics and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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86.

Exogenity and Measures of Persistente

Revista de Economia del Rosario, Vol. 5, No. 1, 2002
Number of pages: 10 Posted: 06 Sep 2006
Guglielmo Maria Caporale and Nikitas Pittis
Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Banking and Financial Management
Downloads 25 (482,142)

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Persistence, weak exogeneity, autocorrelation function, conditioning information set, dynamic models, cointegration

87.

Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?

Manchester School, Vol. 70, No. 4, pp. 528-545, 2002
Number of pages: 18 Posted: 06 May 2003
Philip Arestis, Guglielmo Maria Caporale and Andrea Cipollini
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance and University of Palermo - d/SEAS
Downloads 25 (482,142)
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88.

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

89.

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

90.

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

91.

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

92.

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

CESifo Working Paper Series No. 5921
Number of pages: 28 Posted: 22 Jun 2016
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University London - Department of Economics and Finance, Middlesex University and Brunel University London
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MENA region, banking sector, profitability, global financial crisis

93.

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

CESifo Working Paper Series No. 5971
Number of pages: 41 Posted: 27 Jul 2016
Guglielmo Maria Caporale, Mario Cerrato and Xuan Zhang
Brunel University London - Department of Economics and Finance, University of Glasgow and University of Glasgow
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insolvent, doubly stochastic, insurance, reinsurance

94.

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

CESifo Working Paper Series No. 6494
Number of pages: 32 Posted: 20 Jun 2017
Guglielmo Maria Caporale and Kefei You
Brunel University London - Department of Economics and Finance and University of Greenwich
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Asian Stock Markets, Global and Regional Integration, Phillips-Sul Tests, Panel and Club Convergence

95.

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 (532,691)

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Fisher effect, fractional integration, long memory, G7 countries

96.

Persistence in the Russian Stock Market Volatility Indices

CESifo Working Paper No. 7243
Number of pages: 20 Posted: 31 Oct 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Trilochan Tripathy
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

97.

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

98.

Volatility Forecasts for the RTS Stock Index: Option-Implied Volatility Versus Alternative Methods

CESifo Working Paper No. 7612
Number of pages: 20 Posted: 30 Apr 2019
Guglielmo Maria Caporale and Daria Teterkina
Brunel University London - Department of Economics and Finance and National Research University Higher School of Economics
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option-implied volatility, ARCH-type models, mixed strategies

99.

Style Consistency and Mutual Fund Returns: The Case of Russia

CESifo Working Paper No. 7605
Number of pages: 17 Posted: 25 Apr 2019
Adiya Bayarmaa and Guglielmo Maria Caporale
National Research University Higher School of Economics - International College of Economics and Finance and Brunel University London - Department of Economics and Finance
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mutual funds, style consistency, performance, Russia

100.

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

101.

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

CESifo Working Paper Series No. 5907
Number of pages: 21 Posted: 16 Jun 2016
Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini
Brunel University London - Department of Economics and Finance, INALDE Business School and Universidad Nacional del Litoral
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devaluations, trade balance, S-Curve, PAG Free Trade Agreement

102.

On the Preferences of Coco Bond Buyers and Sellers: A Logistic Regression Analysis

CESifo Working Paper No. 7551
Number of pages: 39 Posted: 21 Mar 2019
Guglielmo Maria Caporale and Woo-Young Kang
Brunel University London - Department of Economics and Finance and Brunel University London - Department of Economics and Finance
Downloads 10 (567,878)

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CoCo bonds, buyers and sellers, preference scores, logistic regressions

103.

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
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fractional integration, energy consumption, GCC countries

104.

Political Tension and Stock Markets in the Arabian Peninsula

CESifo Working Paper No. 7341
Number of pages: 9 Posted: 21 Feb 2019
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
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GCC, multivariate GARCH, political tension

105.

The Impact of Business and Political News on the GCC Stock Markets

CESifo Working Paper No. 7353
Number of pages: 33 Posted: 21 Feb 2019
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
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business news, GCC countries, Markov switching model, political news

106.

Force Majeure Events and Stock Market Reactions In Ukraine

Brunel University London, Economics and Finance Working Paper Series, No. 19-05
Number of pages: 24 Posted: 30 Apr 2019
Guglielmo Maria Caporale, Oleksiy Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
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Ukrainian Stock Market, Force-Majeure Event, Event Study

107.

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

Review of Development Economics, Vol. 22, Issue 2, pp. 558-572, 2018
Number of pages: 15 Posted: 25 Apr 2018
Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini
Brunel University London - Department of Economics and Finance, INALDE Business School and Universidad Nacional del Litoral
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108.

How Do Fiscal Consolidation and Fiscal Stimuli Impact on the Synchronization of Business Cycles?

Bulletin of Economic Research, Vol. 69, Issue 4, pp. 309-329, 2017
Number of pages: 21 Posted: 10 Oct 2017
Guglielmo Maria Caporale, Luca Agnello and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance, University of Palermo - Department of Economics and University of Minho
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fiscal consolidation, fiscal stimulus, business cycle synchronization

109.

The Bds Test as a Test for the Adequacy of a Garch(1,1) Specification: A Monte Carlo Study

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 282-309, Spring 2005
Posted: 29 Feb 2008
Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis and Nikitas Pittis
Brunel University London - Department of Economics and Finance, Dalhousie University - Department of Economics, University of Kent and University of Piraeus - Department of Banking and Financial Management

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BDS test, GARCH(1,1) model, nuisance-parameter free property, QML estimator

110.

The Euro and Monetary Policy Transparency

Eastern Economic Journal, Vol. 28, No. 1, pp. 59-70, 2002
Posted: 10 Sep 2005
Andrea Cipollini and Guglielmo Maria Caporale
University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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111.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
Nicola Spagnolo, Andrea Cipollini and Guglielmo Maria Caporale
Brunel University, University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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Contagion, Financial crises, Conditional correlation

112.

Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption

Journal of Macroeconomics, Vol. 23, No. 2, Spring 2001
Posted: 15 Oct 2001
Guglielmo Maria Caporale and Geoffrey Williams
Brunel University London - Department of Economics and Finance and Pembroke College at Oxford

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113.

Estimating Income and Price Elasticities of Trade in a Cointegration Framework

Review of International Economics, Jan. 29, 1998
Posted: 27 Feb 1998
Guglielmo Maria Caporale and Michael K.F. Chui
Brunel University London - Department of Economics and Finance and Bank for International Settlements (BIS)

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