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

German Institute for Economic Research (DIW Berlin)

Mohrenstraße 58

Berlin, 10117

Germany

SCHOLARLY PAPERS

247

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Top 1,703

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376

CROSSREF CITATIONS

363

Scholarly Papers (247)

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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 446 (95,274)
Citation 5

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 156 (274,353)
Citation 2

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 150 (283,356)
Citation 3

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

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 London - Economics and Finance
Downloads 340 (130,020)

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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 London - Economics and Finance
Downloads 231 (193,148)

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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) and Brunel University London - Economics and Finance
Downloads 177 (246,390)
Citation 51

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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 London - Economics and Finance
Downloads 1 (980,891)
Citation 2

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Downloads 648 ( 60,677)
Citation 14

Persistence in the Cryptocurrency Market

DIW Berlin Discussion Paper No. 1703
Number of pages: 19 Posted: 08 Dec 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 537 (76,028)
Citation 4

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

Persistence in the Cryptocurrency Market

CESifo Working Paper Series No. 6811
Number of pages: 19 Posted: 21 Feb 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 111 (355,977)
Citation 9

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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 560 (72,981)
Citation 2

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

5.
Downloads 529 ( 78,316)
Citation 5

Price Overreactions in the Cryptocurrency Market

DIW Berlin Discussion Paper No. 1718
Number of pages: 26 Posted: 31 Jan 2018
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 432 (98,911)
Citation 3

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 97 (390,090)
Citation 4

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

6.
Downloads 476 ( 89,091)
Citation 2

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 369 (118,636)

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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 107 (365,305)
Citation 4

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Cointegration, oil market, futures prices, price discovery

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
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 381 (114,371)
Citation 35

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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
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 78 (446,512)

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financial development, economic growth, transition economies

8.

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
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 419 (103,442)
Citation 5

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Contagion, Financial crises, Conditional Correlation

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

Number of pages: 28 Posted: 23 Jun 2003
Guglielmo Maria Caporale, Andrea Cipollini, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Leicester - Department of Economics
Downloads 409 (105,376)
Citation 18

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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, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Leicester - Department of Economics

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Monetary Policy, Financial Crisis, Identification

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 406 (107,233)
Citation 1

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Mutual funds, Performance persistence, Market efficiency,Emerging markets

11.

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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 363 (121,735)

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FOREX, Anomalies, Overreactions, Abnormal Returns, Patterns

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 London - Economics and Finance
Downloads 198 (223,197)

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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 London - Economics and Finance
Downloads 156 (274,353)
Citation 19

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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

The Manchester School, Vol. 81, Issue 6, pp. 925-940, 2013
Number of pages: 16 Posted: 12 Oct 2013
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 0

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 342 (130,001)
Citation 1

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

14.

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 301 (148,736)
Citation 3

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

15.

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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 298 (150,282)

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

16.

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

Brunel University London, Economics and Finance Working Paper No. 15-15
Number of pages: 24 Posted: 26 Mar 2016 Last Revised: 16 Jun 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 297 (150,828)

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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
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 144 (292,903)
Citation 3

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Efficient Market Hypothesis; weekend effect; trading strategy

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

CESifo Working Paper Series No. 4849
Number of pages: 20 Posted: 09 Jul 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 73 (463,876)

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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
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 67 (485,871)

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Efficient Market Hypothesis; weekend effect; trading strategy

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

DIW Berlin Discussion Paper No. 1289
Number of pages: 51 Posted: 12 Apr 2013 Last Revised: 03 Nov 2013
Guglielmo Maria Caporale, John Hunter and Faek Menla Ali
Brunel University London - Department of Economics and Finance, Brunel University - School of Social Science and University of Sussex
Downloads 210 (211,379)
Citation 4

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

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

CESifo Working Paper Series No. 4189
Number of pages: 32 Posted: 16 Apr 2013
Guglielmo Maria Caporale, John Hunter and Faek Menla Ali
Brunel University London - Department of Economics and Finance, Brunel University - School of Social Science and University of Sussex
Downloads 60 (514,452)

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

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 London - Economics and Finance
Downloads 184 (238,201)
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 London - Economics and Finance
Downloads 77 (449,906)

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Volatility spillovers, contagion, stock markets, emerging markets

20.

Is Market Fear Persistent? A Long-Memory Analysis?

CESifo Working Paper Series No. 6534
Number of pages: 20 Posted: 20 Jul 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 246 (182,890)
Citation 4

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

Loan Loss Provision: Some Empirical Evidence for Italian Banks

CESifo Working Paper Series No. 5253
Number of pages: 39 Posted: 09 Apr 2015
Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez
Brunel University London - Department of Economics and Finance, Federcasse, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 177 (246,390)

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loan loss provision, bank lending, financial system cyclicality

Loan Loss Provision: Some Empirical Evidence for Italian Banks

DIW Berlin Discussion Paper No. 1459
Number of pages: 40 Posted: 12 Mar 2015
Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez
Brunel University London - Department of Economics and Finance, Federcasse, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 68 (482,084)
Citation 7

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Loan loss provision, bank lending, financial system cyclicality

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
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 128 (320,893)
Citation 2

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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
University of OrleansIZA Institute of Labor Economics, Brunel University London - Department of Economics and Finance, CES Sorbonne UniversityBucharest Academy of Economic Studies and Academy of Economic Studies
Downloads 107 (365,305)

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regionalisation, European integration, panel data methods

23.

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 229 (195,245)
Citation 4

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comparison income, reference groups, happiness, life satisfaction

Trade Flows and Trade Specialisation: The Case of China

CESifo Working Paper Series No. 5217
Number of pages: 30 Posted: 10 Mar 2015
Guglielmo Maria Caporale, Anamaria Sova, Anamaria Sova and Robert Sova
Brunel University London - Department of Economics and Finance, CES Sorbonne UniversityBucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 165 (261,854)

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

Trade Flows and Trade Specialisation: The Case of China

DIW Berlin Discussion Paper No. 1453
Number of pages: 32 Posted: 25 Feb 2015
Guglielmo Maria Caporale, Anamaria Sova, Anamaria Sova and Robert Sova
Brunel University London - Department of Economics and Finance, CES Sorbonne UniversityBucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 63 (501,993)
Citation 4

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

25.

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 213 (209,001)

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European options, Chebyshev polynomial approximation, Chebyshev nodes

26.

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 212 (209,869)

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fractional integration, financial time series data, trends, cycles

27.

Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns

CESifo Working Paper No. 7917
Number of pages: 39 Posted: 27 Nov 2019
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 207 (215,540)

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cryptocurrencies, anomalies, momentum effect, overreactions, abnormal returns, patterns

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 116 (344,928)

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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 83 (430,473)
Citation 13

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

29.

Long Memory and Data Frequency in Financial Markets

DIW Berlin Discussion Paper No. 1647
Number of pages: 21 Posted: 10 Mar 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 181 (241,587)

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

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

CESifo Working Paper Series No. 4752
Number of pages: 22 Posted: 09 May 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 105 (369,993)
Citation 1

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

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

DIW Berlin Discussion Paper No. 1377
Number of pages: 24 Posted: 07 May 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 75 (456,770)
Citation 1

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

31.

Short-Term Price Overreactions: Identification, Testing, Exploitation

CESifo Working Paper Series No. 5066
Number of pages: 28 Posted: 02 Dec 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 165 (262,840)
Citation 2

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

32.

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 165 (261,474)
Citation 1

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

33.
Downloads 164 (262,840)
Citation 3

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 122 (332,576)

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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 42 (602,701)
Citation 1

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International banks, ratings, ordered choice models, country index

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

DIW Berlin Discussion Paper No. 1583
Number of pages: 18 Posted: 30 May 2016
Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 128 (320,893)
Citation 1

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

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 London - Economics and Finance
Downloads 35 (644,938)

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

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

DIW Berlin Discussion Paper No. 1300
Number of pages: 50 Posted: 24 May 2013
Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Business Administration
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Mutual funds, performance, timing, gender difference, quantile regression

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

CESifo Working Paper Series No. 4275
Number of pages: 46 Posted: 18 Jun 2013
Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Business Administration
Downloads 64 (497,881)

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

36.
Downloads 159 (269,544)
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, Joint Research Centre, Italy and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 112 (353,721)

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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, Joint Research Centre, Italy and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 47 (575,352)
Citation 4

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Inflation, inflation uncertainty, 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 103 (374,852)
Citation 3

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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 55 (536,510)

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credit, growth, Islamic banking causality tests

38.

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 156 (273,747)

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

39.
Downloads 151 (282,666)

Persistence in Youth Unemployment

DIW Berlin Discussion Paper No. 1248
Number of pages: 14 Posted: 13 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 89 (415,119)

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Youth unemployment, persistence, fractional integration

Persistence in Youth Unemployment

CESifo Working Paper Series No. 3961
Number of pages: 12 Posted: 17 Oct 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 62 (506,018)

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youth unemployment, persistence, fractional integration

40.

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 147 (288,887)
Citation 3

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stock market, fractional cycles, long memory, Gegenbauer processes

41.

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 147 (287,293)
Citation 5

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

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

Number of pages: 26 Posted: 20 Mar 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 71 (470,934)

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Stock markets, linkages, fractional integration, fractional cointegration

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

CESifo Working Paper Series No. 5523
Number of pages: 29 Posted: 19 Oct 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 53 (545,801)

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stock markets, linkages, fractional integration, fractional cointegration

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

DIW Berlin Discussion Paper No. 1505
Number of pages: 29 Posted: 24 Sep 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and C. Orlando
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 21 (753,229)
Citation 2

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Stock markets, linkages, fractional integration, fractional cointegration

43.
Downloads 141 (297,011)
Citation 2

Macro News and Commodity Returns

CESifo Working Paper Series No. 5551
Number of pages: 20 Posted: 05 Nov 2015
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 75 (456,770)

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macro news, commodity prices, VAR-GARCH model

Macro News and Commodity Returns

DIW Berlin Discussion Paper No. 1508
Number of pages: 21 Posted: 24 Sep 2015
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 66 (489,774)
Citation 2

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Macro news, Commodity Prices, VAR-GARCH model

Environmental Regulation and Competitiveness: Evidence from Romania

CESifo Working Paper Series No. 3916
Number of pages: 20 Posted: 03 Sep 2012
EDHEC Business School, Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 51 (560,242)
Citation 1

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environmental stringency, competitiveness, gravity model

Environmental Regulation and Competitiveness: Evidence from Romania

William Davidson Institute Working Paper No. 995
Number of pages: 23 Posted: 02 Aug 2010
University of OrleansIZA Institute of Labor Economics, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 48 (570,263)

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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
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 42 (602,701)

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environmental stringency, competiveness, gravity model

45.

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 141 (297,011)
Citation 1

Abstract:

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unemployment, structural breaks, fractional integration

46.

Long Memory and Data Frequency in Financial Markets

CESifo Working Paper Series No. 6396
Number of pages: 22 Posted: 18 Apr 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 136 (305,424)

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

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 132 (313,549)
Citation 3

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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 2 (965,054)

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48.

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 134 (308,874)

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

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

DIW Berlin Discussion Paper No. 1486
Number of pages: 35 Posted: 10 Jun 2015
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 96 (392,670)
Citation 2

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

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

CESifo Working Paper Series No. 5407
Number of pages: 34 Posted: 06 Jul 2015
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University London - Department of Economics and Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 34 (651,451)
Citation 1

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

50.

Short-Term Price Overreaction: Identification, Testing, Exploitation

DIW Berlin Discussion Paper No. 1423
Number of pages: 29 Posted: 19 Nov 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 130 (316,025)
Citation 1

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

51.
Downloads 127 (323,444)
Citation 1

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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 65 (497,881)

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 41 (608,389)

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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 Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 21 (753,229)
Citation 1

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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

52.

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

CESifo Working Paper Series No. 3502
Number of pages: 27 Posted: 11 Jul 2011
Guglielmo Maria Caporale and Marinko Skare
Brunel University London - Department of Economics and Finance and Juraj Dobrila University of Pula
Downloads 126 (323,444)

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employment growth, inflation, output growth, Golden Triangle theory

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

DIW Berlin Discussion Paper No. 875
Posted: 09 Jul 2009
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 76 (453,292)
Citation 4

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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
University of OrleansIZA Institute of Labor Economics, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 50 (560,242)

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

54.

Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects

CESifo Working Paper No. 8445
Number of pages: 40 Posted: 28 Jul 2020
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 124 (327,233)

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commodities, anomalies, momentum effect, contrarian effect, abnormal returns

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

CESifo Working Paper Series No. 4912
Number of pages: 19 Posted: 20 Aug 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 70 (474,600)

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

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

DIW Berlin Discussion Paper No. 1399
Number of pages: 20 Posted: 30 Jul 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 52 (550,430)
Citation 3

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

Exchange Rate Uncertainty and International Portfolio Flows

CESifo Working Paper Series No. 4234
Number of pages: 31 Posted: 22 May 2013
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 74 (460,215)

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

Exchange Rate Uncertainty and International Portfolio Flows

DIW Berlin Discussion Paper No. 1296
Number of pages: 36 Posted: 14 May 2013 Last Revised: 29 Oct 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 48 (575,352)
Citation 1

Abstract:

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

57.

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 122 (331,114)

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

58.

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange

CESifo Working Paper No. 7984
Number of pages: 40 Posted: 20 Dec 2019
Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti and Aris Kartsaklas
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance, Loughborough University and Brunel University London
Downloads 120 (335,023)

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financial crisis, foreign investors, individual investors, institutional investors, long memory, range-based volatility, structural change, trading volume

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

DIW Berlin Discussion Paper No. 1481
Number of pages: 41 Posted: 14 May 2015
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University London - Department of Economics and Finance, Middlesex University and University of Surrey
Downloads 77 (449,906)

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

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

CESifo Working Paper Series No. 5353
Number of pages: 42 Posted: 02 Jun 2015
Guglielmo Maria Caporale, Suman Lodh and Dr. Monomita Nandy
Brunel University London - Department of Economics and Finance, Middlesex University and University of Surrey - Surrey Business School
Downloads 43 (596,930)

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

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, Christophe Rault and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of OrleansIZA Institute of Labor Economics
Downloads 60 (514,452)

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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, Christophe Rault and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of OrleansIZA Institute of Labor Economics
Downloads 58 (523,009)

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

61.

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 118 (339,075)

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fiscal shocks, real exchange rate, Latin American countries

Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets

CESifo Working Paper No. 8783
Number of pages: 54 Posted: 28 Dec 2020
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 116 (344,928)

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Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets

Journal of Investment Strategies, Vol. 10, No. 4, 2022
Posted: 09 Jun 2022
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University

Abstract:

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stock market, anomalies, momentum effect, contrarian effect, abnormal returns

63.

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

DIW Berlin Discussion Paper No. 1557
Number of pages: 34 Posted: 09 Mar 2016
Brunel University London - Department of Economics and Finance, Ege University Department of Economicsaffiliation not provided to SSRN, Brunel University London, University of Sussex and Brunel University London - Economics and Finance
Downloads 116 (343,189)
Citation 2

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Bank lending channel, Malaysia, Monetary transmission, Threshold VAR

64.

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

DIW Berlin Discussion Paper No. 1395
Number of pages: 19 Posted: 28 Jun 2014
Guglielmo Maria Caporale and Marinko Skare
Brunel University London - Department of Economics and Finance and Juraj Dobrila University of Pula
Downloads 116 (343,189)
Citation 3

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

65.

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 Economicsaffiliation not provided to SSRN, Brunel University London - College of Business, Arts and Social Sciences, University of Sussex and Ege University - Department of EconomicsTekirda? Nam?k Kemal University
Downloads 114 (347,412)

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Taylor rule, nonlinearities, emerging countries

66.

Youth Unemployment in Europe: Persistence and Macroeconomic Determinants

CESifo Working Paper Series No. 4696
Number of pages: 20 Posted: 16 Apr 2014
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 112 (351,678)

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youth unemployment, fractional integration, fractional cointegration

67.

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 112 (351,678)
Citation 1

Abstract:

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Fractional integration, Long memory, Exchange rates, Volatility

68.

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

CESifo Working Paper Series No. 3208
Number of pages: 25 Posted: 20 Oct 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 110 (356,073)

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personal disposable income, house price index, fractional integration

69.
Downloads 110 (356,073)
Citation 3

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 78 (446,512)

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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 32 (665,012)
Citation 3

Abstract:

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MTS system, price discovery

70.

Non-Linearities and Fractional Integration in the Us Unemployment Rate

Number of pages: 23 Posted: 05 Feb 2004
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 110 (356,073)
Citation 3

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

71.

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

CESifo Working Paper Series No. 3645
Number of pages: 36 Posted: 30 Nov 2011
Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of OrleansIZA Institute of Labor Economics
Downloads 108 (360,658)

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

72.

Long-Term Price Overreactions: Are Markets Inefficient?

DIW Berlin Discussion Paper No. 1444
Number of pages: 27 Posted: 22 Jan 2015
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 107 (362,949)
Citation 1

Abstract:

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

73.

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
Downloads 107 (362,949)

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Data envelopment analysis, portfolio efficiency, performance evaluation

74.

Persistence in ESG and Conventional Stock Market Indices

CESifo Working Paper No. 9098
Number of pages: 28 Posted: 03 Jun 2021
Guglielmo Maria Caporale, Luis A. Gil-Alana, Alex Plastun and Inna Makarenko
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics, Sumy State University and National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine
Downloads 106 (365,206)
Citation 1

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75.

Cross-Border Portfolio Flows and News Media Coverage

CESifo Working Paper No. 8112
Number of pages: 41 Posted: 27 Feb 2020
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 105 (367,538)

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Bloomberg, bond flows, equity flows, news

76.

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 105 (367,538)

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multivariate models, fractional integration, structural breaks

77.
Downloads 104 (369,847)
Citation 8

Macro News and Bond Yield Spreads in the Euro Area

CESifo Working Paper Series No. 5008
Number of pages: 26 Posted: 22 Oct 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 72 (467,381)

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

Macro News and Bond Yield Spreads in the Euro Area

DIW Berlin Discussion Paper No. 1413
Number of pages: 27 Posted: 02 Oct 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 32 (665,012)
Citation 9

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

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Brunel Economics and Finance Working Paper No. 2005
Number of pages: 42 Posted: 15 Apr 2020
Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk
Brunel University London - Department of Economics and Finance, Sumy State University and Sumy State University
Downloads 75 (456,770)

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FOREX, anomalies, price dynamics, frequency of abnormal returns

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

CESifo Working Paper No. 8196
Number of pages: 43 Posted: 07 Apr 2020
Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk
Brunel University London - Department of Economics and Finance, Sumy State University and Sumy State University
Downloads 27 (702,477)

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FOREX, anomalies, price dynamics, frequency of abnormal returns

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 London - Economics and Finance
Downloads 97 (390,090)

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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 London - Economics and Finance
Downloads 4 (935,515)
Citation 2

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80.

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, Alex 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
Downloads 99 (382,088)
Citation 1

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Ukrainian Stock Market, Force-Majeure Event, Event Study

81.

Bitcoin Price Co-Movements and Culture

CESifo Working Paper No. 8076
Number of pages: 41 Posted: 01 Jul 2020
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 98 (384,591)

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Bitcoin exchanges, cultural analysis, co-movement

82.

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
Downloads 97 (387,090)

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European banking, latent class frontier model, technical efficiency

83.

Trade Flows, Private Credit and the COVID-19-Pandemic: Panel Evidence from 35 OECD Countries

CESifo Working Paper No. 9400
Number of pages: 11 Posted: 12 Nov 2021
Guglielmo Maria Caporale, Anamaria Sova and Robert Sova
Brunel University London - Department of Economics and Finance, Brunel University London and Academy of Economic Studies
Downloads 95 (392,226)

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Covid-19 pandemic, stringency index, overall government response index, credit to the private non-financial sector, dynamic panel models, GMM

84.

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 95 (392,226)

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deterministic and stochastic seasonality, fractional integration, structural breaks

85.

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 93 (397,516)
Citation 1

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

86.

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
Downloads 92 (400,219)
Citation 1

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Employment growth, inflation, output growth, Golden Triangle theory

87.

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
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 87 (414,243)
Citation 7

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Regionalisation, European integration, Panel data methods

88.

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 84 (423,220)
Citation 9

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cryptocurrencies, volatility, Markov-switching, GARCH

89.
Downloads 84 (426,225)
Citation 1

Brexit and Uncertainty in Financial Markets

CESifo Working Paper Series No. 6874
Number of pages: 20 Posted: 06 Apr 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 59 (518,663)

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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 25 (727,261)
Citation 2

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

The Weekly Structure of US Stock Prices

CESifo Working Paper Series No. 3245
Number of pages: 21 Posted: 15 Nov 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 45 (585,943)

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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 39 (626,180)

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Fractional Integration, Weekly Structure, Stock Prices

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

DIW Berlin Discussion Paper No. 1394
Number of pages: 29 Posted: 28 Jun 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 47 (575,352)

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China, Oil price uncertainty, Sectoral stock returns

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

CESifo Working Paper Series No. 4881
Number of pages: 27 Posted: 23 Jul 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 36 (638,563)
Citation 3

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China, oil price uncertainty, sectoral stock returns

92.

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, Christophe Rault, Thouraya Hadj Amor and Guglielmo Maria Caporale
University of OrleansIZA Institute of Labor Economics, Economic Research Forum (ERF) and Brunel University London - Department of Economics and Finance
Downloads 82 (429,279)

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

93.

Fiscal Spillovers in the Euro Area

CESifo Working Paper Series No. 3693
Number of pages: 33 Posted: 11 Jan 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 81 (432,340)
Citation 2

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

94.

The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6

CESifo Working Paper No. 8585
Number of pages: 28 Posted: 02 Oct 2020
Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN and Bucharest Academy of Economic Studies
Downloads 80 (435,421)

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financial development, international trade, CEEC-6, system GMM estimator, PMG estimator

95.
Downloads 80 (435,421)
Citation 3

Macro News and Exchange Rates in the BRICS

DIW Berlin Discussion Paper No. 1545
Number of pages: 10 Posted: 10 Feb 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 41 (608,389)
Citation 1

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BRICS, Exchange Rates, GARCH model, Macro news

Macro News and Exchange Rates in the BRICS

CESifo Working Paper Series No. 5748
Number of pages: 9 Posted: 12 Mar 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 39 (620,196)
Citation 2

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BRICS, exchange rates, GARCH model, macro news

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

DIW Berlin Discussion Paper No. 1362
Number of pages: 32 Posted: 13 Feb 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University London - Department of Economics and Finance, University of Brescia and HEC Montreal
Downloads 45 (585,943)
Citation 5

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

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

CESifo Working Paper Series No. 4669
Number of pages: 31 Posted: 20 Mar 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University London - Department of Economics and Finance, University of Brescia and HEC Montreal
Downloads 34 (651,451)
Citation 2

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

97.

Fractional Integration and Cointegration in US Financial Time Series Data

CESifo Working Paper Series No. 3416
Number of pages: 43 Posted: 27 Apr 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 79 (441,720)

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

Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania

IZA Discussion Paper No. 3787
Number of pages: 15 Posted: 03 Nov 2008
CES Sorbonne UniversityBucharest Academy of Economic Studies, Academy of Economic Studies, University of OrleansIZA Institute of Labor Economics and Brunel University London - Department of Economics and Finance
Downloads 50 (560,242)

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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
University of OrleansIZA Institute of Labor Economics, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 29 (687,067)

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

99.

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 78 (441,720)

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

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

CESifo Working Paper Series No. 4224
Number of pages: 32 Posted: 08 May 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 45 (585,943)

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

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

DIW Berlin Discussion Paper No. 1294
Number of pages: 33 Posted: 14 May 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 33 (658,150)
Citation 3

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

101.

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

DIW Berlin Discussion Paper No. 1591
Number of pages: 43 Posted: 13 Jul 2016
Guglielmo Maria Caporale, Mario Cerrato and Xuan Zhang
Brunel University London - Department of Economics and Finance, University of Glasgow and University of Glasgow
Downloads 76 (448,237)

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Insolvent, Doubly Stochastic, Insurance, Reinsurance

102.

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

DIW Berlin Discussion Paper No. 1580
Number of pages: 28 Posted: 25 May 2016
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University London - Department of Economics and Finance, Middlesex University and Brunel University London
Downloads 75 (451,580)
Citation 1

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MENA region, banking sector, profitability, global financial crisis

103.

Bank Lending Procyclicality and Credit Quality During Financial Crises

DIW Berlin Discussion Paper No. 1309
Number of pages: 39 Posted: 10 Jul 2013
Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez
Brunel University London - Department of Economics and Finance, Federcasse Research Department and Federcasse - Federazione nazionale banche di credito cooperativo
Downloads 75 (451,580)
Citation 6

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loan losses, macroeconomic determinants, Italian banking system, SVAR

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 47 (575,352)

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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 25 (718,816)

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

105.

Inflation and Inflation Uncertainty in the Euro Area

ECB Working Paper No. 1229
Number of pages: 27 Posted: 24 Jul 2010
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University London - Department of Economics and Finance, Joint Research Centre, Italy and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 72 (461,792)
Citation 2

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

106.
Downloads 72 (461,792)
Citation 2

Long Memory in US Real Output per Capita

CESifo Working Paper Series No. 2671
Number of pages: 42 Posted: 29 Jun 2009
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 39 (620,196)

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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 33 (658,150)
Citation 1

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Fractional Integration, Long Memory, Convergence

107.

Calendar Anomalies in the Ukrainian Stock Market

DIW Berlin Discussion Paper No. 1573
Number of pages: 37 Posted: 28 Apr 2016 Last Revised: 21 May 2016
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 71 (472,308)
Citation 3

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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

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 40 (614,352)

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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 31 (672,184)

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Euro changeover, staggered price adjustments, inflation

109.

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, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 69 (472,308)
Citation 1

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Bond flows, Equity flows, Exchange rates, Regime switching

Testing Unemployment Theories: A Multivariate Long Memory Approach

CESifo Working Paper Series No. 4570
Number of pages: 19 Posted: 28 Jan 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Yuliya Lovcha
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra
Downloads 41 (608,389)

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unemployment rate, multivariate long memory, fractional integration

Testing Unemployment Theories: A Multivariate Long Memory Approach

DIW Berlin Discussion Paper No. 1345
Number of pages: 21 Posted: 30 Jan 2014
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 27 (702,477)

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Unemployment rate, Multivariate long memory, Fractional integration

Spillovers between Food and Energy Prices and Structural Breaks

CESifo Working Paper Series No. 5282
Number of pages: 21 Posted: 14 Apr 2015
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 45 (585,943)
Citation 1

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

Spillovers between Food and Energy Prices and Structural Breaks

DIW Berlin Discussion Paper No. 1466
Number of pages: 22 Posted: 08 Apr 2015
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 22 (744,493)
Citation 1

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

112.

Bitcoin Fluctuations and the Frequency of Price Overreactions

CESifo Working Paper No. 7280
Number of pages: 27 Posted: 21 Feb 2019
Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk
Brunel University London - Department of Economics and Finance, Sumy State University and Sumy State University
Downloads 66 (483,256)

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

113.

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 66 (483,256)
Citation 4

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

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 32 (665,012)

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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 30 (679,523)
Citation 2

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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
Downloads 4 (935,515)

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115.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

CESifo Working Paper Series No. 5615
Number of pages: 25 Posted: 22 Dec 2015
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 65 (490,996)
Citation 2

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bond flows, equity flows, exchange rates, regime switching

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

DIW Berlin Discussion Paper No. 1254
Number of pages: 37 Posted: 21 Nov 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 33 (658,150)
Citation 1

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

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

CESifo Working Paper Series No. 4006
Number of pages: 36 Posted: 27 Nov 2012
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 32 (665,012)
Citation 1

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

117.
Downloads 65 (487,146)
Citation 1

Long Memory in German Energy Price Indices

DIW Berlin Discussion Paper No. 1186
Number of pages: 29 Posted: 18 Feb 2012
Carlos Pestana Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana
Technical University of Lisbon - Instituto Superior de Economia e Gestao, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 36 (638,563)
Citation 1

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

Long Memory in German Energy Price Indices

CESifo Working Paper Series No. 3935
Number of pages: 26 Posted: 20 Sep 2012
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
Downloads 29 (687,067)

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

118.

Bitcoin Returns and the Frequency of Daily Abnormal Returns

Number of pages: 22 Posted: 23 Jun 2020
Guglielmo Maria Caporale, Alex Plastun and Viktor Oliinyk
Brunel University London - Department of Economics and Finance, Sumy State University and Sumy State University
Downloads 64 (490,996)

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cryptocurrency, Bitcoin, anomalies, abnormal returns, frequency of abnormal returns, regression analysis

119.

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 64 (490,996)
Citation 4

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Price discovery, liquidity, MTS system

120.

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

CESifo Working Paper Series No. 3340
Number of pages: 34 Posted: 14 Feb 2011
Brunel University London - Department of Economics and Finance, University of OrleansIZA Institute of Labor Economics, Academy of Economic Studies and CES Sorbonne UniversityBucharest Academy of Economic Studies
Downloads 64 (490,996)

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regionalisation, trade flows, trade balance, panel data methods

121.

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

CESifo Working Paper No. 8000
Number of pages: 51 Posted: 12 Jan 2020
Guglielmo Maria Caporale, Menelaos Karanasos and Stavroula Yfanti
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Loughborough University
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asymmetries, economic policy uncertainty, HEAVY model, high-frequency data, macro-financial linkages, power transformations, realized variance, risk management

122.

Is Market Fear Persistent? A Long-Memory Analysis

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

123.

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

DIW Berlin Discussion Paper No. 1669
Number of pages: 33 Posted: 22 May 2017
Guglielmo Maria Caporale and Kefei You
Brunel University 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

124.

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)
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Citation 16

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

125.

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe

CESifo Working Paper No. 9316
Number of pages: 44 Posted: 04 Oct 2021
Brunel University London - Department of Economics and Finance, Ege University Department of Economicsaffiliation not provided to SSRN, Durham University Business School, Ege University - Department of EconomicsTekirda? Nam?k Kemal University and Tekirda? Nam?k Kemal University
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Covid-19, stock markets, CDS, economic activity, TVP-VAR

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

CESifo Working Paper Series No. 4172
Number of pages: 35 Posted: 08 Apr 2013
Guglielmo Maria Caporale, Roberta de Santis and Alessandro Girardi
Brunel University London - Department of Economics and Finance, Italian National Institute of Statistics and National Institute of Statistics (ISTAT)
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output synchronisation, trade intensity, endogeneity, European Monetary Union (EMU)

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

DIW Berlin Discussion Paper No. 1277
Number of pages: 37 Posted: 27 Mar 2013
Guglielmo Maria Caporale, Roberta de Santis and Alessandro Girardi
Brunel University London - Department of Economics and Finance, Italian National Institute of Statistics and National Institute of Statistics (ISTAT)
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output synchronisation, trade intensity, endogeneity, European Monetary Union (EMU)

127.

Witching Days and Abnormal Profits in the US Stock Market

CESifo Working Paper No. 9360
Number of pages: 26 Posted: 28 Oct 2021
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
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witching days, abnormal returns, stock markets, anomalies, trading

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

DIW Berlin Discussion Paper No. 1232
Number of pages: 28 Posted: 13 Aug 2012
Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso
Brunel University London - Department of Economics and Finance, ISAE, Istituto di Studi e Analisi Economica and Ca Foscari University of Venice - Dipartimento di Economia
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Saving rate, Mortgage equity withdrawal, Asset prices, Mortgage rates, Vector Error Correction, Impulse response analysis

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

CESifo Working Paper Series No. 3897
Number of pages: 27 Posted: 29 Aug 2012
Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso
Brunel University London - Department of Economics and Finance, ISAE, Istituto di Studi e Analisi Economica and Ca Foscari University of Venice - Dipartimento di Economia
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saving rate, mortgage equity withdrawal, asset prices, mortgage rates, Vector Error Correction, impulse response analysis

129.

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 Economicsaffiliation not provided to SSRN, Brunel University London, University of Sussex and Brunel University London - Economics and Finance
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bank lending channel, Malaysia, monetary transmission, threshold VAR

130.

Testing the Marshall-Lerner Condition in Kenya

DIW Berlin Discussion Paper No. 1247
Number of pages: 28 Posted: 13 Oct 2012
Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
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Marshall-Lerner condition, fractional integration, fractional cointegration

131.

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

132.

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 London - Economics and Finance
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emerging markets, exchange rates, GARCH model, macro news

133.

The COVID-19 Pandemic, Policy Responses and Stock Markets in the G20

CESifo Working Paper No. 9299
Number of pages: 30 Posted: 27 Sep 2021
Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
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Covid-19 pandemic, stringency index, Covid-19 index, fiscal policy, shadow rates, stock markets

134.

Non-Linearities, Cyber Attacks and Cryptocurrencies

CESifo Working Paper No. 7692
Number of pages: 15 Posted: 06 Nov 2019 Last Revised: 18 Nov 2021
Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
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crypto currencies, cyber attacks, regime switching

135.

On the Frequency of Price Overreactions

CESifo Working Paper Series No. 7011
Number of pages: 24 Posted: 09 Jul 2018
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
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Stock Markets, Anomalies, Overreactions, Abnormal Returns, VIX, Frequency of Overreactions

136.

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

CESifo Working Paper No. 9163
Number of pages: 21 Posted: 09 Jul 2021
Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale and Luis A. Gil-Alana
University of Cape Coast, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
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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
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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
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Interest Rates, long memory, fractional integration and cointegration

138.

On the Preferences of CoCo Bond Buyers and Sellers

CESifo Working Paper No. 7551
Number of pages: 59 Posted: 27 Aug 2020
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 54 (532,043)

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

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

CESifo Working Paper Series No. 6968
Number of pages: 33 Posted: 30 May 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
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UK inflation, persistence, fractional integration