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

216

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19,680

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Top 1,551

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364

CROSSREF CITATIONS

440

Scholarly Papers (216)

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 328 (110,427)

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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 218 (167,886)

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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 171 (209,705)
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
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Citation 2
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The Day of the Week Effect in the Crypto Currency Market

CESifo Working Paper Series No. 6716
Number of pages: 22 Posted: 05 Dec 2017
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 405 (86,714)
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 140 (248,093)
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 117 (284,492)
Citation 3

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

3.
Downloads 583 ( 56,142)
Citation 13

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 488 (69,294)
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 95 (328,488)
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 535 (62,491)
Citation 2

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

5.
Downloads 481 ( 71,252)
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 398 (88,424)
Citation 2

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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 83 (357,711)
Citation 4

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

6.
Downloads 454 ( 76,489)
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 354 (101,286)

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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 100 (317,653)
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
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 364 (98,121)
Citation 25

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Financial Development, Economic Growth, Causality Tests, Transition Economies

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

IZA Discussion Paper No. 8397
Number of pages: 28 Posted: 06 Sep 2014
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 73 (385,913)

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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
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 399 (88,966)
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 and Panicos Demetriades
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics
Downloads 392 (90,011)
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 and Panicos Demetriades
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics

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Monetary Policy, Financial Crisis, Identification

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 368 (97,942)
Citation 1

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Mutual funds, Performance persistence, Market efficiency,Emerging markets

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

CESifo Working Paper Series No. 3115
Number of pages: 22 Posted: 12 Jul 2010
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 187 (193,748)

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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 148 (236,950)
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
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12.

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 314 (116,451)
Citation 1

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

13.

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 283 (130,017)

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

14.

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 274 (134,489)

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FOREX, Anomalies, Overreactions, Abnormal Returns, Patterns

15.

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 268 (137,598)

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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 125 (270,857)
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 66 (408,025)

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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 65 (411,330)

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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 195 (186,531)
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 53 (455,316)

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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 175 (205,488)
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 64 (414,699)

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Volatility spillovers, contagion, stock markets, emerging markets

19.

Is There a Friday Effect in Financial Markets?

Brunel University London, Department of Economics and Finance Working Paper Series No. 17-04
Number of pages: 23 Posted: 06 Feb 2017
Guglielmo Maria Caporale and Alex Plastun
Brunel University London - Department of Economics and Finance and Sumy State University
Downloads 229 (160,575)

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

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

CESifo Working Paper Series No. 2419
Number of pages: 33 Posted: 13 Oct 2008
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 125 (270,857)
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
Christophe Rault, Guglielmo Maria Caporale, Anamaria Sova and Robert Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Bucharest Academy of Economic Studies and Academy of Economic Studies
Downloads 101 (315,565)

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regionalisation, European integration, panel data methods

21.

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 205 (178,246)
Citation 4

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comparison income, reference groups, happiness, life satisfaction

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 143 (243,854)

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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 60 (428,788)
Citation 7

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Loan loss provision, bank lending, financial system cyclicality

23.

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 203 (179,928)

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fractional integration, financial time series data, trends, cycles

24.

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 202 (180,770)

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European options, Chebyshev polynomial approximation, Chebyshev nodes

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 94 (330,775)

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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 76 (377,096)
Citation 13

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

26.

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 167 (213,769)

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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 93 (333,084)
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 68 (401,507)
Citation 1

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

28.
Downloads 156 (226,419)
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 117 (284,492)

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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 39 (517,599)
Citation 1

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International banks, ratings, ordered choice models, country index

29.

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

CESifo Working Paper Series No. 2444
Number of pages: 31 Posted: 30 Oct 2008
Guglielmo Maria Caporale, Antoaneta Serguieva and Hao Wu
Brunel University London - Department of Economics and Finance, Brunel Business School, Brunel University Centre for Empirical Finance, Brunel University Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University - Centre of Empirical Finance
Downloads 155 (227,642)

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

30.

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 154 (228,859)
Citation 2

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

31.
Downloads 151 (232,580)
Citation 5

Inflation and Inflation Uncertainty in the Euro Area

CESifo Working Paper Series No. 2720, ECB Working Paper No. 1229
Number of pages: 27 Posted: 30 Jul 2009
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University London - Department of Economics and Finance, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 108 (301,215)

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

Inflation and Inflation Uncertainty in the Euro Area

DIW Berlin Discussion Paper No. 909
Number of pages: 23 Posted: 23 Oct 2009
Guglielmo Maria Caporale, Luca Onorante and Paolo Paesani
Brunel University London - Department of Economics and Finance, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 43 (498,393)
Citation 8

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

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

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 122 (275,884)
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 28 (579,297)

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

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 95 (328,488)
Citation 2

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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 46 (484,538)

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credit, growth, Islamic banking causality tests

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
Downloads 84 (355,138)

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

35.

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 138 (250,268)
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inflation, inflation uncertainty, inflation persistence, time-varying parameters, GARCH models, ECB, EMU

36.

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 137 (251,677)

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

37.

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 136 (253,162)
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stock market, fractional cycles, long memory, Gegenbauer processes

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 68 (401,507)

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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 48 (475,907)

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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 18 (650,914)
Citation 2

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Stock markets, linkages, fractional integration, fractional cointegration

39.

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 131 (260,507)
Citation 1

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unemployment, structural breaks, fractional integration

40.
Downloads 130 (263,513)
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 71 (395,147)

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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 59 (432,503)
Citation 2

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Macro news, Commodity Prices, VAR-GARCH model

41.

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

CESifo Working Paper Series No. 1811
Number of pages: 21 Posted: 18 Oct 2006
Guglielmo Maria Caporale and Christoph Hanck
Brunel University London - Department of Economics and Finance and University of Dortmund - Department of Statistics
Downloads 128 (265,011)

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

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 Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 46 (484,538)
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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
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 43 (498,393)

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environmental stringency, competiveness, gravity model

Environmental Regulation and Competitiveness: Evidence from Romania

IZA Discussion Paper No. 5029
Number of pages: 22 Posted: 06 Jul 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 38 (522,575)

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environmental stringency, competiveness, gravity model

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 92 (335,387)
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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 30 (566,743)
Citation 1

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

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 121 (277,535)
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 1 (799,569)
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45.

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 121 (276,347)

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

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

DIW Berlin Discussion Paper No. 875
Posted: 09 Jul 2009
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 73 (385,913)
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Gravity models, panel data models, trade specialisation, comparative advantage

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

William Davidson Institute Working Paper No. 959
Number of pages: 32 Posted: 03 Aug 2010
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 47 (480,233)

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

47.

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 119 (279,750)
Citation 1

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

48.

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 115 (286,607)

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

49.

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 114 (288,373)

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fiscal shocks, real exchange rate, Latin American countries

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 74 (382,985)

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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 39 (517,599)

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

51.
Downloads 113 (290,144)

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 59 (432,503)

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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 54 (451,331)

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youth unemployment, persistence, fractional integration

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 108 (299,472)

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employment growth, inflation, output growth, Golden Triangle theory

53.

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 107 (301,444)

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Fractional integration, Long memory, Exchange rates, Volatility

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

CESifo Working Paper Series No. 2819
Number of pages: 27 Posted: 21 Oct 2009
Guglielmo Maria Caporale, Thouraya Hadj Amor and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of Orleans
Downloads 55 (447,540)

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

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

IZA Discussion Paper No. 4038
Number of pages: 21 Posted: 02 Mar 2009
Guglielmo Maria Caporale, Thouraya Hadj Amor and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of Orleans
Downloads 52 (459,270)

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

55.

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 Economics, Brunel University London, University of Sussex and Brunel University London - Economics and Finance
Downloads 106 (303,452)
Citation 2

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Bank lending channel, Malaysia, Monetary transmission, Threshold VAR

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 60 (428,788)

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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 46 (484,538)
Citation 3

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

57.

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 106 (303,452)
Citation 3

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

58.
Downloads 105 (305,339)
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 57 (439,947)

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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 32 (555,007)

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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 16 (666,214)
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

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 and Robert Sova
Brunel University London - Department of Economics and Finance, Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 59 (432,503)
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gravity model, panel data analysis, trade specialisation, comparative advantage

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 and Robert Sova
Brunel University London - Department of Economics and Finance, Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 46 (484,538)

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

60.

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 104 (307,299)

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youth unemployment, fractional integration, fractional cointegration

61.

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 101 (313,469)

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

62.

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 101 (313,469)
Citation 1

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

63.

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 101 (313,469)
Citation 3

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

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 61 (425,175)

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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 40 (512,616)
Citation 1

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

65.

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 101 (313,469)

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multivariate models, fractional integration, structural breaks

66.

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 99 (317,488)

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Data envelopment analysis, portfolio efficiency, performance evaluation

67.
Downloads 95 (326,049)
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 68 (401,507)

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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 27 (585,855)
Citation 3

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MTS system, price discovery

68.

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 and Christophe Rault
Brunel University London - Department of Economics and Finance, Economic Research Forum (ERF) and University of Orleans
Downloads 93 (330,535)

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

69.

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 92 (332,761)

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

70.

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 91 (335,035)

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deterministic and stochastic seasonality, fractional integration, structural breaks

71.

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 90 (337,407)

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European banking, latent class frontier model, technical efficiency

72.

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 89 (342,172)

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

73.
Downloads 89 (339,760)
Citation 7

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 64 (414,699)

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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 25 (599,672)
Citation 9

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

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 86 (350,035)

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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 2 (785,604)
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75.

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

CESifo Working Paper Series No. 5965
Number of pages: 37 Posted: 26 Jul 2016
Brunel University London - Department of Economics and Finance, Ege University Department of Economics, Brunel University London - College of Business, Arts and Social Sciences, University of Sussex and Ege University - Department of Economics
Downloads 86 (346,987)

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Taylor rule, nonlinearities, emerging countries

76.

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 81 (359,601)

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Bloomberg, bond flows, equity flows, news

77.

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 81 (359,601)

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personal disposable income, house price index, fractional integration

78.

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 78 (367,616)
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Employment growth, inflation, output growth, Golden Triangle theory

The Weekly Structure of US Stock Prices

CESifo Working Paper Series No. 3245
Number of pages: 21 Posted: 15 Nov 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 42 (503,047)

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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 34 (543,829)

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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 44 (493,711)

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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 31 (560,766)
Citation 2

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China, oil price uncertainty, sectoral stock returns

81.

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 74 (378,830)
Citation 2

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

82.

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

William Davidson Institute Working Paper No. 970, DIW Berlin Discussion Paper No. 941
Number of pages: 26 Posted: 17 Oct 2009 Last Revised: 05 Nov 2009
Christophe Rault, Thouraya Hadj Amor and Guglielmo Maria Caporale
University of Orleans, Economic Research Forum (ERF) and Brunel University London - Department of Economics and Finance
Downloads 74 (378,830)

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

83.

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

William Davidson Institute Working Paper No. 912
Number of pages: 33 Posted: 20 Jun 2008
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 74 (378,830)
Citation 5

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Regionalisation, European integration, Panel data methods

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 43 (498,393)
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 30 (566,743)
Citation 2

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

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 72 (384,524)

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

86.

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 72 (387,479)

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

87.

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 72 (384,524)

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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
Anamaria Sova, Robert Sova, Christophe Rault and Guglielmo Maria Caporale
Bucharest Academy of Economic Studies, Academy of Economic Studies, University of Orleans and Brunel University London - Department of Economics and Finance
Downloads 47 (480,233)

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

Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania

William Davidson Institute Working Paper No. 945
Number of pages: 17 Posted: 14 Oct 2009
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 25 (599,672)

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

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 50 (467,450)

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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 21 (628,441)

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FOREX, anomalies, price dynamics, frequency of abnormal returns

90.

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 71 (387,479)
Citation 1

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MENA region, banking sector, profitability, global financial crisis

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 42 (503,047)

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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 28 (579,297)
Citation 3

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

92.

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 69 (393,614)
Citation 6

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loan losses, macroeconomic determinants, Italian banking system, SVAR

93.
Downloads 68 (396,576)
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 34 (543,829)
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 34 (543,829)
Citation 2

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BRICS, exchange rates, GARCH model, macro news

94.

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, European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 67 (399,730)

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

95.
Downloads 66 (402,893)
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 49 (471,586)

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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 17 (658,572)
Citation 2

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

96.

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 66 (402,893)
Citation 4

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

97.

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 64 (409,302)

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Insolvent, Doubly Stochastic, Insurance, Reinsurance

98.

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 62 (416,024)
Citation 4

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

99.
Downloads 61 (419,305)
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 33 (549,417)

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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 28 (579,297)
Citation 1

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Fractional Integration, Long Memory, Convergence

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 31 (560,766)
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 29 (572,936)
Citation 1

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

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 42 (503,047)
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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 17 (658,572)
Citation 1

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

102.

Fiscal Spillovers in the Euro Area

DIW Berlin Discussion Paper No. 1164
Number of pages: 34 Posted: 28 Oct 2011
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 59 (426,275)
Citation 15

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

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 35 (538,250)

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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 24 (606,690)

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Euro changeover, staggered price adjustments, inflation

104.

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 58 (429,691)
Citation 9

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cryptocurrencies, volatility, Markov-switching, GARCH

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 42 (503,047)

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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 16 (666,214)

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

Testing Unemployment Theories: A Multivariate Long Memory Approach

CESifo Working Paper Series No. 4570
Number of pages: 19 Posted: 28 Jan 2014
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 37 (527,647)

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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 21 (628,441)

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Unemployment rate, Multivariate long memory, Fractional integration

107.

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 58 (429,691)
Citation 4

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Price discovery, liquidity, MTS system

108.

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 57 (433,360)

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109.

Is Market Fear Persistent? A Long-Memory Analysis

DIW Berlin Discussion Paper No. 1670
Number of pages: 21 Posted: 19 Jun 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Downloads 56 (436,894)
Citation 1

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

110.

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 56 (440,575)
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

111.

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
Downloads 55 (440,575)

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Asian stock markets, global and regional integration, Phillips-Sul tests, panel and club convergence

112.

Testing the Marshall-Lerner Condition in Kenya

DIW Berlin Discussion Paper No. 1247
Number of pages: 28 Posted: 13 Oct 2012
Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 55 (440,575)
Citation 1

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Marshall-Lerner condition, fractional integration, fractional cointegration

113.
Downloads 55 (440,575)
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 29 (572,936)
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 26 (592,677)

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

114.

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 54 (444,182)
Citation 1

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Bond flows, Equity flows, Exchange rates, Regime switching

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
Downloads 35 (538,250)

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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
Downloads 19 (643,310)

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saving rate, mortgage equity withdrawal, asset prices, mortgage rates, Vector Error Correction, impulse response analysis

116.

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
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 54 (444,182)

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regionalisation, trade flows, trade balance, panel data methods

117.

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

DIW Berlin Discussion Paper No. 1080
Number of pages: 33 Posted: 09 Jan 2011
Guglielmo Maria Caporale, Alessandro Girardi and Paolo Paesani
Brunel University London - Department of Economics and Finance, National Institute of Statistics (ISTAT) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 54 (444,182)
Citation 2

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

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)
Downloads 34 (543,829)
Citation 2

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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)
Downloads 18 (650,914)
Citation 2

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output synchronisation, trade intensity, endogeneity, European Monetary Union (EMU)

119.

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
Downloads 51 (455,461)

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emerging markets, exchange rates, GARCH model, macro news

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 25 (599,672)

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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 24 (606,690)
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
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121.

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 50 (459,453)

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Bitcoin exchanges, cultural analysis, co-movement

Central Bank Policy Rates: Are They Cointegrated?

CESifo Working Paper Series No. 6389
Number of pages: 18 Posted: 12 Apr 2017
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 36 (532,752)

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interest rates, long memory, fractional integration and cointegration

Central Bank Policy Rates: Are They Cointegrated?

DIW Berlin Discussion Paper No. 1648
Number of pages: 20 Posted: 17 Mar 2017
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 14 (682,103)

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Interest Rates, long memory, fractional integration and cointegration

123.

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 49 (463,392)

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

124.

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
Downloads 49 (463,392)

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

125.

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 49 (463,392)
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bond flows, equity flows, exchange rates, regime switching

126.

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 48 (467,495)

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

127.

Long Memory and Fractional Integration in High Frequency Financial Time Series

DIW Berlin Discussion Paper No. 1016
Number of pages: 29 Posted: 15 Jul 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 47 (471,620)
Citation 2

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

128.

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

CESifo Working Paper Series No. 5995
Number of pages: 35 Posted: 12 Aug 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and London Metropolitan University
Downloads 46 (475,688)

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

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 Economics, Brunel University London, University of Sussex and Brunel University London - Economics and Finance
Downloads 46 (475,688)

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bank lending channel, Malaysia, monetary transmission, threshold VAR

130.

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
Downloads 45 (479,959)

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asymmetries, economic policy uncertainty, HEAVY model, high-frequency data, macro-financial linkages, power transformations, realized variance, risk management

131.

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

DIW Berlin Discussion Paper No. 1588
Number of pages: 39 Posted: 19 Jun 2016
Brunel University London - Department of Economics and Finance, Ege University Department of Economics, Brunel University London, University of Sussex and Ege University - Department of Economics
Downloads 43 (488,681)
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Taylor rule, nonlinearities, emerging countries

132.

Non-Linearities, Cyber Attacks and Cryptocurrencies

CESifo Working Paper No. 7692
Number of pages: 15 Posted: 06 Nov 2019
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
Downloads 41 (497,488)

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crypto currencies, cyber attacks, regime switching

133.

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

CESifo Working Paper Series No. 3281
Number of pages: 31 Posted: 26 Dec 2010
Guglielmo Maria Caporale, Alessandro Girardi and Paolo Paesani
Brunel University London - Department of Economics and Finance, National Institute of Statistics (ISTAT) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 41 (497,488)
Citation 1

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liquidity, trading activity, treasury bond market, Europe, commonality

134.

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 40 (501,987)
Citation 1

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Ukrainian Stock Market, Force-Majeure Event, Event Study

135.

Fractional Integration and Cointegration in US Financial Time Series Data

DIW Berlin Discussion Paper No. 1116
Number of pages: 45 Posted: 22 Apr 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 40 (501,987)

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

136.

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

DIW Berlin Discussion Paper No. 1590
Number of pages: 37 Posted: 13 Jul 2016
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 38 (511,245)
Citation 1

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

137.

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

CESifo Working Paper Series No. 3525
Number of pages: 42 Posted: 26 Jul 2011
Guglielmo Maria Caporale and Alessandro Girardi
Brunel University London - Department of Economics and Finance and National Institute of Statistics (ISTAT)
Downloads 37 (515,981)

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price discovery, liquidity, MTS system

138.

Nonlinearities and Fractional Integration in the US Unemployment Rate

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 4, pp. 521-544, August 2007
Number of pages: 24 Posted: 20 Jul 2007
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
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139.

Fractional Cointegration in US Term Spreads

DIW Berlin Discussion Paper No. 981
Number of pages: 12 Posted: 31 May 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 36 (520,728)

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Term structure, Long memory, Fractional integration, Fractional cointegration

140.
Downloads 35 (525,854)
Citation 1

Persistence and Cycles in the US Federal Funds Rate

CESifo Working Paper Series No. 4035
Number of pages: 25 Posted: 03 Jan 2013
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 20 (635,763)

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Federal Funds rate, persistence, cyclical behavior, fractional integration

Persistence and Cycles in the US Federal Funds Rate

DIW Berlin Discussion Paper No. 1255
Number of pages: 27 Posted: 22 Nov 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 15 (674,154)
Citation 1

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Federal Funds rate, persistence, cyclical behaviour, fractional integration

Persistence and Cycles in US Hours Worked

CESifo Working Paper Series No. 3767
Number of pages: 28 Posted: 04 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 18 (650,914)

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hours worked, fractional integration, cycles, technology shocks

Persistence and Cycles in US Hours Worked

DIW Berlin Discussion Paper No. 1200
Number of pages: 29 Posted: 01 Apr 2012
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 17 (658,572)

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Hours worked, fractional integration, cycles, technology shocks

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

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

DIW Berlin Discussion Paper No. 1731
Number of pages: 34 Posted: 18 Apr 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Tommaso Trani
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - School of Economics
Downloads 15 (674,154)
Citation 1

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UK inflation, persistence, fractional integration

143.

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

IZA Discussion Paper No. 5683
Number of pages: 35 Posted: 09 May 2011
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 34 (531,025)
Citation 1

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regionalisation, trade flows, trade balance, panel data methods

144.

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

CESifo Working Paper Series No. 3255
Number of pages: 28 Posted: 25 Nov 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 34 (531,025)

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

Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis

William Davidson Institute Working Paper No. 994
Number of pages: 32 Posted: 02 Aug 2010
Christophe Rault, Guglielmo Maria Caporale, Robert Sova and Anamaria Sova
University of Orleans, Brunel University London - Department of Economics and Finance, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 19 (643,310)

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

Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis

IZA Discussion Paper No. 5041
Number of pages: 31 Posted: 12 Jul 2010
Guglielmo Maria Caporale, Christophe Rault, Robert Sova and Anamaria Sova
Brunel University London - Department of Economics and Finance, University of Orleans, Academy of Economic Studies and Bucharest Academy of Economic Studies
Downloads 15 (674,154)

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

146.

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

DIW Berlin Discussion Paper No. 1006
Number of pages: 18 Posted: 14 Jul 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 33 (536,190)

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Fractional Integration, Long Memory, Stochastic Volatility, Asset Returns

147.

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 32 (541,394)

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

148.

Local Banking and Local Economic Growth in Italy: Some Panel Evidence

DIW Berlin Discussion Paper No. 1409
Number of pages: 23 Posted: 02 Oct 2014
Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo and Juan Sergio Lopez
Brunel University London - Department of Economics and Finance, Federcasse Research Department, Federcasse - Federazione nazionale banche di credito cooperativo and Federcasse - Federazione nazionale banche di credito cooperativo
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Bank lending, local growth, panel data

149.

Persistence and Cyclical Dependence in the Monthly Euribor Rate

CESifo Working Paper Series No. 3653
Number of pages: 25 Posted: 01 Dec 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 30 (552,163)

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Euribor rate, time dependence, cyclical behaviour

150.

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

DIW Berlin Discussion Paper No. 1070
Number of pages: 23 Posted: 13 Oct 2010
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 30 (552,163)
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Personal Disposable Income, House Price Index, Fractional Integration

151.

Fractional Cointegration and Aggregate Money Demand Functions

The Manchester School, Vol. 73, pp. 737-753, December 2005
Number of pages: 17 Posted: 26 Dec 2005
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
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152.

Co2 Emissions and GDP: Evidence from China

CESifo Working Paper No. 7881
Number of pages: 28 Posted: 23 Oct 2019
Guglielmo Maria Caporale, Gloria Claudio-Quiroga and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, Francisco de Vitoria University and University of Navarra - Department of Economics
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CO2 emissions, GDP, China, persistence, fractional integration, fractional cointegration

153.

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

CESifo Working Paper Series No. 3621
Number of pages: 17 Posted: 27 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance and University of Minho
Downloads 29 (557,816)

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

154.

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

CESifo Working Paper Series No. 3601
Number of pages: 17 Posted: 06 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance and University of Minho
Downloads 29 (557,816)

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

155.

Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets

CESifo Working Paper No. 8324
Number of pages: 33 Posted: 05 Jun 2020
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
Downloads 28 (563,646)

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mean and volatility spillovers, contagion, cryptocurrencies, cyber attacks

156.

Exchange Rates and Macro News in Emerging Markets

DIW Berlin Discussion Paper No. 1558
Number of pages: 22 Posted: 17 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 28 (563,646)
Citation 1

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Emerging markets, Exchange Rates, GARCH model, Macro news

157.

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

DIW Berlin Discussion Paper No. 1288
Number of pages: 9 Posted: 12 Apr 2013
Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Navarra - Pamplona Campus
Downloads 28 (563,646)

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PPP, long memory, multivariate fractional integration

158.

Economic Policy Uncertainty: Persistence and Cross-Country Linkages

CESifo Working Paper No. 8289
Number of pages: 27 Posted: 20 May 2020
Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale and Luis A. Gil-Alana
affiliation not provided to SSRN, Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 27 (569,688)

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

159.

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

CESifo Working Paper No. 7353
Number of pages: 33 Posted: 21 Feb 2019
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 27 (569,688)

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business news, GCC countries, Markov switching model, political news

160.

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

DIW Berlin Discussion Paper No. 1158
Number of pages: 19 Posted: 07 Oct 2011
Guglielmo Maria Caporale and Ricardo M. Sousa
Brunel University London - Department of Economics and Finance and University of Minho
Downloads 27 (569,688)
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consumption, wealth, stock returns, housing returns, OECD countries

161.

Style Consistency and Mutual Fund Returns: The Case of Russia

CESifo Working Paper No. 7605
Number of pages: 17 Posted: 25 Apr 2019
Adiya Bayarmaa and Guglielmo Maria Caporale
National Research University Higher School of Economics - International College of Economics and Finance and Brunel University London - Department of Economics and Finance
Downloads 26 (575,961)

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mutual funds, style consistency, performance, Russia

162.

Energy Consumption in the GCC Countries: Evidence on Persistence

CESifo Working Paper No. 7470
Number of pages: 21 Posted: 21 Feb 2019
Guglielmo Maria Caporale, Luis A. Gil-Alana and Manuel Monge
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and affiliation not provided to SSRN
Downloads 26 (575,961)

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fractional integration, energy consumption, GCC countries

163.

Exogenity and Measures of Persistente

Revista de Economia del Rosario, Vol. 5, No. 1, 2002
Number of pages: 10 Posted: 06 Sep 2006
Guglielmo Maria Caporale and Nikitas Pittis
Brunel University London - Department of Economics and Finance and University of Piraeus - Department of Banking and Financial Management
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Persistence, weak exogeneity, autocorrelation function, conditioning information set, dynamic models, cointegration

164.

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

Number of pages: 11 Posted: 29 Apr 2005
Guglielmo Maria Caporale, Peter Howells and Alaa M. Soliman
Brunel University London - Department of Economics and Finance, University of the West of England (UWE) - School of Economics and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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165.

Exchange Rate Parities and Taylor Rule Deviations

CESifo Working Paper No. 8961
Number of pages: 25 Posted: 31 Mar 2021
Christina Anderl and Guglielmo Maria Caporale
London South Bank University and Brunel University London - Department of Economics and Finance
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166.

Fiscal Adjustment and Business Cycle Synchronization

DIW Berlin Discussion Paper No. 1339
Number of pages: 24 Posted: 30 Jan 2014
Luca Agnello, Guglielmo Maria Caporale and Ricardo M. Sousa
University of Palermo - Department of Economics, Business and Statistics, Brunel University London - Department of Economics and Finance and University of Minho
Downloads 25 (582,330)
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Fiscal consolidation, fiscal stimulus, business cycle synchronization

167.

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

Number of pages: 18 Posted: 06 May 2003
Philip Arestis, Guglielmo Maria Caporale and Andrea Cipollini
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance and University of Palermo - d/SEAS
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168.

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

CESifo Working Paper Series No. 6477
Number of pages: 34 Posted: 13 Jun 2017
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Downloads 24 (588,726)

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

169.

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

CESifo Working Paper Series No. 7073
Number of pages: 22 Posted: 21 Jul 2018
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Downloads 23 (595,252)

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

170.

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

DIW Berlin Discussion Paper No. 1581
Number of pages: 23 Posted: 25 May 2016
Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini
Brunel University London - Department of Economics and Finance, INALDE Business School and Universidad Nacional del Litoral
Downloads 23 (595,252)
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Devaluations, Trade balance, S-Curve, PAG Free Trade Agreement

171.

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

CESifo Working Paper No. 7612
Number of pages: 20 Posted: 30 Apr 2019
Guglielmo Maria Caporale and Daria Teterkina
Brunel University London - Department of Economics and Finance and National Research University Higher School of Economics
Downloads 22 (601,862)

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option-implied volatility, ARCH-type models, mixed strategies

172.

Persistence in the Russian Stock Market Volatility Indices

CESifo Working Paper No. 7243
Number of pages: 20 Posted: 31 Oct 2018
Guglielmo Maria Caporale, Luis A. Gil-Alana and Trilochan Tripathy
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and XLRI – Xavier School of Management
Downloads 22 (601,862)
Citation 1

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

173.

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

CESifo Working Paper No. 8889
Number of pages: 21 Posted: 19 Feb 2021
Guglielmo Maria Caporale, Luis A. Gil-Alana and María Malmierca
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Universidad Autónoma de Madrid
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174.

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

CESifo Working Paper Series No. 5921
Number of pages: 28 Posted: 22 Jun 2016
Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy
Brunel University London - Department of Economics and Finance, Middlesex University and Brunel University London
Downloads 21 (608,578)

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MENA region, banking sector, profitability, global financial crisis

175.

Fiscal Adjustments and Business Cycle Synchronization

CESifo Working Paper Series No. 4505
Number of pages: 23 Posted: 23 Dec 2013
Luca Agnello, Guglielmo Maria Caporale and Ricardo M. Sousa
University of Palermo - Department of Economics, Business and Statistics, Brunel University London - Department of Economics and Finance and University of Minho
Downloads 21 (608,578)

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fiscal consolidation, fiscal stimulus, business cycle synchronization

176.

Persistence and Cyclical Dependence in the Monthly Euribor Rate

DIW Berlin Discussion Paper No. 1165
Number of pages: 26 Posted: 28 Oct 2011
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Downloads 21 (608,578)

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