Guglielmo Maria Caporale

Guglielmo Maria Caporale's AcademicInfluence.com Rankings

Economics

#2955

World Rank

#3358

Historical Rank

Financial Economics

#39

World Rank

#39

Historical Rank

Monetary Economics

#65

World Rank

#67

Historical Rank

Macroeconomics

#244

World Rank

#258

Historical Rank

economics Degrees

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Economics

Guglielmo Maria Caporale's Degrees

PhD Economics University of California, Berkeley

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Guglielmo Maria Caporale's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Income and Happiness Across Europe: Do Reference Values Matter? (2007) (356)
STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE (2004) (327)
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008) (295)
Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2009) (238)
Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets (2011) (225)
Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition (2001) (217)
Persistence in the Cryptocurrency Market (2017) (191)
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2013) (137)
Causality and forecasting in incomplete systems (1997) (136)
Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2014) (134)
The Euro and Inflation Uncertainty in the European Monetary Union (2006) (131)
Volatility transmission and financial crises (2006) (131)
On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries (2008) (131)
Endogenous Growth Models and Stock Market Development: Evidence from Four Countries (2005) (128)
Testing for causality‐in‐variance: an application to the East Asian markets (2002) (127)
Estimating Income and Price Elasticities of Trade in a Cointegration Framework (1999) (125)
Financial Development and Economic Growth: Evidence from Ten New EU Members (2009) (124)
Herding behavior in REITs: Novel tests and the role of financial crisis (2013) (119)
Inflation and inflation uncertainty in the euro area (2009) (115)
Financial Development and Economic Growth: Evidence from 10 New European Union Members (2015) (105)
Stock Market Integration between Three CEECs, Russia, and the UK (2010) (103)
Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018) (98)
EU Banks Rating Assignments: Is There Heterogeneity Between New and Old Member Countries? (2010) (96)
Nonlinearities and Fractional Integration in the US Unemployment Rate (2007) (92)
The day of the week effect in the cryptocurrency market (2019) (88)
Testing for Convergence in Stock Markets: A Non-Linear Factor Approach (2009) (88)
Trade Flows and Trade Specialisation: The Case of China (2015) (86)
Long-run and cyclical dynamics in the US stock market (2007) (86)
Time‐Varying Spot and Futures Oil Price Dynamics (2010) (86)
Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity (2003) (86)
Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America (2008) (86)
A multivariate long-memory model with structural breaks (2007) (81)
Spillovers between Food and Energy Prices and Structural Breaks (2015) (80)
Fiscal Spillovers in the Euro Area (2011) (77)
Environmental Regulation and Competitiveness: Evidence from Romania (2010) (76)
Long memory in US real output per capita (2009) (76)
Rating Assignments: Lessons from International Banks (2009) (76)
International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence (2009) (74)
Using Chebyshev Polynomials to Approximate Partial Differential Equations (2008) (73)
Common stochastic trends and inflation convergence in the EMS (1993) (71)
Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics (2005) (69)
Bubble finance and debt sustainability: a test of the government's intertemporal budget constraint (1995) (69)
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach (2010) (69)
Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model (2008) (69)
Unit roots and long-run causality: investigating the relationship between output, money and interest rates (1998) (69)
Are the Baltic Countries Ready to Adopt the Euro? A Generalized Purchasing Power Parity Approach (2008) (68)
Fractional cointegration and tests of present value models (2004) (66)
Cointegration tests of PPP: do they also exhibit erratic behaviour? (2006) (65)
Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach ☆ (2015) (65)
Causality Links between Consumer and Producer Prices: Some Empirical Evidence (2002) (64)
The Feldstein–Horioka puzzle revisited: A Monte Carlo study (2005) (63)
Identification of Segments of European Banks with a Latent Class Frontier Model (2007) (61)
Long-term nominal interest rates and domestic fundamentals (2002) (58)
Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets (2011) (57)
Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule? (2016) (56)
Investors’ fear and herding in the stock market (2018) (55)
Unit Root Testing Using Covariates: Some Theory and Evidence (1999) (55)
Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability? (2002) (55)
Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks (2008) (51)
Fractional integration and mean reversion in stock prices (2002) (51)
Evidence from Malaysia (2016) (50)
Panel data tests of PPP: a critical overview (2006) (50)
Estimator Choice and Fisher's Paradox: A Monte Carlo Study (2004) (46)
Macro News and Commodity Returns (2015) (46)
Foreign Direct Investment Determinants in OECD and Developing Countries (2017) (46)
International portfolio flows and exchange rate volatility in emerging Asian markets (2017) (45)
Youth Unemployment in Europe: Persistence and Macroeconomic Determinants (2014) (45)
Managing Mutual Funds or Managing Expense Ratios? Evidence from the Greek Fund Industry (2009) (43)
Financial literacy and financial well-being among generation-Z university students: Evidence from Greece (2019) (42)
Islamic Banking, Credit and Economic Growth: Some Empirical Evidence (2016) (39)
Price Discovery and Trade Fragmentation in a Multi - Market Environment: Evidence from the MTS System (2011) (39)
Money, Credit and Spending: Drawing Causal Inferences (2001) (38)
Analysing the Determinants of Insolvency Risk For General Insurance Firms in the UK (2017) (38)
Interest rate linkages: a Kalman filter approach to detecting structural change (2005) (37)
Asset prices and output growth volatility: the effects of financial crises (2003) (37)
HERD BEHAVIOUR IN EXTREME MARKET CONDITIONS: THE CASE OF THE ATHENS STOCK EXCHANGE (2008) (36)
Linkages between the US and European Stock Markets: A Fractional Cointegration Approach (2015) (36)
HERD BEHAVIOUR IN EXTREME MARKET CONDITIONS: THE CASE OF THE ATHENS STOCK EXCHANGE (2008) (36)
Financial development and economic growth: evidence from ten new European Union members (2015) (36)
Modelling East Asian exchange rates: a Markov-switching approach (2004) (35)
Signal-herding in cryptocurrencies (2020) (35)
Nominal exchange rate regimes and the stochastic behavior of real variables (1995) (33)
Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis (2005) (32)
The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study (2005) (32)
Macro news and bond yield spreads in the euro area (2014) (32)
On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries (2009) (32)
Estimation of bank stock price parameters and the variance components model (1988) (32)
Fractional cointegration and real exchange rates (2004) (32)
Price Overreactions in the Cryptocurrency Market (2018) (32)
Testing for PPP: the erratic behaviour of unit root tests (2003) (31)
Price formation on the EuroMTS platform (2010) (31)
Irreducibility and structural cointegrating relations: an application to the G‐7 long‐term interest rates (2001) (30)
IGARCH models and structural breaks (2003) (30)
Stock market integration between three CEECs (2012) (30)
Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan (2001) (30)
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis (2014) (29)
Efficiency evaluation of Greek equity funds (2012) (28)
Gender, style diversity, and their effect on fund performance (2015) (28)
Modelling long‐run trends and cycles in financial time series data (2008) (28)
Efficiency evaluation of Greek equity funds (2012) (28)
Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU (2013) (28)
Testing the Marshall-Lerner Condition in Kenya (2012) (28)
Gender, style diversity, and their effect on fund performance (2015) (28)
BASQUE TERRORISM: POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON THE STOCK MARKET IN THE BASQUE COUNTRY (2009) (28)
Fractional Cointegration and Aggregate Money Demand Functions (2005) (27)
Long memory in the Ukrainian stock market and financial crises (2013) (27)
Herding behaviour in extreme market conditions : the case of the Athens Stock Exchange Guglielmo (2008) (27)
Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets (2021) (27)
The Performance of Banks in the MENA Region During the Global Financial Crisis (2016) (27)
Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS (1996) (27)
INTEREST RATE DYNAMICS IN KENYA: COMMERCIAL BANKS' RATES AND THE 91-DAY TREASURY BILL RATE (2016) (27)
Cointegration and predictability of asset prices1 (1998) (26)
Is Market Fear Persistent? A Long-Memory Analysis? (2017) (26)
Mutual funds performance appraisal using stochastic multicriteria acceptability analysis (2012) (26)
Macro News and Exchange Rates in the BRICS (2016) (26)
Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market (2008) (25)
Global and regional stock market integration in Asia: A panel convergence approach (2019) (25)
Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market (2008) (25)
The fisher relationship in Nigeria (2017) (24)
Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis (2017) (24)
Non-Linearities, Cyber Attacks and Cryptocurrencies (2019) (24)
Bank Lending Procyclicality and Credit Quality During Financial Crises (2013) (24)
Is Europe an optimum currency area?∗ (1993) (23)
Short-Term Price Overreactions: Identification, Testing, Exploitation (2014) (23)
The weekend effect: an exploitable anomaly in the Ukrainian stock market? (2016) (23)
Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market (2004) (23)
Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate (2013) (23)
Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers (2011) (22)
Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach (2008) (21)
Macro News and Commodity Returns: MACRO NEWS AND COMMODITY RETURNS (2017) (21)
Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption (2001) (21)
Brexit and Uncertainty in Financial Markets (2018) (21)
Short- and long-run linkages between employment growth, inflation and output growth: evidence from a large panel (2014) (20)
Calendar anomalies in the Russian stock market (2017) (20)
Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries (2011) (20)
Exchange Rates and Macro News in Emerging Markets (2016) (20)
The bank lending channel in the Malaysian Islamic and conventional banking system (2020) (20)
Intraday Anomalies and Market Efficiency: A Trading Robot Analysis (2014) (19)
The Day of the Week Effect in the Crypto Currency Market (2017) (19)
Bitcoin fluctuations and the frequency of price overreactions (2019) (19)
Multi-Factor Gegenbauer Processes and European Inflation Rates (2009) (19)
Unemployment and input prices: a fractional cointegration approach (2002) (19)
Domestic and external factors in interest rate determination (1997) (18)
1 AN EXAMINATION OF HERD BEHAVIOUR IN FOUR MEDITERRANEAN STOCK MARKETS (2010) (17)
Non-Linearities and Fractional Integration in the Us Unemployment Rate (2004) (17)
Long memory and data frequency in financial markets (2017) (17)
Chasing trend and losing money: open end mutual fund investors’ trading behaviour in Greece (2004) (17)
Spurious results in testing mutual fund performance persistence: evidence from the Greek market (2007) (16)
Banking Consolidation in Nigeria, 2000–2010 (2012) (16)
Business cycles, international trade and capital flows: evidence from Latin America (2012) (16)
Momentum effects in the cryptocurrency market after one-day abnormal returns (2020) (15)
Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach (2011) (15)
The Impact of Business and Political News on the GCC Stock Markets (2020) (15)
Unemployment in Africa: A Fractional Integration Approach (2018) (14)
Banking Consolidation in Nigeria (2012) (14)
Modelling Structural Breaks in the Us, UK and Japanese Unemployment Rates (2006) (14)
Towards a Holistic Approach for Mutual Fund Performance Appraisal (2015) (14)
Selectivity, Market Timing and the Morningstar Star-Rating System (2009) (14)
Fractional integration and data frequency (2010) (14)
International Capital Markets Structure, Preferences and Puzzles: The US-China Case (2014) (14)
Exchange Rate Uncertainty and International Portfolio Flows (2013) (13)
Interest rate linkages within the European Monetary System: an alternative interpretation (1995) (13)
Trade Specialisation and Economic Convergence: Evidence from Two Eastern European Countries (2009) (13)
The Banking System in Bulgaria (2002) (13)
Interest rate linkages: identifying structural relations (2005) (13)
Long-term price overreactions: are markets inefficient? (2015) (12)
Economic Policy Uncertainty: Persistence and Cross-Country Linkages (2021) (12)
Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries (2019) (12)
US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis (2010) (12)
The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis (2015) (11)
Re-Examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal (2012) (11)
Stock market, economic growth and EU accession: evidence from three CEECs (2012) (11)
THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE (2009) (11)
Calendar Anomalies in the Ukrainian Stock Market (2016) (11)
Long-Run and Cyclical Dynamics in the US Stock Market: Long-Run And Cyclical Dynamics in the US Stock Market (2014) (11)
Loan Loss Provision: Some Empirical Evidence for Italian Banks (2015) (11)
Long Memory in German Energy Price Indices (2012) (11)
TESTING PPP FOR THE SOUTH AFRICAN RAND/ US DOLLAR REAL EXCHANGE RATE AT DIFFERENT DATA FREQUENCIES (2015) (10)
Sectoral shocks and business cycles: a disaggregated analysis of output fluctuations in the UK (1997) (10)
Testing Unemployment Theories: A Multivariate Long Memory Approach (2013) (10)
Volatility persistence in the Russian stock market (2020) (10)
Deterministic versus stochastic seasonal fractional integration and structural breaks (2007) (10)
Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange (2020) (10)
Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel (2011) (10)
Testing stock market convergence: a non-linear factor approach (2015) (10)
High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach (2020) (10)
Common features and output fluctuations in the United Kingdom (1997) (10)
A mixed-game agent-based model for simulating financial contagion (2008) (9)
Searching for Inefficiencies in Exchange Rate Dynamics (2017) (9)
Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB (2016) (9)
Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices (2020) (9)
The Euro and Monetary Policy Transparency (2002) (9)
On the Trade Balance Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries (2008) (9)
Real Exchange Rates In Latin America: The Ppp Hypothesis And Fractional Integration (2010) (9)
Foreign Direct Investment in the Asian Economies (2013) (9)
Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market (2010) (9)
Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union (1992) (8)
Stock Prices and Monetary Policy: An Impulse Response Analysis (2013) (8)
Persistence and Cycles in the US Federal Funds Rate (2012) (8)
Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91-Day Treasury Bill Rate: Interest Rate Dynamics in Kenya (2016) (8)
Note: Heteroscedasticity in the market model: Some evidence from the athens stock exchange (1993) (8)
Price gaps: Another market anomaly? (2016) (8)
Stock market and economic growth: Evidence from three CEECs (2011) (8)
Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach (2021) (8)
Persistence and cyclical dependence in the monthly euribor rate (2011) (8)
The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20 (2015) (8)
Unit roots versus other types of time heterogeneity, parameter time dependence and superexogeneity (2002) (8)
Term structure and interest differentials as predictors of future inflation changes and inflation differentials (1998) (8)
The Weekend Effect: A Trading Robot and Fractional Integration Analysis (2014) (8)
Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis (2016) (8)
Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance: Some Monte Carlo Evidence (2004) (8)
Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails (1996) (7)
International Linkages in Short- and Long-Term Interest Rates (2000) (7)
Chebyshev polynomial approximation to approximate partial differential equations (2008) (7)
Persistence in US interest rates : is it stable over time? (2008) (7)
European free trade agreements and trade balance: Evidence from four new European Union members (2012) (7)
Inflation convergence in the EMS: Some additional evidence. A reply (1995) (7)
The asymmetric behaviour of spanish unemployment persistence (2018) (7)
Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques (2017) (7)
How Do Fiscal Consolidation and Fiscal Stimuli Impact on the Synchronization of Business Cycles? (2017) (7)
Bond Markets and Macroeconomic Performance (2001) (7)
Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis (2014) (7)
TESTING FOR CHANGES IN THE LONG-RUN CAUSAL STRUCTURE OF COINTEGRATED VECTOR AUTOREGRESSIONS (2001) (7)
Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns (1998) (7)
SOURCES OF REAL EXCHANGE RATE VOLATILITY AND INTERNATIONAL FINANCIAL INTEGRATION: A DYNAMIC GENERALISED METHOD OF MOMENTS PANEL APPROACH: RER Volatility and IFI (2014) (7)
The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia (2016) (7)
Testing for superexogeneity of wage equations (1996) (7)
Local banking and local economic growth in Italy: some panel evidence (2014) (7)
Revisiting Herding Behavior in REITs: A Regime-Switching Approach (2014) (7)
Central Bank Policy Rates: Are They Cointegrated? (2017) (7)
Persistence in real variables under alternative exchange rate regimes: Some multi-country evidence (1994) (6)
Long-term interest rates in Europe: A fractional cointegration analysis (2019) (6)
Is Europe an Optimum Currency Area? Business Cyc1es in the EU (1999) (6)
Performance Evaluation: A Review Article And An Empirical Investigation Of Greek Mutual Fund Managers (2011) (6)
Long Memory in the Ukrainian Stock Market (2013) (6)
Fiscal Adjustments and Business Cycle Synchronization (2013) (6)
Improving Environmental Performance: A Challenge for Romania (2014) (6)
MEAN REVERSION IN THE NIKKEI, STANDARD & POOR AND DOW JONES STOCK MARKET INDICES (2007) (6)
On the Persistence of UK Inflation: A Long-Range Dependence Approach (2018) (6)
Multiple shifts and fractional integration in the US and UK unemployment rates (2009) (6)
Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model (2011) (6)
Infant mortality rates: time trends and fractional integration (2015) (6)
The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks (2015) (6)
Analysing the Determinants of Credit Risk for General Insurance Firms in the UK (2016) (6)
Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994 (2006) (5)
Long Memory and Volatility Dynamics in the US Dollar Exchange Rate (2010) (5)
US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach (2022) (5)
Europe Agreements and Trade Balance: Evidence Form Four New EU Members (2011) (5)
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets (2015) (5)
The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6 (2022) (5)
How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China (2015) (5)
Eta Terrorism: Police Action, Political Measures And The Influence Of Violence On Economic Activity In The Basque Country (2006) (5)
Parameter instability, superexogeneity, and the monetary model of the exchange rate (2001) (5)
Persistence in ESG and conventional stock market indices (2022) (5)
Risk analysis in complex systems: intelligent systems in finance (2009) (5)
Aggregate Money Demand Functions in Five Industrial Countries: Are They Cointegrated? (2001) (5)
Bitcoin Price Co-Movements and Culture (2020) (5)
The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields (2022) (5)
On stock price overreactions: frequency, seasonality and information content (2019) (5)
Energy Consumption in the GCC Countries: Evidence on Persistence (2019) (5)
Persistence in Youth Unemployment (2012) (5)
Persistence and Cycles in US Hours Worked (2012) (5)
Fractional integration and cointegration in US financial time series data (2011) (5)
Monomorphic genotypes within a generalist lineage of (2016) (5)
Modelling African inflation rates: nonlinear deterministic terms and long-range dependence (2015) (5)
Evaluating the Gains to Cooperation in the G-3 (2003) (5)
Coordination and price shocks: an empirical analysis (2001) (4)
Can Interest Rate Policy be Independent (1998) (4)
Stock Market Linkages between the ASEAN Countries, China and the Us: A Fractional Cointegration Approach (2019) (4)
Short-Term Price Overreactions: Identification, Testing, Exploitation (2017) (4)
The impact of association agreements on trade flows and the trade balance: Evidence from the CEEC-4 (2009) (4)
Value Relevance Of Institutional Investors (2004) (4)
Long memory in Angolan macroeconomic series: Mean reversion versus explosive behaviour (2014) (4)
Learning about monetary union: An analysis of bounded rational learning in European labor markets (1997) (4)
Time-Varying Spot and Futures Oil Price Dynamics (2010) (4)
Financial Integration in the GCC Region: Market Size Versus National Effects (2019) (4)
Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques (2006) (4)
Testing the PPP hypothesis in the sub-Saharan countries (2012) (4)
Co2 Emissions and GDP: Evidence from China (2019) (4)
Does herd behaviour exist in the commodities market (2014) (4)
Mean Reversion in the US Treasury Constant Maturity Rates (2009) (4)
The impact of containment measures and monetary and fiscal responses on US financial markets during the COVID-19 pandemic (2023) (4)
Sources of real exchange rate volatility and international financial integration: A dynamic generalised method of moments panel approach (2014) (4)
Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models (2010) (4)
Productivity shocks and business cycles (1993) (4)
Long Memory and Structural Breaks in the Spanish Stock Market Index (2008) (4)
Daily abnormal price changes and trading strategies in the FOREX (2020) (4)
Persistence in Macroeconomic Time Series: Is it a Model Invariant Property? (2006) (3)
Testing for Unbiasedness of Term Structure and Interest Differentials as Predictors of Future Inflation Changes and Inflation Differentials (1996) (3)
Feedbacks between Stock Prices and Exchange Rates in the East Asian Markets (2004) (3)
Valuing American Put Options Using Chebyshev Polynomial Approximation (2005) (3)
Particulate matter 10 (PM10): persistence and trends in eight European capitals (2021) (3)
The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model (2013) (3)
Long memory and structural breaks in hyperinflation countries (2003) (3)
The nexus between prices, employment and output growth: a global and national evidence (2014) (3)
Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates (2008) (3)
Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields (2022) (3)
Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach (2021) (3)
Productivity drivers in European banking : country effects, legal tradition and market dynamics (2008) (3)
Long Memory and Fractional Integration in High Frequency Financial Time Series (2010) (3)
Modelling Economic Policy Responses with an Application to the G3 (2002) (3)
UK overseas visitors: Seasonality and persistence (2018) (3)
Trends and Cycles in Macro Series: The Case of US Real GDP (2017) (3)
Testing for Seasonal Fractional Roots in German Real Output (2004) (3)
Excess returns in the EMS: Do “weak” currencies still exist after the widening of the fluctuation bands? (1995) (3)
Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle? (2009) (2)
The COVID-19 pandemic, policy responses and stock markets in the G20 (2022) (2)
Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets (2017) (2)
Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence (2018) (2)
The weekly structure of US stock prices (2010) (2)
Gold and oil prices: abnormal returns, momentum and contrarian effects (2021) (2)
Manufacturing Wage Differentials and Employment in Some Scandinavian Countries, the U.S. and the U.K.: An Analysis of Variance Approach (2002) (2)
Testing PPP for the South African Rand/US Dollar Exchange Rate at Different Frequencies (2010) (2)
Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries (2011) (2)
Long memory in the Ukrainian stock market and financial crises (2014) (2)
INTERNATIONAL TRADE AND ECONOMIC CATCH-UP (2014) (2)
Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests (2017) (2)
Cyber-Attacks and Cryptocurrencies (2020) (2)
Fractional cointegration in US term spreads (2010) (2)
China after 35 years of economic transition (2015) (2)
Persistence in the market risk premium: evidence across countries (2020) (2)
Referees for the Journal of European Integration (2019) (2)
Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach (2021) (2)
Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group (2016) (2)
Did Behavioral Mutual Funds Exploit Market Inefficiencies During or after the Financial Crisis? (2014) (2)
Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations (2022) (2)
Intraday Anomalies and Market Efficiency: A Trading Robot Analysis (2015) (2)
Estimating Time Trends in Life Expectancy in Sub-Saharan Africa (2016) (2)
Competitive Devaluations in Commodity‐Based Economies: Colombia and the Pacific Alliance Group (2016) (2)
Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries (2021) (2)
Essays in business cycle measurement. (1990) (2)
Unemployment persistence in Europe: evidence from the 27 EU countries (2022) (2)
Fiscal Consolidation: An Exercise in the Methodology of Coordination (2005) (2)
The impact of the COVID-19 pandemic on persistence in the European stock markets (2022) (2)
Fractional Integration and the Persistence of UK Inflation, 1210–2016 (2020) (2)
NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS (2005) (2)
Rating Mutual Funds Through an Integrated DEA-Based Multicriteria Performance Model: Design and Information Content (2012) (2)
Inflation in the G7 countries: persistence and structural breaks (2022) (2)
Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility (2019) (2)
Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses: A Fractional Integration Analysis (2022) (2)
The Short-Run and Long-Run Effects of Trade Openness on Financial Development: Some Panel Evidence for Europe (2021) (1)
Long-range forecasting of the S&P stock market indexusing fractional integration techniques (2007) (1)
On the Frequency of Price Overreactions (2018) (1)
Nota: Determinants of Productivity Growth: Some International Evidence (2001) (1)
Multiple cyclical fractional structures in financial time series (2010) (1)
Long memory in the Ukranian stock market (2017) (1)
Trade Flows, Private Credit and the COVID-19-Pandemic: Panel Evidence from 35 OECD Countries (2021) (1)
Business cycles, international trade and capital flows: evidence from Latin America (2015) (1)
Inflation Persistence in Europe: The Effects of the COVID-19 Pandemic and of the Russia-Ukraine War (2022) (1)
A VAR-GARCH-In-Mean Analysis (2016) (1)
A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates (2005) (1)
The COVID-19 Pandemic and European Trade Patterns: A Sectoral Analysis (2022) (1)
On the persistence of UK inflation: A long‐range dependence approach (2020) (1)
Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations (2021) (1)
Analysing The Efficiency Of Portuguese Pension Funds:A Stochastic Frontier Model (2007) (1)
Evaluating Greek Equity Funds Using Data Envelopment Analysis (2009) (1)
Bitcoin Returns and the Frequency of Daily Abnormal Returns (2020) (1)
Interest rate dynamics in Kenya (2011) (1)
JAPE referees 2009 (2010) (1)
IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS (2018) (1)
Corrigendum to “Estimation of conditional asset pricing models with integrated variables in the beta specification” [Res. Int. Bus. Finance 52 (2020) 101148] (2021) (1)
GDP PER Capita in Europe: Time Trends and Persistence (2020) (1)
Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models (2011) (1)
BUDGET DEFICITS AND INTEREST RATES: A COINTEGRATION AND CAUSALITY ANALYSIS (2013) (1)
The short‐run and long‐run effects of trade openness on financial development: Some panel evidence for Europe (2022) (1)
1 RATING ASSIGNMENTS : LESSONS FROM INTERNATIONAL BANKS (2009) (1)
Financial Development and its Effects on Economic Growth: A Dynamic Analysis (2014) (1)
Mutual Funds Performance Appraisal Using a Multicriteria Decision Making Approach (2011) (1)
Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis (2015) (1)
The Gains from International Policy Coordination (1998) (1)
Evaluating Greek Equity Funds Using Data Envelopment Analysis (2009) (1)
Monetary policy rules in emerging countries : is there an augmented nonlinear (2019) (1)
Testing stock market convergence: a non-linear factor approach (2014) (1)
Cyber-Attacks, Cryptocurrencies, and Cyber Security (2020) (1)
Endogenous growth and Stock Market Development (2003) (1)
UK Consumer Spending: Prospects for the Late 1990s (1997) (1)
Testing for UIP-Type Relationships: Nonlinearities, Monetary Announcements and Interest Rate Expectations (2022) (1)
Long memory at the long-run and the seasonal monthly frequencies in the US money stock (2006) (1)
Fractional integration and cointegration in US financial time series data (2013) (1)
Ageing and personal retirement savings plan participation with heterogeneity in preferences : the Portuguese case (2007) (1)
Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas (2001) (1)
Non-linearities and persistence in US long-run interest rates (2021) (1)
The stochastic unit root model and fractional integration: An extension to the seasonal case (2007) (1)
Oil Prices and Sectoral Stock Returns in the Brics-T Countries a Time-Varying Approach (2022) (1)
Measuring Persistence of the World Population: A Fractional Integration Approach (2023) (0)
L ONG R UN AND C YCLICAL D YNAMICS IN THE US S TOCK M ARKET (2007) (0)
Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts (2023) (0)
Towards a Holistic Approach for Mutual Fund Performance Appraisal (2014) (0)
The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysis (2022) (0)
Acknowledgement of referees, 2010-2011 (2012) (0)
www.econstor.eu Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets (2011) (0)
Detecting 'Fake' Price Movements: A Convergence/Divergence Indicator (2015) (0)
Long Run and Cyclical Dynamics in the U.S. Stock Market (2007) (0)
THE MEASUREMENT OF PRODUCTIVITY AND MARKET STRUCTURE IN THE UK (1994) (0)
REAL EXCHANGE RATE DYNAMICS: SOME EVIDENCE FOR LATIN AMERICA (2008) (0)
How do fiscal stimuli impact on the Ssynchronization of business cycles (2017) (0)
Modelling Profitability of Private Equity: A Fractional Integration Approach (2022) (0)
Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis (2010) (0)
Persistence in the passion investment market (2022) (0)
US Municipal Green Bonds and Financial Integration (2023) (0)
Seven Pitfalls of Technical Analysis (2023) (0)
The Preferences of CoCo Bond Buyers and Sellers : A Logistic Regression Analysis November 2019 (2020) (0)
REAL EXCHANGE RATE DYNAMICS: SOME EVIDENCE FOR LATIN AMERICA (2008) (0)
Parameter Instability and Forecasting Performance. A Monte Carlo Study (2004) (0)
Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates (2011) (0)
African Growth, Non-Linearities and Strong Dependence: An Empirical Study (2015) (0)
Exogeneity and measurement of persistence (2002) (0)
Persistence in Youth Unemployment Guglielmo (2012) (0)
Long-term price overreactions: are markets inefficient? (2018) (0)
A non-linear analysis of Gibson's paradox in the Netherlands, 1800-2012 (2014) (0)
A Long-Range Dependence Approach (2018) (0)
Inflation and inflation uncertainty in the euro area (2011) (0)
An Examination of Herding Behavior in REITS (2011) (0)
The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis (2017) (0)
Timur Zekokh Modelling Volatility Of Cryptocurrencies Using Markov-Switching GARCH Models October 2018 (2019) (0)
Persistence in the Russian Stock Market Volatility Indices (2018) (0)
The COVID-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model (2023) (0)
The Impact of Mortgage Equity Withdrawal (2012) (0)
Cyber-Attacks, Cryptocurrencies, and Investor Protection (2020) (0)
Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks (2022) (0)
Is There a Friday Effect in Financial Markets? (2017) (0)
Cycles and Long-Range Behaviour in the European Stock Market (2020) (0)
WAGE DIFFERENTIALS , EMPLOYMENT , AND GLOBALISATION : EVIDENCE FROM AN INTERNATIONAL PANEL (1998) (0)
Witching Days and Abnormal Profits in the US Stock Market (2023) (0)
Persistence and cyclical dependence in the monthly euribor rate (2014) (0)
Persistence in youth unemployment DIW (2012) (0)
Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets (2022) (0)
The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies (2023) (0)
Testing for Uip: Nonlinearities, Monetary Announcements and Interest Rate Expectations (2021) (0)
The frequency of one-day abnormal returns and price fluctuations in the forex (2020) (0)
The weekend effect: a fractional integration and trading robot analysis (2017) (0)
Long Memory and Fractional Integration in High Frequency Data on the US Dollar (2013) (0)
Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach (2020) (0)
Fossil and Renewable Energy Stock Indices: Connectedness and the Cop Meetings (2022) (0)
Tourism Persistence in the Southeastern European Countries: The Impact of COVID-19 (2022) (0)
Measuring alpha in the fund management industry : do gender and investment strategies matter? (2007) (0)
WP 99 / 2012 BANKING CONSOLIDATION IN NIGERIA , 2000-2010 (2012) (0)
Gold and silver as safe havens: A fractional integration and cointegration analysis (2023) (0)
Time Trends and Persistence in US Sea Level Data: An Investigation Using Fractional Integration Methods (2022) (0)
Evidence Using a Multivariate Long-Memory Model (2013) (0)
Rate Dynamics in Kenya : Commercial Banks ’ Rates and the 91-Day Treasury Bill Rate November 2010 (2010) (0)
Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets (2020) (0)
Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence (2022) (0)
Cross-Border Portfolio Flows and News Media Coverage (2022) (0)
A NON-LINEAR ANALYSIS OF GIBSON’S PARADOX (2018) (0)
An Examination of Herd Behaviour in the U.S. REITs market (2011) (0)
Rating Assignments : Lessons from International Banks 868 Discussion Papers (2009) (0)
Persistence and cycles in US hours worked DIW (2012) (0)
The Financial Capability of the Youth in Greece (2022) (0)
Technical University of Crete Mutual Funds Performance Appraisal Using a Multicriteria Decision Making Approach (2012) (0)
TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA (2004) (0)
The Preferences of CoCo Bond Buyers and Sellers : A Logistic Regression Analysis March 2019 (2019) (0)
Mutual fund performance evaluation during periods of market turbulence: evidence from the Greek market (2017) (0)
Multivariate stochastic volatility for herding detection: Evidence from the energy sector (2022) (0)
A performance evaluation of behavioral mutual funds (2012) (0)
The financial capability of 15-year-olds in Greece (2023) (0)
Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better? (2013) (0)
A Fractional Integration and Cointegration Analysis (2015) (0)
The relationship between prices and output in the UK and the US (2022) (0)
Improving Environmental Performance: A Challenge for Romania (2013) (0)
International Capital Markets Structure, Preferences and Puzzles: A “US-China World” ∗ (2014) (0)
Guillermo Caporale Monetary Policy and the Exchange Rate During the Asian Crisis : Identification Through Heteroscedasticy (2000) (0)
SIRE-DP-2008-15 CHEBYSHEV POLYNOMIAL APPROXIMATION TO APPROXIMATE PARTIAL DIFFERENTIAL EQUATIONS (2008) (0)
The fisher relationship in Nigeria (2016) (0)
Exchange rate parities and Taylor rule deviations (2022) (0)
U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks (2023) (0)
Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach (2021) (0)
Europe Agreements and Trade Balance: Evidence from Four New EU Members (2011) (0)
Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries (2021) (0)
Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better? (2013) (0)
Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System (2011) (0)
The World Economy (1993) (0)
Connectedness between fossil and renewable energy stock indices: The impact of the COP policies (2023) (0)
Measuring alpha in the fund management industry : do gender and investment strategies matter? (2007) (0)
Emissions and GDP : Evidence from China September 2019 (2019) (0)
Determinants of Pollution Abatement and Control Expenditure in Romania: A Multilevel Analysis (2010) (0)
Retirement income literacy in the aftermaths of global financial crisis: Evidence from Greece (2018) (0)
Volatility Forecasts for the RTS Stock Index: Option-Implied Volatility Versus Alternative Methods (2019) (0)
The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity: Time-Varying Evidence from the US and Europe (2021) (0)
Long memory in US real output per capita (2012) (0)
Persistence and Long Memory in Monetary Policy Spreads (2023) (0)
Non-normality and recursive unit root tests for PPP : solving the PPP puzzle? (2007) (0)
Price formation on the EuroMTS platform DIW (2010) (0)
Price Overreactions in the Forex and Trading Strategies (2019) (0)
Financial Integration in the GCC Region: Market Size Versus National Effects (2019) (0)
US Sea Level Data: Time Trends and Persistence (2020) (0)
Is Market Fear Persistent? A Long-Memory Analysis (2017) (0)
Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification (2020) (0)
ESTIMATOR CHOICE AND FISHER'S PARADOX: A REEVALUATION OF THE EVIDENCE (2000) (0)
Cross-Country Co-Movement between Bitcoin Exchanges: A Cultural Analysis (2020) (0)
Are Greek Mutual Fund Managers Market Timers (1999) (0)
Rangan Gupta The Relationship between Health Care Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis (2015) (0)
Atmospheric Pollution in Chinese Cities: Trends and Persistence (2022) (0)
Alana Modelling African Inflation Rates : Non-linear Deterministic Terms and Long-Range Dependence May 2014 (2014) (0)
Yuliya Lovcha The PPP Hypothesis Revisited : Evidence Using a Multivariate Long-memory Model January 2013 (2013) (0)
Sterling’s Relationship with the Deutschmark: A Probabilistic Reduction Approach (1997) (0)
Searching for Inefficiencies in Exchange Rate Dynamics (2016) (0)
Share Prices and Ownership Variables:A Cross-Sectional and Temporal Analysis (2003) (0)
The finance–growth nexus: evidence from ten new EU members (2014) (0)
Financial Integration and European Tourism Stocks (2023) (0)
Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market (2020) (0)
LONG RUN AND CYCLICAL DYNAMICS IN THE US STOCK MARKET Abstract (2007) (0)
Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania (2009) (0)
Testing for deterministic and stochastic cycles in macroeconomic time series (2007) (0)
Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis (2022) (0)
On the Preferences of CoCo Bond Buyers and Sellers (2019) (0)
1 PRICE GAPS : ANOTHER MARKET ANOMALY ? (2019) (0)
China After 35 Years of Economic Transition Editorial (0)
Exogenity and Measures of Persistente (2006) (0)
Youth Unemployment in Europe: Persistence and Macroeconomic Determinants (2014) (0)
Interest and exchange rate risk and stock returns: A multivariate GARCH-M modelling approach (2008) (0)
Persistence in UK Historical Data on Life Expectancy (2023) (0)
Paolo Paesani Inflation and Inflation Uncertainty in the Euro Area July 2009 (2009) (0)
Persistence in High Frequency Financial Data (2022) (0)
Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis (2022) (0)
Style Consistency and Mutual Fund Returns: The Case of Russia (2019) (0)
Introduction: 20 YEARS OF TRANSITION (2011) (0)
Deterministic versus stochastic seasonal fractional integration and structural breaks (2011) (0)
Financial Spillovers and Contagion from Mature to Emerging Stock Markets (2011) (0)
Fax Cover Sheet (2011) (0)

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