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Caporale, Guglielmo Maria, Gil-Alana, Luis A., Plastun, Alex and Makarenko, Inna (2014) The weekend effect: a trading robot and fractional integration analysis. Centre for International Capital Markets discussion papers, 2014 (06). pp. 1-20. ISSN 1749-3412
Caporale, Guglielmo Maria, Donadelli, Michael and Varani, Alessia (2014) International capital markets structure, preferences and puzzles: the US-China case. Centre for International Capital Markets discussion papers, 2014 (04). pp. 1-30. ISSN 1749-3412
Caporale, Guglielmo Maria, Di Colli, Stefano and Lopez, Juan Sergio (2014) Bank lending procyclicality and credit quality during financial crises. Centre for International Capital Markets discussion papers, 2014 (01). pp. 1-37. ISSN 1749-3412
Caporale, Guglielmo Maria, Gil-Alana, Luis A., Plastun, Alex and Makarenko, Inna (2014) Intraday anomalies and market efficiency : a trading robot analysis. Centre for International Capital Markets discussion papers, 2014 (09). pp. 1-22. ISSN 1749-3412
Caporale, Guglielmo Maria, Di Colli, Stefano, Di Salvo, Roberto and Lopez, Juan Sergio (2014) Local banking and local economic growth in Italy: some panel evidence. Centre for International Capital Markets discussion papers, 2014 (08). pp. 1-24. ISSN 1749-3412
Caporale, Guglielmo Maria, Gil-Alana, Luis A., Plastun, Alex and Makarenko, Inna (2014) Long memory In the Ukrainian stock market and financial crises. Centre for International Capital Markets discussion papers, 2014 (03). pp. 1-30. ISSN 1749-3412
Babalos, Vassilis, Caporale, Guglielmo Maria and Philippas, Nikolaos (2014) Measuring alpha in the fund management industry : do gender and investment strategies matter? Centre for International Capital Markets discussion papers, 2014 (02). pp. 1-40. ISSN 1749-3412
Caporale, Guglielmo Maria, Menla Ali, Faek and Spagnolo, Nicola (2014) Oil price uncertainty and sectoral stock returns in China : a time-varying approach. Centre for International Capital Markets discussion papers, 2014 (07). pp. 1-27. ISSN 1749-3412
Caporale, Guglielmo Maria, Gil-Alana, Luis A. and Plastun, Alex (2014) Short-term price overreactions : identification, testing, exploitation. Centre for International Capital Markets discussion papers, 2014 (10). pp. 1-29. ISSN 1749-3412
Caporale, Guglielmo Maria and Škare, Marinko (2014) A non-linear analysis of Gibson's paradox in the Netherlands, 1800-2012. Centre for International Capital Markets discussion papers, 2014 (05). pp. 1-33. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2013) Long memory and fractional integration in high frequency data on the US dollar / British pound spot exchange rate. Centre for International Capital Markets discussion papers, 2013 (05). pp. 1-30. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2013) Long memory in the Ukrainian stock market. Centre for International Capital Markets discussion papers, 2013 (03). pp. 1-20. ISSN 1749-3412
Caporale, Guglielmo Maria, Hunter, John and Menla Ali, Faek (2013) On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010. Centre for International Capital Markets discussion papers, 2013 (04). pp. 1-30. ISSN 1749-3412
Caporale, Guglielmo Maria, Gil-Alana, Luis A. and Lovcha, Yuliya (2013) The PPP hypothesis revisited : evidence using a multivariate long-memory model. Centre for International Capital Markets discussion papers, 2013 (01). pp. 1-8. ISSN 1749-3412
Caporale, Guglielmo Maria and Girardi, Alessandro (2012) Business cycles, international trade and capital flows : evidence from Latin America. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (38). pp. 1-34.
Caporale, Guglielmo Maria and Girardi, Alessandro (2012) Fiscal spillovers in the Euro area. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (32). pp. 1-33.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2012) Persistence and cycles in the US federal funds rate. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (39). pp. 1-25.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2012) Persistence and cyclical dependence in the monthly Euribor rate. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (33). pp. 1-24.
Caporale, Guglielmo Maria, Costantini, Mauro and Paradiso, Antonio (2012) Re-examining the decline in the US saving rate : the impact of mortgage equity withdrawal. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (36). pp. 1-27.
Caporale, Guglielmo Maria and Sousa, Ricardo M. (2011) Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (27). pp. 1-14.
Caporale, Guglielmo Maria and Sousa, Ricardo M. (2011) Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (30). pp. 1-16.
Caporale, Guglielmo Maria and Škare, Marinko (2011) Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (24). pp. 1-25.
Caporale, Guglielmo Maria, Girardi, Alessandro and Ventura, Marco (2011) The Euro changeover and price adjustments in Italy. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (13). pp. 2-11.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) Fractional integration and cointegration in US financial time series data. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (25). pp. 1-43.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) Interest rate dynamics in Kenya : commercial banks' rates and the 91 day treasury bill rate. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (11). pp. 2-24.
Beirne, John, Caporale, Guglielmo Maria and Spagnolo, Nicola (2011) Liquidity risk, credit risk and the overnight interest rate spread: a Stochastic Volatility modelling approach. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (17). pp. 1-18.
Caporale, Guglielmo Maria and Girardi, Alessandro (2011) Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (26). pp. 1-41.
Caporale, Guglielmo Maria, Girardi, Alessandro and Paesani, Paolo (2011) Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (12). pp. 4-30.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (18). pp. 1-18.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) US Disposable Personal Income and Housing Price Index: a Fractional Integration Analysis. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (19). pp. 1-20.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2011) The weekly structure of US stock prices. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (10). pp. 2-22.
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Estimating persistence in the volatility of asset returns with signal plus noise models. Centre for International Capital Markets discussion papers, 2010 (09). pp. 1-19. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Fractional cointegration in US term spreads. Centre for International Capital Markets discussion papers, 2010 (05). pp. 1-9. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Long memory and fractional integration in high frequency financial time series. Centre for International Capital Markets discussion papers, 2010 (07). pp. 1-26. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Long memory and volatility dynamics in the US dollar exchange rate. Centre for International Capital Markets discussion papers, 2010 (03). pp. 1-38. ISSN 1749-3412
Caporale, Guglielmo Maria and Girardi, Alessandro (2010) Price formation on the EuroMTS platform. Centre for International Capital Markets discussion papers, 2010 (02). pp. 1-12. ISSN 1749-3412
Caporale, Guglielmo Maria, Ciferri, Davide and Girardi, Alessandro (2010) Time-varying spot and futures oil price dynamics. Centre for International Capital Markets discussion papers, 2010 (08). pp. 1-29. ISSN 1749-3412
Caporale, Guglielmo Maria, Matousek, Roman and Stewart, Chris (2009) EU banks rating assignments: is there heterogeneity between new and old member countries? Centre for International Capital Markets discussion papers, 2009 (21). pp. 1-24. ISSN 1749-3412
Babalos, Vassilis, Caporale, Guglielmo Maria and Philippas, Nikolaos (2009) Evaluating Greek equity funds using data envelopment analysis. Centre for International Capital Markets discussion papers, 2009 (12). pp. 1-19. ISSN 1749-3412
Caporale, Guglielmo Maria, Rault, Christophe, Sova, Robert and Sova, Anamaria (2009) Financial development and economic growth: evidence from ten new EU members. Centre for International Capital Markets discussion papers, 2009 (20). pp. 1-40. ISSN 1749-3412
Beirne, John, Caporale, Guglielmo Maria, Schulze-Ghattas, Marianne and Spagnolo, Nicola (2009) Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis. Centre for International Capital Markets discussion papers, 2009 (17). pp. 1-15. ISSN 1749-3412
Caporale, Guglielmo Maria, Onorante, Luca and Paesani, Paolo (2009) Inflation and inflation uncertainty in the Euro area. Centre for International Capital Markets discussion papers, 2009 (13). pp. 1-21. ISSN 1749-3412
Caporale, Guglielmo Maria, Hadj Amor, Thouraya and Rault, Christophe (2009) International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence. Centre for International Capital Markets discussion papers, 2009 (14). pp. 1-23. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2009) Long memory in US real output per capita. Centre for International Capital Markets discussion papers, 2009 (10). pp. 1-37. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2009) Multi-factor Gegenbauer processes and European inflation rates. Centre for International Capital Markets discussion papers, 2009 (07). pp. 1-24. ISSN 1749-3412
Caporale, Guglielmo Maria, Erdogan, Burcu and Kuzin, Vladimir (2009) Testing for convergence in stock markets : a non-linear factor approach. Centre for International Capital Markets discussion papers, 2009 (18). pp. 1-22. ISSN 1749-3412
Beirne, John, Caporale, Guglielmo Maria, Schulze-Ghattas, Marianne and Spagnolo, Nicola (2009) Volatility spillovers and contagion from mature to emerging stock markets. Centre for International Capital Markets discussion papers, 2009 (05). pp. 1-24. ISSN 1749-3412
Caporale, Guglielmo Maria, Ciferri, Davide and Girardi, Alessandro (2008) Are the Baltic countries ready to adopt the Euro? A generalised purchasing power parity approach. Centre for International Capital Markets discussion papers, 2008 (16). pp. 1-34. ISSN 1749-3412
Caporale, Guglielmo Maria, Serguieva, Antoaneta and Wu, Hao (2008) Financial contagion : evolutionary optimisation of a multinational agent-based model. Centre for International Capital Markets discussion papers, 2008 (18). pp. 1-26. ISSN 1749-3412
Caporale, Guglielmo Maria, Ciferri, Davide and Girardi, Alessandro (2008) Fiscal shocks and real exchange rate dynamics: some evidence for Latin America. Centre for International Capital Markets discussion papers, 2008 (05). pp. 1-37. ISSN 1749-3412
Beirne, John, Caporale, Guglielmo Maria and Spagnolo, Nicola (2008) Interest and exchange rate risk and stock returns : a multivariate GARCH-M modelling approach. Centre for International Capital Markets discussion papers, 2008 (03). pp. 1-16. ISSN 1749-3412
Caporale, Guglielmo Maria, Cuñado, Juncal and Gil-Alana, Luis A. (2008) Modelling long-run trends and cycles in financial time series data. Centre for International Capital Markets discussion papers, 2008 (11). pp. 1-36. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2008) Multiple cyclical fractional structures in financial time series. Centre for International Capital Markets discussion papers, 2008 (04). pp. 1-9. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2008) Persistence in US interest rates : is it stable over time? Centre for International Capital Markets discussion papers, 2008 (12). pp. 1-18. ISSN 1749-3412
Barros, Carlos Pestana, Caporale, Guglielmo Maria and Abreu, Margarida (2008) Productivity drivers in European banking : country effects, legal tradition and market dynamics. Centre for International Capital Markets discussion papers, 2008 (07). pp. 1-26. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2008) Real exchange rates in Latin America : the PPP hypothesis and fractional integration. Centre for International Capital Markets discussion papers, 2008 (17). pp. 1-33. ISSN 1749-3412
Caporale, Guglielmo Maria and Cerrato, Mario (2008) Using Chebyshev polynomials to approximate partial differential equations. Centre for International Capital Markets discussion papers, 2008 (10). pp. 1-15. ISSN 1749-3412
Barros, Carlos Pestana, Caporale, Guglielmo Maria and Garcia, Maria Teresa Medeiros (2007) Ageing and personal retirement savings plan participation with heterogeneity in preferences : the Portuguese case. Centre for International Capital Markets discussion papers, 2007 (11). pp. 1-25. ISSN 1749-3412
Barros, Carlos Pestana, Caporale, Guglielmo Maria and Silvestre, António Luís (2007) Analysing the efficiency of Portuguese pension funds : a stochastic frontier model. Centre for International Capital Markets discussion papers, 2007 (08). pp. 1-29. ISSN 1749-3412
Caporale, Guglielmo Maria, Cuñado, Juncal and Gil-Alana, Luis A. (2007) Deterministic versus stochastic seasonal fractional integration and structural breaks. Centre for International Capital Markets discussion papers, 2007 (03). pp. 1-23. ISSN 1749-3412
Barros, Carlos Pestana, Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2007) Identification of segments of European banks with a latent class frontier model. Centre for International Capital Markets discussion papers, 2007 (12). pp. 1-22. ISSN 1749-3412
Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2007) Long-range forecasting of the S&P stock market index using fractional integration techniques. Centre for International Capital Markets discussion papers, 2007 (04). pp. 1-16. ISSN 1749-3412
Caporale, Guglielmo Maria and Gregoriou, Andros (2007) Non-normality and recursive unit root tests for PPP : solving the PPP puzzle? Centre for International Capital Markets discussion papers, 2007 (06). pp. 1-11. ISSN 1749-3412