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Publications by Guglielmo Maria Caporale

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

SSRN Electronic Journal

English

Central Bank Policy Rates: Are They Cointegrated?

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English

Time-Varying Spot and Futures Oil Price Dynamics

SSRN Electronic Journal

English

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Multinational Finance Journal

English

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English