Details about Guglielmo Maria Caporale

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Department of Economics and Finance, Brunel University, (more information at EDIRC)

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Short-id: pca1139

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Working Papers

2005

FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
See also Journal Article in Manchester School (2005)
LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
See also Journal Article in Applied Economics Letters (2006)
Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Journal Article in Empirical Economics (2006)
MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
See also Journal Article in Applied Financial Economics Letters (2006)
TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
See also Journal Article in Empirica (2007)
TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics Working Paper Archive, Levy Economics Institute (2003)
See also Journal Article in International Journal of Finance & Economics (2005)
THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
See also Journal Article in Journal of Economic Integration (2009)
VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)

2004

MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Journal Article in Applied Financial Economics Letters (2005)
NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
Economics Series, Institute for Advanced Studies (2004) View citations (5)
See also Journal Article in Applied Financial Economics (2006)
Parameter Instability and Forecasting Performance. A Monte Carlo Study
Economics Series, Institute for Advanced Studies
See also Journal Article in International Journal of Business Forecasting and Marketing Intelligence (2008)
Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence
Economics Series, Institute for Advanced Studies
TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
International Finance, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of Empirical Finance (2005)
TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Chapter (2007)
THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (7)
Economics Series, Institute for Advanced Studies (2004) View citations (2)
See also Journal Article in Journal of Financial Econometrics (2005)
THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
See also Journal Article in Applied Stochastic Models in Business and Industry (2007)

2003

Endogenous growth and Stock Market Development
Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol
Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity
CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2002) View citations (7)
See also Journal Article in Journal of International Money and Finance (2005)

2002

The Banking System in Bulgaria
Post-Print, HAL View citations (3)

2000

Fractional cointegration and real exchange rates
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
See also Journal Article in Review of Financial Economics (2004)
Fractional cointegration and tests of present value models
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
See also Journal Article in Review of Financial Economics (2004)
Unemployment and input prices: A fractional cointegration approach
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
See also Journal Article in Applied Economics Letters (2002)

Undated

Testing Stock Market Convergence: A Non-linear Factor Approach
EcoMod2010, EcoMod
See also Journal Article in Empirica (2015)

Journal Articles

2019

Bitcoin fluctuations and the frequency of price overreactions
Financial Markets and Portfolio Management, 2019, 33, (2), 109-131
See also Working Paper (2018)
Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Real Estate Economics, 2019, 47, (4), 935-976
Long-term interest rates in Europe: A fractional cointegration analysis
International Review of Economics & Finance, 2019, 61, (C), 170-178
Long-term price overreactions: are markets inefficient?
Journal of Economics and Finance, 2019, 43, (4), 657-680
See also Working Paper (2015)
Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Research in International Business and Finance, 2019, 48, (C), 143-155
See also Working Paper (2018)
Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
International Economics, 2019, 159, (C), 140-150
Also in International Economics, 2019, (159), 140-150 (2019)
See also Working Paper (2017)

2018

Brexit and Uncertainty in Financial Markets
International Journal of Financial Studies, 2018, 6, (1), 1-9 View citations (4)
See also Working Paper (2018)
Competitive devaluations in commodityâ€ based economies: Colombia and the Pacific Alliance Group
Review of Development Economics, 2018, 22, (2), 558-572
Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
Research in International Business and Finance, 2018, 44, (C), 227-238 View citations (1)
See also Working Paper (2016)
Exchange rates and macro news in emerging markets
Research in International Business and Finance, 2018, 46, (C), 516-527 View citations (1)
See also Working Paper (2016)
How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China
International Journal of Finance & Economics, 2018, 23, (4), 478-491 View citations (1)
See also Working Paper (2015)
Is market fear persistent? A long-memory analysis
Finance Research Letters, 2018, 27, (C), 140-147 View citations (1)
See also Working Paper (2017)
Islamic banking, credit, and economic growth: Some empirical evidence
International Journal of Finance & Economics, 2018, 23, (4), 456-477
See also Working Paper (2016)
Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis
Finance Research Letters, 2018, 25, (C), 239-243 View citations (3)
Macro news and bond yield spreads in the euro area
The European Journal of Finance, 2018, 24, (2), 114-134
See also Working Paper (2014)
Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?
Economic Modelling, 2018, 72, (C), 306-319 View citations (4)
See also Working Paper (2016)
Persistence in the cryptocurrency market
Research in International Business and Finance, 2018, 46, (C), 141-148 View citations (13)
See also Working Paper (2017)
Short-Term Price Overreactions: Identification, Testing, Exploitation
Computational Economics, 2018, 51, (4), 913-940
See also Working Paper (2014)
The EMBI in Latin America: Fractional integration, non-linearities and breaks
Finance Research Letters, 2018, 24, (C), 34-41 View citations (1)
See also Working Paper (2015)
The asymmetric behaviour of spanish unemployment persistence
Economics Bulletin, 2018, 38, (1), 98-104 View citations (1)
The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
Empirical Economics, 2018, 55, (3), 913-935
See also Working Paper (2015)
Unemployment in Africa: A Fractional Integration Approach
South African Journal of Economics, 2018, 86, (1), 76-81 View citations (1)

2017

Analysing the determinants of insolvency risk for general insurance firms in the UK
Journal of Banking & Finance, 2017, 84, (C), 107-122
Calendar anomalies in the Russian stock market
Russian Journal of Economics, 2017, 3, (1), 101-108 View citations (1)
Central bank policy rates: Are they cointegrated?
International Economics, 2017, 152, (C), 116-123 View citations (1)
Also in International Economics, 2017, (152), 116-123 (2017) View citations (1)
See also Working Paper (2017)
HOW DO FISCAL CONSOLIDATION AND FISCAL STIMULI IMPACT ON THE SYNCHRONIZATION OF BUSINESS CYCLES?
Bulletin of Economic Research, 2017, 69, (4), 309-329 View citations (1)
International portfolio flows and exchange rate volatility in emerging Asian markets
Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (3)
Macro News and Commodity Returns
International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (7)
See also Working Paper (2015)
Macro news and exchange rates in the BRICS
Finance Research Letters, 2017, 21, (C), 140-143 View citations (3)
See also Working Paper (2016)
Persistence and cycles in the us federal funds rate
International Review of Financial Analysis, 2017, 52, (C), 1-8
See also Working Paper (2012)
Searching for Inefficiencies in Exchange Rate Dynamics
Computational Economics, 2017, 49, (3), 405-432 View citations (1)
Spillovers between food and energy prices and structural breaks
International Economics, 2017, (150), 1-18 View citations (10)
Also in International Economics, 2017, 150, (C), 1-18 (2017) View citations (12)
See also Working Paper (2016)
The fisher relationship in Nigeria
Journal of Economics and Finance, 2017, 41, (2), 343-353
The performance of banks in the MENA region during the global financial crisis
Research in International Business and Finance, 2017, 42, (C), 583-590 View citations (1)
See also Working Paper (2016)
The weekend effect: a fractional integration and trading robot analysis
International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 View citations (1)

2016

Business cycles, international trade and capital flows: evidence from Latin America
Empirical Economics, 2016, 50, (2), 231-252 View citations (2)
See also Working Paper (2013)
Consumption, wealth, stock and housing returns: Evidence from emerging markets
Research in International Business and Finance, 2016, 36, (C), 562-578 View citations (3)
See also Working Paper (2011)
Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate
Journal of International Development, 2016, 28, (2), 214-232
Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Computational Economics, 2016, 47, (2), 275-295 View citations (2)
See also Working Paper (2014)
Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
International Journal of Finance & Economics, 2016, 21, (2), 143-153 View citations (3)
See also Working Paper (2015)
Local banking and local economic growth in Italy: some panel evidence
Applied Economics, 2016, 48, (28), 2665-2674 View citations (1)
See also Working Paper (2014)
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
International Review of Financial Analysis, 2016, 45, (C), 180-188 View citations (2)
See also Working Paper (2014)
Persistence and cyclical dependence in the monthly euribor rate
Journal of Economics and Finance, 2016, 40, (1), 157-171 View citations (1)
See also Working Paper (2011)
Testing unemployment theories: A multivariate long memory approach
Journal of Applied Economics, 2016, 19, 95-112 View citations (4)
See also Working Paper (2014)
The weekend effect: an exploitable anomaly in the Ukrainian stock market?
Journal of Economic Studies, 2016, 43, (6), 954-965 View citations (1)
See also Working Paper (2015)

2015

Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
Journal of International Money and Finance, 2015, 54, (C), 70-92 View citations (15)
Financial Development and Economic Growth: Evidence from 10 New European Union Members
International Journal of Finance & Economics, 2015, 20, (1), 48-60 View citations (16)
Gender, style diversity, and their effect on fund performance
Research in International Business and Finance, 2015, 35, (C), 57-74 View citations (1)
Infant mortality rates: time trends and fractional integration
Journal of Applied Statistics, 2015, 42, (3), 589-602 View citations (2)
International capital markets structure, preferences and puzzles: A “US–China World”
Journal of International Financial Markets, Institutions and Money, 2015, 36, (C), 85-99 View citations (2)
Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
Applied Economics Letters, 2015, 22, (5), 421-424 View citations (2)
Oil price uncertainty and sectoral stock returns in China: A time-varying approach
China Economic Review, 2015, 34, (C), 311-321 View citations (30)
See also Working Paper (2014)
Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
African Development Review, 2015, 27, (2), 161-170 View citations (4)
Testing stock market convergence: a non-linear factor approach
Empirica, 2015, 42, (3), 481-498 View citations (6)
See also Working Paper
Testing the Marshall–Lerner Condition in Kenya
South African Journal of Economics, 2015, 83, (2), 253-268 View citations (1)
See also Working Paper (2012)
The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20
African Journal of Economic and Sustainable Development, 2015, 4, (3), 254-277 View citations (3)
Trade flows and trade specialisation: The case of China
China Economic Review, 2015, 34, (C), 261-273 View citations (13)
See also Working Paper (2016)
Trade intensity and output synchronisation: On the endogeneity properties of EMU
Journal of Financial Stability, 2015, 16, (C), 154-163 View citations (13)
See also Working Paper (2013)

2014

Bank lending procyclicality and credit quality during financial crises
Economic Modelling, 2014, 43, (C), 142-157 View citations (4)
See also Working Paper (2013)
Fractional integration and cointegration in US financial time series data
Empirical Economics, 2014, 47, (4), 1389-1410 View citations (3)
See also Working Paper (2012)
Improving Environmental Performance: A Challenge for Romania
Environmental & Resource Economics, 2014, 57, (3), 431-452 View citations (1)
Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
African Development Review, 2014, 26, (1), 59-73 View citations (2)
Also in African Development Review, 2014, 26, (1), 59–73 (2014) View citations (2)
See also Working Paper (2014)
Long‐Run and Cyclical Dynamics in the US Stock Market
Journal of Forecasting, 2014, 33, (2), 147-161 View citations (5)
See also Working Paper (2007)
On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
International Review of Financial Analysis, 2014, 33, (C), 87-103 View citations (25)
See also Working Paper (2013)
Persistence and cycles in US hours worked
Economic Modelling, 2014, 38, (C), 504-511 View citations (3)
See also Working Paper (2012)
SOURCES OF REAL EXCHANGE RATE VOLATILITY AND INTERNATIONAL FINANCIAL INTEGRATION: A DYNAMIC GENERALISED METHOD OF MOMENTS PANEL APPROACH
Journal of International Development, 2014, 26, (6), 810-820 View citations (1)
The nexus between prices, employment and output growth: a global and national evidence
Journal of Business Economics and Management, 2014, 15, (2), 197-211 View citations (1)
Time-Varying Spot and Futures Oil Price Dynamics
Scottish Journal of Political Economy, 2014, 61, (1), 78-97 View citations (10)
See also Working Paper (2010)
Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
Comparative Economic Studies, 2014, 56, (4), 581-591 View citations (10)
See also Working Paper (2014)

2013

Fiscal spillovers in the Euro area
Journal of International Money and Finance, 2013, 38, (C), 84.e1-84.e16 View citations (16)
See also Working Paper (2013)
LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH
Manchester School, 2013, 81, (6), 925-940 View citations (1)
See also Working Paper (2010)
Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
International Review of Financial Analysis, 2013, 29, (C), 1-9 View citations (11)
See also Working Paper (2013)
Long memory in US real output per capita
Empirical Economics, 2013, 44, (2), 591-611 View citations (5)
See also Working Paper (2009)
Modelling long-run trends and cycles in financial time series data
Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (1)
See also Working Paper (2012)
Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Journal of Banking & Finance, 2013, 37, (2), 227-240 View citations (12)
See also Working Paper (2011)
Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 215-225 View citations (1)
See also Working Paper (2012)
Stock Prices and Monetary Policy: An Impulse Response Analysis
International Journal of Economics and Financial Issues, 2013, 3, (3), 701-709 View citations (1)
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Review of International Economics, 2013, 21, (5), 1060-1075 View citations (32)
See also Working Paper (2009)

2012

Efficiency evaluation of Greek equity funds
Research in International Business and Finance, 2012, 26, (2), 317-333 View citations (6)
See also Working Paper (2012)
Environmental Regulation and Competitiveness: Evidence from Romania
Ecological Economics, 2012, 81, (C), 130-139 View citations (4)
See also Working Paper (2012)
Estimating persistence in the volatility of asset returns with signal plus noise models
International Journal of Finance & Economics, 2012, 17, (1), 23-30
See also Working Paper (2010)
European free trade agreements and trade balance: Evidence from four new European Union members
The Journal of International Trade & Economic Development, 2012, 21, (6), 839-863 View citations (5)
Fractional cointegration in US term spreads
Applied Economics Letters, 2012, 19, (5), 431-434
See also Working Paper (2010)
Inflation and inflation uncertainty in the euro area
Empirical Economics, 2012, 43, (2), 597-615 View citations (16)
See also Working Paper (2010)
Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Multinational Finance Journal, 2012, 16, (1-2), 105-136
See also Working Paper (2011)
Quoted spreads and trade imbalance dynamics in the European Treasury bond market
The Quarterly Review of Economics and Finance, 2012, 52, (2), 173-182 View citations (3)
See also Working Paper (2010)
Ratings assignments: Lessons from international banks
Journal of International Money and Finance, 2012, 31, (6), 1593-1606 View citations (10)
See also Working Paper (2009)
Stock Market Integration Between Three CEECs
Journal of Economic Integration, 2012, 27, 115-122 View citations (3)
The euro changeover and price adjustments in Italy
Applied Economics Letters, 2012, 19, (4), 379-382
See also Working Paper (2011)

2011

ARE THE BALTIC COUNTRIES READY TO ADOPT THE EURO? A GENERALIZED PURCHASING POWER PARITY APPROACH
Manchester School, 2011, 79, (3), 429-454 View citations (3)
See also Working Paper (2008)
EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?
Review of International Economics, 2011, 19, (1), 189-206 View citations (7)
See also Working Paper (2010)
Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America
Journal of International Money and Finance, 2011, 30, (5), 709-723 View citations (3)
See also Working Paper (2008)
Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
American Journal of Economics and Business Administration, 2011, 3, (4), 586-588
Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
Journal of Applied Statistics, 2011, 38, (1), 71-85 View citations (3)
International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence
The Journal of International Trade & Economic Development, 2011, 20, (6), 789-808 View citations (2)
See also Working Paper (2009)
Introduction
Review of International Economics, 2011, 19, (1), 46-48
Multi-Factor Gegenbauer Processes and European Inflation Rates
Journal of Economic Integration, 2011, 26, 386-409 View citations (7)
See also Working Paper (2009)
Price formation on the EuroMTS platform
Applied Economics Letters, 2011, 18, (3), 229-233 View citations (5)
See also Working Paper (2010)
Stock Market Integration between Three CEECs, Russia, and the UK
Review of International Economics, 2011, 19, (1), 158-169 View citations (15)
See also Working Paper (2010)
The weekly structure of US stock prices
Applied Financial Economics, 2011, 21, (23), 1757-1764
See also Working Paper (2010)

2010

Are PPP tests erratically behaved? Some panel evidence
International Review of Applied Economics, 2010, 24, (2), 203-221
See also Working Paper (2006)
Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
Emerging Markets Review, 2010, 11, (3), 250-260 View citations (52)
See also Working Paper (2009)
Multiple cyclical fractional structures in financial time series
Applied Economics Letters, 2010, 17, (11), 1079-1081 View citations (1)
REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
Journal of Economic Development, 2010, 35, (2), 1-21 View citations (4)
Using Chebyshev Polynomials to Approximate Partial Differential Equations
Computational Economics, 2010, 35, (3), 235-244 View citations (3)
See also Working Paper (2008)

2009

BASQUE TERRORISM: POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON THE STOCK MARKET IN THE BASQUE COUNTRY
Defence and Peace Economics, 2009, 20, (4), 287-301 View citations (4)
Cointegration tests of PPP: do they also exhibit erratic behaviour?
Applied Economics Letters, 2009, 16, (1), 9-15 View citations (1)
See also Working Paper (2006)
Income and happiness across Europe: Do reference values matter?
Journal of Economic Psychology, 2009, 30, (1), 42-51 View citations (97)
See also Working Paper (2007)
Multiple shifts and fractional integration in the US and UK unemployment rates
Journal of Economics and Finance, 2009, 33, (4), 364-375 View citations (3)
Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?
Applied Economics Letters, 2009, 16, (3), 223-226
On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries
Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (3), 573-573 View citations (28)
Also in Review of World Economics (Weltwirtschaftliches Archiv), 2009, 145, (2), 189-206 (2009) View citations (24)
See also Working Paper (2008)
The Asymmetric Effects of a Common Monetary Policy in Europe
Journal of Economic Integration, 2009, 24, 455-475 View citations (4)
See also Working Paper (2005)
The Euro and inflation uncertainty in the European Monetary Union
Journal of International Money and Finance, 2009, 28, (6), 954-971 View citations (31)
See also Working Paper (2007)

2008

Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics
Review of International Economics, 2008, 16, (3), 401-412 View citations (4)
See also Working Paper (2006)
Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
Economics Bulletin, 2008, 7, (17), 1-13 View citations (6)
Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (17)
See also Working Paper (2008)
Parameter instability and forecasting performance: a Monte Carlo study
International Journal of Business Forecasting and Marketing Intelligence, 2008, 1, (1), 1-20
See also Working Paper (2004)
Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market
The European Journal of Finance, 2008, 14, (8), 735-753 View citations (10)
Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
Empirica, 2008, 35, (3), 241-253 View citations (1)
See also Working Paper (2006)

2007

Nonlinearities and Fractional Integration in the US Unemployment Rate*
Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (48)
See also Working Paper (2006)
Testing for deterministic and stochastic cycles in macroeconomic time series
Empirica, 2007, 34, (2), 155-169
See also Working Paper (2005)
The stochastic unit root model and fractional integration: An extension to the seasonal case
Applied Stochastic Models in Business and Industry, 2007, 23, (5), 439-453
See also Working Paper (2004)

2006

Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994
Empirical Economics, 2006, 31, (1), 83-93 View citations (4)
See also Working Paper (2005)
Long memory at the long-run and the seasonal monthly frequencies in the US money stock
Applied Economics Letters, 2006, 13, (15), 965-968 View citations (2)
See also Working Paper (2005)
Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Applied Financial Economics Letters, 2006, 2, (1), 9-12 View citations (3)
See also Working Paper (2005)
Panel data tests of PPP: a critical overview
Applied Financial Economics, 2006, 16, (1-2), 73-91 View citations (15)
See also Working Paper (2004)
Volatility transmission and financial crises
Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (49)

2005

A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates
Open Economies Review, 2005, 16, (2), 107-133
Endogenous Growth Models and Stock Market Development: Evidence from Four Countries
Review of Development Economics, 2005, 9, (2), 166-176 View citations (22)
FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*
Manchester School, 2005, 73, (6), 737-753 View citations (10)
See also Working Paper (2005)
Fiscal Consolidation: An Exercise in the Methodology of Coordination
Journal of Economic Integration, 2005, 20, 1-25 View citations (1)
Interest rate linkages: a Kalman filter approach to detecting structural change
Economic Modelling, 2005, 22, (2), 253-284 View citations (24)
Interest rate linkages: identifying structural relations
Applied Financial Economics, 2005, 15, (14), 977-986 View citations (8)
Measuring half-lives: using a non-parametric bootstrap approach
Applied Financial Economics Letters, 2005, 1, (1), 1-4 View citations (4)
See also Working Paper (2004)
Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
Journal of International Money and Finance, 2005, 24, (1), 39-53 View citations (39)
See also Working Paper (2003)
Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (136)
See also Working Paper (2004)
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
International Journal of Finance & Economics, 2005, 10, (4), 359-367 View citations (2)
See also Working Paper (2005)
The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study
Journal of Financial Econometrics, 2005, 3, (2), 282-309 View citations (4)
See also Working Paper (2004)
The Feldstein-Horioka puzzle revisited: A Monte Carlo study
Journal of International Money and Finance, 2005, 24, (7), 1143-1149 View citations (27)

2004

Estimator Choice and Fisher's Paradox: A Monte Carlo Study
Econometric Reviews, 2004, 23, (1), 25-52 View citations (24)
Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market
Applied Financial Economics, 2004, 14, (14), 981-989 View citations (12)
Fractional cointegration and real exchange rates
Review of Financial Economics, 2004, 13, (4), 327-340 View citations (14)
See also Working Paper (2000)
Fractional cointegration and tests of present value models
Review of Financial Economics, 2004, 13, (3), 245-258 View citations (36)
See also Working Paper (2000)
Long range dependence in daily stock returns
Applied Financial Economics, 2004, 14, (6), 375-383 View citations (8)
Modelling East Asian exchange rates: a Markov-switching approach
Applied Financial Economics, 2004, 14, (4), 233-242 View citations (10)
STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE
Journal of Economic Development, 2004, 29, (1), 33-50 View citations (63)
Testing for Seasonal Fractional Roots in German Real Output
German Economic Review, 2004, 5, (3), 319-333 View citations (2)

2003

Asset prices and output growth volatility: the effects of financial crises
Economics Letters, 2003, 79, (1), 69-74 View citations (13)
Evaluating the Gains to Cooperation in the G-3
Empirica, 2003, 30, (4), 337-356 View citations (2)
IGARCH models and structural breaks
Applied Economics Letters, 2003, 10, (12), 765-768 View citations (15)
Long memory and structural breaks in hyperinflation countries
Journal of Economics and Finance, 2003, 27, (2), 136-152 View citations (1)
Testing for PPP: the erratic behaviour of unit root tests
Economics Letters, 2003, 80, (2), 277-284 View citations (13)

2002

Causality Links between Consumer and Producer Prices: Some Empirical Evidence
Southern Economic Journal, 2002, 68, (3), 703-711 View citations (18)
Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?
Manchester School, 2002, 70, (4), 528-45 View citations (19)
Exogeneity and measurement of persistence
Revista de Economía del Rosario, 2002
Fractional integration and mean reversion in stock prices
The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (23)
Long-term nominal interest rates and domestic fundamentals
Review of Financial Economics, 2002, 11, (2), 119-130 View citations (48)
Manufacturing Wage Differentials and Employment in Some Scandinavian Countries, the U.S. and the U.K.: An Analysis of Variance Approach
Empirica, 2002, 29, (4), 289-304 View citations (1)
Modelling Economic Policy Responses with an Application to the G3
Annals of Economics and Statistics, 2002, (67-68), 415-433
Testing for Causality-in-Variance: An Application to the East Asian Markets
International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (46)
The Euro and Monetary Policy Transparency
Eastern Economic Journal, 2002, 28, (1), 59-70 View citations (4)
Unemployment and input prices: a fractional cointegration approach
Applied Economics Letters, 2002, 9, (6), 347-351 View citations (12)
See also Working Paper (2000)
Unit Roots versus Other Types of Time Heterogeneity, Parameter Time Dependence and Superexogeneity
Journal of Forecasting, 2002, 21, (3), 207-23 View citations (5)

2001

Bond Markets and Macroeconomic Performance
Zagreb International Review of Economics and Business, 2001, 4, (1), 27-44 View citations (1)
Coordination and price shocks: an empirical analysis
Economic Modelling, 2001, 18, (4), 569-584 View citations (1)
Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates
International Journal of Finance & Economics, 2001, 6, (2), 127-38 View citations (16)
Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption
Journal of Macroeconomics, 2001, 23, (2), 177-197 View citations (13)
Money, Credit and Spending: Drawing Causal Inferences
Scottish Journal of Political Economy, 2001, 48, (5), 547-57 View citations (19)
Parameter instability, superexogeneity, and the monetary model of the exchange rate
Review of World Economics (Weltwirtschaftliches Archiv), 2001, 137, (3), 501-524 View citations (2)
Persistence in macroeconomic time series: Is it a model invariant property?
Revista de Economía del Rosario, 2001
Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition
International Journal of Finance & Economics, 2001, 6, (3), 187-200 View citations (87)
Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas
Ekonomia, 2001, 5, (2), 155-177
Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
Journal of Policy Modeling, 2001, 23, (6), 637-650 View citations (16)

2000

International Linkages in Short- and Long-Term Interest Rates
Zagreb International Review of Economics and Business, 2000, 3, (2), 39-61 View citations (1)

1999

Efficient Estimation of Cointegrating Vectors and Testing for Causality in Vector Autoregressions
Journal of Economic Surveys, 1999, 13, (1), 1-35 View citations (57)
Estimating Income and Price Elasticities of Trade in a Cointegration Framework
Review of International Economics, 1999, 7, (2), 254-64 View citations (59)
Is Europe an Optimum Currency Area? Business Cyc1es in the EU
Journal of Economic Integration, 1999, 14, 169-202 View citations (5)
Unit Root Testing Using Covariates: Some Theory and Evidence
Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 583-95 View citations (13)

1998

Cointegration and predictability of asset prices1
Journal of International Money and Finance, 1998, 17, (3), 441-453 View citations (17)
Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
Journal of Policy Modeling, 1998, 20, (5), 581-601 View citations (3)
Term structure and interest differentials as predictors of future inflation changes and inflation differentials
Applied Financial Economics, 1998, 8, (6), 615-625 View citations (7)
Unit roots and long-run causality: investigating the relationship between output, money and interest rates
Economic Modelling, 1998, 15, (1), 91-112 View citations (10)

1997

Common features and output fluctuations in the United Kingdom
Economic Modelling, 1997, 14, (1), 1-9 View citations (7)
Domestic and external factors in interest rate determination
Applied Financial Economics, 1997, 7, (5), 465-471 View citations (3)
Learning about monetary union: An analysis of bounded rational learning in European labor markets
Journal of Policy Modeling, 1997, 19, (5), 469-489
Sectoral shocks and business cycles: a disaggregated analysis of output fluctuations in the UK
Applied Economics, 1997, 29, (11), 1477-1482 View citations (3)

1996

Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS
Journal of Macroeconomics, 1996, 18, (4), 693-714 View citations (16)
Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails
Economic Modelling, 1996, 13, (1), 1-14 View citations (5)
Testing for Unbiasedness of Term Structure and Interest Differentials as Predictors of Future Inflation Changes and Inflation Differentials
Canadian Journal of Economics, 1996, 29, (s1), 565-69

1995

Inflation convergence in the EMS: Some additional evidence. A reply
Review of World Economics (Weltwirtschaftliches Archiv), 1995, 131, (3), 587-593 View citations (1)
Interest rate linkages within the European Monetary System: an alternative interpretation
Applied Economics Letters, 1995, 2, (2), 45-47 View citations (7)
Nominal exchange rate regimes and the stochastic behavior of real variables
Journal of International Money and Finance, 1995, 14, (3), 395-415 View citations (13)

1994

Persistence in real variables under alternative exchange rate regimes: Some multi-country evidence
Economics Letters, 1994, 45, (1), 93-102 View citations (2)
The Measurement of Productivity and Market Structure in the UK
Bulletin of Economic Research, 1994, 46, (1), 61-70

1993

Common stochastic trends and inflation convergence in the EMS
Review of World Economics (Weltwirtschaftliches Archiv), 1993, 129, (2), 207-215 View citations (32)
Is Europe an optimum currency area?
National Institute Economic Review, 1993, 144, (1), 95-113
The World Economy
National Institute Economic Review, 1993, 144, (1), 33-54
Also in National Institute Economic Review, 1992, 139, (1), 27-45 (1992)
National Institute Economic Review, 1993, 145, (1), 43-63 (1993)
National Institute Economic Review, 1992, 142, (1), 34-62 (1992)
National Institute Economic Review, 1993, 143, (1), 27-53 (1993)

1992

Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union
National Institute Economic Review, 1992, 140, (1), 69-77

Chapters

2014

The finance–growth nexus: evidence from ten new EU members
Chapter 13 in Financial Cycles and the Real Economy, 2014, pp 217-234

2007

Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data
Chapter 2 in Advances In Quantitative Analysis Of Finance And Accounting, 2007, pp 23-50
See also Working Paper (2004)