Browsing Schriftenreihen und Sammelbände by Author "Caporale, Guglielmo Maria"

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2000-06-01Buch

Fractional Cointegration and Real Exchange Rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour ...
1999-11-01Buch

Fractional Cointegration and Tests of Present Value Models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte ...
2000-11-01Buch

Unemployment and Input Prices: A Fractional Cointegration Approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we ...