CEF Paper Series

Working Papers	2004	2005	2006	2007		Get Acrobat Reader
	2008	2009
Policy Notes

2009 Working Papers [Top | 2004 | 2005 | 2006 | 2007 | 2008 ]

CEF DP 09-01	Guglielmo Maria Caporale, Luis A. Gil-Alana	Long Memory in US Real Output Per Capita
CEF DP 09-02	John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo	Volatility Spillovers and Contagion from Mature to emerging Stock Markets
CEF DP 09-03	Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis, Nikitas Pittis	Selectivity, Market Timing and the Morningstar Star-Rating System
CEF DP 09-04	Guglielmo Maria Caporale, Thouraya Hadj Amor, Christophe Rault	International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
CEF DP 09-05	Guglielmo Maria Caporale, Christophe Rault, Robert Sova, Anamaria Sova	The Impact of Association Agreements on Trade Flows and The Trade Balance: Evidence From the CEEC-4
CEF DP 09-06	Guglielmo Maria Caporale, Luis A. Gil-Alana	Multi-Factor Gegenbauer Processes and European Inflation Rates
CEF DP 09-07	Guglielmo Maria Caporale, Roman Matousek, Chris Stewart	Rating Assignments: Lessons from International Banks

2008 Working Papers [Top | 2004 | 2005 | 2006 | 2007 | 2009 ]

CEF DP 08-01	John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo	Interest And Exchange Rate Risk And Stock Returns: A Multivariate Garch-M Modelling Approach
CEF DP 08-02	Guglielmo Maria Caporale, Luis A. Gil-Alana	Multiple Cyclical Fractional Structures In Financial Time Series
CEF DP 08-03	Carlos Pestana Barros ,Guglielmo Maria Caporale and Margarida Abreu	Productivity Drivers In European Banking: Country Effects, Legal Tradition And Market Dynamics
CEF DP 08-04	Guglielmo Maria Caporale, Davide Ciferri And Alessandro Girardi	Fiscal Shocks And Real Exchange Rate Dynamics: Some Evidence For Latin America
CEF DP 08-05	Guglielmo Maria Caporale, Antoaneta Serguieva and Hao Wu	A Mixed-Game Agent-Based Model of Financial Contagion
CEF DP 08-06	Guglielmo Maria Caporale, Christophe Rault, Ana Maria Sova and Robert Sova	On The Trade Balance Effects Of Free Trade Agreements Between The Eu-15 And The Ceec-4 Countries
CEF DP 08-07	Guglielmo Maria Caporale and Mario Cerrato	Using Chebyshev Polynomials To Approximate Partial Differential Equations
CEF DP 08-08	Carlos Barros, Guglielmo Maria Caporale and Milton Nektarios	Evaluating The Cost Efficiency Of Greek Insurance Companies Using A Latent Frontier Model
CEF DP 08-09	Guglielmo Maria Caporale, and Luis A. Gil-Alana	Multiple Shifts And Fractional Integration In The US And UK Unemployment Rates
CEF DP 08-10	Guglielmo Maria Caporale, and Luis A. Gil-Alana	Persistence In Us Interest Rates: Is It Stable Over Time?
CEF DP 08-11	Carlos Pestana Barros, Guglielmo Maria Caporale and Ade Ibiwoye	A Two-Stage Efficiency Analysis of The Insurance Industry In Nigeria
CEF DP 08-12	Guglielmo Maria Caporale, Juncal Cunado and Luis A. Gil-Alana	Modelling Long-Run Trends And Cycles In Financial Time Series Data
CEF DP 08-13	Guglielmo Maria Caporale and Luis A. Gil-Alana	Fractional Integration and Data Frequency
CEF DP 08-14	Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi	Are The Baltic Countries Ready to Adopt The Euro? A Generalised Purchasing Power Parity Approach
CEF DP 08-15	Guglielmo Maria Caporale, Antoaneta Serguieva and Hao Wu	Financial Contagion: Evolutionary Optimisation of A multinational Agent-Based Model
CEF DP 08-16	Guglielmo Maria Caporale, Luis A. Gil-Alana	Real Exchange Rates in /latin America: The PPP Hypothesis and Fractional Integration
CEF DP 08-17	Guglielmo Maria Caporale, Christophe Rault, Robert Sova, Anamaria Sova	Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania
CEF DP 08-18	Guglielmo Maria Caporale, Fotini Economou, Nikolaos Philippas	Herd Behaviour in Extreme Market Conditions: The Case of The Athens Stock Exchange
CEF DP 08-19	Guglielmo Maria Caporale, Christophe Rault, Robert Sova, Anamaria Sova	Trade Specialisation and Economic Convergence: Evidence from Two Eastern European Countries

2007 Working Papers [Top | 2004 | 2005 | 2006 | 2008 | 2009]

CEF DP 07-01	Carlos Pestana Barros, Guglielmo Maria Caporale and Maria Teresa Medeiros Garcia	Ageing And Personal Retirement Savings Plan Participation With Heterogeneity In Preferences: The Portuguese Case
CEF DP 07-02	Carlos Pestana Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana	Identification Of Segments Of European Banks With A Latent Class Frontier Model
CEF DP 07-03	Guglielmo Maria Caporale, Luis A Gil-Alana	A Multivariate Long-Memory Model with Structural Breaks
CEF DP 07-04	Guglielmo Maria Caporale, Luis A Gil-Alana	Mean Reversion in the US Treasury Constant Maturity Rates
CEF DP 07-05	Guglielmo Maria Caporale, Luis A Gil-Alana	Mean Reversion in the Nikkei, Standard & Poor and Dow Jones indices
CEF DP 07-06	Guglielmo Maria Caporale, Juncal Conado, Luis A Gil-Alana	Deterministic Versus Stochastic Seasonal Fractional Integration and structural breaks
CEF DP 07-07	Guglielmo Maria Caporale, Andros Gregoriou	Non-Normality And Recursive Unit Root Test for PPP: Solving the PPP Puzzle?
CEF DP 07-08	Carlos Pestana Barros, Guglielmo Maria Caporale, António Luís Silvestre	Analysing The Efficiency of Portuguese Pension Funds:A Stochastic Frontier Model
CEF DP 07-09	Guglielmo Maria Caporale, Yannis Georgellis, Nicholas Tsitsianis, Ya Ping Yin	Income and happiness across Europe: Do reference values matter?

2006 Working Papers [Top | 2004 | 2005 | 2007 | 2008 | 2009]

CEF DP 06-01	Guglielmo Maria Caporale and Alexandros Kontonikas	THE EURO AND INFLATION UNCERTAINTY IN THE EUROPEAN MONETARY UNION
CEF DP 06-02	Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana	ETA TERRORISM:POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON ECONOMIC ACTIVITY IN THE BASQUE COUNTRY
CEF DP 06-03	Marco R. Barassi, Guglielmo Maria Caporale and Stephen G. Hall	A COMPARISON BETWEEN TESTS FOR CHANGES IN THE ADJUSTMENT COEFFICIENTS IN COINTEGRATED SYSTEMS
CEF DP 06-04	Guglielmo Maria Caporale and Luis A. Gil-Alana	MODELLING STRUCTURAL BREAKS IN THE US, UK AND JAPANESE UNEMPLOYMENT RATES
CEF DP 06-05	Guglielmo Maria Caporale and Luis A. Gil-Alana	TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES
CEF DP 06-06	Guglielmo Maria Caporale and Christoph Hanck	COINTEGRATION TESTS OF PPP:DO THEY ALSO EXHIBIT ERRATIC BEHAVIOUR?
CEF DP 06-07	Guglielmo Maria Caporale and Christoph Hanck	ARE PPP TESTS ERRATICALLY BEHAVED? SOME PANELl EVIDENCE
CEF DP 06-08	Guglielmo Maria Caporale and Luis A. Gil-Alana	FRACTIONAL INTEGRATION AND IMPULSE RESPONSES: A BIVARIATE APPLICATION TO REAL OUTPUT IN THE US AND THE SCANDINAVIAN COUNTRIES

2005 Working Papers [Top | 2004 | 2006 | 2007 | 2008 | 2009]

CEF DP 05-01	Guglielmo Maria Caporale and Luis A. Gil-Alana	FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
CEF DP 05-02	Guglielmo Maria Caporale and Mario Cerrato	VALUING AMERICAN PUT OPTIONS USING CHEBYSHEV POLYNOMIAL APPROXIMATION
CEF DP 05-03	Guglielmo Maria Caporale, Mario Cerrato	BLACK MARKET AND OFFICIAL EXCHANGE RATES:LONG-RUN EQUILIBRIUM AND SHORT-RUN DYNAMICS
CEF DP 05-04	Guglielmo Maria Caporale and Luis A. Gil-Alana	TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS
CEF DP 05-05	Guglielmo Maria Caporale and Luis A. Gil-Alana	LONG RUN AND CYCLICAL DYNAMICS IN THE US STOCK MARKET
CEF DP 05-06	Guglielmo Maria Caporale and Luis A. Gil-Alana	MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
CEF DP 05-07	Guglielmo Maria Caporale and Luis A. Gil-Alana	TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
CEF DP 05-08	Guglielmo Maria Caporale and Luis A. Gil-Alana	LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
CEF DP 05-09	Guglielmo Maria Caporale and Luis A. Gil-Alana	NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE
CEF DP 05-10	Guglielmo Maria Caporale and Alaa M. Soliman	THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE

2004 Working Papers [Top | 2005 | 2006 | 2007 | 2008 | 2009]

CEF DP 04-01	Guglielmo Maria Caporale, Mario Cerrato and Nicola Spagnolo	MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
CEF DP 04-02	Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis and Nikitas Pittis	THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
CEF DP 04-03	Guglielmo Maria Caporale and Luis A. Gil-Alana	THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
CEF DP 04-04	Guglielmo Maria Caporale and Luis A. Gil-Alana	NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
CEF DP 04-05	Guglielmo Maria Caporale and Luis A. Gil-Alana	NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE
CEF DP 04-06	Guglielmo Maria Caporale and Mario Cerrato	PANEL DATA TESTS OF PPP: A CRITICAL OVERVIEW
CEF DP 04-07	Guglielmo Maria Caporale, Luis A. Gil-Alana and Mike Nazarski	TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
CEF DP 04-08	Guglielmo Maria Caporale and Luis A. Gil-Alana	LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994

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