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Professor Guglielmo Maria Caporale
Divisional Lead / Professor - Economics & Econometrics
Marie Jahoda 251
- Email: guglielmo-maria.caporale@brunel.ac.uk
- Tel: +44 (0)1895 266713
Caporale, GM. and Girardi, A. (2013) 'Fiscal spillovers in the euro area'. Journal of International Money and Finance, 38. pp. 84e.1 - 84e.16.
Caporale, GM., Costantini, M. and Paradiso, A. (2013) 'Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal'. Journal of International Financial Markets, Institutions and Money, 26. pp. 215 - 225. ISSN: 1042-4431
Caporale, GM. and Gil-Alana, L. (2013) 'Long memory and fractional integration in high frequency data on the US dollar/British pound exchange rate'. International Review of Financial Analysis, 29. pp. 1 - 9. ISSN: 1057-5219
Caporale, GM. and Girardi, A. (2013) 'Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system'. Journal of Banking and Finance, 37 (2). pp. 227 - 240. ISSN: 0378-4266 Open Access Link
Caporale, GM., Rault, C., Sova, R. and Sova, A. (2012) 'European free trade agreements and trade balance: Evidence from four new European Union members'. Journal of International Trade and Economic Development, 21 (6). pp. 839 - 863. ISSN: 0963-8199
Barros, CP. and Caporale, GM. (2012) 'Banking consolidation in Nigeria, 2000-2010'. Journal of African Business, 13 (3). pp. 244 - 252. ISSN: 1522-8916
Caporale, GM. and Gil-Alana, LA. (2012) 'Long memory and volatility dynamics in the US dollar exchange rate'. Multinational Finance Journal, 16 (1/2). pp. 105 - 136. ISSN: 1096-1879
Caporale, GM. and Spagnolo, N. (2012) 'Stock market integration in Central and Eastern Europe'. Journal of Economic Integration, 27 (1). pp. 115 - 122. ISSN: 1225-651X
Caporale, GM. and Spagnolo, N. (2012) 'Stock market, economic growth, and EU accession: Evidence from three CEECs'. International Journal of Monetary Economics and Finance, 5 (2). pp. 183 - 191. ISSN: 1752-0479
Arouri, MEH., Caporale, GM., Rault, C., Sova, R. and Sova, A. (2012) 'Environmental Regulation and Competitiveness: Evidence from Romania'. Ecological Economics, 81. pp. 130 - 139. ISSN: 0921-8009
Babalos, V., Caporale, GM. and Philippas, N. (2012) 'Efficiency evaluation of Greek equity funds'. Research in International Business and Finance, 26 (2). pp. 317 - 333. ISSN: 0275-5319
Caporale, GM., Girardi, A. and Ventura, M. (2012) 'The euro changeover and price adjustments in Italy'. Applied Economics Letters, 19 (4). pp. 379 - 382. ISSN: 1350-4851
Caporale, GM. and Gil-Alana, LA. (2012) 'Fractional cointegration in US term spreads'. Applied Economics Letters, 19 (5). pp. 431 - 434. ISSN: 1350-4851
Caporale, GM., Cunado, J. and Gil-Alana, LA. (2012) 'Deterministic versus stochastic seasonal fractional integration and structural breaks'. Statistics and Computing, 22 (2). pp. 349 - 358. ISSN: 0960-3174
Caporale, GM. and Gil-Alana, LA. (2012) 'Estimating persistence in the volatility of asset returns with signal plus noise models'. International Journal of Finance and Economics, 17 (1). pp. 23 - 30. ISSN: 1076-9307
Caporale, GM., Onorante, L. and Paesani, P. (2012) 'Inflation and inflation uncertainty in the euro area'. Empirical Economics, 43 (2). pp. 597 - 615. ISSN: 0377-7332
Caporale, GM., Matousek, R. and Stewart, C. (2012) 'Rating assignments: lessons from international banks'. Journal of International Money and Finance, 31 (6). pp. 1593 - 1606. ISSN: 0261-5606
Caporale, GM., Girardi, A. and Paesani, P. (2012) 'Quoted spreads and trade imbalance dynamics in the European Treasury bond market'. Quartely Review of Economics and Finance, 52 (2). pp. 173 - 182. ISSN: 1062-9769
Caporale, GM. and Gil-Alana, LA. (2011) 'The weekly structure of US stock prices'. Applied Financial Economics, 21 (23). pp. 1757 - 1764. ISSN: 0960-3107
Caporale, GM., Amor, TH. and Rault, C. (2011) 'International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence'. Journal of International Trade and Economic Development, 20 (6). pp. 789 - 808. ISSN: 0963-8199
Caporale, GM., Cunado, J. and Gil-Alana, LA. (2011) 'Forecasting the Spanish stock market returns with fractional and non-fractional models'. American Journal of Economics and Business Administration, 3 (4). pp. 586 - 588. ISSN: 1945-5488 Open Access Link
Caporale, GM. and Gil-Alana, LA. (2011) 'Multifactor Gegenbauer processes and European inflation rates'. Journal of Economic Integration, 21 (23). pp. 1757 - 1764. ISSN: 1225-651X
Caporale, GM., Ciferri, D. and Girardi, A. (2011) 'Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America'. Journal of International Money and Finance, 30 (5). pp. 709 - 723. ISSN: 0261-5606 Open Access Link
Caporale, GM., Ciferri, D. and Girardi, A. (2011) 'Are the Baltic countries ready to adopt the euro? A generalised purchasing power parity approach'. Manchester School of Economic and Social Studies, 79 (3). pp. 429 - 454. ISSN: 0025-2034
Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2011) 'Financial Spillovers and Contagion from Mature to Emerging Stock Markets', in Kolb, RW. (ed.) Financial Contagion: The Viral Threat to the Wealth of Nations. Wiley. pp. 163 - 169. ISBN 10: 0470922389. ISBN 13: 9780470922385.
Caporale, GM. and Matousek, R. (2011) '20 Years of Transition in Central and Eastern Europe: Money, Banking and Financial Markets'. REVIEW OF INTERNATIONAL ECONOMICS, 19 (1). pp. 46 - 48. ISSN: 0965-7576
Caporale, GM., Matousek, R. and Stewart, C. (2011) 'EU banks rating assignments: is there heterogeneity between new and old member countries?'. Review of International Economics, 19 (1). pp. 189 - 206. ISSN: 0965-7576
Caporale, GM. and Spagnolo, N. (2011) 'Stock market integration between three CEECs, Russia, and the UK'. Review of International Economics, 19 (1). pp. 158 - 169. ISSN: 0965-7576
Caporale, GM. and Girardi, A. (2011) 'Price formation on the EuroMTS platform'. Applied Economics Letters, 18 (3). pp. 229 - 233. ISSN: 1350-4851
Caporale, GM. and Gil-Alana, LA. (2011) 'Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries'. Journal of Applied Statistics, 38 (1). pp. 71 - 85. ISSN: 0266-4763
Caporale, GM. and Gil-Alana, LA. (2010) 'Real exchange rates in Latin America: the PPP hypothesis and fractional integration'. Journal of Economic Development, 35 (2). pp. 1 - 21. ISSN: 0254-8372
Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2010) 'Testing for global and regional spillovers in emerging stock markets'. Fiducie, The Dutch Financial and Economic Journal of the Financial Study Association, 18 (1). pp. 16 - 19.
Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2010) 'Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis'. Emerging Markets Review, 11 (3). pp. 250 - 260. ISSN: 1566-0141
Caporale, GM. and Gil-Alana, LA. (2010) 'Multiple cyclical fractional structures in financial time series'. Applied Economics Letters, 17 (11). pp. 1079 - 1081. ISSN: 1350-4851
Caporale, GM. and Gil-Alana, LA. (2010) 'Fractional integration and data frequency'. Journal of Statistical Computation and Simulation, 80 (2). pp. 121 - 132. ISSN: 0094-9655
Caporale, GM. and Cerrato, M. (2010) 'Using Chebyshev polynomials to approximate partial differential equations'. Computational Economics, 35 (3). pp. 235 - 244. ISSN: 0927-7099
Caporale, GM. and Hanck, C. (2010) 'Are PPP tests erratically behaved? Some panel evidence'. International Review of Applied Economics, 24 (2). pp. 203 - 221. ISSN: 0269-2171
Caporale, GM., Rault, C., Sova, R. and Sova, A. (2009) 'Financial development and economic growth: Evidence from ten new EU members'. .Open Access Link
Caporale, GM. and Gil-Alana, LA. (2009) 'Mean reversion in the US Treasury constant maturity rates'. International Journal of Risk Assessment and Management, 11 (1-2). pp. 59 - 66. ISSN: 1466-8297
Caporale, GM., Rault, C., Sova, R. and Sova, A. (2009) 'On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries'. Review of World Economics, 145 (2). pp. 189 - 206. ISSN: 1610-2878
Caporale, GM. and Kontonikas, A. (2009) 'The Euro and inflation uncertainty in the European Monetary Union'. Journal of International Money and Finance, 28 (6). pp. 954 - 971. ISSN: 0261-5606 Open Access Link
Caporale, GM. and Gregoriou, A. (2009) 'Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?'. Applied Economics Letters, 16 (3). pp. 223 - 226. ISSN: 1350-4851
Caporale, GM., Serguieva, A., Tsang, E. and Yager, R. (2009) 'Editorial: Risk analysis in complex systems: intelligent systems in finance'. Intelligent Systems in Accounting, Finance and Management, 16 (1-2). pp. 1 - 3. ISSN: 1099-1174
Caporale, GM. and Gil-Alana, LA. (2009) 'Persistence in US interest rates: is it stable over time?'. Quantitative and Qualitative Analysis in Social Sciences, 3 (1). pp. 63 - 77. ISSN: 1752-8925
Caporale, GM., Serguieva, A. and Wu, H. (2009) 'Financial contagion: evolutionary optimization of a multinational agent-based model'. Intelligent Systems in Accounting, Finance and Management, 16 (1-2). pp. 111 - 125. ISSN: 1055-615X
Caporale, GM. and Soliman, AM. (2009) 'The asymmetric effects of a common monetary policy in Europe'. Journal of Economic Integration, 24 (3). pp. 455 - 475. ISSN: 1225-651X
Beirne, J., Caporale, GM. and Spagnolo, N. (2009) 'Market, interest rate and exchange rate risk effects on financial stock returns: a GARCH-M approach'. Quantitative and Qualitative Analysis in Social Sciences, 3 (2). pp. 44 - 68. ISSN: 1752-8925
Barros, CP., Caporale, GM. and Gil-Alana, LA. (2009) 'Basque terrorism: police action, political measures and the influence of violence on the stock market in the Basque country'. Defence and Peace Economics, 20 (4). pp. 287 - 301. ISSN: 1024-2694
Caporale, GM. and Hanck, C. (2009) 'Cointegration tests of PPP: do they also exhibit erratic behaviour?'. Applied Economics Letters, 16 (1). pp. 9 - 15. ISSN: 1350-4851
Caporale, GM., Georgellis, Y., Tsitsianis, N. and Yin, YP. (2009) 'Income and happiness across Europe: do reference values matter?'. Journal of Economic Psychology, 30 (1). pp. 42 - 51. ISSN: 0167-4870
Caporale, GM. and Gil-Alana, LA. (2009) 'Multiple shifts and fractional integration in the US and UK unemployment rates'. Journal of Economics and Finance, 33 (4). pp. 364 - 375. ISSN: 1055-0925