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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 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
Caporale, GM. and Gil-Alana, LA. (2009) 'A multivariate long-memory model with structural breaks'. Journal of Statistical Computation and Simulation, 79 (8). pp. 1001 - 1013. ISSN: 0094-9655
Caporale, GM., Philippas, N. and Economou, F. (2008) 'Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange'. Economics Bulletin, 7 (17). pp. 1 - 13.
Caporale, GM. and Gil-Alana, LA. (2008) 'Long memory and structural breaks in the Spanish stock market index'. Open Operational Research Journal, 2 (5). pp. 13 - 17.
Caporale, GM. and Gil-Alana, LA. (2008) 'Mean reversion in the Nikkei, Standard and Poor and Dow Jones indices'. Journal of Money, Investment and Banking, 5. pp. 13 - 27.
Anyfantakis, C., Caporale, GM. and Pittis, N. (2008) 'Parameter instability and forecasting performance: a Monte Carlo study'. International Journal of Business Forecasting and Marketing Intelligence,, 1 (1). pp. 1 - 201. ISSN: 1744-6635
Barassi, MR., Caporale, GM. and Hall, SG. (2008) 'A comparison between tests for changes in the adjustment coefficients in cointegrated systems'. Journal of Statistical Computation and Simulation, 78 (1). pp. 1 - 17. ISSN: 0094-9655
Babalos, V., Caporale, GM., Kostakis, A. and Philippas, N. (2008) 'Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market'. European Journal of Finance, 14 (8). pp. 735 - 753. ISSN: 1351-847X
Caporale, GM. and Cerrato, M. (2008) 'Black market and official exchange rates: long-run equilibrium and short-run dynamics'. Review of International Economics, 16 (3). pp. 401 - 412. ISSN: 0965-7576
Caporale, GM. and Gil-Alana, LA. (2008) 'Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates'. Empirica, 35 (3). pp. 241 - 253. ISSN: 0340-8744
Caporale, GM. and Gil-Alana, LA. (2008) 'Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks'. Computational Statistics and Data Analysis, 52 (11). pp. 4998 - 5013. ISSN: 0167-9473
Caporale, GM. and Gil-Alana, LA. (2007) 'Long-range forecasting of the S&P 500 stock market index using fractional integration techniquesi'. Journal of Financial Forecasting, 1 (1). pp. 71 - 82.
Caporale, GM. and Gil-Alana, LA. (2007) 'Testing for deterministic and stochastic cycles in macroeconomic time series'. Empirica, 34 (2). pp. 155 - 169. ISSN: 0340-8744
Caporale, GM., Gil-Alana, LA. and Nazarski, M. (2007) 'Testing of nonstationarities in the unit circle, long memory processes, and day of the week effects in financial data', inAdvances In Quantitative Analysis Of Finance And Accounting (Vol. 5). WORLD SCIENTIFIC. pp. 23 - 50.
Caporale, GM. and Gil-Alana, LA. (2007) 'The stochastic unit root model and fractional integration: an extension to the seasonal case'. Applied Stochastic Models and Data Analysis, 23 (5). pp. 439 - 453. ISSN: 1524-1904
Caporale, GM. and Gil-Alana, LA. (2007) 'Non-linearities and fractional integration in the US unemployment rate'. Oxford Bulletin of Economics and Statistics, 69 (4). pp. 521 - 544. ISSN: 0305-9049
Caporale, GM. and Cerrato, M. (2006) 'Panel data tests of PPP: A critical overview'. Applied Financial Economics, 16 (1-2). pp. 73 - 91. ISSN: 0960-3107
Caporale, GM. and Gil-Alana, LA. (2006) 'Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques'. Applied Financial Economics Letters, 2 (1). pp. 9 - 12. ISSN: 1744-6546
Caporale, GM. and Gil-Alana, LA. (2006) 'Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260-1994'. Empirical Economics, 31 (1). pp. 83 - 93. ISSN: 0377-7332
Caporale, GM. and Gil-Alana, LA. (2006) 'Long memory at the long-run and the seasonal monthly frequencies in the US money stock'. Applied Economics Letters, 13 (15). pp. 965 - 968. ISSN: 1350-4851
Caporale, GM., Pittis, N. and Spagnolo, N. (2006) 'Volatility transmission and financial crises'. Journal of Economics and Finance, 30 (3). pp. 376 - 390. ISSN: 1055-0925
Barassi, MR., Caporale, GM. and Hall, SG. (2005) 'Interest rate linkages: Identifying structural relations'. Applied Financial Economics, 15 (14). pp. 977 - 986. ISSN: 0960-3107
Caporale, GM. and Gil-Alana, LA. (2005) 'Nelson and Plosser revisited: evidence from fractional ARIMA models'. American Journal of Applied Sciences, 2 (4). pp. 860 - 872. ISSN: 1546-9239
Caporale, GM., Howells, P. and Soliman, AM. (2005) 'Endogenous growth models and stock market development: Evidence from four countries'. Review of Development Economics, 9 (2). pp. 166 - 176. ISSN: 1363-6669
Caporale, GM., Ntantamis, C., Pantelidis, T. and Pittis, N. (2005) 'The BDS test as a test for the adequacy of a GARCH(1,1) specification: A Monte Carlo study'. Journal of Financial Econometrics, 3 (2). pp. 282 - 309. ISSN: 1479-8409
Caporale, GM. and Gil-Alana, LA. (2005) 'Fractional cointegration and aggregate money demand functions'. The Manchester School, 73 (6). pp. 737 - 753. ISSN: 1467-9957
Caporale, GM., Panopoulou, E. and Pittis, N. (2005) 'The Feldstein-Horioka puzzle revisited: a Monte Carlo study'. Journal of International Money and Finance, 24 (7). pp. 1143 - 1149. ISSN: 0261-5606
Caporale, GM., Chui, M., Hall, S. and Henry, B. (2005) 'Fiscal Consolidation: An Exercise in the Methodology of Coordination'. Journal of Economic Integration, 20. pp. 1 - 25.
Caporale, GM., Cerrato, M. and Spagnolo, N. (2005) 'Measuring half-lives: using a non-parametric bootstrap approach'. Applied Financial Economics Letters, 1 (1). pp. 1 - 4.
Caporale, GM., Cipollini, A. and Demetriades, PO. (2005) 'Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity'. Journal of International Money and Finance, 24 (1). pp. 39 - 53. ISSN: 0261-5606
Barassi, MR., Caporale, GM. and Hall, SG. (2005) 'A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates'. Open Economies Review, 16 (2). pp. 107 - 133. ISSN: 0923-7992
Arestis, P., Caporale, GM., Cipollini, A. and Spagnolo, N. (2005) 'Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis'. International Journal of Finance and Economics, 10 (4). pp. 359 - 367. ISSN: 1076-9307
Caporale, GM., Cipollini, A. and Spagnolo, N. (2005) 'Testing for contagion: a conditional correlation analysis'. Journal of Empirical Finance, 12 (3). pp. 476 - 489. ISSN: 0927-5398
Barassi, MR., Caporale, GM. and Hall, SG. (2005) 'Interest rate linkages: A Kalman filter approach to detecting structural change'. Economic Modelling, 22 (2 SPEC. ISS.). pp. 253 - 284. ISSN: 0264-9993
Caporale, GM., Philippas, N. and Pittis, N. (2004) 'Feedbacks between mutual fund flows and security returns: Evidence from the Greek capital market'. Applied Financial Economics, 14 (14). pp. 981 - 989. ISSN: 0960-3107
Caporale, GM. and Gil-Alana, LA. (2004) 'Long range dependence in daily stock returns'. Applied Financial Economics, 14 (6). pp. 375 - 383. ISSN: 0960-3107
Caporale, GM., Pittis, N. and Spagnolo, N. (2004) 'Feedbacks between stock prices and exchange rates in the East Asian markets', in Tsoukis, C., Agiomirgianakis, GM. and Biswas, T. (eds.) Aspects of Globalisation - Macroeconomic and Capital Market Linkages in an Integrated World Economy. Kluwer Academic Publishers, London. pp. 215 - 241.
Caporale, GM., Pittis, N. and Prodromidis, K. (2004) 'Budget deficits and interest rates: Ricardian Equivalence Revisited'. Brazilian Journal of Business Economics, 4 (1). pp. 43 - 61. ISSN: 1676-8000
Caporale, GM., Howells, PGA. and Soliman, AM. (2004) 'STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE'. Journal Of Economic Development, 29 (1). pp. 33 - 50.
Caporale, GM. and Spagnolo, N. (2004) 'Modelling East Asian exchange rates: A Markov-switching approach'. Applied Financial Economics, 14 (4). pp. 233 - 242. ISSN: 0960-3107
Caporale, GM. and Gil-Alana, LA. (2004) 'Fractional cointegration and tests of present value models'. Review of Financial Economics, 13 (3). pp. 245 - 258. ISSN: 1058-3300
Caporale, GM. and Gil-Alana, LA. (2004) 'Fractional cointegration and real exchange rates'. Review of Financial Economics, 13 (4). pp. 327 - 340. ISSN: 1058-3300
Caporale, GM. and Pittis, N. (2004) 'Estimator Choice and Fisher's Paradox: A Monte Carlo Study'. Econometric Reviews, 23 (1). pp. 25 - 52. ISSN: 0747-4938
Caporale, GM. and Gil-Alana, LA. (2004) 'Testing for seasonal fractional roots in German real output'. German Economic Review, 5 (3). pp. 319 - 333. ISSN: 1465-6485
Caporale, GM., Chui, M., Hall, SG. and Henry, SGB. (2003) 'Evaluating the gains to cooperation in the G-3'. Empirica, 30 (4). pp. 337 - 356. ISSN: 0340-8744
Caporale, GM. and Spagnolo, N. (2003) 'Asset prices and output growth volatility: the effects of financial crises'. Economics Letters, 79 (1). pp. 69 - 74. ISSN: 0165-1765
Caporale, GM., Pittis, N. and Sakellis, P. (2003) 'Testing for PPP: the erratic behaviour of unit root tests'. Economics Letters, 80 (2). pp. 277 - 284. ISSN: 0165-1765
Caporale, GM. and Gil-Alana, LA. (2003) 'Long memory and structural breaks in hyperinflation countries'. Journal of Economics and Finance, 27 (2). pp. 136 - 152. ISSN: 1055-0925
Caporale, GM., Pittis, N. and Spagnolo, N. (2003) 'IGARCH models and structural breaks'. Applied Economics Letters, 10 (12). pp. 765 - 768. ISSN: 1350-4851
Caporale, GM. and Gil-Alana, LA. (2002) 'Unemployment and input prices: a fractional cointegration approach'. Applied Economics Letters, 9 (6). pp. 347 - 351. ISSN: 1350-4851
Caporale, GM., Hristov, K., Miller, J., Nenovsky, N. and Petrov, B. (2002) 'Reforming the banking system in Bulgaria', in Sevic, Z. (ed.) Banking Reforms in South-East Europe. Edward Elgar, Cheltenham, UK. pp. 219 - 239.