Economics and Finance research papers

1. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, A LONG-MEMORY MODEL FOR MULTIPLE CYCLES WITH AN APPLICATION TO THE S&P500

2. Guglielmo Maria Caporale and  Matteo Alessi, COOPERATIVE CREDIT BANKS AND ECONOMIC FLUCTUATIONS: THE ITALIAN CASE

3. Theo Drossidis, Haroon Mumtaz and Angeliki Theophilopoulou,  THE DISTRIBUTIONAL EFFECTS OF OIL SUPPLY NEWS SHOCKS 

4. Christina Anderl and Guglielmo Maria Caporale, GLOBAL FOOD PRICES AND INFLATION

5. Christina Anderl and Guglielmo Maria Caporale, FUNCTIONAL OIL PRICE EXPECTATIONS SHOCKS AND INFLATION

6. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and  Nieves Carmona-González, POLAR AMPLIFICATION: A FRACTIONAL INTEGRATION ANALYSIS

1. Guglielmo Maria Caporale and Alex Plastun, SEVEN PITFALLS OF TECHNICAL ANALYSIS

2. E Philip Davis, A BROADER VIEW OF HOUSING-MARKET MACROPRUDENTIAL MEASURES

3. Guglielmo Maria Caporale, Stavroula Yfanti, Menelaos Karanasos, Jiaying Wu, FINANCIAL INTEGRATION AND EUROPEAN TOURISM STOCKS

4. Christina Anderl and Guglielmo Maria Caporale, THE ASYMMETRIC IMPACT OF ECONOMIC POLICY AND OIL PRICE UNCERTAINTY ON INFLATION: EVIDENCE FROM DEVELOPED AND EMERGING ECONOMIES

5. Guglielmo Maria Caporale, Juan Infante, Marta del Rio, and Luis A. Gil-Alana, PERSISTENCE IN UK HISTORICAL DATA ON LIFE EXPECTANCY

6. Guglielmo Maria Caporale, Juan Infante, Marta del Rio, and Luis A. Gil-Alana, MEASURING PERSISTENCE OF THE WORLD POPULATION: A FRACTIONAL INTEGRATION APPROACH

7. Guglielmo Maria Caporale, Luis A. Gil-Alana and Amir Imeri, EXOGENOUS SHOCKS AND TIME-VARYING PRICE PERSISTENCE IN THE EU27

8. Guglielmo Maria Caporale and Nicola Spagnolo, US MUNICIPAL GREEN BONDS AND FINANCIAL INTEGRATION

9. Guglielmo Maria Caporale, Luis A. Gil-Alana and Eduard  Melnicenco, STOCK MARKET INDICES AND INTEREST RATES IN THE US AND EUROPE: PERSISTENCE AND LONG-RUN LINKAGES

10. Christina Anderl and Guglielmo Maria Caporale, TIME-VARYING PARAMETERS IN MONETARY POLICY RULES: A GMM APPROACH

11. Guglielmo Maria Caporale, Ana Rubio-Bezares, and Luis A. Gil-Alana, PERSISTENCE IN EUROPEAN STOCK MARKET RETURNS AND VOLATILITY

12. Guglielmo Maria Caporale, Kyriacos Kyriacou and Nicola Spagnolo, AGGREGATE INSIDER TRADING AND STOCK MARKET VOLATILITY IN THE UK

13. Guglielmo Maria Caporale, Luis A. Gil-Alana, Carlos Poza and Alvaro Baños Izquierdo, PERSISTENCE AND SEASONALITY IN THE US INDUSTRIAL PRODUCTION INDEX

14. Guglielmo Maria Caporale, Amir Imeri and Luis A. Gil-Alana,  PERSISTENCE IN THE CRYPTOCURRENCY MARKET: THE IMPACT OF THE COVID-19 PANDEMIC AND OF THE RUSSIA-UKRAINE WAR

15. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and  Laura Sauci,   TRENDS AND PERSISTENCE IN THE GREENLAND ICE SHEET MASS

16. Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova, FINANCIAL INTEGRATION AND ECONOMIC GROWTH IN EUROPE

17. Guglielmo Maria Caporale, Silvia García Tapia and Luis Alberiko Gil-Alana, PERSISTENCE IN TAX REVENUES: EVIDENCE FROM SOME OECD COUNTRIES

18. Christina Anderl and Guglielmo Maria Caporale, FUNCTIONAL SHOCKS TO INFLATION EXPECTATIONS AND REAL INTEREST RATES AND THEIR MACROECONOMIC EFFECTS

19. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, LONG-RUN TRENDS AND CYCLES IN US HOUSE PRICES

20. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, EXPONENTIAL TIME TRENDS IN A FRACTIONAL INTEGRATION MODEL

21. Christina Anderl and Guglielmo Maria Caporale, SHIPPING COST UNCERTAINTY, ENDOGENOUS REGIME SWITCHING AND THE GLOBAL DRIVERS OF INFLATION

22. Guglielmo Maria Caporale,  Cristiana Donati and Nicola Spagnolo, EUROPEAN SMES AND RESOURCE EFFICIENCY MEASURES: FIRM CHARACTERISTICS AND CONTEXTUAL FACTORS

1. Christina Anderl and Guglielmo Maria Caporale, NONLINEARITIES IN THE EXCHANGE RATE PASS-THROUGH: THE ROLE OF INFLATION EXPECTATIONS

2. Guglielmo Maria Caporale, Luis A. Gil-Alana and Miguel Martin- Valmayor, PERSISTENCE IN THE REALIZED BETAS: SOME EVIDENCE FOR THE US STOCK MARKET

3. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Ahniia Havrylina, PERSISTENCE IN THE PASSION INVESTMENT MARKET

4. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and   OlaOluwa Simon Yaya, MODELLING PERSISTENCE AND NON-LINEARITIES IN THE US TREASURY 10-YEAR BOND YIELDS

5. Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale and Luis  Alberiko  Gil-Alana, CRYPTOCURRENCIES, TECHNOLOGY STOCKS, COVID-19 AND US POLICY RESPONSES: A FRACTIONAL INTEGRATION ANALYSIS

6. Ridwa Ali Abdilahi and E Philip Davis, ECONOMETRIC ANALYSIS OF THE DETERMINANTS OF BANK PROFITABILITY IN THREE MAJOR AFRICAN COUNTRIES: KENYA, NIGERIA, AND SOUTH AFRICA

7. Christina Anderl and Guglielmo Maria Caporale, FORECASTING INFLATION WITH A ZERO LOWER BOUND OR NEGATIVE INTEREST RATES: EVIDENCE FROM POINT AND DENSITY FORECASTS

8. Guglielmo Maria Caporale, Nicola Spagnolo and Awon Almajali, FOSSIL AND RENEWABLE ENERGY STOCK INDICES: CONNECTEDNESS AND THE COP MEETINGS

9. Christina Anderl and Guglielmo Maria Caporale, SHADOW RATES AS A MEASURE OF THE MONETARY POLICY STANCE: SOME INTERNATIONAL EVIDENCE 

10. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, and Francisco Puertolas, MODELLING PROFITABILITY OF PRIVATE EQUITY: A FRACTIONAL INTEGRATION APPROACH 

11. Guglielmo Maria Caporale, Anamaria Diana Sova, and Robert Sova, THE COVID-19 PANDEMIC AND EUROPEAN TRADE FLOWS: EVIDENCE FROM A DYNAMIC PANEL MODEL 

12. Guglielmo Maria Caporale, José Javier de Dios Mazariegos, and Luis A. Gil-Alana, LONG-RUN LINKAGES BETWEEN US STOCK PRICES AND CRYPTOCURRENCIES: A FRACTIONAL COINTEGRATION ANALYSIS

13. Guglielmo Maria Caporale, Amir Imeri and Luis A. Gil-Alana, TOURISM PERSISTENCE IN THE SOUTHEASTERN EUROPEAN COUNTRIES: THE IMPACT OF COVID-19

14. Guglielmo Maria Caporale and Luis A. Gil-Alana, NOMINAL AND REAL WAGES IN THE UK, 1750 – 2015: MEAN REVERSION, PERSISTENCE AND STRUCTURAL BREAKS

15. Guglielmo Maria Caporale, and Alex Plastun, PERSISTENCE IN HIGH FREQUENCY FINANCIAL DATA

16. Guglielmo Maria Caporale, Cristiana Donati, and Nicola Spagnolo, SMALL AND MEDIUM SIZED EUROPEAN FIRMS AND ENERGY EFFICIENCY MEASURES: A PROBIT ANALYSIS

17. Guglielmo Maria Caporale, Juan Infante, Luis A. Gil-Alana, and Raquel Ayestaran, INFLATION PERSISTENCE IN EUROPE: THE EFFECTS OF THE COVID-19 PANDEMIC AND OF THE RUSSIA-UKRAINE WAR

18. Guglielmo Maria Caporale and Luis A. Gil-Alana, GOLD AND SILVER AS SAFE HAVENS: A FRACTIONAL INTEGRATION AND COINTEGRATION ANALYSIS

19. Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova, THE COVID-19 PANDEMIC AND EUROPEAN TRADE PATTERNS: A SECTORAL ANALYSIS

20. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, US HOUSE PRICES BY CENSUS DIVISION: PERSISTENCE, TRENDS AND STRUCTURAL BREAKS

21. Guglielmo Maria Caporale, Nieves Carmona-González, and Luis  Alberiko Gil-Alana, ATMOSPHERIC POLLUTION IN CHINESE CITIES: TRENDS AND PERSISTENCE

1. Guglielmo Maria Caporale, Luis A. Gil-Alana and Maria Malmierca, PERSISTENCE IN THE PRIVATE DEBT-TO-GDP RATIO: EVIDENCE FROM 43 OECD COUNTRIES

2. Helmut Herwartz and Fang Xu, STRUCTURAL TRANSMISSIONS AMONG INVESTOR ATTENTION, STOCK MARKET VOLATILITY AND TRADING VOLUMES

3. Christina Anderl and Guglielmo Maria Caporale, NONLINEARITIES AND ASYMMETRIC ADJUSTMENT TO PPP IN AN EXCHANGE RATE MODEL WITH INFLATION EXPECTATIONS

 4. Maria de la O González, Francisco Jareño and Frank S. Skinner, ASYMMETRIC INTERDEPENDENCIES BETWEEN LARGE CAPITAL CRYPTOCURRENCY AND GOLD RETURNS DURING THE COVID-19 PANDEMIC CRISIS

5. E Philip Davis and Sanjay Demali, BANKING CRISES IN OECD COUNTRIES: INVESTIGATING THE ROLE OF NONPERFORMING LOANS, THE EQUITY MULTIPLIER, BANKING CONCENTRATION AND STOCK MARKET CAPITALISATION

6. Christina Anderl and Guglielmo Maria Caporale, EXCHANGE RATE PARITIES AND TAYLOR RULE DEVIATIONS

7. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, and Carlos Poza, THE COVID-19 PANDEMIC AND THE DEGREE OF PERSISTENCE OF US STOCK PRICES AND BOND YIELDS

8. Guglielmo Maria Caporale, Gloria Claudio-Quiroga, and Luis Alberiko Gil-Alana, THE RELATIONSHIP BETWEEN PRICES AND OUTPUT IN THE UK AND THE US

9. Christina Anderl and Guglielmo Maria Caporale, TESTING FOR UIP: NONLINEARITIES, MONETARY ANNOUNCEMENTS AND INTEREST RATE EXPECTATIONS

10. Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova, THE SHORT-RUN AND LONG-RUN EFFECTS OF TRADE OPENNESS ON FINANCIAL DEVELOPMENT: SOME PANEL EVIDENCE FOR EUROPE

11. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, PERSISTENCE IN ESG AND CONVENTIONAL STOCK MARKET INDICES

12. Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale, and Luis A. Gil-Alana, THE IMPACT OF CONTAINMENT MEASURES AND MONETARY AND FISCAL RESPONSES ON US FINANCIAL MARKETS DURING THE COVID-19 PANDEMIC

 13. Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo, and Nicola Spagnolo, THE COVID-19 PANDEMIC, POLICY RESPONSES AND STOCK MARKETS IN THE G20 

 14. Guglielmo Maria Caporale, Abdurrahman Nazif Çatık, Gül Şerife Huyugüzel Kışla, Mohamad Husam Helmi and Coşkun Akdeniz, OIL PRICES, EXCHANGE RATES AND SECTORAL STOCK RETURNS IN THE BRICS-T COUNTRIES: A TIME-VARYING APPROACH

15. Guglielmo Maria Caporale,   Abdurrahman Nazif Çatık,  Mohamad Husam Helmi,  Coşkun Akdeniz  and   Ali İlhan, THE EFFECTS OF THE COVID-19 PANDEMIC ON STOCK MARKETS, CDS AND ECONOMIC ACTIVITY: TIME-VARYING EVIDENCE FROM THE US AND EUROPE

16. Guglielmo Maria Caporale,  Luis A. Gil-Alana and   Emmanuel Joel Aikins Abakah, US POLICY RESPONSES TO THE COVID-19 PANDEMIC AND SECTORAL STOCK INDICES: A FRACTIONAL INTEGRATION APPROACH

17. Guglielmo Maria Caporale and   Alex Plastun, WITCHING DAYS AND ABNORMAL PROFITS IN THE US STOCK MARKET

18. Guglielmo Maria Caporale,  Luis A. Gil-Alana and Pablo Vicente Trejo, UNEMPLOYMENT PERSISTENCE IN EUROPE: EVIDENCE FROM THE 27 EU COUNTRIES

19. Guglielmo Maria Caporale, Luis Gil-Alana and Isabel Arrese Lasaosa, THE IMPACT OF THE COVID-19 PANDEMIC ON PERSISTENCE IN THE EUROPEAN STOCK MARKETS

20. Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova, TRADE FLOWS, PRIVATE CREDIT AND THE COVID-19 PANDEMIC: PANEL EVIDENCE FROM 35 OECD COUNTRIES

1. Guglielmo Maria Caporale and Woo-Young Kang, CROSS-COUNTRY CO-MOVEMENT BETWEEN BITCOIN EXCHANGES: A CULTURAL ANALYSIS

2. Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo, CROSS-BORDER PORTFOLIO FLOWS AND NEWS MEDIA COVERAGE

3. Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo, CYBER-ATTACKS AND CRYPTOCURRENCIES

4. Guglielmo Maria Caporale, Luis A. Gil-Alana and Miguel Martin-Valmayor, PERSISTENCE IN THE REALIZED BETAS SOME EVIDENCE FOR THE SPANISH STOCK MARKET

5. Guglielmo Maria Caporale,  Alex Plastun and Viktor Oliinyk, THE FREQUENCY OF ONE-DAY ABNORMAL RETURNS AND PRICE FLUCTUATIONS IN THE FOREX

6. Guglielmo Maria Caporale, Luis A. Gil-Alana and Miguel Martin-Valmayor, PERSISTENCE IN THE MARKET RISK PREMIUM EVIDENCE ACROSS COUNTRIES

7.  Guglielmo Maria Caporale, Luis A. Gil-Alana and Laura Sauci, US SEA LEVEL DATA TIME TRENDS AND PERSISTENCE

8. E Philip Davis, Dilruba Karim and Dennison Noel, THE EFFECTS OF MACROPRUDENTIAL POLICY ON BANKS’ PROFITABILITY

9. Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale, and Luis A. Gil-Alana, ECONOMIC POLICY UNCERTAINTY PERSISTENCE AND CROSS-COUNTRY LINKAGES

10. Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo, CYBER ATTACKS, SPILLOVERS AND CONTAGION IN THE CRYPTOCURRENCY MARKETS

11. Guglielmo Maria Caporale,  Alex Plastun, and  Viktor Oliinyk, BITCOIN RETURNS AND THE FREQUENCY OF DAILY ABNORMAL RETURNS

12. Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and Carlos Poza, INFLATION IN THE G7 COUNTRIES PERSISTENCE AND STRUCTURAL BREAKS

13. E Philip Davis, Dilruba Karim and Dennison Noel, MACROPRUDENTIAL POLICY, MONETARY POLICY AND THE BANK INTEREST RATE MARGIN

14. Guglielmo Maria Caporale, Luis A. Gil-Alana and Nieves Carmona-González, PARTICULATE MATTER 10 (PM10): PERSISTENCE AND TRENDS IN EIGHT EUROPEAN CAPITALS

15. Guglielmo Maria Caporale and Alex Plastun, GOLD AND OIL PRICES: ABNORMAL RETURNS, MOMENTUM AND CONTRARIAN EFFECTS 

16. E Philip Davis and Dilruba Karim, EARLY WARNING SYSTEMS FOR BANKING CRISES – RESEARCH ADVANCES AND POLICY UTILISATION

17. Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova, THE DIRECT AND INDIRECT EFFECTS OF FINANCIAL DEVELOPMENT ON INTERNATIONAL TRADE: EVIDENCE FROM THE CEEC-6

18. Guglielmo Maria Caporale, Luis A. Gil-Alana and Miguel Martin-Valmayor, NON-LINEARITIES AND PERSISTENCE IN US LONG-RUN INTEREST RATES

19. Guglielmo Maria Caporale, and Luis A. Gil-Alana, MODELLING LOANS TO NON-FINANCIAL CORPORATIONS WITHIN THE EUROZONE: A LONG-MEMORY APPROACH

 20.  Guglielmo Maria Caporale, and Luis A. Gil-Alana, PERSISTENCE AND LONG MEMORY IN MONETARY POLICY SPREADS

21. Ray Barrell and Abdulkader Nahhas, COMPETITIVENESS, R&D AND THE PATTERN OF FDI IN THE OECD

22. Guglielmo Maria Caporale and Alex Plastun, ABNORMAL RETURNS AND STOCK PRICE MOVEMENTS SOME EVIDENCE FROM DEVELOPED AND EMERGING MARKETS

1. Ray Barrell and Dilruba Karim, BANK CREDIT, CAPITAL AND CRISES

2. E Philip Davis, Dilruba Karim and Dennison Noel, BANK LEVERAGE RATIOS, RISK AND COMPETITION – AN INVESTIGATION USING INDIVIDUAL BANK DATA  

3. E Philip Davis, Dilruba Karim and Dennison Noel, THE BANK CAPITAL-COMPETITION-RISK NEXUS – A GLOBAL PERSPECTIVE

4. Alessandra Canepa, Maria de la O. Gonzalez and Frank S. Skinner, HEDGE FUND STRATEGIES: A NON-PARAMETRIC ANALYSIS

5. Guglielmo Maria Caporale,  Alex Plastun and  Inna Makarenko, FORCE MAJEURE EVENTS AND STOCK MARKET REACTIONS IN UKRAINE

6. Guglielmo Maria Caporale, Luis Gil-Alana and Kefei You, STOCK MARKET LINKAGES BETWEEN THE ASEAN COUNTRIES, CHINA AND THE US: A FRACTIONAL COINTEGRATION APPROACH

7. Adiya Bayarmaa and Guglielmo Maria Caporale, STYLE CONSISTENCY AND MUTUAL FUND RETURNS: THE CASE OF RUSSIA

8. Guglielmo Maria Caporale and  Alex Plastun, PRICE OVERREACTIONS IN THE FOREX AND TRADING STRATEGIES

9. Guglielmo Maria Caporale and Daria Teterkina, VOLATILITY FORECASTS FOR THE RTS STOCK INDEX: OPTION-IMPLIED VOLATILITY VERSUS ALTERNATIVE METHODS

10. Guglielmo Maria Caporale,  Luis A. Gil-Alana and  Carlos Poza, PERSISTENCE, NON-LINEARITIES AND STRUCTURAL BREAKS IN EUROPEAN STOCK MARKET INDICES

11. Guglielmo Maria Caporale,  Luis A. Gil-Alana and  Carlos Poza, HIGH AND LOW PRICES AND THE RANGE IN THE EUROPEAN STOCK MARKETS: A LONG-MEMORY APPROACH

12. Siming Daine Liu and Len Skerratt, REVISITING THE ACCRUALS LOSS RECOGNITION MODEL OF CONSERVATISM: ARE PUBLIC COMPANIES REALLY SUPERIOR TO PRIVATE COMPANIES?

13. Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo, and Nicola Spagnolo, NON-LINEARITIES, CYBER ATTACKS AND CRYPTOCURRENCIES

14. Guglielmo Maria Caporale, Gloria Claudio-Quiroga  and  Luis A. Gil-Alana, CO2 EMISSIONS AND GDP: EVIDENCE FROM CHINA

15. Zara Canbary and Charles Grant, The MARGINAL PROPENSITY TO CONSUME FOR DIFFERENT SOCIO-ECONOMIC GROUPS

16. Guglielmo Maria Caporale and Alex Plastun, MOMENTUM EFFECTS IN THE CRYPTOCURRENCY MARKET AFTER ONE-DAY ABNORMAL RETURNS

17. Guglielmo Maria Caporale, Luis A. Gil-Alana and Carlos Poza, CYCLES AND LONG-RANGE BEHAVIOUR IN THE EUROPEAN STOCK MARKETS

18. Haroon Mumtaz and Angeliki Theophilopoulou, Monetary Policy and Wealth Inequality over the Great Reccession in the UK. An Empirical Analysis

19. Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis and Nikitas Pittis, ESTIMATION OF CONDITIONAL ASSET PRICING MODELS WITH INTEGRATED VARIABLES IN THE BETA SPECIFICATION

20. Guglielmo Maria Caporale and  Woo−Young Kang, ON THE PREFERENCES OF CoCo BOND BUYERS AND SELLERS: A LOGISTIC REGRESSION ANALYSIS

21. Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti and Aris Kartsaklas, INVESTORS' TRADING BEHAVIOUR AND STOCK MARKET VOLATILITY DURING CRISIS PERIODS: A DUAL LONG-MEMORY MODEL FOR THE KOREAN STOCK EXCHANGE

22. Guglielmo Maria Caporale, Menelaos Karanasos and Stavroula Yfanti, MACRO-FINANCIAL LINKAGES IN THE HIGH-FREQUENCY DOMAIN: THE EFFECTS OF UNCERTAINTY ON REALIZED VOLATILITY

1. Guglielmo Maria Caporale and Alex Plastun, PRICE OVERREACTIONS IN THE CRYPTOCURRENCY MARKETS

2. Guglielmo Maria Caporale,  Luis Gil-Alana, Tommaso Trani, BREXIT AND UNCERTAINTY IN FINANCIAL MARKETS

3.  Guglielmo Maria Caporale,  Luis Alberiko Gil-Alana, Tommaso Trani, ON THE PERSISTENCE OF UK INFLATION: A LONG-RANGE DEPENDENCE APPROACH

4. Guglielmo Maria Caporale,  Hector Carcel, Luis Gil-Alana, PROSPECTS FOR A MONETARY UNION IN THE EAST AFRICA COMMUNITY: SOME EMPIRICAL EVIDENCE

5. Guglielmo Maria Caporale,  Alex Plastun, Viktor Oliinyk, BITCOIN FLUCTUATIONS AND THE FREQUENCY OF PRICE OVERREACTION

6. Guglielmo Maria Caporale,  Luis A. Gil-Alana, Trilochan Tripathy, PERSISTENCE IN THE RUSSIAN STOCK MARKET VOLATILITY INDICES

7. Guglielmo Maria Caporale,  Alex Plastun, ON STOCK PRICE OVERREACTIONS: FREQUENCY, SEASONALITY AND INFORMATION CONTENT

8. Alanoud Al-Maadid, Guglielmo Maria Caporale,  Fabio Spagnolo, Nicola Spagnolo, POLITICAL TENSION AND STOCK MARKETS IN THE ARABIAN PENINSULA

9. Alanoud Al-Maadid, Guglielmo Maria Caporale,  Fabio Spagnolo, Nicola Spagnolo, THE IMPACT OF BUSINESS AND POLITICAL NEWS ON THE GCC STOCK MARKETS

10. Guglielmo Maria Caporale and  Timur  Zekokh, MODELLING VOLATILITY OF CRYPTOCURRENCIES USING MARKOV-SWITCHING GARCH MODELS

11. Guglielmo Maria Caporale,  Luis Alberiko Gil-Alana, UK OVERSEAS VISITORS: SEASONALITY AND PERSISTENCE  

12. Guglielmo Maria Caporale,  Luis A. Gil-Alana,  Manuel Monge, ENERGY CONSUMPTION IN THE GCC COUNTRIES:   EVIDENCE ON PERSISTENCE 

13. Guglielmo Maria Caporale,  Luis Alberiko Gil-Alana, FRACTIONAL INTEGRATION  AND THE PERSISTENCE OF UK INFLATION, 1210-2016

14. Kerim Peren Arin, Guglielmo Maria Caporale, Kyriacos Kyriacou and Nicola Spagnolo, FINANCIAL INTEGRATION IN THE GCC REGION: MARKET SIZE VERSUS NATIONAL EFFECTS

1. Guglielmo Maria Caporale, Hector Carcel and Luis Gil-Alana, Central Bank Policy Rates: Are They Cointegrated?
2. Guglielmo Maria Caporale and Alex Plastun, Is There a Friday Effect in Financial Markets?
3. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Long Memory and Data Frequency in Financial Markets
4. Jan Fidrmuc, Martin Hulényi and Çiğdem Börke Tunalı, Money Can't Buy EU Love: European Funds and the Brexit Referendum
5. Mustafa Ozer, Jan Fidrmuc and Mehmet Ali Eryurt, Does Maternal Education Affect Childhood Immunization Rates? Evidence from Turkey
6. Guglielmo Maria Caporale and Luis Gil-Alana, Unemployment in Africa: A Fractional Integration Approach
7. Ray Barrell, Abdulkader Nahhas and John Hunter, Exchange Rates and Bilateral FDI: Gravity models of Bilateral FDI in High Income Economies
8. Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You, Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
9. Francis Atsu and Mauro Costantini, Modelling Country and Group Levels Corporate Default Dependence: Evidence from the Euro Area
10. Guglielmo Maria Caporale and Luis A. Gil-Alana, Testing the Fisher Hypothesis in the G7 Countries Using I(d) Techniques
11. Guglielmo Maria Caporale and Kefei You, Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
12. Boontarika Paphawasit and Jan Fidrmuc, Beautiful Minds: The Impact of Beauty on Research Productivity in Economics
13. Mustafa Ozer and Jan Fidrmuc, Male Education and Domestic Violence in Turkey: Evidence from a Natural Experiment
14. Ray Barrell, Abdulkader Nahhas and John Hunter, EU Cross-Border Banking and Financial Crises: Empirical Evidence using the Gravity Model
15. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Is Market Fear Persistent? A Long-memory Analysis
16. Guglielmo Maria Caporale and Nurdaulet Abilov, The Spillovers between the Russian and Other Asian and European Stock Markets: A Multivariate GARCH-in-Mean Analysis
17. R. Barrell, D. Karim and C. Macchiarelli, Towards an understanding of credit cycles: Do all credit booms cause crises?
18. Guglielmo Maria Caporale and Luis A. Gil-Alana, GDP PER CAPITA IN EUROPE: TIME TRENDS AND PERSISTENCE
19. Guglielmo Maria Caporale and Alex Plastun, THE DAY OF THE WEEK EFFECT IN THE CRYPTO CURRENCY MARKET 
20. Guglielmo Maria Caporale and Luis A. Gil-Alana, TRENDS AND CYCLES IN MACRO SERIES: THE CASE OF US REAL GDP
21. Guglielmo Maria Caporale and Luis A. Gil-Alana, THE ASYMMETRIC BEHAVIOUR OF SPANISH UNEMPLOYMENT PERSISTENCE
22. E Philip Davis, Dilruba Karim and Dennison Noel, MACROPRUDENTIAL POLICY AND FINANCIAL IMBALANCES
23. E Philip Davis, EVALUATING CONCENTRATION AND DISRUPTION MEASURES OR IMF SOUNDNESS INDICATORS
24. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, PERSISTENCE IN THE CRYPTOCURRENCY MARKET

1. Jan Fidrmuc, Boontarika Paphawasit and Çiğdem Börke Tunalı, Nobel Beauty
2. Guglielmo Maria Caporale and Mohamad Husam Helmi, Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
3. Guglielmo Maria Caporale and Luis A. Gil-Alana, Long-Term Interest Rates in Europe: A Fractional Cointegration Analysis
4. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Exchange Rates in the BRICS
5. Guglielmo Maria Caporale, Abdurrahman Nazif Çatık, Mohamad Husam Helmi, Faek Menla Ali and Mohammad Tajik, The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
6. E Philip Davis and Rosa M. Lastra, Pension Provision, Care and Dignity in Old Age: Legal and Economic Issues
7. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Exchange Rates and Macro News in Emerging Markets
8. Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini: Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
9. Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy, The Performance of Banks in the MENA Region during the Global Financial Crisis
10. Guglielmo Maria Caporale, Abdurrahman Nazif Çatık, Mohamad Husam Helmi, Faek Menla Ali and Coşkun Akdeniz, Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?
11. Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo, Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis
12. Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You, Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
13. Guglielmo Maria Caporale and Valentina Zakirova, Calendar Anomalies in the Russian Stock Market
14. Ted Aranki and Corrado Macchiarelli, The Impact of Income and Health on the Economic Decision to Retire (Early)
15. E Philip Davis, Ethics and Banking: Comparing an Economics and a Christian Perspective

1. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Long-term Price Overreactions: Are Markets Inefficient
2. Guglielmo Maria Caporale, Luis Gil-Alana and C. James Orlando, Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
3. Cigdem Börke Tunali and Jan Fidrmuc, State Aid Policy in the European Union
4. Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez, Loan Loss Provision: Some Empirical Evidence for Italian Banks
5. Maria de la O Gonzalez, Francisco Jareno and Frank S. Skinner, Can US Stocks provide a Safe Haven from Interest and Inflation Risk? A Sector Level Examination of the Response to Unanticipated Nominal, Real Interest and Inflation Rate Shocks
6. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
7. Guglielmo Maria Caporale, Anamaria Sova and Robert Sova, Trade Flows and Trade Specialization: The Case of China
8. Borja Balparda, Guglielmo Maria Caporale, and Luis A. Gil-Alana, African Growth, Non-linearities and Strong Dependence: An Empirical Study
9. Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Spillovers between Food and Energy Prices and Structural Breaks
10. Borja Balparda, Guglielmo Maria Caporale, and Luis Alberiko Gil-Alana, The Fisher Relationship in Nigeria
11. Borja Balparda, Guglielmo Maria Caporale, and Luis A. Gil-Alana, The Kenyan Stock Market: Inefficiency, Long Memory, Persistence and Anomalities in the NSE-20
12. Dimitrios Gounopoulos, Arthur Kraft and Frank Skinner, Voluntary vs. Mandatory Management Earnings Forecasts in IPOs
13. Borja Balparda, Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Ana
14. Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy, How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China
15. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Detecting “Fake” Price Movements: A Convergence/Divergence Indicator
16. Qiwei Chen, Mauro Costantini, and Bruno Deschamps, How accurate are the professional forecasts in Asia? Evidence from ten countries
17. Andrew Mason, Sam Agyei-Ampomah and Frank Skinner, Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance
18. Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta, The Relationship between Health Care Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
19. Alessandra Canepa, Maria González and Frank S Skinner, Evaluating the Performance of Hedge Fund Strategies: A non-Parametric Analysis
20. Jan Fidrmuc and Çiğdem Börke Tunalı, Happiness and Religion
21. Ray Barrell, Dilruba Karim and Alexia Ventouri: Interest Rate Liberalization and Capital Adequacy in Models of Financial Crises 
22. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Commodity Returns
23. Thaana Ghalia and Jan Fidrmuc, The Curse of Tourism?
24. Jan Fidrmuc and Shuo Huang, Unemployment and the Speed of Transition in China
25. Francis Atsu and Mauro Costantini, Modelling corporate failure dependence of UK public listed firms
26. Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo, International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
27. Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks

1. Francesco Moscone, Elisa Tosetti and Alessandra Canepa, Real Estate Market and Financial Stability in US Metropolitan Areas: A Dynamic Model with Spatial Effects
2. Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani, International Capital Markets Structure, Preferences and Puzzles: The US-China Case
3. Guglielmo Maria Caporale and Luis Gil-Alana, Youth Unemployment in Europe: Persistence and Macroeconomic Determinants 
4. Çiğdem Börke Tunalı and Jan Fidrmuc, State Aid Policy in the European Union
5. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
6. Guglielmo Maria Caporale and Marinko Škare, A Non-linear Analysis of Gibson’s Paradox in the Netherlands, 1800-2012
7. Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, Modelling African Inflation Rates: Non-linear Deterministic Terms and Long-Range Dependence
8. María de la O González, Nicolas A. Papageorgiou and Frank S. Skinner, Persistent doubt: An examination of the performance of hedge funds
9. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, The Weekend Effect: A Trading Robot and Fractional Integration Analysis
10. Laurence D. Booth, Dimitrios Gounopoulos and Frank S. Skinner, The Choice between Non-Callable and Callable Bonds
11. Omaima A.G. Hassan and Frank S. Skinner, Analyst Coverage, Financial Reporting Credibility, Investor Base and Listing Location
12.  Ahmed Elbadry, Dimitrios Gounopoulos and Frank Skinner, Governance Quality and Information Asymmetry 
13. Guglielmo Maria Caporale and Marinko Škare, Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
14. Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
15. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
16. Siming Diane Liu and Len Skerratt, Earnings quality across listed, mediumsized, and small companies in the UK
17. Alessandra Canepa and Abdullah Ibnrubbian, Does Faith Move Stock Markets? Evidence from Saudi Arabia
18. Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo and Juan Sergio Lopez, Local Banking And Local Economic Growth In Italy: Some Panel Evidence
19. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Bond Yield Spreads in the Euro Area
20. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Short-term Price Overreactions: Identification, Testing, Exploitation
21. Stefano Cabras, Jan Fidrmuc and J.D. Tena, Minimum Wage and Employment: Escaping from the Parametric Straitjacket

1.  Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha, The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-memory Model
2. Omaima A. G. Hassan and Ray Barrell, Accounting for the determinants of banks’ credit ratings 
3. John Hunter and Seyedeh Asieh Tabaghdehi , Cointegration and US Regional Gasoline Prices: Testing market efficiency from the stationarity of price proportions 
4. Guglielmo Maria Caporale, Roberta De Santis and Alessandro Girardi, Trade Intensity and Output Synchronisation: On the Endogeneity Properties of the EMU
5. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, Long Memory in the Ukrainian Stock Market
6. R. Barrell, D. Karim and A. Ventouri, Financial Liberalization and Capital Adequacy in Models of Financial Crises
7. Guglielmo Maria Caporale, John Hunter and Faek Menla Ali, On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
8. John Hunter and Faek Menla Ali, The Monetary Model of the US Dollar– Japanese Yen Exchange Rate: An Empirical Investigation
9. Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
10. Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Exchange Rate Uncertainty and International Portfolio Flows 
11. Jan Fidrmuc, Jarko Fidrmuc and Shuo Huang, Whither China? Reform and Economic Integration among Chinese Regions
12. Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Financial development and economic growth in an oil-rich economy: The case of Saudi Arabia 
13. Jan Fidrmuc and J.D. Tena, National minimum wage and employment of young workers in the UK
14. S. Bhaumik, M. Karanasos and A. Kartsaklas, Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market
15. Vassilis Babalos, Guglielmo Maria Caporale and Nikolaos Philippas, Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
16. Aris Kartsaklas and Menelaos Karanasos, Long Run Dependencies in Stock Volatility and Trading Volume
17. Aris Kartsaklas, Trader Type Effects on the Volatility- Volume Relationship. Evidence from the KOSPI 200 Index Futures Market
18. Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez, Bank Lending Procyclicality And Credit Quality During Financial Crises
19. John Hunter and Seyedeh Asieh Tabaghdehi, Extracting Long-run Information from Energy Prices: The role of Exogeneity
20. Carlos Pestana Barros, Guglielmo Maria Caporale, and Bruno Damásio, Foreign Direct Investment in the Asian Economies 
21. Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Is the Relationship between Financial Development and Economic Growth Monotonic for Middle Income Countries?
22. Amedeo Piolatto and Matthew D. Rablen, Prospect Theory and Tax Evasion: A Reconsideration of the Yitzhaki Puzzle
23. Guy Liu and Ali Mirzaei, Industrial Growth: Does Bank Competition, Concentration and Stability Constraint Matter? Evidence from developed and emerging economies
24. Ray Barrell and Dilruba Karim, What should we do about (Macro) Pru? Macro Prudential Policy and Credit
25. Evangelos V. Dioikitopoulos, Marina-Selini Katsaiti and Philip Shaw, A Growth Model of Weight Preferences, Food Consumption and Public Policy
26. Qiwei Chen, Ying Jiang and Len Skerratt, Did the market overreact to the mandatory switch to IFRS in Europe?
27. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Long Memory in the Ukrainian Stock Market and Financial Crises
28. Luca Agnello, Guglielmo Maria Caporale and Ricardo M. Sousa, Fiscal Adjustments and Business Cycle Synchronization
29. Guglielmo Maria Caporale, Luis Gil-Alana, and Yuliya Lovcha, Testing Unemployment Theories: A Multivariate Long Memory Approach

1. Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in German Energy Price Indices
2. Jan Fidrmuc and Ariane Tichit, How I Learned to Stop Worrying and Love the Crisis
3. Jan Fidrmuc and Elira Karaja, Uncertainty, informational spillovers and policy reform: A gravity model approach
4. Matthew D. Rablen, Audit Probability Versus Effectiveness: The Beckerian Approach Revisited
5. Ray Barrell, Philip Davis, Iana Liadze, and Dilruba Karim, Off-Balance Sheet Exposures and Banking Crises in OECD Countries
6. Carlos P. Barros and Guglielmo Maria Caporale, Banking Consolidation in Nigeria, 2000-2010
7. Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso, Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
8. Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in Angolan Macroeconomic Series: Mean Reversion Versus Explosive Behaviour.
9.  Alessandra Canepa, Robust Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors: a Bootstrap Approach
10. Sanjay Banerji, Alexia Ventouri and Zilong Wang, The sovereign spread in Asian emerging economies: The significance of external versus internal factors
11. Georgios E. Chortareas, Claudia Girardone and Alexia Ventouri, Financial Freedom and Bank Efficiency: Evidence from the European Union
12. Ray Barrell and Dilruba Karim, The Role of Capital, Liquidity and Credit
13. Konstantinos Drakos and Panagiotis T. Konstantinou, Investment Decisions in Manufacturing: Assessing the Effects of Real Oil Prices and their Uncertainty 
14. Qiwei Chen, Risk and Seasonal Effects: International Evidence 
15. Qiwei Chen and Ying Jiang, The Impact of Mandatory IFRS Adoption on Accrual Anomaly and Earning Conservatism
16. Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence in Youth Unemployment 
17. Ugur Akgun and Ioana Chioveanu, Loyalty Discounts
18. Ioana Chioveanu and Jidong Zhou, Price Competition with Consumer Confusion
19. Simon Burke and John Hunter, Arbitrage, Market Definition and Monitoring a Time Series Approach
20. Laurence D. Booth, Dimitrios Gounopoulos and Frank S. Skinner, The choice among non-callable bonds and make whole, claw back and otherwise ordinary callable bonds
21. Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida, Testing the Marshall-Lerner Condition in Kenya
22. Javier Coto-Martinez and Juan C. Reboredo, The Relative Price of Non-Traded Goods under Imperfect Competition
23. Weonho Yang, Jan Fidrmuc and Sugata Ghosh, Government Spending Shocks and the Multiplier: New Evidence from the U.S. Based on Natural Disasters
24. Guglielmo Maria Caporale and Alessandro Girardi, Business Cycles, International Trade and Capital Flows: Evidence from Latin America
25. Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence and Cycles in the US Federal Funds Rate
26. Guglielmo Maria Caporale and Luis A. Gil-Alana, Testing the PPP Hypothesis in the Sub-Saharan Countries