Show simple item record

dc.contributor.authorMaria Caporale, Guglielmo
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorPoza Lara, Carlos 
dc.date.accessioned2020-09-11T09:39:24Z
dc.date.available2020-09-11T09:39:24Z
dc.date.issued2020
dc.identifier.issn1062-9769spa
dc.identifier.urihttp://hdl.handle.net/10641/1965
dc.description.abstractThis paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.spa
dc.language.isoengspa
dc.publisherThe Quarterly Review of Economics and Financespa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectEuropean stock marketsspa
dc.subjectNonstationarityspa
dc.subjectUnit rootsspa
dc.subjectFractional integrationspa
dc.subjectPersistencespa
dc.subjectNon-linearitiesspa
dc.titlePersistence, non-linearities and structural breaks in European stock market indices.spa
dc.typearticlespa
dc.description.versionpre-printspa
dc.rights.accessRightsopenAccessspa
dc.description.extent715 KBspa
dc.identifier.doi10.1016/j.qref.2020.01.007spa
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S1062976920300077spa


Files in this item

FilesSizeFormatView
1.- Persistence, non-linearities ...714.7KbPDFView/Open

This item appears in the following Collection(s)

Show simple item record

Atribución-NoComercial-SinDerivadas 3.0 España
Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España