Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/20162
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.contributor.authorPoza, C-
dc.date.accessioned2020-02-03T15:25:04Z-
dc.date.available2020-02-03T15:25:04Z-
dc.date.issued2020-03-04-
dc.identifier.citationCaporale, G.M., Gil-Alana, L.A. and Poza, C. (2020) 'Persistence, non-linearities and structural breaks in European stock market indices', Quarterly Review of Economics and Finance, 77, pp. 50 - 61. doi: 10.1016/j.qref.2020.01.007.en_US
dc.identifier.issn1062-9769-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/20162-
dc.description.abstract© 2020 The Author(s). This 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.en_US
dc.description.sponsorshipMinisterio de Ciencia y Tecnología (ECO2017-85503-R).-
dc.format.extent50 - 61 (12)-
dc.format.mediumPrint-Electronic-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2020 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University ofIllinois. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/).-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectEuropean stock marketsen_US
dc.subjectnonstationarityen_US
dc.subjectunit rootsen_US
dc.subjectfractional integrationen_US
dc.subjectpersistenceen_US
dc.subjectnon-linearitiesen_US
dc.titlePersistence, non-linearities and structural breaks in European stock market indicesen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1016/j.qref.2020.01.007-
dc.relation.isPartOfQuarterly Review of Economics and Finance-
pubs.issueAugust 2020-
pubs.publication-statusPublished online-
pubs.volume77-
dc.identifier.eissn1878-4259-
Appears in Collections:Dept of Economics and Finance Research Papers

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