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Uncovering the US term premium: An alternative route

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Cited by:

  1. Mehmet Balcilar & Edmond Berisha & Oğuzhan Çepni & Rangan Gupta, 2022. "The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1979-1988, April.
  2. Olushina O Awe & Robert Mudida & Luis A. Gil‐Alana, 2021. "Comparative analysis of economic growth in Nigeria and Kenya: A fractional integration approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1197-1205, January.
  3. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
  4. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
  5. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
  6. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
  7. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
  8. Cristofaro, Lorenzo & Gil-Alana, Luis A. & Chen, Zhongfei & Wanke, Peter, 2021. "Modelling stock market data in China: Crisis and Coronavirus," Finance Research Letters, Elsevier, vol. 41(C).
  9. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Arthur, Emmanuel Kwesi & Tiwari, Aviral Kumar, 2022. "Measuring volatility persistence in leveraged loan markets in the presence of structural breaks," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 141-152.
  10. Guglielmo Maria Caporale & Silvia García Tapia & Luis Alberiko Gil-Alana, 2024. "Persistence in Tax Revenues: Evidence from Some OECD Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 475-491, June.
  11. Gil-Alana, Luis A. & Mudida, Robert & Zerbo, Eleazar, 2021. "GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 175-190.
  12. Gil-Alana, Luis A. & Mudida, Robert & Yaya, OlaOluwa S & Osuolale, Kazeem & Ogbonna, Ephraim A, 2019. "Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach," MPRA Paper 93941, University Library of Munich, Germany.
  13. Elie Bouri & Luis A. Gil‐Alana & Rangan Gupta & David Roubaud, 2019. "Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 412-426, January.
  14. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
  15. Mirko Abbritti & Juan Equiza & Antonio Moreno & Tommaso Trani, 2024. "Downturns and changes in the yield slope," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 673-701, April.
  16. Guglielmo Maria Caporale & Luis A. Gil-Alana & Nieves Carmona-González, 2020. "Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals," CESifo Working Paper Series 8402, CESifo.
  17. Gil-Alana, Luis A. & Škare, Marinko & Pržiklas-Družeta, Romina, 2019. "Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 65-72.
  18. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
  19. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
  20. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
  21. Barros, Carlos P. & Gil-Alana, Luis A. & Wanke, Peter, 2016. "Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks," Energy Economics, Elsevier, vol. 54(C), pages 88-95.
  22. Guglielmo Maria Caporale & Luis Gil-Alaña, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
  23. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
  24. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
  25. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
  26. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Tripathy, Trilochan, 2020. "Volatility persistence in the Russian stock market," Finance Research Letters, Elsevier, vol. 32(C).
  27. Goodness C. Aye & Christina Christou & Luis A. Gil‐Alana & Rangan Gupta, 2019. "Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty," Journal of International Development, John Wiley & Sons, Ltd., vol. 31(1), pages 101-116, January.
  28. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
  29. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
  30. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
  31. Guglielmo Maria Caporale & Luis A. Gil-Alana & Trilochan Tripathy, 2018. "Persistence in the Russian Stock Market Volatility Indices," CESifo Working Paper Series 7243, CESifo.
  32. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Miguel Ángel Martin-Valmayor, 2022. "Non-linearities and persistence in US long-run interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 29(4), pages 366-370, February.
  33. Sakiru Adebola Solarin & Luis A. Gil‐Alana & Maria Jesus Gonzalez‐Blanch, 2023. "Persistence and dependence in geopolitical risks in various developed and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1488-1496, April.
  34. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
  35. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
  36. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
  37. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
  38. Godfrey Madigu & Luis A. Gil‐Alana, 2021. "What do productivity indices tell us? A case study of U.S. industries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4946-4978, October.
  39. Juneja, Januj, 2017. "How Germany benefits the most from its Eurozone membership," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1074-1088.
  40. Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
  41. Guglielmo Maria Caporale & Juan Infante & Marta del Rio & Luis A. Gil-Alana, 2023. "Measuring Persistence of the World Population: A Fractional Integration Approach," CESifo Working Paper Series 10286, CESifo.
  42. Gil-Alana, Luis A. & Cunado, Juncal & Gupta, Rangan, 2017. "Evidence of persistence in U.S. short and long-term interest rates," Journal of Policy Modeling, Elsevier, vol. 39(5), pages 775-789.
  43. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  44. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
  45. Juan Carlos Cuestas & Luis A. Gil-Alana & Laura Sauci, 2020. "Public finances in the EU-27: Are they sustainable?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(1), pages 181-204, February.
  46. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.
  47. Guglielmo Maria Caporale & Luis A. Gil-Alana & Isabel Arrese Lasaosa, 2021. "The Impact of the Covid-19 Pandemic on Persistence in the European Stock Markets," CESifo Working Paper Series 9382, CESifo.
  48. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
  49. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019. "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series 7537, CESifo.
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