Gil-Alana, L.A. (Luis A.)
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- Does energy consumption by the US electric power secto exhibit long memory behaviour?(2010) Loomis, D. (David); Payne, J.E. (James E.); Gil-Alana, L.A. (Luis A.)
- Long-term price overreactions: are markets inefficient?(Springer Science and Business Media LLC, 2019) Plastun, A. (Alex); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called "inertia anomaly". Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.
- The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal(Elsevier, 2020) Wanke, P. (Peter); Martin-Valmayor, M. (Miguel); Gil-Alana, L.A. (Luis A.)Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.
- An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers(2011) Payne, J.E. (James E.); Pestana-Barros, C. (Carlos); Gil-Alana, L.A. (Luis A.)
- Multivariate tests of fractionally integrated hypotheses.(South African Statistical Association, 2003) Gil-Alana, L.A. (Luis A.)
- Deterministic Seasonality versus Seasonal Fractional Integration.(Noth-Holland, 2005) Gil-Alana, L.A. (Luis A.)
- Persistence in the short and long term tourist arrivals to Australia.(2010) Barros, C.P. (Carlos P.); Gil-Alana, L.A. (Luis A.); Assaf, A. (Albert)
- Oil shocks on unemployment in Central and Eastern Europe(2016) Cuestas, J. C. (Juan Carlos); Gil-Alana, L.A. (Luis A.)The aim of this paper is to shine some light on the effect of oil price movements on unemployment in Central and Eastern Europe. In order to do so, we disentangle oil prices movements by their sign. From there we analyse the separate effect of positive and negative movements of oil prices on unemployment rates. We find that although oil prices and unemployment are not very much correlated in the short run, the effect of oil price shocks on the natural rate of unemployment goes in the same direction, i.e. increases or decreases in oil prices increase or decrease the natural rate of unemployment.
- Prospects for a monetary union in the East Africa community: Some empirical evidence(Wiley, 2020) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper examines generalised purchasing power parity (G-PPP) and business cycle synchronisation in the East Africa Community with the aim of assessing the prospects for a monetary union. The univariate fractional integration analysis shows that the individual series exhibit unit roots and are highly persistent. The fractional bivariate cointegration tests suggest that there exist bivariate fractional cointegrating relationships between the exchange rate of the Tanzanian shilling and those of the other EAC countries, and also between the exchange rates of the Rwandan franc, the Burundian franc and the Ugandan shilling. The Fractionally Cointegrated Vector AutoRegressive (FCVAR) results imply the existence of a single cointegrating relationship between the exchange rates of the EAC countries. On the whole, there is evidence in favour of G-PPP. In addition, there appears to be a high degree of business cycle synchronisation between these economies. On both grounds, one can argue that a monetary union should be feasible.
- Long Memory and Volatility Dynamics in the US Dollar Exchange Rate(2011) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)