Author

Luis A. Gil-Alana

University of Navarra, Spain

3 articles in our journals

Articles where this person is an author, newest first. People are matched by their name as printed (no ORCID iD is recorded for them), not by name alone; search the name as text to find namesakes too.

Research ArticleOpen accessForecasting the Spanish Stock Market Returns with Fractional and Non-Fractional ModelsGuglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-AlanaProblem statement: The content of this note was to assess the forecasting accuracy of various models of the Spanish stock market returns. Approach: We use daily data on the IBEX 35 for the time period January 4th, 2001-March 28th, 2006 and employ both fractional and non-fractional models. Results: The results on the prediction errors for the out-of-sample forecasts indicate that … …American Journal of Economics and Business Administration, Vol. 3, Issue 4 · 8 Dec 2011 · 7,316 accessesView PDF Cite

Research ArticleOpen accessSuitability of Volatility Models for Forecasting Stock Market Returns: A Study on the Indian National Stock ExchangeTrilochan Tripathy, Luis A. Gil-AlanaProblem statement: Measuring volatility is an important issue for stock market traders. Also, volatility has been used as a proxy for riskiness associated with the asset. This study aims to compare the different volatility models based on how well they model the volatility of the India NSE. Approach: The study has made use of five models which are Historical/Rolling Window … …American Journal of Applied Sciences, Vol. 7, Issue 11 · 8 Nov 2010 · 7,851 accessesView PDF Cite

Research ArticleOpen accessNelson and Plosser Revisited: Evidence from Fractional ARIMA ModelsGuglielmo Maria Caporale, Luis A. Gil-AlanaIn this study fractionally integrated ARIMA (ARFIMA) models are estimated using an extended version of Nelson and Plosser[1]’s data set. The analysis employs[11]’s maximum likelihood procedure. Such a parametric approach requires the model to be correctly specified in order for the estimates to be consistent. A model-selection procedure based on diagnostic tests on the residuals, together with several likelihood criteria, … …American Journal of Applied Sciences, Vol. 2, Issue 4 · 30 Apr 2005 · 6,715 accessesView PDF Cite