Modelling Profitability of Private Equity: A Fractional Integration Approach
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- Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Puertolas, Francisco, 2024. "Modelling profitability of private equity: A fractional integration approach," Research in International Business and Finance, Elsevier, vol. 67(PA).
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More about this item
Keywords
private equity; profitability; fractional integration; long memory; mean reversion;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- Y10 - Miscellaneous Categories - - Data: Tables and Charts - - - Data: Tables and Charts
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2022-09-05 (Financial Markets)
- NEP-SEA-2022-09-05 (South East Asia)
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