Add to ORKGThe daily structure of the US Treasury Constant Maturity Rates is investigated in this paper by means of fractional integration techniques. Using a version of the tests of Robinson (1994) along with a model selection criterion based on diagnostic tests on the residuals, we show that the behaviour of this series can be captured by I(d) statistical models with the fractional parameter d close to, but smaller than 1, which indicates mean reversion
This paper analyses the long-memory properties of high frequency financial time series. It focuses o...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...
The daily structure of the US Treasury Constant Maturity Rates is investigated in this paper by mean...
This paper examines a version of the tests of Robinson (1994) that enables one to test models of the...
Three stock market indices (the Nikkei 225, the Standard and Poor’s 500 and the Dow Jones EURO STOXX...
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this articl...
The annual structure of the Spanish real GDP is investigated in this article by means of fractional ...
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally i...
Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration...
Abstract: This paper examines the long-run dynamics and the cyclical structure of the US stock marke...
This note examines the stochastic properties of US term spreads with parametric and semiparametric f...
This paper uses fractional integration to examine the long-run dynamics and the cyclical structure o...
This paper examines several US monthly financial time series data using fractional integration and ...
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate...
This paper analyses the long-memory properties of high frequency financial time series. It focuses o...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...
The daily structure of the US Treasury Constant Maturity Rates is investigated in this paper by mean...
This paper examines a version of the tests of Robinson (1994) that enables one to test models of the...
Three stock market indices (the Nikkei 225, the Standard and Poor’s 500 and the Dow Jones EURO STOXX...
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this articl...
The annual structure of the Spanish real GDP is investigated in this article by means of fractional ...
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally i...
Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration...
Abstract: This paper examines the long-run dynamics and the cyclical structure of the US stock marke...
This note examines the stochastic properties of US term spreads with parametric and semiparametric f...
This paper uses fractional integration to examine the long-run dynamics and the cyclical structure o...
This paper examines several US monthly financial time series data using fractional integration and ...
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate...
This paper analyses the long-memory properties of high frequency financial time series. It focuses o...
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractio...
In this paper we show that the monthly structure of the US money stock can be specified in terms of ...