Caporale, Guglielmo Maria; Skare, Marinko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...
