Search Results - subject:"Fractional integration"

Tourism persistence in the Southeastern European countries : the impact of COVID-19

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Imeri, Amir - In: Cogent economics & finance 11 (2023) 2, pp. 1-10

, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on …

Persistent link: https://www.econbiz.de/10014501006

Long-run Convergence in Greenhouse Gases, Reactive Compounds, Aerosol Precursors and Aerosols : An Application of Panel Analysis of Nonstationarity in Idiosyncratic and Common Components to OECD and BRICS Countries

Romero-Ávila, Diego - 2025

1. Introduction -- 2. Description of Developed Countries’ Climate Policy -- 3. Description of BRICS and Indonesia’s Climate Policy -- 4. Literature Review on Emissions Convergence -- 5. Data and Empirical Strategy -- 6. Econometric Methods -- 7. Empirical Results -- 8. PANIC Results -- 9....

Persistent link: https://www.econbiz.de/10015375358

Return predictability, dividend growth, and the persistence of the price-dividend ratio

Golinski, Adam; Madeira, João; Rambaccussing, Dooruj - In: International journal of forecasting 41 (2025) 1, pp. 92-110

Persistent link: https://www.econbiz.de/10015440242

Assessing volatility persistence in fractional Heston models with self-exciting jumps

Truchis, Gilles de; Desgraupes, Bernard; Dumitrescu, … - In: Econometric reviews 44 (2025) 3, pp. 275-311

Persistent link: https://www.econbiz.de/10015196602

Inflation persistence : new evidence across US metro areas

Apergēs, Nikolaos - In: Studies in economics and finance 42 (2025) 1, pp. 63-74

Persistent link: https://www.econbiz.de/10015199635

The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-14

such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques …

Persistent link: https://www.econbiz.de/10015074237

Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

Afzal, Alia; Sibbertsen, Philipp - In: Open Economies Review 34 (2022) 4, pp. 789-811

This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies … suggests the existence of fractional integration. We apply semi-parametric methods to measure long-range dependence. We find a …

Persistent link: https://www.econbiz.de/10015271520