Recent results on so-called SEMIFAR models introduced by Beran (1997) are discussed. The nonparametric deterministic trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive coefficients are estimated by an approximate maximum...

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This...

For the small open economy of Botswana the PPP theory is validated in both the absolute and relative version for the Pula-Dollar exchange rate during the sample period 1992 third quarter to 2002 fourth quarter. The Pula-Dollar exchange rate is determined by the long-term trends in Botswana’s...

Phase-Rectified Signal Averaging (PRSA) was shown to be a powerful tool for the study of quasi-periodic oscillations and nonlinear effects in non-stationary signals. Here we present a bivariate PRSA technique for the study of the inter-relationship between two simultaneous data recordings. Its...

In this study we examine the time-dependent nature of volatility and cross-correlation of Australian equity returns data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By averaging the estimates across the entire data set we show that...