Search Results - subject:"fractional integration."

Persistence in tax revenues : evidence from some OECD countries

Caporale, Guglielmo Maria; Tapia, Silvia García; … - 2023

-range dependence techniques based on fractional integration. The results imply that there are only a few cases of mean reversion: one …

Persistent link: https://www.econbiz.de/10014382942

Long memory, spurious memory : persistence in range-based volatility of exchange rates

Afzal, Alia; Sibbertsen, Philipp - In: Open economies review 34 (2023) 4, pp. 789-811

Persistent link: https://www.econbiz.de/10014383572

Spatial autoregressive fractionally integrated moving average model

Otto, Philipp; Sibbertsen, Philipp - 2023

In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the … range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to …

Persistent link: https://www.econbiz.de/10014366870

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

Trends and persistence in the Greenland ice sheet mass

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Sauci, Laura - 2023

This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods …

Persistent link: https://www.econbiz.de/10014313431

Profitability of private equity : mean reversion and transitory shocks

Gil-Alaña, Luis A.; Puertolas-Montanes, Francisco - In: Journal of economics and finance : JEF 47 (2023) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10014252694

The persistence of economic sentiment : a trip down memory lane

Sorić, Petar; Lolić, Ivana; Matošec, Marina - In: Journal of economic interaction and coordination 18 (2023) 2, pp. 371-395

Persistent link: https://www.econbiz.de/10014253294

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

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