In this paper, the long memory properties of disaggregated fossils, coal and electricity retail consumption in the U.S. over the 1989–2009 period are examined. The presence of long memory is related to autocorrelation persistence of each series. Our results show that there is heterogeneity in...

The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries.

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

We find that short rates are more nonstationary than longer rates and that differences in conditional volatility exist between different maturities. Therefore, their dynamics may be both maturity specific and country specific, and any a priori generalizing assumptions may be misleading.

We test for departures from normal and independent and identically distributed (NIID) log returns, for log returns under the alternative hypothesis that are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite...

Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run short-rate expectations due to fast mean reversion. In this paper we propose a novel multivariate affine term structure model with a two-fold source of persistence in...

This paper analyzes the unemployment dynamics of 18 Latin American countries for the last four decades. We use a time series approach to test the mean reversion of unemployment rates and its approximation to a Natural Rate of Unemployment (NRU). The tests include the possibility of one and two...