Search Results - subject:"fractional integration."

Fractional integration and structural breaks in U.S. macro dynamics

Gil-Alana, Luis; Moreno, Antonio - In: Empirical Economics 43 (2012) 1, pp. 427-446

Persistent link: https://www.econbiz.de/10010557881

Inflation persistence in the Euro area before and after the European Monetary Union

Meller, Barbara; Nautz, Dieter - In: Economic Modelling 29 (2012) 4, pp. 1170-1176

into account fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro area …

Persistent link: https://www.econbiz.de/10010573351

Inflationary shocks and common economic trends: Implications for West African monetary union membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - In: Journal of Policy Modeling 34 (2012) 3, pp. 460-475

countries of the embryonic West African Monetary Zone (WAMZ). Using fractional integration and cointegration methods, we …

Persistent link: https://www.econbiz.de/10010573840

MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS

CHANG, CHIA-LIN; McALEER, MICHAEL; TANSUCHAT, ROENGCHAI - In: Annals of Financial Economics (AFE) 07 (2012) 02, pp. 1250010-1

APARCH model of Ding et al. (1993). The estimated d parameters, indicating long-term dependence, suggest that fractional … integration is found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1, d, 1) and FIEGARCH (1 …

Persistent link: https://www.econbiz.de/10010699495

Testing for Persistence with Breaks and Outliers in South African House Prices

Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012

This study examines the time series behaviour of South African house prices within a fractional integration modelling …

Persistent link: https://www.econbiz.de/10010632923

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 23-30

Persistent link: https://www.econbiz.de/10009507857

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136

Persistent link: https://www.econbiz.de/10010257552

Long memory and disaggregated energy consumption : evidence from fossils, coal and electricity retail in the US

Apergēs, Nikolaos; Tsoumas, Chris - In: Energy economics 34 (2012) 4, pp. 1082-1087

Persistent link: https://www.econbiz.de/10009687378

Self-affinity in financial asset returns

Goddard, John; Onali, Enrico - In: International review of financial analysis 24 (2012), pp. 1-11

Persistent link: https://www.econbiz.de/10009688189

Forecasting Italian electricity zonal prices with exogenous variables

Gianfreda, Angelica; Grossi, Luigi - In: Energy economics 34 (2012) 6, pp. 2228-2239

Persistent link: https://www.econbiz.de/10009688758