This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

This paper analyses technical efficiency of European banks over the period 1996-2003 with unbalanced panel data techniques. A latent class frontier model is used which allows the identification of different segments in the production frontier. We find that there are three statistically...

The estimates of the U.S. term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term...

This paper deals with the sustainability of the US current account using fractional integration. We examine nominal and real exports and imports and their corresponding values deflated by GNP. The results show that only the variables deflated by GNP may contain unit roots, while nominal and real...

This article investigates the degree of persistence in the international monthly tourist time series in Spain using long memory (fractional integration) techniques. Our findings can be summarized as follows. The two standard hypotheses of integer degrees of differentiation, i.e., the I(0) and...

In this paper, we examine the stochastic volatility behaviour in the Spanish stock market returns over the time period 2 January 2001 - 12 May 2006. We use a long memory model that takes into account the existence of an endogenous structural break. When no breaks are taken into account the...

This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the...

This paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated...