This paper analyses airline accidents data from 1927-2006. The fractional integration methodology is adopted. It is shown that airline accidents are persistent and (fractionally) cointegrated with airline traffic. Thus, there exists an equilibrium relation between air accidents and airline...

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

This paper deals with the estimation of time trends in temperature anomaly series. However, instead of imposing that the estimated residuals from the time trends are I(0) stationary, we allow them to be fractionally integrated. In this context, a new procedure for testing fractional integration...

This paper deals with the analysis of the monthly structure of sunspot numbers using a new technique based on cyclical long range dependence. The results show that sunspot numbers have a periodicity of 130 months, but more importantly, that the series is highly persistent, with an order of...

This study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large,...

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

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

This paper examines the interaction between non-linear deterministic trends and long run dependence by means of employing Chebyshev time polynomials and assuming that the detrended series displays long memory with the pole or singularity in the spectrum occurring at one or more possibly non-zero...

This paper analyzes the long-term dynamics of Chinese stock market prices, using the data series of daily closing spot price indices from Shanghai and Shenzhen stock markets, two major stock exchange markets in China. Both autoregressive and fractional models have been employed: in the former...