This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based the fractional integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders 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,...

The study proposes an alternative modelling specification for the real prices of gold and silver that allows the long run trend and cyclical behaviour to be modelled simultaneously by incorporating two differencing parameter in a fractional integration framework. However, we also consider the...

In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...

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 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 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 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...