This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...