We study the impact of post-election violence in Kenya on the food (wheat and maize) market in Mombasa and find empirical evidence that for this particular market, there is no impact on prices following violence. Using a data set of a flour producing firm, we identify the degree of persistence...

This paper employs a comprehensive set of “state-of-the-art” unit root tests, including the autoregressive neural network (ARNN) unit root test (Yaya et al. 2021; Oxford Bulletin of Economics and Statistics), to investigate unemployment hysteresis in five European countries: France, Italy, the...

This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...

This paper investigates BRIC markets' integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional...

High level of unemployment persistence is important for Iran’s policy makers not only becauseof its weakening impacts on the whole economy, but also due to its social, political, and culturalconsequences for the government stability. This paper tests the dynamics and hysteresis of theIran’s...

This paper provides a new and unique look at the dynamics and persistence of historical house prices in the US and the UK using fractional integration techniques not previously applied to housing markets. We use annual data from 1830 to 2016 for the US and 1845 to 2016 for the UK, which provides...

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...

We examine the hourly structure of energy prices in Spain using series of one month length (from November 2020 to October 2021) and using a long memory approach. Our results indicate that the series are highly persistent, with shocks having permanent effects, and not showing monthly specific effects