This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared to earlier studies on these economies, this approach has the advantage of allowing for non-integer values for the degree of...

Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in...

Keliami uždaviniai: GARCH modelių klasės taikymas ilgo periodo finansiniams duomenims: modelių parametrų paieška, jų vertinimas, testavimas ir taikymas. Ilga atmintis sąlyginiame variantiškume yra viena iš empirinių savybių, kurią turi daugelis finansinių laiko eilučių. Viena...

This paper analyses the implicit dynamics underlying the interest rate structure inKenya. For this purpose we use data on four commercial banks? interest rates (Deposits,Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for thetime period July 1991 ? August 2010, and...

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

This paper examines the relationship between US disposable personal income (DPI) andhouse price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...