We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

The estimates of the U.S. term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term...

The process of transition and growth in Central and Eastern Europe (CEE) provides interesting insights, considering the countries' historical relationship with the Soviet Union. The 20 years after the Eastern enlargement of the European Union show an integrative power within the Single Market....