This paper argues that the fact that the empirical evidence on persistence is mixed is not very surprising, as economic theory is bound to be drawn upon in order to specify the statistical model. This is illustrated in two ways. Firstly, we highlight the fact that concept of persistence is model...

This paper analyses monthly price persistence in the EU27 countries over the period 2010-2022 using a fractional integration framework, where the measure of persistence is the fractional differencing parameter d. In addition to full sample estimates, subsample and recursive ones are obtained to...

This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...

Purpose This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and...

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

This paper aims to assess whether the EU is an optimum currency area (OCA)by examining synchronization of business cycles and long-run outþut linkages in the EU countries. We argue that a necessary condition for the desirability of EMU membership for national economies is that the degree of...

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

This paper examines the monetary transmission mechanism in six EU member states. It provides useful empirical evidence for assessing the impact of a common monetary policy in the early stages of EMU, and enables us to form a view on how the regime change represented by EMU is likely to be...