This paper implements a novel approach that allows for asymmetry in volatilities and idiosyncratic deviations from normality to address distinct features in the evolving relationship between onshore and offshore RMB exchange rate returns. Against a backdrop of growing integration since 2015, the...

Despite a recent proliferation of research using cyclical long memory, surprisingly little is known regarding the asymptotic properties of likelihood-based methods. Estimators have been studied in both the time and frequency domains for the Gegenbauer autoregressive moving average process...

We review the multiple frequency Gegenbauer autoregressive moving average model, which is able to reproduce a wide range of autocorrelation functions. Extending the result of Chung (1996a), we propose the asymptotic distributions for a conditional sum of squares estimator of the model...

A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart...

This paper argues that the predominant method of estimating equilibrium relationships in macroeconometric models, namely the VECM system of Johansen, is severely flawed if the underlying variables are distributed as near unit root processes. Researchers may apply cointegration techniques to...

A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart...

Definitive evidence regarding a rapid mean reversion of the real exchange rate is not present when using standard linear methodology, including unit root tests and fractional integration. To consider the robustness of these results, we use an encompassing model, the Gegenbauer AutoRegressive...

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart...

Predictability tests with long memory regressors may entail both size distortion and incompatibility between the orders of integration of the dependent and independent variables. Addressing both problems simultaneously, this paper proposes a two-step procedure that rebalances the predictive...