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The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10011392136

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

Persistent link: https://www.econbiz.de/10011392612

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

Persistent link: https://www.econbiz.de/10011448197

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: Finance research letters 24 (2018), pp. 34-41

Persistent link: https://www.econbiz.de/10011982450

Detecting multiple breaks in long memory the case of U.S. inflation

Hassler, Uwe; Meller, Barbara - In: Empirical economics : a journal of the Institute for … 46 (2014) 2, pp. 653-680

Persistent link: https://www.econbiz.de/10010252051

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

Persistent link: https://www.econbiz.de/10011373822