Details about Luis Alberiko Gil-Alana

Access statistics for papers by Luis Alberiko Gil-Alana.

Last updated 2013-04-13. Update your information in the RePEc Author Service.

Short-id: pgi173

Working Papers

2013

1. A non-linear approach with long range dependence based on Chebyshev polynomials
   Working Papers, Asociación Española de Economía y Finanzas Internacionales
   Also in Working Papers, The University of Sheffield, Department of Economics (2012)
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012)
2. Long Memory in the Ukrainian Stock Market
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
3. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2012

4. Fractional Integration and Cointegration in US Financial Time Series Data
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
   Also in CESifo Working Paper Series, CESifo Group Munich (2011)
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)
5. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro
   Working Papers, The University of Sheffield, Department of Economics
   Also in Working Papers, Asociación Española de Economía y Finanzas Internacionales (2012)
6. Long Memory in German Energy Price Indices
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
   Also in CESifo Working Paper Series, CESifo Group Munich (2012)
7. Modelling Long Run Trends and Cycles in Financial Time Series Data
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra
   Also in CESifo Working Paper Series, CESifo Group Munich (2008)
8. Persistence and Cycles in US Hours Worked
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
   Also in CESifo Working Paper Series, CESifo Group Munich (2012)
9. Persistence and Cycles in the US Federal Funds Rate
   CESifo Working Paper Series, CESifo Group Munich
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012)
10. Persistence in Youth Unemployment
    CESifo Working Paper Series, CESifo Group Munich
11. Term Structure Persistence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
12. Testing for Persistence with Breaks and Outliers in South African House Prices
    Working Papers, University of Pretoria, Department of Economics
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012)
13. Testing the Marshall-Lerner Condition in Kenya
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2011

14. An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
    See also Journal Article in Energy Policy (2011)
15. Exploring Survey-Based Inflation Forecasts
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
    See also Journal Article in Journal of Forecasting (2012)
16. Housing Sales in Urban Beijing
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2011)
    See also Journal Article in Applied Economics (2012)
17. Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
18. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (2)
19. Oil Prices: Persistence and Breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
20. Persistence and Cyclical Dependence in the Monthly Euribor Rate
    CESifo Working Paper Series, CESifo Group Munich
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)
21. US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010)
    CESifo Working Paper Series, CESifo Group Munich (2010)
22. Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies
    Working Papers, The University of Sheffield, Department of Economics View citations (1)

2010

23. Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article in International Journal of Finance & Economics (2012)
24. Fractional Cointegration in US Term Spreads
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article in Applied Economics Letters (2012)
25. Long Memory and Fractional Integration in High Frequency Financial Time Series
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
26. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
27. The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
28. The Weekly Structure of US Stock Prices
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo Group Munich (2010)
    See also Journal Article in Applied Financial Economics (2011)

2009

29. A note on the effectiveness of national anti-terrorist policies. Evidence from ETA
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Conflict Management and Peace Science (2010)
30. AK growth models: new evidence based on fractional integration and breaking trends
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    See also Journal Article in Recherches économiques de Louvain (2009)
31. Fractional Integration and Structural Breaks in U.S. Macro Dynamics
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Empirical Economics (2012)
32. Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    Also in Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division (2009) View citations (1)
    See also Journal Article in Economic Modelling (2009)
33. Long Memory in US Real Output per Capita
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) View citations (2)
    See also Journal Article in Empirical Economics (2013)
34. Multi-Factor Gegenbauer Processes and European Inflation Rates
    CESifo Working Paper Series, CESifo Group Munich View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (1)
35. Persistence on airline accidents
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    Also in Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. (2008)
36. The Deaton paradox in a long memory context with structural breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Applied Economics (2012)
37. The nature of occupational unemployment rates in the United States: hysteresis or structural?
    Open Access publications from Maastricht University, Maastricht University
    Also in Open Access publications from Maastricht University, Maastricht University (2009)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2008)
    See also Journal Article in Applied Economics (2009)
38. Time series modelling of sunspot numbers using long range cyclical dependence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
39. Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division
40. Warming break trends and fractional integration in the northern, southern and global temperature anomaly series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2008

41. Appendix of: The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
    Open Access publications from Maastricht University, Maastricht University
42. Fractional integration and data frequency
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
43. Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
44. The Persistence of Earnings per Share
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
    See also Journal Article in Review of Quantitative Finance and Accounting (2008)
45. Time trend estimation with breaks in temperature time series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
46. Tourism in Azores Islands: Persistence in the Monthly Arrivals
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.
47. Unemployment and entrepreneurship: a cyclical relationship?
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division View citations (1)

2007

48. A Multivariate Long-Memory Model with Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich View citations (1)
49. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich View citations (4)
50. Identification of Segments of European Banks with a Latent Class Frontier Model
    CESifo Working Paper Series, CESifo Group Munich
51. International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications
    105th Seminar, March 8-10, 2007, Bologna, Italy, European Association of Agricultural Economists
52. Long Run and Cyclical Dynamics in the US Stock Market
    CESifo Working Paper Series, CESifo Group Munich View citations (2)
    Also in Economics Series, Institute for Advanced Studies (2004)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)
    Econometric Society 2004 Latin American Meetings, Econometric Society (2004)
53. Real convergence in some emerging countries: a fractionally integrated approach
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    See also Journal Article in Recherches économiques de Louvain (2007)
54. The Expenditure Composition Hypothesis: Empirical Evidence and Implications for Monetary Policy
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.
55. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine
    Discussion Papers, University of Bonn, Institute for Food and Resource Economics
    Also in 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece, European Association of Agricultural Economists (2006) View citations (1)
    2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists (2006)
    See also Journal Article in Applied Economics (2009)
56. Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
    See also Journal Article in Journal of Forecasting (2008)

2006

57. ETA TERRORISM:POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON ECONOMIC ACTIVITY IN THE BASQUE COUNTRY
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
58. FRACTIONAL INTEGRATION AND IMPULSE RESPONSES: A BIVARIATE APPLICATION TO REAL OUTPUT IN THE US AND THE SCANDINAVIAN COUNTRIES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
59. MODELLING STRUCTURAL BREAKS IN THE US, UK AND JAPANESE UNEMPLOYMENT RATES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) View citations (2)
60. Mean reversion of short-run interest rates in emerging countries
    Open Access publications from Maastricht University, Maastricht University View citations (1)
    See also Journal Article in Review of International Economics (2006)
61. TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Empirica (2008)

2005

62. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (5)
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) View citations (5)
    See also Journal Article in Manchester School (2005)
63. LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Applied Economics Letters (2006)
64. MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Applied Financial Economics Letters (2006)
65. NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (2)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (6)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
66. TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Empirica (2007)
67. The Nature of the Relationship between International Tourism and International Trade: The Case of Ge
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2004

68. Deterministic Seasonality versus Seasonal Fractional Integration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
69. Fractional Integration and Business Cycles Features
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (8)
    Also in Open Access publications from Maastricht University, Maastricht University (2004) View citations (11)
    See also Journal Article in Empirical Economics (2004)
70. LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
    See also Journal Article in Empirical Economics (2006)
71. NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics Working Papers, European University Institute (1998)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
72. Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
73. Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries
    Open Access publications from Maastricht University, Maastricht University
    See also Journal Article in Journal of Policy Modeling (2004)
74. TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
75. THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)

2003

76. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2006)
77. Fractional Integration and the Dynamics of UK Unemployment
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
78. On finite sample properties of the tests of Robinson (1994) for fractional integration
    Open Access publications from Maastricht University, Maastricht University
79. Serial and cross-correlation in the Spanish Stock Market returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
80. Testing of Fractional Cointegration in Macroeconomic Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (13)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
81. Testing of Nonstationary Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Review of Quantitative Finance and Accounting (2006)
82. The explaining role of the Earning-Price Ratio in the Spanish Stock Market
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2002

83. Do Spanish Stock Market Prices Follow a Random Walk?
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
84. Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
85. Multivariate Tests of Fractionally Integrated Hypotheses
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
    Also in Economics Working Papers, European University Institute (1998) View citations (2)

1998

86. Fractional Integration in the Purchasing Power Parity
    Economics Working Papers, European University Institute View citations (1)
87. Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
    Economics Working Papers, European University Institute View citations (16)
    See also Journal Article in Journal of Applied Econometrics (2001)

Undated

88. Fractional integration and structural breaks at unknown periods of time
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
    See also Journal Article in Journal of Time Series Analysis (2008)
89. Long run and cyclical strong dependence in macroeconomic time series. Nelson and Plosser revisited
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
    See also Journal Article in Empirica (2007)
90. New Revelations about Unemployment Persistence in Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
91. Structural Change and the Order of Integration in Univariate Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Computational Economics (2004)
92. Technology Shocks and Hours Worked: A Fractional Integration Perspective
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
    See also Journal Article in Macroeconomic Dynamics (2009)
93. Testing of nonstationarities in the unit circle, long memory processes and the day of the week effects in financial data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
94. Uncovering the U.S. Term Premium: An Alternative Route
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
    See also Journal Article in Journal of Banking & Finance (2012)
95. Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

Journal Articles

2013

1. Long memory in US real output per capita
   Empirical Economics, 2013, 44, (2), 591-611
   See also Working Paper (2009)
2. Real convergence: empirical evidence for Latin America
   Applied Economics, 2013, 45, (22), 3220-3229

2012

3. Comovements among U.S. state housing prices: Evidence from fractional cointegration
   Economic Modelling, 2012, 29, (3), 936-942
4. Estimating persistence in the volatility of asset returns with signal plus noise models
   International Journal of Finance & Economics, 2012, 17, (1), 23-30
   See also Working Paper (2010)
5. Evidence of long memory behavior in U.S. renewable energy consumption
   Energy Policy, 2012, 41, (C), 822-826
6. Exploring Survey‐Based Inflation Forecasts
   Journal of Forecasting, 2012, 31, (6), 524-539
   See also Working Paper (2011)
7. Fractional cointegration in US term spreads
   Applied Economics Letters, 2012, 19, (5), 431-434
   See also Working Paper (2010)
8. Fractional integration and structural breaks in U.S. macro dynamics
   Empirical Economics, 2012, 43, (1), 427-446
   See also Working Paper (2009)
9. Housing sales in urban Beijing
   Applied Economics, 2012, 44, (34), 4495-4504
   See also Working Paper (2011)
10. Mean reversion of short-run interest rates: empirical evidence from new EU countries
    European Journal of Finance, 2012, 18, (2), 89-107
11. Persistence, Long Memory, and Unit Roots in Commodity Prices
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2012, 60, (4), 451-468
12. Real convergence in Latin America: a fractionally integrated approach
    Applied Financial Economics, 2012, 22, (20), 1713-1717
13. Testing for persistent deviations of stock prices to dividends in the Nasdaq index
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (20), 4675-4685
14. The Deaton paradox in a long memory context with structural breaks
    Applied Economics, 2012, 44, (25), 3309-3322
    See also Working Paper (2009)
15. Uncovering the US term premium: An alternative route
    Journal of Banking & Finance, 2012, 36, (4), 1181-1193 View citations (4)
    See also Working Paper
16. Unemployment hysteresis: empirical evidence for Latin America
    Journal of Applied Economics, 2012, XV, 213-233

2011

17. A further investigation of unemployment persistence in European transition economies
    Journal of Comparative Economics, 2011, 39, (4), 514-532 View citations (3)
18. An analysis of oil production by OPEC countries: Persistence, breaks, and outliers
    Energy Policy, 2011, 39, (1), 442-453 View citations (3)
    See also Working Paper (2011)
19. Endogenous problems in cross-sectional valuation models based on accounting information
    Review of Quantitative Finance and Accounting, 2011, 37, (2), 245-265
20. Fractional Integration of Nominal Exchange Rates: Evidence from CEECs in the Light of EMU Enlargement
    Review of International Economics, 2011, 19, (1), 77-92 View citations (1)
21. Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
    Journal of Applied Statistics, 2011, 38, (1), 71-85
22. IS THERE AN ASYMMETRIC BEHAVIOUR IN AFRICAN INFLATION? A NON‐LINEAR APPROACH
    South African Journal of Economics, 2011, 79, (1), 68-90 View citations (3)
23. Inflation in South Africa. A long memory approach
    Economics Letters, 2011, 111, (3), 207-209
24. Mean reversion and long memory in African stock market prices
    Journal of Economics and Finance, 2011, 35, (3), 296-308 View citations (1)
25. The weekly structure of US stock prices
    Applied Financial Economics, 2011, 21, (23), 1757-1764
    See also Working Paper (2010)

2010

26. A Note on the Effectiveness of National Anti-Terrorist Policies: Evidence from ETA
    Conflict Management and Peace Science, 2010, 27, (1), 28-46
    See also Working Paper (2009)
27. A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics
    Empirical Economics, 2010, 38, (2), 471-501
28. Does energy consumption by the US electric power sector exhibit long memory behavior?
    Energy Policy, 2010, 38, (11), 7512-7518 View citations (1)
29. European Current Account Sustainability: New Evidence Based On Unit Roots and Fractional Integration
    Eastern Economic Journal, 2010, 36, (2), 177-187
30. INFLATION IN SOUTH AFRICA: A TIME‐SERIES VIEW ACROSS SECTORS USING LONG‐RANGE DEPENDENCE
    South African Journal of Economics, 2010, 78, (4), 325-343
31. International travelling and trade: further evidence for the case of Spanish wine based on fractional vector autoregressive specifications
    Applied Economics, 2010, 42, (19), 2417-2434
32. Mean reversion in stock market prices: New evidence based on bull and bear markets
    Research in International Business and Finance, 2010, 24, (2), 113-122 View citations (2)
33. Multiple cyclical fractional structures in financial time series
    Applied Economics Letters, 2010, 17, (11), 1079-1081
34. REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
    Journal of Economic Development, 2010, 35, (2), 1-21
35. Testing persistence in the context of conditional heteroscedasticity errors
    Applied Financial Economics, 2010, 20, (22), 1709-1723

2009

36. A Historical Perspective of Inflation in Latin America. A New Approach Based on Fractional Integration with a Structural Break
    International Economic Journal, 2009, 23, (2), 259-279
37. AK growth models: new evidence based on fractional integration and breaking trends
    Recherches économiques de Louvain, 2009, 75, (2), 131-149
    See also Working Paper (2009)
38. BASQUE TERRORISM: POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON THE STOCK MARKET IN THE BASQUE COUNTRY
    Defence and Peace Economics, 2009, 20, (4), 287-301
39. Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes
    Economic Modelling, 2009, 26, (6), 1184-1192
    See also Working Paper (2009)
40. Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling
    International Advances in Economic Research, 2009, 15, (2), 143-155 View citations (2)
41. Introduction to the special issue on: Understanding, quantifying and modelling the terrorist threat
    Journal of Policy Modeling, 2009, 31, (5), 737-738
42. Multiple shifts and fractional integration in the US and UK unemployment rates
    Journal of Economics and Finance, 2009, 33, (4), 364-375 View citations (1)
43. New evidence on long-run monetary neutrality
    Journal of Applied Economics, 2009, XII, 229-248
44. New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data
    Applied Economics, 2009, 41, (2), 219-236 View citations (3)
45. Seasonal Monthly Fractional Integration in the UK Unemployment
    The IUP Journal of Applied Economics, 2009, VIII, (1), 81-96
46. Stock market returns and terrorist violence: evidence from the Basque Country
    Applied Economics Letters, 2009, 16, (15), 1575-1579
47. TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE
    Macroeconomic Dynamics, 2009, 13, (05), 580-604 View citations (5)
    See also Working Paper
48. The nature of occupational unemployment rates in the United States: hysteresis or structural?
    Applied Economics, 2009, 41, (19), 2483-2493
    See also Working Paper (2009)
49. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine
    Applied Economics, 2009, 41, (11), 1345-1359 View citations (1)
    See also Working Paper (2007)
50. US stock market volatility persistence: evidence before and after the burst of the IT bubble
    Review of Quantitative Finance and Accounting, 2009, 33, (3), 233-252 View citations (1)
51. Unemployment and entrepreneurship: A cyclical relation?
    Economics Letters, 2009, 105, (3), 318-320 View citations (2)

2008

52. A simple non-linear model with fractional integration for financial time series data
    International Review of Financial Analysis, 2008, 17, (5), 838-848
53. Fractional integration and structural breaks at unknown periods of time
    Journal of Time Series Analysis, 2008, 29, (1), 163-185 View citations (32)
    See also Working Paper
54. Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
    Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (5)
55. New Evidence on US Current Account Sustainability
    International Journal of Business and Economics, 2008, 7, (1), 1-21
56. Real GDP growth rates across countries: long memory and mean shifts
    Applied Economics Letters, 2008, 15, (6), 449-455
57. Stochastic volatility in the Spanish stock market: a long memory model with a structural break
    European Journal of Finance, 2008, 14, (1), 23-31 View citations (1)
58. Terrorism against American citizens in Africa: Related to poverty
    Journal of Policy Modeling, 2008, 30, (1), 55-69 View citations (3)
59. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
    Empirica, 2008, 35, (3), 241-253
    See also Working Paper (2006)
60. Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand
    Economic Modelling, 2008, 25, (2), 326-339 View citations (2)
61. The persistence of earnings per share
    Review of Quantitative Finance and Accounting, 2008, 31, (4), 425-439 View citations (1)
    See also Working Paper (2008)
62. Tourism in the Canary Islands: forecasting using several seasonal time series models
    Journal of Forecasting, 2008, 27, (7), 621-636 View citations (5)
    See also Working Paper (2007)
63. Trade Balance and Exchange Rate: Unit Roots, Co-integration and Long Memory in the US and the UK
    Economic Notes, 2008, 37, (1), 59-74 View citations (2)

2007

64. A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada
    International Journal of Business and Economics, 2007, 6, (2), 135-146
65. ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
    Defence and Peace Economics, 2007, 18, (6), 495-507 View citations (2)
66. Investigating the seasonal structure in the German economy using fractional integration with structural breaks
    Studies in Economics and Finance, 2007, 24, (2), 96-114
67. Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited
    Empirica, 2007, 34, (2), 139-154 View citations (1)
    See also Working Paper
68. Nonlinearities and Fractional Integration in the US Unemployment Rate
    Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (15)
    See also Working Paper (2005)
69. Real convergence in some emerging countries: a fractionally integrated approach
    Recherches économiques de Louvain, 2007, 73, (3), 293-310
    See also Working Paper (2007)
70. Seasonal fractional integration with structural break. An application to the German GNP data
    Economics Bulletin, 2007, 3, (32), 1-6
71. Serial correlation in the Spanish Stock Market
    Global Finance Journal, 2007, 18, (1), 84-103
72. Testing for deterministic and stochastic cycles in macroeconomic time series
    Empirica, 2007, 34, (2), 155-169
    See also Working Paper (2005)
73. Testing for stock market bubbles using nonlinear models and fractional integration
    Applied Financial Economics, 2007, 17, (16), 1313-1321 View citations (4)

2006

74. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Review of World Economics (Weltwirtschaftliches Archiv), 2006, 142, (1), 67-91 View citations (2)
    See also Working Paper (2003)
75. ETA: A PERSISTENT PHENOMENON
    Defence and Peace Economics, 2006, 17, (2), 95-116 View citations (5)
76. Fractional integration in daily stock market indexes
    Review of Financial Economics, 2006, 15, (1), 28-48 View citations (8)
77. Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994
    Empirical Economics, 2006, 31, (1), 83-93 View citations (3)
    See also Working Paper (2004)
78. Long memory at the long-run and the seasonal monthly frequencies in the US money stock
    Applied Economics Letters, 2006, 13, (15), 965-968 View citations (2)
    See also Working Paper (2005)
79. Mean Reversion of Short-run Interest Rates in Emerging Countries
    Review of International Economics, 2006, 14, (1), 119-135 View citations (1)
    See also Working Paper (2006)
80. Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
    Applied Financial Economics Letters, 2006, 2, (1), 9-12
    See also Working Paper (2005)
81. Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate
    Journal of the Japanese and International Economies, 2006, 20, (1), 87-98
82. Testing Seasonality in the Context of Fractionally Integrated Processes
    Annales d'Economie et de Statistique, 2006, (81), 69-91
83. Testing of nonstationary cycles in financial time series data
    Review of Quantitative Finance and Accounting, 2006, 27, (1), 47-65
    See also Working Paper (2003)
84. The timing of ETA terrorist attacks
    Journal of Policy Modeling, 2006, 28, (3), 335-346 View citations (5)
85. UK Unemployment Dynamics: a Fractionally Cointegrated Approach
    Economia Internazionale / International Economics, 2006, 59, (1), 33-50

2005

86. A re-examination of historical real daily wages in England: 1260-1994
    Journal of Policy Modeling, 2005, 27, (7), 829-838
87. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
    Journal of Banking & Finance, 2005, 29, (10), 2633-2654 View citations (19)
88. An I(d) Statistical Model for the Canadian Real Output
    The IUP Journal of Monetary Economics, 2005, III, (1), 79 - 93
89. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Manchester School, 2005, 73, (6), 737-753 View citations (5)
    See also Working Paper (2005)
90. FRACTIONAL INTEGRATION AT ZERO AND THE CYCLICAL FREQUENCIES IN THE SPECIFICATION OF US PRICES
    The Singapore Economic Review (SER), 2005, 50, (02), 169-173
91. Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output
    European Research Studies Journal, 2005, VIII, (1-2), 99-126
92. Fractional Integration and Cointegration in the Japanese Exchange Rate Market
    Japanese Economy, 2005, 32, (4), 12-35
93. Fractional integration in total factor productivity: evidence from US data
    Applied Economics, 2005, 37, (12), 1369-1383 View citations (1)
94. MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 675-691
95. TESTING OF REAL CONVERGENCE IN GERMANY IN THE PRESENCE OF STRUCTURAL BREAKS
    The Singapore Economic Review (SER), 2005, 50, (01), 93-101
96. Testing and forecasting the degree of integration in the US inflation rate
    Journal of Forecasting, 2005, 24, (3), 173-187 View citations (2)
97. Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series
    International Advances in Economic Research, 2005, 11, (3), 257-266
98. Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate
    Empirical Economics, 2005, 30, (1), 193-207 View citations (1)

2004

99. A fractionally integrated model for the Spanish real GDP
    Economics Bulletin, 2004, 3, (8), 1-6
100. A joint test of fractional integration and structural breaks at a known period of time
     Journal of Time Series Analysis, 2004, 25, (5), 691-700 View citations (6)
101. Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques
     European Research Studies Journal, 2004, VII, (1-2), 29-40
102. Forecasting the real output using fractionally integrated techniques
     Applied Economics, 2004, 36, (14), 1583-1589
103. Fractional cointegration and real exchange rates
     Review of Financial Economics, 2004, 13, (4), 327-340 View citations (3)
104. Fractional cointegration and tests of present value models
     Review of Financial Economics, 2004, 13, (3), 245-258 View citations (19)
105. Fractional cointegration in the consumption and income relationship using semiparametric techniques
     Economics Bulletin, 2004, 3, (47), 1-8
106. Fractional integration and business cycle features
     Empirical Economics, 2004, 29, (2), 343-359 View citations (10)
     See also Working Paper (2004)
107. Is the US fiscal deficit sustainable?: A fractionally integrated approach
     Journal of Economics and Business, 2004, 56, (6), 501-526 View citations (11)
108. Long memory in the U.S. interest rate
     International Review of Financial Analysis, 2004, 13, (3), 265-276 View citations (5)
109. Long range dependence in daily stock returns
     Applied Financial Economics, 2004, 14, (6), 375-383 View citations (1)
110. Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques
     International Journal of Business and Economics, 2004, 3, (2), 123-138
111. Modelling the U.S. interest rate in terms of I(d) statistical models
     The Quarterly Review of Economics and Finance, 2004, 44, (4), 475-486 View citations (2)
112. Modelling the US real GNP with fractionally integrated techniques
     Applied Economics, 2004, 36, (8), 873-879
113. Real convergence in Taiwan: a fractionally integrated approach
     Journal of Asian Economics, 2004, 15, (3), 529-547
114. Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries
     Journal of Policy Modeling, 2004, 26, (3), 301-313
     See also Working Paper (2004)
115. Seasonal fractional components in macroeconomic time series
     Applied Economics, 2004, 36, (12), 1265-1279
116. Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
     Applied Economics, 2004, 36, (11), 1205-1217
117. Structural Change and the Order of Integration in Univariate Time Series
     Computational Economics, 2004, 23, (3), 239-254
     See also Working Paper
118. Testing for Seasonal Fractional Roots in German Real Output
     German Economic Review, 2004, 5, (3), 319-333 View citations (1)
119. Testing of I(d) processes in the real output
     Economics Bulletin, 2004, 3, (32), 1-6
120. Testing of Unit Root Cycles in the Swedish Economy
     Empirica, 2004, 31, (4), 333-344
121. The Stochastic Permanent Break Model and the Fractional Integration Hypothesis
     Computational Economics, 2004, 23, (4), 315-324
122. The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration
     Applied Economics Letters, 2004, 11, (7), 429-432 View citations (1)

2003

123. A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components
     Review on Economic Cycles, 2003, 7, (1)
124. A fractional integration analysis of the population in some OECD countries
     Journal of Applied Statistics, 2003, 30, (10), 1147-1159 View citations (6)
125. A fractional multivariate long memory model for the US and the Canadian real output
     Economics Letters, 2003, 81, (3), 355-359 View citations (7)
126. Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate
     Applied Economics Letters, 2003, 10, (2), 103-105
127. Empirical evidence on real convergence in some OECD countries
     Applied Economics Letters, 2003, 10, (3), 173-176 View citations (2)
128. Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques
     Journal of Applied Statistics, 2003, 30, (9), 1021-1031
129. Fractional Integration and the Dynamics of UK Unemployment
     Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 221-239 View citations (4)
     See also Working Paper (2003)
130. Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries
     The B.E. Journal of Macroeconomics, 2003, topics.3, (1), 11 View citations (1)
131. Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK
     Applied Econometrics and International Development, 2003, 3, (1)
132. Long memory and structural breaks in hyperinflation countries
     Journal of Economics and Finance, 2003, 27, (2), 136-152
133. Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances
     Applied Economics Letters, 2003, 10, (1), 33-37 View citations (2)
134. Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
     Computational Economics, 2003, 22, (1), 65-74 View citations (4)
135. Stochastic behavior of nominal exchange rates
     Atlantic Economic Journal, 2003, 31, (2), 159-173 View citations (2)
136. Strong dependence in the real interest rates
     Applied Economics, 2003, 35, (2), 119-124
137. Testing of Fractional Cointegration in Macroeconomic Time Series
     Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 517-529 View citations (14)
     See also Working Paper (2003)
138. Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
     Empirical Economics, 2003, 28, (1), 101-113 View citations (1)
139. Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses
     Computational Economics, 2003, 22, (1), 23-38
140. The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
     Economia Internazionale / International Economics, 2003, 56, (3), 323-335
141. Unemployment and real oil prices in Australia: a fractionally cointegrated approach
     Applied Economics Letters, 2003, 10, (4), 201-204 View citations (2)

2002

142. A mean shift break in the US interest rate
     Economics Letters, 2002, 77, (3), 357-363
143. Confidence intervals for fractionally integrated hypotheses in the real output across Europe
     Applied Economics Letters, 2002, 9, (6), 407-409 View citations (1)
144. Empirical evidence of the spot and the forward exchange rates in Canada
     Economics Letters, 2002, 77, (3), 405-409 View citations (3)
145. Estimation and Testing of ARFIMA Models in the Real Exchange Rate
     International Journal of Finance & Economics, 2002, 7, (4), 279-92 View citations (3)
146. Fractional integration and mean reversion in stock prices
     The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (12)
147. Modelling the Persistence of Unemployment in Canada
     International Review of Applied Economics, 2002, 16, (4), 465-477 View citations (3)
148. Real exchange rates: evidence from black markets using fractionally integrated semiparametric techniques
     Applied Economics Letters, 2002, 9, (12), 787-790 View citations (3)
149. Seasonal long memory in the aggregate output
     Economics Letters, 2002, 74, (3), 333-337 View citations (17)
150. Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment
     Computational Economics, 2002, 19, (3), 323-39 View citations (3)
151. Structural breaks and fractional integration in the US output and unemployment rate
     Economics Letters, 2002, 77, (1), 79-84 View citations (17)
152. Testing the order of integration of the UK Unemployment
     Applied Econometrics and International Development, 2002, 2, (1) View citations (1)
153. Unemployment and input prices: a fractional cointegration approach
     Applied Economics Letters, 2002, 9, (6), 347-351 View citations (6)

2001

154. A Fractionally Integrated Exponential Model for UK Unemployment
     Journal of Forecasting, 2001, 20, (5), 329-40 View citations (4)
155. A fractionally integrated model with a mean shift for the US and the UK real oil prices
     Economic Modelling, 2001, 18, (4), 643-658 View citations (9)
156. Estimation of Fractionally ARIMA Models for the UK Unemployment
     Annales d'Economie et de Statistique, 2001, (62), 127-137 View citations (1)
157. Measuring unemployment persistence in terms of I(d) statistical models
     Applied Economics Letters, 2001, 8, (12), 761-763 View citations (3)
158. Seasonal long memory in the US monthly monetary aggregate
     Applied Economics Letters, 2001, 8, (9), 573-575
159. Testing of seasonal fractional integration in UK and Japanese consumption and income
     Journal of Applied Econometrics, 2001, 16, (2), 95-114 View citations (52)
     See also Working Paper (1998)
160. The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models
     Applied Economics, 2001, 33, (10), 1263-1269 View citations (10)

2000

161. Mean reversion in the real exchange rates
     Economics Letters, 2000, 69, (3), 285-288 View citations (58)

1999

162. Testing fractional integration with monthly data
     Economic Modelling, 1999, 16, (4), 613-629 View citations (50)

1997

163. Testing of unit root and other nonstationary hypotheses in macroeconomic time series
     Journal of Econometrics, 1997, 80, (2), 241-268 View citations (151)