Details about Luis Alberiko Gil-Alana
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| Phone: | 00 34 948 425 426 |
| Postal address: | Universidad de Navarra Faculty of Economics and Business Administration Edificio Biblioteca, Entrada Este E-31080 Pamplona SPAIN |
| Workplace: | Facultad de Ciencias Económicas y Empresariales (School of Economics and Business Administration), Universidad de Navarra (University of Navarra), (more information at EDIRC)
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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
Jump to Journal Articles
Working Papers
2013
- 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)
- Long Memory in the Ukrainian Stock Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
- The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2012
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- Persistence in Youth Unemployment
CESifo Working Paper Series, CESifo Group Munich
- Term Structure Persistence
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- 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)
- Testing the Marshall-Lerner Condition in Kenya
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2011
- 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)
- 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)
- 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)
- 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
- 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)
- Oil Prices: Persistence and Breaks
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- 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)
- 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)
- 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
- 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)
- 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)
- Long Memory and Fractional Integration in High Frequency Financial Time Series
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
- 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
- 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
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- Time series modelling of sunspot numbers using long range cyclical dependence
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe
Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division
- 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
- Appendix of: The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
Open Access publications from Maastricht University, Maastricht University
- Fractional integration and data frequency
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- 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)
- 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)
- Time trend estimation with breaks in temperature time series
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- 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.
- Unemployment and entrepreneurship: a cyclical relationship?
Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division View citations (1)
2007
- A Multivariate Long-Memory Model with Structural Breaks
CESifo Working Paper Series, CESifo Group Munich View citations (1)
- Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
CESifo Working Paper Series, CESifo Group Munich View citations (4)
- Identification of Segments of European Banks with a Latent Class Frontier Model
CESifo Working Paper Series, CESifo Group Munich
- 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
- 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)
- 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)
- 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.
- 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)
- 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
- 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
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- Deterministic Seasonality versus Seasonal Fractional Integration
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- On finite sample properties of the tests of Robinson (1994) for fractional integration
Open Access publications from Maastricht University, Maastricht University
- Serial and cross-correlation in the Spanish Stock Market returns
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- 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)
- 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)
- 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
- Do Spanish Stock Market Prices Follow a Random Walk?
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- 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
- Fractional Integration in the Purchasing Power Parity
Economics Working Papers, European University Institute View citations (1)
- 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
- 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)
- 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)
- New Revelations about Unemployment Persistence in Spain
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
- 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)
- 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)
- 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
- 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)
- 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
- Long memory in US real output per capita
Empirical Economics, 2013, 44, (2), 591-611 
See also Working Paper (2009)
- Real convergence: empirical evidence for Latin America
Applied Economics, 2013, 45, (22), 3220-3229
2012
- Comovements among U.S. state housing prices: Evidence from fractional cointegration
Economic Modelling, 2012, 29, (3), 936-942
- 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)
- Evidence of long memory behavior in U.S. renewable energy consumption
Energy Policy, 2012, 41, (C), 822-826
- Exploring Survey‐Based Inflation Forecasts
Journal of Forecasting, 2012, 31, (6), 524-539
See also Working Paper (2011)
- Fractional cointegration in US term spreads
Applied Economics Letters, 2012, 19, (5), 431-434 
See also Working Paper (2010)
- Fractional integration and structural breaks in U.S. macro dynamics
Empirical Economics, 2012, 43, (1), 427-446 
See also Working Paper (2009)
- Housing sales in urban Beijing
Applied Economics, 2012, 44, (34), 4495-4504 
See also Working Paper (2011)
- Mean reversion of short-run interest rates: empirical evidence from new EU countries
European Journal of Finance, 2012, 18, (2), 89-107
- Persistence, Long Memory, and Unit Roots in Commodity Prices
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2012, 60, (4), 451-468
- Real convergence in Latin America: a fractionally integrated approach
Applied Financial Economics, 2012, 22, (20), 1713-1717
- 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
- The Deaton paradox in a long memory context with structural breaks
Applied Economics, 2012, 44, (25), 3309-3322 
See also Working Paper (2009)
- Uncovering the US term premium: An alternative route
Journal of Banking & Finance, 2012, 36, (4), 1181-1193 View citations (4)
See also Working Paper
- Unemployment hysteresis: empirical evidence for Latin America
Journal of Applied Economics, 2012, XV, 213-233
2011
- A further investigation of unemployment persistence in European transition economies
Journal of Comparative Economics, 2011, 39, (4), 514-532 View citations (3)
- 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)
- Endogenous problems in cross-sectional valuation models based on accounting information
Review of Quantitative Finance and Accounting, 2011, 37, (2), 245-265
- 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)
- 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
- 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)
- Inflation in South Africa. A long memory approach
Economics Letters, 2011, 111, (3), 207-209
- Mean reversion and long memory in African stock market prices
Journal of Economics and Finance, 2011, 35, (3), 296-308 View citations (1)
- The weekly structure of US stock prices
Applied Financial Economics, 2011, 21, (23), 1757-1764 
See also Working Paper (2010)
2010
- 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)
- 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
- Does energy consumption by the US electric power sector exhibit long memory behavior?
Energy Policy, 2010, 38, (11), 7512-7518 View citations (1)
- European Current Account Sustainability: New Evidence Based On Unit Roots and Fractional Integration
Eastern Economic Journal, 2010, 36, (2), 177-187
- INFLATION IN SOUTH AFRICA: A TIME‐SERIES VIEW ACROSS SECTORS USING LONG‐RANGE DEPENDENCE
South African Journal of Economics, 2010, 78, (4), 325-343
- 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
- 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)
- Multiple cyclical fractional structures in financial time series
Applied Economics Letters, 2010, 17, (11), 1079-1081
- REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
Journal of Economic Development, 2010, 35, (2), 1-21
- Testing persistence in the context of conditional heteroscedasticity errors
Applied Financial Economics, 2010, 20, (22), 1709-1723
2009
- 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
- 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)
- 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
- 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)
- 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)
- Introduction to the special issue on: Understanding, quantifying and modelling the terrorist threat
Journal of Policy Modeling, 2009, 31, (5), 737-738
- 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)
- New evidence on long-run monetary neutrality
Journal of Applied Economics, 2009, XII, 229-248
- 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)
- Seasonal Monthly Fractional Integration in the UK Unemployment
The IUP Journal of Applied Economics, 2009, VIII, (1), 81-96
- Stock market returns and terrorist violence: evidence from the Basque Country
Applied Economics Letters, 2009, 16, (15), 1575-1579
- TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE
Macroeconomic Dynamics, 2009, 13, (05), 580-604 View citations (5)
See also Working Paper
- 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)
- 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)
- 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)
- Unemployment and entrepreneurship: A cyclical relation?
Economics Letters, 2009, 105, (3), 318-320 View citations (2)
2008
- A simple non-linear model with fractional integration for financial time series data
International Review of Financial Analysis, 2008, 17, (5), 838-848
- 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
- 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)
- New Evidence on US Current Account Sustainability
International Journal of Business and Economics, 2008, 7, (1), 1-21
- Real GDP growth rates across countries: long memory and mean shifts
Applied Economics Letters, 2008, 15, (6), 449-455
- 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)
- Terrorism against American citizens in Africa: Related to poverty
Journal of Policy Modeling, 2008, 30, (1), 55-69 View citations (3)
- 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)
- 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)
- 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)
- 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)
- 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
- 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
- ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
Defence and Peace Economics, 2007, 18, (6), 495-507 View citations (2)
- Investigating the seasonal structure in the German economy using fractional integration with structural breaks
Studies in Economics and Finance, 2007, 24, (2), 96-114
- 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
- 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)
- Real convergence in some emerging countries: a fractionally integrated approach
Recherches économiques de Louvain, 2007, 73, (3), 293-310 
See also Working Paper (2007)
- Seasonal fractional integration with structural break. An application to the German GNP data
Economics Bulletin, 2007, 3, (32), 1-6
- Serial correlation in the Spanish Stock Market
Global Finance Journal, 2007, 18, (1), 84-103
- Testing for deterministic and stochastic cycles in macroeconomic time series
Empirica, 2007, 34, (2), 155-169 
See also Working Paper (2005)
- Testing for stock market bubbles using nonlinear models and fractional integration
Applied Financial Economics, 2007, 17, (16), 1313-1321 View citations (4)
2006
- 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)
- ETA: A PERSISTENT PHENOMENON
Defence and Peace Economics, 2006, 17, (2), 95-116 View citations (5)
- Fractional integration in daily stock market indexes
Review of Financial Economics, 2006, 15, (1), 28-48 View citations (8)
- 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)
- 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)
- 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)
- 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)
- 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
- Testing Seasonality in the Context of Fractionally Integrated Processes
Annales d'Economie et de Statistique, 2006, (81), 69-91
- 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)
- The timing of ETA terrorist attacks
Journal of Policy Modeling, 2006, 28, (3), 335-346 View citations (5)
- UK Unemployment Dynamics: a Fractionally Cointegrated Approach
Economia Internazionale / International Economics, 2006, 59, (1), 33-50
2005
- A re-examination of historical real daily wages in England: 1260-1994
Journal of Policy Modeling, 2005, 27, (7), 829-838
- 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)
- An I(d) Statistical Model for the Canadian Real Output
The IUP Journal of Monetary Economics, 2005, III, (1), 79 - 93
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
Manchester School, 2005, 73, (6), 737-753 View citations (5)
See also Working Paper (2005)
- FRACTIONAL INTEGRATION AT ZERO AND THE CYCLICAL FREQUENCIES IN THE SPECIFICATION OF US PRICES
The Singapore Economic Review (SER), 2005, 50, (02), 169-173
- Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output
European Research Studies Journal, 2005, VIII, (1-2), 99-126
- Fractional Integration and Cointegration in the Japanese Exchange Rate Market
Japanese Economy, 2005, 32, (4), 12-35
- Fractional integration in total factor productivity: evidence from US data
Applied Economics, 2005, 37, (12), 1369-1383 View citations (1)
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 675-691
- TESTING OF REAL CONVERGENCE IN GERMANY IN THE PRESENCE OF STRUCTURAL BREAKS
The Singapore Economic Review (SER), 2005, 50, (01), 93-101
- Testing and forecasting the degree of integration in the US inflation rate
Journal of Forecasting, 2005, 24, (3), 173-187 View citations (2)
- 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
- 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
- A fractionally integrated model for the Spanish real GDP
Economics Bulletin, 2004, 3, (8), 1-6
- 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)
- 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
- Forecasting the real output using fractionally integrated techniques
Applied Economics, 2004, 36, (14), 1583-1589
- Fractional cointegration and real exchange rates
Review of Financial Economics, 2004, 13, (4), 327-340 View citations (3)
- Fractional cointegration and tests of present value models
Review of Financial Economics, 2004, 13, (3), 245-258 View citations (19)
- Fractional cointegration in the consumption and income relationship using semiparametric techniques
Economics Bulletin, 2004, 3, (47), 1-8
- Fractional integration and business cycle features
Empirical Economics, 2004, 29, (2), 343-359 View citations (10)
See also Working Paper (2004)
- Is the US fiscal deficit sustainable?: A fractionally integrated approach
Journal of Economics and Business, 2004, 56, (6), 501-526 View citations (11)
- Long memory in the U.S. interest rate
International Review of Financial Analysis, 2004, 13, (3), 265-276 View citations (5)
- Long range dependence in daily stock returns
Applied Financial Economics, 2004, 14, (6), 375-383 View citations (1)
- 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
- 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)
- Modelling the US real GNP with fractionally integrated techniques
Applied Economics, 2004, 36, (8), 873-879
- Real convergence in Taiwan: a fractionally integrated approach
Journal of Asian Economics, 2004, 15, (3), 529-547
- 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)
- Seasonal fractional components in macroeconomic time series
Applied Economics, 2004, 36, (12), 1265-1279
- Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
Applied Economics, 2004, 36, (11), 1205-1217
- Structural Change and the Order of Integration in Univariate Time Series
Computational Economics, 2004, 23, (3), 239-254 
See also Working Paper
- Testing for Seasonal Fractional Roots in German Real Output
German Economic Review, 2004, 5, (3), 319-333 View citations (1)
- Testing of I(d) processes in the real output
Economics Bulletin, 2004, 3, (32), 1-6
- Testing of Unit Root Cycles in the Swedish Economy
Empirica, 2004, 31, (4), 333-344
- The Stochastic Permanent Break Model and the Fractional Integration Hypothesis
Computational Economics, 2004, 23, (4), 315-324
- 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
- A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components
Review on Economic Cycles, 2003, 7, (1)
- A fractional integration analysis of the population in some OECD countries
Journal of Applied Statistics, 2003, 30, (10), 1147-1159 View citations (6)
- A fractional multivariate long memory model for the US and the Canadian real output
Economics Letters, 2003, 81, (3), 355-359 View citations (7)
- Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate
Applied Economics Letters, 2003, 10, (2), 103-105
- Empirical evidence on real convergence in some OECD countries
Applied Economics Letters, 2003, 10, (3), 173-176 View citations (2)
- 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
- 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)
- 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)
- Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK
Applied Econometrics and International Development, 2003, 3, (1)
- Long memory and structural breaks in hyperinflation countries
Journal of Economics and Finance, 2003, 27, (2), 136-152
- Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances
Applied Economics Letters, 2003, 10, (1), 33-37 View citations (2)
- Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
Computational Economics, 2003, 22, (1), 65-74 View citations (4)
- Stochastic behavior of nominal exchange rates
Atlantic Economic Journal, 2003, 31, (2), 159-173 View citations (2)
- Strong dependence in the real interest rates
Applied Economics, 2003, 35, (2), 119-124
- 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)
- 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)
- Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses
Computational Economics, 2003, 22, (1), 23-38
- The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
Economia Internazionale / International Economics, 2003, 56, (3), 323-335
- Unemployment and real oil prices in Australia: a fractionally cointegrated approach
Applied Economics Letters, 2003, 10, (4), 201-204 View citations (2)
2002
- A mean shift break in the US interest rate
Economics Letters, 2002, 77, (3), 357-363
- Confidence intervals for fractionally integrated hypotheses in the real output across Europe
Applied Economics Letters, 2002, 9, (6), 407-409 View citations (1)
- Empirical evidence of the spot and the forward exchange rates in Canada
Economics Letters, 2002, 77, (3), 405-409 View citations (3)
- Estimation and Testing of ARFIMA Models in the Real Exchange Rate
International Journal of Finance & Economics, 2002, 7, (4), 279-92 View citations (3)
- Fractional integration and mean reversion in stock prices
The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (12)
- Modelling the Persistence of Unemployment in Canada
International Review of Applied Economics, 2002, 16, (4), 465-477 View citations (3)
- Real exchange rates: evidence from black markets using fractionally integrated semiparametric techniques
Applied Economics Letters, 2002, 9, (12), 787-790 View citations (3)
- Seasonal long memory in the aggregate output
Economics Letters, 2002, 74, (3), 333-337 View citations (17)
- Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment
Computational Economics, 2002, 19, (3), 323-39 View citations (3)
- Structural breaks and fractional integration in the US output and unemployment rate
Economics Letters, 2002, 77, (1), 79-84 View citations (17)
- Testing the order of integration of the UK Unemployment
Applied Econometrics and International Development, 2002, 2, (1) View citations (1)
- Unemployment and input prices: a fractional cointegration approach
Applied Economics Letters, 2002, 9, (6), 347-351 View citations (6)
2001
- A Fractionally Integrated Exponential Model for UK Unemployment
Journal of Forecasting, 2001, 20, (5), 329-40 View citations (4)
- 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)
- Estimation of Fractionally ARIMA Models for the UK Unemployment
Annales d'Economie et de Statistique, 2001, (62), 127-137 View citations (1)
- Measuring unemployment persistence in terms of I(d) statistical models
Applied Economics Letters, 2001, 8, (12), 761-763 View citations (3)
- Seasonal long memory in the US monthly monetary aggregate
Applied Economics Letters, 2001, 8, (9), 573-575
- 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)
- 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
- Mean reversion in the real exchange rates
Economics Letters, 2000, 69, (3), 285-288 View citations (58)
1999
- Testing fractional integration with monthly data
Economic Modelling, 1999, 16, (4), 613-629 View citations (50)
1997
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Journal of Econometrics, 1997, 80, (2), 241-268 View citations (151)
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