Details about Luis Alberiko Gil-Alana
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Short-id: pgi173
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Working Papers
2020
- Economic Policy Uncertainty: Persistence and Cross-Country Linkages
CESifo Working Paper Series, CESifo
- Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective
Working Papers, University of Pretoria, Department of Economics
- Inflation in the G7 Countries: Persistence and Structural Breaks
CESifo Working Paper Series, CESifo
- Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach
CESifo Working Paper Series, CESifo
- Non-Linearities and Persistence in US Long-Run Interest Rates
CESifo Working Paper Series, CESifo
- Particulate Matter 10 (PM10): Persistence and Trends in Eight European Capitals
CESifo Working Paper Series, CESifo
- Persistence and Long Memory in Monetary Policy Spreads
CESifo Working Paper Series, CESifo
- Persistence in the Market Risk Premium: Evidence across Countries
CESifo Working Paper Series, CESifo
- Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market
CESifo Working Paper Series, CESifo
- Self-employment by gender in the EU: convergence and clusters
Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
- The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective
Working Papers, University of Pretoria, Department of Economics
- US Sea Level Data: Time Trends and Persistence
CESifo Working Paper Series, CESifo
2019
- A new unit root analysis for testing hysteresis in unemployment
MPRA Paper, University Library of Munich, Germany
- CO2 Emissions and GDP: Evidence from China
CESifo Working Paper Series, CESifo
- Cycles and Long-Range Behaviour in the European Stock Market
CESifo Working Paper Series, CESifo
- Energy Consumption in the GCC Countries: Evidence on Persistence
CESifo Working Paper Series, CESifo
- Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2020)
- High and low prices and the range in the European stock markets: a long-memory approach
CESifo Working Paper Series, CESifo 
See also Journal Article in Research in International Business and Finance (2020)
- Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach
MPRA Paper, University Library of Munich, Germany
- Persistence, non-linearities and structural breaks in European stock market indices
CESifo Working Paper Series, CESifo 
See also Journal Article in The Quarterly Review of Economics and Finance (2020)
- Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
CESifo Working Paper Series, CESifo
2018
- Are BRICS Exchange Rates Chaotic?
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Applied Economics Letters (2019)
- Brexit and Uncertainty in Financial Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (6)
Also in CESifo Working Paper Series, CESifo (2018) View citations (6)
See also Journal Article in International Journal of Financial Studies (2018)
- High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach
MPRA Paper, University Library of Munich, Germany View citations (2)
- How do Stocks in BRICS co-move with REITs?
MPRA Paper, University Library of Munich, Germany
- Is there Convergence between the Brics and International Securitized Property Markets?
AfRES, African Real Estate Society (AfRES)
- Is there convergence between the BRICS and International REIT Markets?
MPRA Paper, University Library of Munich, Germany
- Modelling Long Range Dependence and Non-linearity in the Infant Mortality Rates of Africa Countries
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in International Advances in Economic Research (2020)
- On the Persistence of UK Inflation: A Long-Range Dependence Approach
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
Also in CESifo Working Paper Series, CESifo (2018) View citations (2)
- Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Urban Studies (2021)
- Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
- Persistence in the Russian Stock Market Volatility Indices
CESifo Working Paper Series, CESifo
- Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
CESifo Working Paper Series, CESifo 
See also Journal Article in South African Journal of Economics (2020)
- Term Premium and Quantitative Easing in a Fractionally Cointegrated Yield Curve
Bank of Lithuania Working Paper Series, Bank of Lithuania View citations (1)
- Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions
MPRA Paper, University Library of Munich, Germany View citations (4)
2017
- Central Bank Policy Rates: Are They Cointegrated?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
Also in CESifo Working Paper Series, CESifo (2017) View citations (4)
See also Journal Article in International Economics (2017)
- Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Journal of International Trade & Economic Development (2018)
- Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016
Working Papers, University of Pretoria, Department of Economics View citations (15)
See also Journal Article in Resources Policy (2017)
- Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
- Is Market Fear Persistent? A Long-Memory Analysis
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (3)
See also Journal Article in Finance Research Letters (2018)
- Long Memory and Data Frequency in Financial Markets
CESifo Working Paper Series, CESifo View citations (5)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) View citations (3)
- Long Memory in Turkish Unemployment Rates
ERC Working Papers, ERC - Economic Research Center, Middle East Technical University 
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2017)  GLO Discussion Paper Series, Global Labor Organization (GLO) (2017)  Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2017)  MPRA Paper, University Library of Munich, Germany (2017) 
See also Journal Article in Emerging Markets Finance and Trade (2019)
- Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches
Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2016)
- Persistence in the Cryptocurrency Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (14)
Also in CESifo Working Paper Series, CESifo (2017) View citations (2)
See also Journal Article in Research in International Business and Finance (2018)
- Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Manchester School (2019)
- Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
Also in CESifo Working Paper Series, CESifo (2017)
- Trends and Cycles in Macro Series: The Case of US Real GDP
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
2016
- A framework for Open Innovation practices: Typology and characterisation
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
CESifo Working Paper Series, CESifo View citations (2)
Also in Research Discussion Papers, Bank of Finland (2016) View citations (1) Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (2)
See also Journal Article in Research in International Business and Finance (2018)
- Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of International Development (2019)
- Is Inflation Persistence Different in Reality?
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Economics Letters (2016)
- Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
- Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks
Working Papers, University of Pretoria, Department of Economics View citations (11)
See also Journal Article in International Journal of Finance & Economics (2019)
- Oil shocks on unemployment in Central and Eastern Europe
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (10)
- On the invertibility of seasonally adjusted series
Working Papers, Universitat Rovira i Virgili, Department of Economics 
See also Journal Article in Computational Statistics (2018)
- The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in International Review of Economics & Finance (2017)
2015
- African Growth, Non-Linearities and Strong Dependence: An Empirical Study
NCID Working Papers, Navarra Center for International Development, University of Navarra
- Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data
Working Papers, University of Pretoria, Department of Economics
- Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis
NCID Working Papers, Navarra Center for International Development, University of Navarra
- Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (6)
- Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
Also in CESifo Working Paper Series, CESifo (2015) View citations (2)
See also Journal Article in International Journal of Finance & Economics (2016)
- Long-Term Price Overreactions: Are Markets Inefficient?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 
See also Journal Article in Journal of Economics and Finance (2019)
- Modeling Persistence of Carbon Emission Allowance Prices
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
- Persistence of precious metal prices: a fractional integration approach with structural breaks
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (24)
Also in Working Papers, University of Pretoria, Department of Economics (2014)
See also Journal Article in Resources Policy (2015)
- Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2017)
- Productive Government Spending and its Consequences for the Growth–Inequality Tradeoff
Working Papers, University of Pretoria, Department of Economics View citations (4)
- The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
CESifo Working Paper Series, CESifo View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
See also Journal Article in Finance Research Letters (2018)
- The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Journal of International Trade & Economic Development (2016)
- The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (6)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6) CESifo Working Paper Series, CESifo (2015) View citations (6)
See also Journal Article in Empirical Economics (2018)
- The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
See also Journal Article in Journal of Economic Studies (2016)
- Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Energy (2016)
- Trends and Cycles in Historical Gold and Silver Prices
Working Papers, University of Pretoria, Department of Economics View citations (10)
See also Journal Article in Journal of International Money and Finance (2015)
2014
- GDP Per Capita in Africa before the Global Financial Crisis: Persistence, Mean Reversion and Long Memory Features
MPRA Paper, University Library of Munich, Germany
- Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
CESifo Working Paper Series, CESifo View citations (1)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) 
See also Journal Article in Computational Economics (2016)
- Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
See also Journal Article in African Development Review (2014)
- On the changes in the sustainability of European external debt: what have we learned
Bank of Estonia Working Papers, Bank of Estonia
- Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Applied Economics (2016)
- Short-Term Price Overreaction: Identification, Testing, Exploitation
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
Also in CESifo Working Paper Series, CESifo (2014) View citations (2)
See also Journal Article in Computational Economics (2018)
- Testing Unemployment Theories: A Multivariate Long Memory Approach
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) 
See also Journal Article in Journal of Applied Economics (2016)
- Testing for Multiple Bubbles in the BRICS Stock Markets
Working Papers, University of Pretoria, Department of Economics View citations (18)
- The Relationship Between Oil Prices and the Nigerian Stock Market, an Analysis Based on Fractional Integration and Cointegration
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (12)
See also Journal Article in Energy Economics (2014)
- The Weekend Effect: A Trading Robot and Fractional Integration Analysis
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (6)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
CESifo Working Paper Series, CESifo View citations (10)
See also Journal Article in Comparative Economic Studies (2014)
2013
- A non-linear approach with long range dependence based on Chebyshev polynomials
Working Papers, Asociación Española de Economía y Finanzas Internacionales 
Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) View citations (1) Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) View citations (6) Working Papers, The University of Sheffield, Department of Economics (2012) View citations (27)
- Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Urban Studies (2015)
- Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Applied Economics (2015)
- Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
CESifo Working Paper Series, CESifo View citations (14)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (14)
See also Journal Article in International Review of Financial Analysis (2013)
- Long Memory in the Ukrainian Stock Market
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
- Long memory in the ukrainian stock market and financial crises
MPRA Paper, University Library of Munich, Germany View citations (4)
- Persistence and Cycles in Historical Oil Prices Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2014)
- Persistence, long memory and seasonality in Kenyan tourism series
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
- Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Applied Economics (2014)
- Testing for persistence with breaks and outliers in South African house prices
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (7)
Also in Working Papers, University of Pretoria, Department of Economics (2012) Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012)
- The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
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 Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011)  CESifo Working Paper Series, CESifo (2011) 
See also Journal Article in Empirical Economics (2014)
- Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro
Working Papers, The University of Sheffield, Department of Economics View citations (1)
Also in Working Papers, Asociación Española de Economía y Finanzas Internacionales (2012) View citations (3)
- Inflation forecasting in Angola: a fractional approach
CEsA Working Papers, CEsA - Centre for African and Development Studies View citations (2)
See also Journal Article in African Development Review (2013)
- Long Memory in German Energy Price Indices
CESifo Working Paper Series, CESifo View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) View citations (3)
- Modelling Long Run Trends and Cycles in Financial Time Series Data
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
Also in CESifo Working Paper Series, CESifo (2008) View citations (1)
See also Journal Article in Journal of Time Series Analysis (2013)
- Nominal exchange rates in Kenya. Are shocks transitory or permanent? An empirical investigation based on fractional integration
NCID Working Papers, Navarra Center for International Development, University of Navarra
- 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 (2012) 
See also Journal Article in Economic Modelling (2014)
- Persistence and Cycles in the US Federal Funds Rate
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2012) View citations (1)
See also Journal Article in International Review of Financial Analysis (2017)
- Persistence in Youth Unemployment
CESifo Working Paper Series, CESifo
- Term Structure Persistence
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (18)
See also Journal Article in Journal of Financial Econometrics (2016)
- Testing the Marshall-Lerner Condition in Kenya
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) 
See also Journal Article in South African Journal of Economics (2015)
- Testing the PPP Hypothesis in the Sub-Saharan Countries
NCID Working Papers, Navarra Center for International Development, University of Navarra
- Violence and the market for food. Evidence from Kenya
NCID Working Papers, Navarra Center for International Development, University of Navarra
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 (36)
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
Post-Print, HAL 
Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2011) 
See also Journal Article in Applied Economics (2012)
- Interest rate dynamics in Kenya
NCID Working Papers, Navarra Center for International Development, University of Navarra
- Is there asymmetric behaviour in African inflation? A non-linear approach
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (4)
See also Journal Article in South African Journal of Economics (2011)
- 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)
See also Journal Article in Multinational Finance Journal (2012)
- Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (3)
- Oil Prices: Persistence and Breaks
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- Persistence and Cyclical Dependence in the Monthly Euribor Rate
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2011) View citations (1)
See also Journal Article in Journal of Economics and Finance (2016)
- 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 Deaton paradox in a long memory context with structural breaks
Post-Print, HAL 
Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2009) 
See also Journal Article in Applied Economics (2012)
- 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
- 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 CESifo Working Paper Series, CESifo (2010)  Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (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 (7)
2010
- Does energy consumption by the US electric power secto exhibit long memory behaviour?
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (17)
See also Journal Article in Energy Policy (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)
- Inflation in South Africa. A time series view across sectors using long range dependence
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (3)
See also Journal Article in South African Journal of Economics (2010)
- Long Memory and Fractional Integration in High Frequency Financial Time Series
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
- Mean reversion and long memory in African stock market prices
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2010) View citations (1)
See also Journal Article in Journal of Economics and Finance (2011)
- Persistence in the short and long term tourist arrivals to Australia
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
- Retail sales. Persistence in the short term and long term dynamics
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- The Weekly Structure of US Stock Prices
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) 
See also Journal Article in Applied Financial Economics (2011)
- Tourism in South Africa. Time series persistence and the nature of shocks. Are they transitory or permament?
NCID Working Papers, Navarra Center for International Development, University of Navarra
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 View citations (1)
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) View citations (1)
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 View citations (5)
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 View citations (4)
Also in NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University (2009) View citations (6)
See also Journal Article in Economic Modelling (2009)
- Long Memory in US Real Output per Capita
CESifo Working Paper Series, CESifo View citations (3)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) View citations (3)
See also Journal Article in Empirical Economics (2013)
- Multi-Factor Gegenbauer Processes and European Inflation Rates
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2009) View citations (1)
- Persistence on airline accidents
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
- Time series modelling of sunspot numbers using long range cyclical dependence
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe
NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University View citations (1)
- 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
- Fractional integration and data frequency
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- 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 (21)
See also Journal Article in Computational Statistics & Data Analysis (2008)
- The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
IZA Discussion Papers, Institute of Labor Economics (IZA) 
See also Journal Article in Applied Economics (2009)
- The Persistence of Earnings per Share
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
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 (9)
- Unemployment and entrepreneurship: a cyclical relationship?
NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University
2007
- A Multivariate Long-Memory Model with Structural Breaks
CESifo Working Paper Series, CESifo View citations (1)
- Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
CESifo Working Paper Series, CESifo View citations (4)
- Identification of Segments of European Banks with a Latent Class Frontier Model
CESifo Working Paper Series, CESifo
- 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 View citations (6)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)  Economics Series, Institute for Advanced Studies (2004)  Econometric Society 2004 Latin American Meetings, Econometric Society (2004) 
See also Journal Article in Journal of Forecasting (2014)
- 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 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 View citations (1)
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 
See also Journal Article in Journal of Forecasting (2008)
- 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)
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
- Fractional integration and structural breaks at unknown periods of time
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
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)
- 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 
Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
- New Revelations about Unemployment Persistence in Spain
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
- Nonlinearities and fractional integration in the US unemployment rate
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) View citations (1) HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) View citations (2) Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005)  Discussion Paper Series, Hamburg Institute of International Economics (2004) View citations (1) Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
- 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)
- Technology Shocks and Hours Worked: A Fractional Integration Perspective
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
See also Journal Article in Macroeconomic Dynamics (2009)
2005
- FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
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 (2005) 
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)
- Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)  Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) 
See also Journal Article in Empirical Economics (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)
- 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)
- 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 View citations (1)
- 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
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 (9)
See also Journal Article in Empirical Economics (2004)
- 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
- 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) 
See also Chapter (2007)
- THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
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) 
See also Journal Article in Applied Stochastic Models in Business and Industry (2007)
2003
- Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)
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 (21)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
- 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 (35)
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 View citations (3)
- 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)
- Stock Market Cycles and Stock Market Development in Spain
Faculty Working Papers, School of Economics and Business Administration, University of Navarra
2000
- Testing of seasonal fractional integration in UK and Japanese consumption and income
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
Also in Economics Working Papers, European University Institute (1998) View citations (15)
See also Journal Article in Journal of Applied Econometrics (2001)
1998
- Fractional Integration in the Purchasing Power Parity
Economics Working Papers, European University Institute View citations (1)
Journal Articles
2021
- Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data
Urban Studies, 2021, 58, (1), 53-72 
See also Working Paper (2018)
2020
- A fractional cointegration var analysis of exchange rate dynamics
The North American Journal of Economics and Finance, 2020, 51, (C) View citations (2)
- An analysis of the OPEC and non-OPEC position in the World Oil Market: A fractionally integrated approach
Physica A: Statistical Mechanics and its Applications, 2020, 541, (C)
- An investigation of long range reliance on shale oil and shale gas production in the U.S. market
Energy, 2020, 195, (C) View citations (2)
- Are central bank policy rates in Africa cointegrated? Evidence from a fractional cointegration approach
Applied Economics, 2020, 52, (57), 6171-6182
- Cryptocurrencies and stock market indices. Are they related?
Research in International Business and Finance, 2020, 51, (C) View citations (9)
- Exchange rate dynamics in South Africa
Applied Economics, 2020, 52, (22), 2339-2352
- Fractional Integration and the Persistence of UK Inflation, 1210–2016
Economic Papers, 2020, 39, (2), 162-166
- Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data
Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (1)
See also Working Paper (2019)
- High and low prices and the range in the European stock markets: A long-memory approach
Research in International Business and Finance, 2020, 52, (C) 
See also Working Paper (2019)
- How do stocks in BRICS co-move with real estate stocks?
International Review of Economics & Finance, 2020, 69, (C), 93-101
- Measuring the degree of persistence in the U.S. economic policy uncertainty index
Applied Economics Letters, 2020, 27, (10), 831-835
- Modeling US historical time-series prices and inflation using alternative long-memory approaches
Empirical Economics, 2020, 58, (4), 1491-1511
- Modelling Long-Range Dependence and Non-linearity in the Infant Mortality Rates of African Countries
International Advances in Economic Research, 2020, 26, (3), 303-315 
See also Working Paper (2018)
- Persistence in silver prices and the influence of solar energy
Resources Policy, 2020, 69, (C)
- Persistence of the Misery Index in African Countries
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2020, 147, (3), 825-841
- Persistence, non-linearities and structural breaks in European stock market indices
The Quarterly Review of Economics and Finance, 2020, 77, (C), 50-61 View citations (1)
See also Working Paper (2019)
- Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
South African Journal of Economics, 2020, 88, (2), 174-185 
See also Working Paper (2018)
- Public finances in the EU-27: Are they sustainable?
Empirica, 2020, 47, (1), 181-204
- Testing Okun’s law. Theoretical and empirical considerations using fractional integration
Applied Economics, 2020, 52, (5), 459-474
- The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies
Risks, 2020, 8, (4), 1-17
- UK tourism arrivals and departures: seasonality, persistence and time trends
Applied Economics, 2020, 52, (46), 5077-5087
- Unemployment and Fertility: A Long Run Relationship
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2020, 152, (3), 1177-1196
- Volatility persistence in cryptocurrency markets under structural breaks
International Review of Economics & Finance, 2020, 69, (C), 680-691 View citations (1)
- Volatility persistence in the Russian stock market
Finance Research Letters, 2020, 32, (C)
2019
- An examination of trade-weighted real exchange rates based on fractional integration
International Economics, 2019, (158), 64-76 
Also in International Economics, 2019, 158, (C), 64-76 (2019)
- Are BRICS exchange rates chaotic?
Applied Economics Letters, 2019, 26, (13), 1104-1110 View citations (5)
See also Working Paper (2018)
- Automobile components: Lithium and cobalt. Evidence of persistence
Energy, 2019, 169, (C), 489-495 View citations (1)
- Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty
Journal of International Development, 2019, 31, (1), 101-116 View citations (4)
See also Working Paper (2016)
- Gold prices and the cryptocurrencies: Evidence of convergence and cointegration
Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 1227-1236 View citations (3)
- Inflation in Argentina: Analysis of Persistence Using Fractional Integration
Eastern Economic Journal, 2019, 45, (2), 204-223 View citations (2)
- Iranian inflation: peristence and structural breaks
Journal of Economics and Finance, 2019, 43, (2), 398-408
- Lithium: Production and estimated consumption. Evidence of persistence
Resources Policy, 2019, 60, (C), 198-202 View citations (2)
- Long Memory in Turkish Unemployment Rates
Emerging Markets Finance and Trade, 2019, 55, (1), 201-217 View citations (1)
See also Working Paper (2017)
- Long-term interest rates in Europe: A fractional cointegration analysis
International Review of Economics & Finance, 2019, 61, (C), 170-178 View citations (1)
- Long-term price overreactions: are markets inefficient?
Journal of Economics and Finance, 2019, 43, (4), 657-680 View citations (2)
See also Working Paper (2015)
- Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration
The Quarterly Review of Economics and Finance, 2019, 72, (C), 65-72 View citations (1)
- Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks
International Journal of Finance & Economics, 2019, 24, (1), 412-426 View citations (18)
See also Working Paper (2016)
- Persistence in trends and cycles of gold and silver prices: Evidence from historical data
Physica A: Statistical Mechanics and its Applications, 2019, 514, (C), 345-354 View citations (3)
See also Working Paper (2018)
- Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data
Manchester School, 2019, 87, (1), 24-36 
See also Working Paper (2017)
- Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile
Research in International Business and Finance, 2019, 49, (C), 269-281
- Temperatures across Europe: evidence of time trends
Climatic Change, 2019, 157, (3), 355-364
- The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis
International Review of Finance, 2019, 19, (1), 237-244
- The cyclical structure of the UK inflation rate: 1210–2016
Economics Letters, 2019, 181, (C), 182-185 View citations (1)
- Time Trends and Persistence in the Global CO2 Emissions Across Europe
Environmental & Resource Economics, 2019, 73, (1), 213-228 View citations (3)
- Time series analysis of economic growth rate series in Nigeria: structural breaks, non-linearities and reasons behind the recent recession
Applied Economics, 2019, 51, (50), 5482-5489
- UK overseas visitors: Seasonality and persistence
Tourism Economics, 2019, 25, (5), 827-831
- Under-5 Mortality Rates in G7 Countries: Analysis of Fractional Persistence, Structural Breaks and Nonlinear Time Trends
European Journal of Population, 2019, 35, (4), 675-694 View citations (2)
2018
- Application of local projections in the monetary policy in Brazil
Applied Economics Letters, 2018, 25, (13), 941-944
- Brexit and Uncertainty in Financial Markets
International Journal of Financial Studies, 2018, 6, (1), 1-9 View citations (6)
See also Working Paper (2018)
- Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks
The Journal of International Trade & Economic Development, 2018, 27, (6), 638-654 View citations (5)
See also Working Paper (2017)
- Data measurement and the change in persistence of tourist arrivals to the United States in the aftermath of the September 11th terrorist attacks
Tourism Economics, 2018, 24, (1), 41-50
- Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
Research in International Business and Finance, 2018, 44, (C), 227-238 View citations (3)
See also Working Paper (2016)
- Inflation analysis in the Central American Monetary Council
Empirical Economics, 2018, 54, (2), 547-565 View citations (1)
- Is market fear persistent? A long-memory analysis
Finance Research Letters, 2018, 27, (C), 140-147 View citations (4)
See also Working Paper (2017)
- Long memory and mean reversion in real exchange rates in Latin America
Applied Economics, 2018, 50, (29), 3148-3155
- Market efficiency of Baltic stock markets: A fractional integration approach
Physica A: Statistical Mechanics and its Applications, 2018, 511, (C), 251-262 View citations (7)
See also Working Paper (2016)
- NON-LINEARITIES, STRUCTURAL BREAKS AND FRACTIONAL INTEGRATION IN THE ANALYSIS OF THE GHANAIAN AND THE SOUTH AFRICAN CPI INFLATION RATES
Journal of Developing Areas, 2018, 52, (1), 157-168
- Oil price shocks and unemployment in Central and Eastern Europe
Economic Systems, 2018, 42, (1), 164-173 View citations (7)
- On the invertibility of seasonally adjusted series
Computational Statistics, 2018, 33, (1), 443-465 
See also Working Paper (2016)
- Persistence in the cryptocurrency market
Research in International Business and Finance, 2018, 46, (C), 141-148 View citations (33)
See also Working Paper (2017)
- Short-Term Price Overreactions: Identification, Testing, Exploitation
Computational Economics, 2018, 51, (4), 913-940 View citations (3)
See also Working Paper (2014)
- Testing the great decoupling: a long memory approach
Empirica, 2018, 45, (4), 801-820
- The EMBI in Latin America: Fractional integration, non-linearities and breaks
Finance Research Letters, 2018, 24, (C), 34-41 View citations (1)
See also Working Paper (2015)
- The asymmetric behaviour of spanish unemployment persistence
Economics Bulletin, 2018, 38, (1), 98-104 View citations (1)
- The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
Empirical Economics, 2018, 55, (3), 913-935 
See also Working Paper (2015)
- Tourism in Iceland: Persistence and seasonality
Annals of Tourism Research, 2018, 68, (C), 20-29 View citations (3)
- Unemployment in Africa: A Fractional Integration Approach
South African Journal of Economics, 2018, 86, (1), 76-81 View citations (3)
2017
- A performance assessment of Mozambique banks: a Bayesian stochastic frontier
Applied Economics, 2017, 49, (45), 4579-4587 View citations (2)
- CPI and inflation in Kenya. Structural breaks, non-linearities and dependence
International Economics, 2017, 150, (C), 72-79 View citations (1)
- CPI and inflation in Kenya. Structural breaks, non-linearities and dependenceOriginal Research Article
International Economics, 2017, (150), 72-79 View citations (1)
- Carlos Pestana Barros
Defence and Peace Economics, 2017, 28, (3), 271-271
- Central bank policy rates: Are they cointegrated?
International Economics, 2017, (152), 116-123 View citations (4)
Also in International Economics, 2017, 152, (C), 116-123 (2017) View citations (4)
See also Working Paper (2017)
- Crude oil price behaviour before and after military conflicts and geopolitical events
Energy, 2017, 120, (C), 79-91 View citations (12)
- Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016
Resources Policy, 2017, 54, (C), 53-57 View citations (15)
See also Working Paper (2017)
- Effect of Intellectual Capital on Firms¡¯ Competitive Advantage Condition: An Empirical Investigation in India
Review of Economics & Finance, 2017, 8, 61-78 View citations (1)
- Evidence of persistence in U.S. short and long-term interest rates
Journal of Policy Modeling, 2017, 39, (5), 775-789 View citations (2)
- Fractional integration and nonlinear deterministic trends in the analysis of time series data
Applied Economics Letters, 2017, 24, (14), 991-994
- Persistence and cycles in the us federal funds rate
International Review of Financial Analysis, 2017, 52, (C), 1-8 View citations (2)
See also Working Paper (2012)
- Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries
Environmental & Resource Economics, 2017, 67, (4), 869-883 View citations (1)
- Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 131, (1), 393-405 
See also Working Paper (2015)
- Searching for Inefficiencies in Exchange Rate Dynamics
Computational Economics, 2017, 49, (3), 405-432 View citations (1)
- Shocks affecting electricity prices in Kenya, a fractional integration study
Energy, 2017, 124, (C), 521-530 View citations (2)
- The demand for money in Angola
Journal of Economics and Finance, 2017, 41, (2), 408-420
- The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
International Review of Economics & Finance, 2017, 51, (C), 283-294 View citations (7)
See also Working Paper (2016)
- The fisher relationship in Nigeria
Journal of Economics and Finance, 2017, 41, (2), 343-353
- The global financial crisis: Testing For Fractional Cointegration Between The Us And Nigerian Stock Markets
Journal of Developing Areas, 2017, 51, (4), 29-47 View citations (1)
- The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence
Economic Change and Restructuring, 2017, 50, (1), 45-58 View citations (6)
- The weekend effect: a fractional integration and trading robot analysis
International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 View citations (2)
- Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach
Resources Policy, 2017, 53, (C), 117-124 View citations (8)
- U.S. shale oil production and WTI prices behaviour
Energy, 2017, 141, (C), 12-19 View citations (12)
- Unemployment rate cycles in Europe
Applied Economics Letters, 2017, 24, (2), 136-139 View citations (2)
2016
- Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks
Energy Economics, 2016, 54, (C), 88-95 View citations (7)
- Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market
Empirical Economics, 2016, 51, (4), 1399-1414 View citations (1)
- Fractional integration and cointegration in merger and acquisitions in the US petroleum industry
Applied Economics Letters, 2016, 23, (10), 701-704 View citations (3)
- Growth recovery after civil conflict: a fractional integration approach
Defence and Peace Economics, 2016, 27, (4), 453-479 View citations (1)
- Inflation convergence in Central and Eastern Europe vs. the Eurozone: Non-linearities and long memory
Scottish Journal of Political Economy, 2016, 63, (5), 519-538 View citations (4)
- Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate
Journal of International Development, 2016, 28, (2), 214-232 View citations (1)
- Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Computational Economics, 2016, 47, (2), 275-295 View citations (6)
See also Working Paper (2014)
- Is inflation persistence different in reality?
Economics Letters, 2016, 148, (C), 55-58 View citations (5)
See also Working Paper (2016)
- Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
International Journal of Finance & Economics, 2016, 21, (2), 143-153 View citations (6)
See also Working Paper (2015)
- Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks
Journal of Quantitative Economics, 2016, 14, (2), 199-215
- Long memory and ARFIMA modelling: The case of CPI inflation rate in Ghana
Journal of Developing Areas, 2016, 50, (3), 287-304
- Modeling persistence of carbon emission allowance prices
Renewable and Sustainable Energy Reviews, 2016, 55, (C), 221-226 View citations (6)
See also Working Paper (2015)
- Modeling the degree of persistence in Croatian tourism
Tourism Economics, 2016, 22, (3), 655-664 View citations (3)
- Persistence and cyclical dependence in the monthly euribor rate
Journal of Economics and Finance, 2016, 40, (1), 157-171 View citations (3)
See also Working Paper (2011)
- Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013
Applied Economics, 2016, 48, (34), 3244-3252 
See also Working Paper (2014)
- Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
Applied Economics, 2016, 48, (29), 2675-2696
- Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data
Environmental & Resource Economics, 2016, 63, (1), 45-56 View citations (8)
- Term Structure Persistence
Journal of Financial Econometrics, 2016, 14, (2), 331-352 View citations (31)
See also Working Paper (2012)
- Testing for bubbles in the BRICS stock markets
Journal of Economic Studies, 2016, 43, (4), 646-660 View citations (6)
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (1), 57-74 View citations (8)
- Testing unemployment theories: A multivariate long memory approach
Journal of Applied Economics, 2016, 19, 95-112 View citations (6)
See also Working Paper (2014)
- Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques
Applied Stochastic Models in Business and Industry, 2016, 32, (5), 711-724 View citations (3)
- The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach
The Journal of International Trade & Economic Development, 2016, 25, (7), 978-991 View citations (1)
See also Working Paper (2015)
- The weekend effect: an exploitable anomaly in the Ukrainian stock market?
Journal of Economic Studies, 2016, 43, (6), 954-965 View citations (2)
See also Working Paper (2015)
- Time series analysis of persistence in crude oil price volatility across bull and bear regimes
Energy, 2016, 109, (C), 29-37 View citations (18)
See also Working Paper (2015)
2015
- A time-series analysis of US entrepreneurship: evidence from fractional integration
Applied Economics Letters, 2015, 22, (7), 521-524 View citations (1)
- An empirical analysis of freight transport traffic modes in Brazil, 1996-2012
Transportation Planning and Technology, 2015, 38, (3), 305-319 View citations (2)
- Comovement in Euro area housing prices: A fractional cointegration approach
Urban Studies, 2015, 52, (16), 3123-3143 View citations (7)
See also Working Paper (2013)
- Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
Applied Economics, 2015, 47, (8), 798-808 View citations (6)
See also Working Paper (2013)
- Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application to High‐frequency Stock Data
International Journal of Finance & Economics, 2015, 20, (3), 276-290 View citations (6)
- Infant mortality rates: time trends and fractional integration
Journal of Applied Statistics, 2015, 42, (3), 589-602 View citations (2)
- Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study
Global Economy Journal (GEJ), 2015, 15, (4), 507-524 View citations (2)
Also in Global Economy Journal, 2015, 15, (4), 507-524 (2015) View citations (2)
- Investment and saving in Angola and the Feldstein-Horioka puzzle
Applied Economics, 2015, 47, (44), 4793-4800 View citations (2)
- Linear and segmented trends in sea surface temperature data
Journal of Applied Statistics, 2015, 42, (7), 1531-1546 View citations (2)
- Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
Applied Economics Letters, 2015, 22, (5), 421-424 View citations (3)
- Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co-Integration in the USA and South African Rates
South African Journal of Economics, 2015, 83, (4), 569-575
- Persistence of precious metal prices: A fractional integration approach with structural breaks
Resources Policy, 2015, 44, (C), 57-64 View citations (25)
See also Working Paper (2015)
- Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
African Development Review, 2015, 27, (2), 161-170 View citations (5)
- Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time
Energy Economics, 2015, 52, (PA), 240-245 View citations (2)
- Testing the Marshall–Lerner Condition in Kenya
South African Journal of Economics, 2015, 83, (2), 253-268 View citations (2)
See also Working Paper (2012)
- The Impact of Ethnic Violence in Kenya on Wheat and Maize Markets
Journal of African Economies, 2015, 24, (4), 502-529
- The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20
African Journal of Economic and Sustainable Development, 2015, 4, (3), 254-277 View citations (3)
- The Sustainability of European External Debt: What have We Learned?
Review of International Economics, 2015, 23, (3), 445-468 View citations (1)
- The effect of intellectual capital on firms' financial performance: an empirical investigation in India
International Journal of Learning and Intellectual Capital, 2015, 12, (4), 342-371 View citations (4)
- The macroeconomy of Angola: breaks and persistence in Angolan macro data
Applied Economics, 2015, 47, (27), 2783-2802 View citations (2)
- Trends and cycles in historical gold and silver prices
Journal of International Money and Finance, 2015, 58, (C), 98-109 View citations (10)
See also Working Paper (2015)
2014
- Economic Growth and Recovery After Civil Wars
Peace Economics, Peace Science, and Public Policy, 2014, 20, (4), 10
- Fractional integration and cointegration in US financial time series data
Empirical Economics, 2014, 47, (4), 1389-1410 View citations (3)
See also Working Paper (2012)
- Fractional integration in the West African Economic and Monetary Union
African Journal of Economic and Sustainable Development, 2014, 3, (3), 179-199 View citations (2)
- Global temperatures and sunspot numbers. Are they related?
Physica A: Statistical Mechanics and its Applications, 2014, 396, (C), 42-50 View citations (5)
- Government debt dynamics and the global financial crisis: Has anything changed in the EA12?
Economics Letters, 2014, 124, (1), 64-66 View citations (15)
- Inflation in Mozambique: empirical facts based on persistence, seasonality and breaks
Applied Economics, 2014, 46, (21), 2545-2555 View citations (1)
- Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
African Development Review, 2014, 26, (1), 59–73 View citations (2)
Also in African Development Review, 2014, 26, (1), 59-73 (2014) View citations (2)
See also Working Paper (2014)
- Long memory and fractional integration in the housing price series of London and Paris
Applied Economics, 2014, 46, (27), 3377-3388 View citations (5)
- Long‐Run and Cyclical Dynamics in the US Stock Market
Journal of Forecasting, 2014, 33, (2), 147-161 View citations (9)
See also Working Paper (2007)
- Mean Reversion in Agricultural Commodity Prices in India
International Advances in Economic Research, 2014, 20, (4), 385-398
- Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
Resources Policy, 2014, 41, (C), 31-39 View citations (14)
- On the persistence and volatility in European, American and Asian stocks bull and bear markets
Journal of International Money and Finance, 2014, 40, (C), 149-162 View citations (15)
- Persistence and cycles in US hours worked
Economic Modelling, 2014, 38, (C), 504-511 View citations (4)
See also Working Paper (2012)
- Persistence and cycles in historical oil price data
Energy Economics, 2014, 45, (C), 511-516 View citations (13)
See also Working Paper (2013)
- Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
Applied Economics, 2014, 46, (18), 2127-2138 View citations (10)
See also Working Paper (2013)
- The housing market in Beijing and delays in sales: A fractional polynomial survival model
Economic Modelling, 2014, 42, (C), 296-300 View citations (2)
- The persistence and asymmetric volatility in the Nigerian stock bull and bear markets
Economic Modelling, 2014, 38, (C), 463-469 View citations (8)
- The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration
Energy Economics, 2014, 46, (C), 328-333 View citations (10)
See also Working Paper (2014)
- Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
Comparative Economic Studies, 2014, 56, (4), 581-591 View citations (10)
See also Working Paper (2014)
2013
- Inflation Forecasting in Angola: A Fractional Approach
African Development Review, 2013, 25, (1), 91-104 View citations (2)
Also in African Development Review, 2013, 25, (1), 91-104 (2013) View citations (2)
See also Working Paper (2012)
- Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
International Review of Financial Analysis, 2013, 29, (C), 1-9 View citations (14)
See also Working Paper (2013)
- Long memory in US real output per capita
Empirical Economics, 2013, 44, (2), 591-611 View citations (5)
See also Working Paper (2009)
- Modelling long-run trends and cycles in financial time series data
Journal of Time Series Analysis, 2013, 34, (3), 405-421 View citations (1)
See also Working Paper (2012)
- Real convergence: empirical evidence for Latin America
Applied Economics, 2013, 45, (22), 3220-3229 View citations (4)
- Salient features of dependence in daily US stock market indices
Physica A: Statistical Mechanics and its Applications, 2013, 392, (15), 3198-3212 View citations (2)
- THE PURCHASING POWER PARITY HYPOTHESIS IN THE US–CHINA RELATIONSHIP: FRACTIONAL INTEGRATION, TIME VARIATION AND DATA FREQUENCY
International Journal of Finance & Economics, 2013, 18, (1), 82-92
- The Housing Markets in Spain and Portugal: Evidence of Persistence
Review of Economics & Finance, 2013, 3, 19-32
- U.S. Disaggregated renewable energy consumption: Persistence and long memory behavior
Energy Economics, 2013, 40, (C), 425-432 View citations (14)
- Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis
Economics Bulletin, 2013, 33, (3), 1978-1982 View citations (1)
2012
- Comovements among U.S. state housing prices: Evidence from fractional cointegration
Economic Modelling, 2012, 29, (3), 936-942 View citations (12)
- Estimating persistence in the volatility of asset returns with signal plus noise models
International Journal of Finance & Economics, 2012, 17, (1), 23-30 View citations (1)
See also Working Paper (2010)
- Evidence of long memory behavior in U.S. renewable energy consumption
Energy Policy, 2012, 41, (C), 822-826 View citations (32)
- Exploring Survey‐Based Inflation Forecasts
Journal of Forecasting, 2012, 31, (6), 524-539 View citations (10)
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 View citations (2)
See also Working Paper (2009)
- Housing sales in urban Beijing
Applied Economics, 2012, 44, (34), 4495-4504 View citations (1)
See also Working Paper (2011)
- Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Multinational Finance Journal, 2012, 16, (1-2), 105-136 
See also Working Paper (2011)
- Mean reversion of short-run interest rates: empirical evidence from new EU countries
The European Journal of Finance, 2012, 18, (2), 89-107 View citations (4)
- 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 (2011)
- Uncovering the US term premium: An alternative route
Journal of Banking & Finance, 2012, 36, (4), 1181-1193 View citations (40)
See also Working Paper (2007)
- Unemployment hysteresis: empirical evidence for Latin America
Journal of Applied Economics, 2012, 15, 213-233 View citations (8)
2011
- A further investigation of unemployment persistence in European transition economies
Journal of Comparative Economics, 2011, 39, (4), 514-532 View citations (22)
- An analysis of oil production by OPEC countries: Persistence, breaks, and outliers
Energy Policy, 2011, 39, (1), 442-453 View citations (34)
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 View citations (6)
- Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models
American Journal of Economics and Business Administration, 2011, 3, (4), 586-588
- 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 (2)
- 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 View citations (3)
- IS THERE AN ASYMMETRIC BEHAVIOUR IN AFRICAN INFLATION? A NON‐LINEAR APPROACH
South African Journal of Economics, 2011, 79, (1), 68-90 View citations (16)
See also Working Paper (2011)
- Inflation in South Africa. A long memory approach
Economics Letters, 2011, 111, (3), 207-209 View citations (8)
- Mean reversion and long memory in African stock market prices
Journal of Economics and Finance, 2011, 35, (3), 296-308 View citations (11)
See also Working Paper (2010)
- 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 View citations (5)
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 View citations (1)
- Does energy consumption by the US electric power sector exhibit long memory behavior?
Energy Policy, 2010, 38, (11), 7512-7518 View citations (38)
See also Working Paper (2010)
- European Current Account Sustainability: New Evidence Based On Unit Roots and Fractional Integration
Eastern Economic Journal, 2010, 36, (2), 177-187 View citations (9)
- INFLATION IN SOUTH AFRICA: A TIME‐SERIES VIEW ACROSS SECTORS USING LONG‐RANGE DEPENDENCE
South African Journal of Economics, 2010, 78, (4), 325-343 View citations (3)
See also Working Paper (2010)
- International Arrivals in the Canary Islands: Persistence, Long Memory, Seasonality and other Implicit Dynamics
Tourism Economics, 2010, 16, (2), 287-302 View citations (2)
- 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 (4)
- Multiple cyclical fractional structures in financial time series
Applied Economics Letters, 2010, 17, (11), 1079-1081 View citations (1)
- Persistence in some energy futures markets
Journal of Futures Markets, 2010, 30, (5), 490-507 View citations (13)
- REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
Journal of Economic Development, 2010, 35, (2), 1-21 View citations (5)
- 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 View citations (1)
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 View citations (6)
- Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes
Economic Modelling, 2009, 26, (6), 1184-1192 View citations (4)
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 (3)
- 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 (3)
- New evidence on long-run monetary neutrality
Journal of Applied Economics, 2009, 12, 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 (6)
- 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 View citations (8)
- TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE
Macroeconomic Dynamics, 2009, 13, (5), 580-604 View citations (11)
See also Working Paper (2006)
- The nature of occupational unemployment rates in the United States: hysteresis or structural?
Applied Economics, 2009, 41, (19), 2483-2493 View citations (3)
See also Working Paper (2008)
- 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 (5)
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 (4)
- Unemployment and entrepreneurship: A cyclical relation?
Economics Letters, 2009, 105, (3), 318-320 View citations (14)
2008
- A simple non-linear model with fractional integration for financial time series data
International Review of Financial Analysis, 2008, 17, (5), 838-848 View citations (1)
- Fractional Integration and Structural Breaks: Evidence from International Monthly Arrivals in the USA
Tourism Economics, 2008, 14, (1), 13-23 View citations (2)
- Fractional integration and structural breaks at unknown periods of time
Journal of Time Series Analysis, 2008, 29, (1), 163-185 View citations (139)
See also Working Paper (2006)
- Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 View citations (19)
See also Working Paper (2008)
- New Evidence on US Current Account Sustainability
International Journal of Business and Economics, 2008, 7, (1), 1-21 View citations (1)
- Persistence in International Monthly Arrivals in the Canary Islands
Tourism Economics, 2008, 14, (1), 123-129 View citations (1)
- 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
The 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 (33)
- Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
Empirica, 2008, 35, (3), 241-253 View citations (1)
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 (3)
- The persistence of earnings per share
Review of Quantitative Finance and Accounting, 2008, 31, (4), 425-439 View citations (2)
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 (12)
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 (3)
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 View citations (1)
- ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
Defence and Peace Economics, 2007, 18, (6), 495-507 View citations (3)
- 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 (2006)
- Nonlinearities and Fractional Integration in the US Unemployment Rate*
Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 View citations (56)
See also Working Paper (2006)
- 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 View citations (10)
- Strong dependence in the nominal exchange rates of the Polish zloty
Applied Stochastic Models in Business and Industry, 2007, 23, (2), 97-116 View citations (2)
- 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 (14)
- The stochastic unit root model and fractional integration: An extension to the seasonal case
Applied Stochastic Models in Business and Industry, 2007, 23, (5), 439-453 
See also Working Paper (2004)
2006
- Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
Review of World Economics (Weltwirtschaftliches Archiv), 2006, 142, (1), 67-91 View citations (9)
See also Working Paper (2003)
- ETA: A PERSISTENT PHENOMENON
Defence and Peace Economics, 2006, 17, (2), 95-116 View citations (6)
- Fractional integration in daily stock market indexes
Review of Financial Economics, 2006, 15, (1), 28-48 View citations (26)
Also in Review of Financial Economics, 2006, 15, (1), 28-48 (2006)
- 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 (4)
See also Working Paper (2005)
- 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 (3)
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 (11)
- Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach
Applied Stochastic Models in Business and Industry, 2006, 22, (4), 385-395
- Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Applied Financial Economics Letters, 2006, 2, (1), 9-12 View citations (3)
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 View citations (1)
- Testing Seasonality in the Context of Fractionally Integrated Processes
Annals of Economics and Statistics, 2006, (81), 69-91 View citations (2)
- Testing of nonstationary cycles in financial time series data
Review of Quantitative Finance and Accounting, 2006, 27, (1), 47-65 View citations (4)
See also Working Paper (2003)
- The timing of ETA terrorist attacks
Journal of Policy Modeling, 2006, 28, (3), 335-346 View citations (8)
- UK Unemployment Dynamics: a Fractionally Cointegrated Approach
Economia Internazionale / International Economics, 2006, 59, (1), 33-50 View citations (2)
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 (56)
- 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 (12)
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 (3)
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 675-691
- Modelling U.S. monthly inflation in terms of a jointly seasonal and non‐seasonal long memory process
Applied Stochastic Models in Business and Industry, 2005, 21, (1), 83-94
- 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 (6)
- The Nature of Seasonality in Spanish Tourism Time Series
Tourism Economics, 2005, 11, (4), 483-499 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 (3)
2004
- A fractionally integrated model for the Spanish real GDP
Economics Bulletin, 2004, 3, (8), 1-6 View citations (1)
- 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 (10)
- 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 View citations (2)
- 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 (14)
Also in Review of Financial Economics, 2004, 13, (4), 327-340 (2004)
- Fractional cointegration and tests of present value models
Review of Financial Economics, 2004, 13, (3), 245-258 View citations (39)
Also in Review of Financial Economics, 2004, 13, (3), 245-258 (2004) View citations (1)
- 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 (9)
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 (30)
- Long memory in the U.S. interest rate
International Review of Financial Analysis, 2004, 13, (3), 265-276 View citations (10)
- Long range dependence in daily stock returns
Applied Financial Economics, 2004, 14, (6), 375-383 View citations (9)
- Modelling Monthly Spanish Tourism: A Seasonal Fractionally Integrated Approach
Tourism Economics, 2004, 10, (1), 79-94
- 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 (8)
- Modelling the US real GNP with fractionally integrated techniques
Applied Economics, 2004, 36, (8), 873-879 View citations (1)
- Real convergence in Taiwan: a fractionally integrated approach
Journal of Asian Economics, 2004, 15, (3), 529-547 View citations (2)
- 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 View citations (1)
- 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 (2005)
- Testing for Seasonal Fractional Roots in German Real Output
German Economic Review, 2004, 5, (3), 319-333 View citations (2)
Also in German Economic Review, 2004, 5, (3), 319-333 (2004)
- 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 (2)
- The permanent income hypothesis: A new framework based on fractional integration and cointegration
International Advances in Economic Research, 2004, 10, (3), 165-179
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 Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach
Brazilian Review of Econometrics, 2003, 23, (2)
- A fractional integration analysis of the population in some OECD countries
Journal of Applied Statistics, 2003, 30, (10), 1147-1159 View citations (9)
- 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 (8)
- 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 View citations (1)
- Fractional Integration and the Dynamics of UK Unemployment
Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 221-239 View citations (21)
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, 3, (1), 1-15 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 IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (02), 119-134
- Long memory and structural breaks in hyperinflation countries
Journal of Economics and Finance, 2003, 27, (2), 136-152 View citations (1)
- Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances
Applied Economics Letters, 2003, 10, (1), 33-37 View citations (2)
- Long memory in the interest rates in some Asian countries
International Advances in Economic Research, 2003, 9, (4), 257-267 View citations (1)
- Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
Computational Economics, 2003, 22, (1), 65-74 View citations (3)
- 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 View citations (1)
- Testing of Fractional Cointegration in Macroeconomic Time Series
Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 517-529 View citations (36)
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 (15)
- 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 (14)
2002
- A mean shift break in the US interest rate
Economics Letters, 2002, 77, (3), 357-363 View citations (4)
- Confidence intervals for fractionally integrated hypotheses in the real output across Europe
Applied Economics Letters, 2002, 9, (6), 407-409 View citations (3)
- Empirical evidence of the spot and the forward exchange rates in Canada
Economics Letters, 2002, 77, (3), 405-409 View citations (4)
- 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 IN THE STOCK MARKET VOLATILITY SERIES
International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (08), 775-783
- Fractional integration and mean reversion in stock prices
The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 View citations (27)
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (06), 645-657
- Modelling the Persistence of Unemployment in Canada
International Review of Applied Economics, 2002, 16, (4), 465-477 View citations (8)
- 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 (22)
- Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment
Computational Economics, 2002, 19, (3), 323-39 View citations (2)
- Structural breaks and fractional integration in the US output and unemployment rate
Economics Letters, 2002, 77, (1), 79-84 View citations (43)
- 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 (14)
- Unit and fractional roots with deterministic trends in the UK output
International Advances in Economic Research, 2002, 8, (4), 348-356
2001
- A Fractionally Integrated Exponential Model for UK Unemployment
Journal of Forecasting, 2001, 20, (5), 329-40 View citations (13)
- 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 (14)
- Estimation of Fractionally ARIMA Models for the UK Unemployment
Annals of Economics and Statistics, 2001, (62), 127-137 View citations (2)
- 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 View citations (6)
- Testing Stochastic Cycles in Macroeconomic Time Series
Journal of Time Series Analysis, 2001, 22, (4), 411-430 View citations (17)
- Testing of seasonal fractional integration in UK and Japanese consumption and income
Journal of Applied Econometrics, 2001, 16, (2), 95-114 View citations (73)
See also Working Paper (2000)
- The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models
Applied Economics, 2001, 33, (10), 1263-1269 View citations (17)
2000
- Mean reversion in the real exchange rates
Economics Letters, 2000, 69, (3), 285-288 View citations (89)
1999
- Testing fractional integration with monthly data
Economic Modelling, 1999, 16, (4), 613-629 View citations (60)
1997
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Journal of Econometrics, 1997, 80, (2), 241-268 View citations (192)
Chapters
2020
- ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration
Chapter 23 in HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, 2020, pp 889-915
2011
- Terrorism: The Case of ETA
Chapter 16 in Handbook on the Economics of Conflict, 2011
2007
- Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data
Chapter 2 in Advances In Quantitative Analysis Of Finance And Accounting, 2007, pp 23-50 
See also Working Paper (2004)
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