EconPapers    
Economics at your fingertips  
 

Details about Luis Alberiko Gil-Alana

E-mail:
Phone:00 34 948 425 426
Postal address:Universidad de Navarra Faculty of Economics and Business Administration Edificio Biblioteca, Entrada Este E-31080 Pamplona SPAIN
Workplace:Facultad de Ciencias Económicas y Empresariales (School of Economics and Business Administration), Universidad de Navarra (University of Navarra), (more information at EDIRC)
Navarra Center for International Development, Universidad de Navarra (University of Navarra), (more information at EDIRC)

Access statistics for papers by Luis Alberiko Gil-Alana.

Last updated 2019-10-11. Update your information in the RePEc Author Service.

Short-id: pgi173


Jump to Journal Articles Chapters

Working Papers

2019

  1. Energy Consumption in the GCC Countries: Evidence on Persistence
    CESifo Working Paper Series, CESifo Group Munich Downloads
  2. 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
  3. High and low prices and the range in the European stock markets: a long-memory approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Persistence, non-linearities and structural breaks in European stock market indices
    CESifo Working Paper Series, CESifo Group Munich Downloads
  6. Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach
    CESifo Working Paper Series, CESifo Group Munich Downloads

2018

  1. 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)
  2. Brexit and Uncertainty in Financial Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) Downloads View citations (2)

    See also Journal Article in International Journal of Financial Studies (2018)
  3. High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach
    MPRA Paper, University Library of Munich, Germany Downloads
  4. How do Stocks in BRICS co-move with REITs?
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Is there Convergence between the Brics and International Securitized Property Markets?
    AfRES, African Real Estate Society (AfRES) Downloads
  6. Is there convergence between the BRICS and International REIT Markets?
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Modelling Long Range Dependence and Non-linearity in the Infant Mortality Rates of Africa Countries
    MPRA Paper, University Library of Munich, Germany Downloads
  8. On the Persistence of UK Inflation: A Long-Range Dependence Approach
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2018) Downloads
  9. 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
  10. 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)
  11. Persistence in the Russian Stock Market Volatility Indices
    CESifo Working Paper Series, CESifo Group Munich Downloads
  12. Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence
    CESifo Working Paper Series, CESifo Group Munich Downloads
  13. Term Premium and Quantitative Easing in a Fractionally Cointegrated Yield Curve
    Bank of Lithuania Working Paper Series, Bank of Lithuania Downloads
  14. Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2017

  1. Central Bank Policy Rates: Are They Cointegrated?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads

    See also Journal Article in International Economics (2017)
  2. 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)
  3. 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 (5)
    See also Journal Article in Resources Policy (2017)
  4. Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads
  5. Is Market Fear Persistent? A Long-Memory Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads

    See also Journal Article in Finance Research Letters (2018)
  6. Long Memory and Data Frequency in Financial Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (1)
  7. Long Memory in Turkish Unemployment Rates
    ERC Working Papers, ERC - Economic Research Center, Middle East Technical University Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2017) Downloads
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2017) Downloads
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2017) Downloads
    GLO Discussion Paper Series, Global Labor Organization (GLO) (2017) Downloads

    See also Journal Article in Emerging Markets Finance and Trade (2019)
  8. 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 Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)
  9. Persistence in the Cryptocurrency Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (2)

    See also Journal Article in Research in International Business and Finance (2018)
  10. 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)
  11. Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads
  12. Trends and Cycles in Macro Series: The Case of US Real GDP
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017) Downloads

2016

  1. A framework for Open Innovation practices: Typology and characterisation
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  2. Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in Research Discussion Papers, Bank of Finland (2016) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (2)

    See also Journal Article in Research in International Business and Finance (2018)
  3. 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)
  4. Is Inflation Persistence Different in Reality?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Economics Letters (2016)
  5. Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  6. Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in International Journal of Finance & Economics (2019)
  7. Oil shocks on unemployment in Central and Eastern Europe
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (10)
  8. On the invertibility of seasonally adjusted series
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    See also Journal Article in Computational Statistics (2018)
  9. 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

  1. African Growth, Non-Linearities and Strong Dependence: An Empirical Study
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  2. 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
  3. 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 Downloads
  4. 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 Downloads View citations (2)
  5. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (2)

    See also Journal Article in International Journal of Finance & Economics (2016)
  6. Long-Term Price Overreactions: Are Markets Inefficient?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Journal of Economics and Finance (2019)
  7. Modeling Persistence of Carbon Emission Allowance Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
  8. Persistence of precious metal prices: a fractional integration approach with structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (15)
    Also in Working Papers, University of Pretoria, Department of Economics (2014)

    See also Journal Article in Resources Policy (2015)
  9. Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2017)
  10. Productive Government Spending and its Consequences for the Growth–Inequality Tradeoff
    Working Papers, University of Pretoria, Department of Economics
  11. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads

    See also Journal Article in Finance Research Letters (2018)
  12. 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)
  13. 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 Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (4)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)

    See also Journal Article in Empirical Economics (2018)
  14. The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    See also Journal Article in Journal of Economic Studies (2016)
  15. 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)
  16. Trends and Cycles in Historical Gold and Silver Prices
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Journal of International Money and Finance (2015)

2014

  1. GDP Per Capita in Africa before the Global Financial Crisis: Persistence, Mean Reversion and Long Memory Features
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (1)

    See also Journal Article in Computational Economics (2016)
  3. Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (2)
    See also Journal Article in African Development Review (2014)
  4. On the changes in the sustainability of European external debt: what have we learned
    Bank of Estonia Working Papers, Bank of Estonia Downloads
  5. 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)
  6. Short-Term Price Overreaction: Identification, Testing, Exploitation
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (2)

    See also Journal Article in Computational Economics (2018)
  7. Testing Unemployment Theories: A Multivariate Long Memory Approach
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads

    See also Journal Article in Journal of Applied Economics (2016)
  8. Testing for Multiple Bubbles in the BRICS Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (18)
  9. 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 Downloads View citations (6)
    See also Journal Article in Energy Economics (2014)
  10. The Weekend Effect: A Trading Robot and Fractional Integration Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (5)
  11. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (10)
    See also Journal Article in Comparative Economic Studies (2014)

2013

  1. A non-linear approach with long range dependence based on Chebyshev polynomials
    Working Papers, Asociación Española de Economía y Finanzas Internacionales Downloads
    Also in Working Papers, The University of Sheffield, Department of Economics (2012) Downloads View citations (22)
    NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) Downloads View citations (1)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads View citations (6)
  2. 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)
  3. 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)
  4. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (11)
    Also in CESifo Working Paper Series, CESifo Group Munich (2013) Downloads View citations (11)

    See also Journal Article in International Review of Financial Analysis (2013)
  5. Long Memory in the Ukrainian Stock Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  6. Long memory in the ukrainian stock market and financial crises
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  7. Persistence and Cycles in Historical Oil Prices Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2014)
  8. Persistence, long memory and seasonality in Kenyan tourism series
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  9. 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)
  10. Testing for persistence with breaks and outliers in South African house prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (5)
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads
    Working Papers, University of Pretoria, Department of Economics (2012)
  11. The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)

2012

  1. Fractional Integration and Cointegration in US Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2011) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2011) Downloads

    See also Journal Article in Empirical Economics (2014)
  2. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro
    Working Papers, The University of Sheffield, Department of Economics Downloads View citations (1)
    Also in Working Papers, Asociación Española de Economía y Finanzas Internacionales (2012) Downloads View citations (3)
  3. Inflation forecasting in Angola: a fractional approach
    CEsA Working Papers, CEsA - Center for African, Asian and Latin American Studies Downloads View citations (1)
    See also Journal Article in African Development Review (2013)
  4. Long Memory in German Energy Price Indices
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) Downloads View citations (3)
  5. Modelling Long Run Trends and Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (1)

    See also Journal Article in Journal of Time Series Analysis (2013)
  6. 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 Downloads
  7. Persistence and Cycles in US Hours Worked
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads

    See also Journal Article in Economic Modelling (2014)
  8. Persistence and Cycles in the US Federal Funds Rate
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2012) Downloads View citations (1)

    See also Journal Article in International Review of Financial Analysis (2017)
  9. Persistence in Youth Unemployment
    CESifo Working Paper Series, CESifo Group Munich Downloads
  10. Term Structure Persistence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (10)
    See also Journal Article in Journal of Financial Econometrics (2016)
  11. Testing the Marshall-Lerner Condition in Kenya
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in NCID Working Papers, Navarra Center for International Development, University of Navarra (2012) Downloads

    See also Journal Article in South African Journal of Economics (2015)
  12. Testing the PPP Hypothesis in the Sub-Saharan Countries
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  13. Violence and the market for food. Evidence from Kenya
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads

2011

  1. An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (32)
    See also Journal Article in Energy Policy (2011)
  2. Exploring Survey-Based Inflation Forecasts
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2012)
  3. HOUSING SALES IN URBAN BEIJING
    Post-Print, HAL Downloads
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2011) Downloads

    See also Journal Article in Applied Economics (2012)
  4. Interest rate dynamics in Kenya
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
  5. Is there asymmetric behaviour in African inflation? A non-linear approach
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (4)
    See also Journal Article in South African Journal of Economics (2011)
  6. 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 Downloads
  7. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (2)

    See also Journal Article in Multinational Finance Journal (2012)
  8. Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (2)
  9. Oil Prices: Persistence and Breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
  10. Persistence and Cyclical Dependence in the Monthly Euribor Rate
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (1)

    See also Journal Article in Journal of Economics and Finance (2016)
  11. 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 Downloads
  12. The Deaton paradox in a long memory context with structural breaks
    Post-Print, HAL Downloads
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2009) Downloads

    See also Journal Article in Applied Economics (2012)
  13. 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 Downloads
  14. US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2010) Downloads
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads
  15. Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies
    Working Papers, The University of Sheffield, Department of Economics Downloads View citations (6)

2010

  1. 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 Downloads View citations (14)
    See also Journal Article in Energy Policy (2010)
  2. 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 Downloads
    See also Journal Article in International Journal of Finance & Economics (2012)
  3. Fractional Cointegration in US Term Spreads
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Applied Economics Letters (2012)
  4. 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 Downloads View citations (3)
    See also Journal Article in South African Journal of Economics (2010)
  5. Long Memory and Fractional Integration in High Frequency Financial Time Series
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  6. Mean reversion and long memory in African stock market prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (1)
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2010) Downloads View citations (1)

    See also Journal Article in Journal of Economics and Finance (2011)
  7. Persistence in the short and long term tourist arrivals to Australia
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  8. Retail sales. Persistence in the short term and long term dynamics
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  9. The Weekly Structure of US Stock Prices
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads

    See also Journal Article in Applied Financial Economics (2011)
  10. 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 Downloads

2009

  1. 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 Downloads View citations (1)
    See also Journal Article in Conflict Management and Peace Science (2010)
  2. 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) Downloads View citations (1)
    See also Journal Article in Recherches économiques de Louvain (2009)
  3. Fractional Integration and Structural Breaks in U.S. Macro Dynamics
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (5)
    See also Journal Article in Empirical Economics (2012)
  4. 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 Downloads View citations (3)
    Also in Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division (2009) Downloads View citations (5)

    See also Journal Article in Economic Modelling (2009)
  5. Long Memory in US Real Output per Capita
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (3)

    See also Journal Article in Empirical Economics (2013)
  6. Multi-Factor Gegenbauer Processes and European Inflation Rates
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (1)
  7. Persistence on airline accidents
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  8. Time series modelling of sunspot numbers using long range cyclical dependence
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
  9. Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division Downloads View citations (1)
  10. 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 Downloads

2008

  1. Fractional integration and data frequency
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
  2. 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 Downloads View citations (19)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
  3. The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads
    See also Journal Article in Applied Economics (2009)
  4. The Persistence of Earnings per Share
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (4)
    See also Journal Article in Review of Quantitative Finance and Accounting (2008)
  5. Time trend estimation with breaks in temperature time series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (4)
  6. Unemployment and entrepreneurship: a cyclical relationship?
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division Downloads

2007

  1. A Multivariate Long-Memory Model with Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
  2. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
  3. Identification of Segments of European Banks with a Latent Class Frontier Model
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. 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 Downloads
  5. Long Run and Cyclical Dynamics in the US Stock Market
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (6)
    Also in Economics Series, Institute for Advanced Studies (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads
    Econometric Society 2004 Latin American Meetings, Econometric Society (2004) Downloads

    See also Journal Article in Journal of Forecasting (2014)
  6. 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) Downloads
    See also Journal Article in Recherches économiques de Louvain (2007)
  7. 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 Downloads View citations (1)
    Also in 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece, European Association of Agricultural Economists (2006) Downloads View citations (1)
    2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists (2006) Downloads

    See also Journal Article in Applied Economics (2009)
  8. Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Journal of Forecasting (2008)
  9. Uncovering the U.S. Term Premium: An Alternative Route
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Journal of Banking & Finance (2012)

2006

  1. 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 Downloads
  2. 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 Downloads
  3. Fractional integration and structural breaks at unknown periods of time
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2008)
  4. 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 Downloads View citations (1)
    See also Journal Article in Empirica (2007)
  5. 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 Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)
  6. New Revelations about Unemployment Persistence in Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (2)
  7. Nonlinearities and fractional integration in the US unemployment rate
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    Also in HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) (2004) Downloads View citations (2)
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads View citations (1)
    Discussion Paper Series, Hamburg Institute of International Economics (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
  8. 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 Downloads
    See also Journal Article in Empirica (2008)
  9. Technology Shocks and Hours Worked: A Fractional Integration Perspective
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (3)
    See also Journal Article in Macroeconomic Dynamics (2009)

2005

  1. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads

    See also Journal Article in Manchester School (2005)
  2. 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 Downloads
    See also Journal Article in Applied Economics Letters (2006)
  3. 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 Downloads View citations (2)
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Empirical Economics (2006)
  4. 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 Downloads
    See also Journal Article in Applied Financial Economics Letters (2006)
  5. Structural Change and the Order of Integration in Univariate Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Computational Economics (2004)
  6. 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 Downloads
    See also Journal Article in Empirica (2007)
  7. 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 Downloads View citations (1)
  8. 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 Downloads

2004

  1. Deterministic Seasonality versus Seasonal Fractional Integration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (2)
  2. Fractional Integration and Business Cycles Features
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (9)
    See also Journal Article in Empirical Economics (2004)
  3. NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics Working Papers, European University Institute (1998)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
  4. 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 Downloads
  5. TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Chapter (2007)
  6. 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 Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

    See also Journal Article in Applied Stochastic Models in Business and Industry (2007)

2003

  1. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (3)
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2006)
  2. Fractional Integration and the Dynamics of UK Unemployment
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (20)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  3. Serial and cross-correlation in the Spanish Stock Market returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  4. Testing of Fractional Cointegration in Macroeconomic Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (28)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  5. Testing of Nonstationary Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Review of Quantitative Finance and Accounting (2006)
  6. 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 Downloads

2002

  1. Do Spanish Stock Market Prices Follow a Random Walk?
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (3)
  2. Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  3. Multivariate Tests of Fractionally Integrated Hypotheses
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    Also in Economics Working Papers, European University Institute (1998) View citations (2)
  4. Stock Market Cycles and Stock Market Development in Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads

2000

  1. 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 Downloads 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

  1. Fractional Integration in the Purchasing Power Parity
    Economics Working Papers, European University Institute View citations (1)

Journal Articles

2019

  1. An examination of trade-weighted real exchange rates based on fractional integration
    International Economics, 2019, 158, (C), 64-76 Downloads
    Also in International Economics, 2019, (158), 64-76 (2019) Downloads
  2. Are BRICS exchange rates chaotic?
    Applied Economics Letters, 2019, 26, (13), 1104-1110 Downloads View citations (1)
    See also Working Paper (2018)
  3. Automobile components: Lithium and cobalt. Evidence of persistence
    Energy, 2019, 169, (C), 489-495 Downloads
  4. 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 Downloads View citations (1)
    See also Working Paper (2016)
  5. Gold prices and the cryptocurrencies: Evidence of convergence and cointegration
    Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 1227-1236 Downloads
  6. Inflation in Argentina: Analysis of Persistence Using Fractional Integration
    Eastern Economic Journal, 2019, 45, (2), 204-223 Downloads
  7. Iranian inflation: peristence and structural breaks
    Journal of Economics and Finance, 2019, 43, (2), 398-408 Downloads
  8. Lithium: Production and estimated consumption. Evidence of persistence
    Resources Policy, 2019, 60, (C), 198-202 Downloads
  9. Long Memory in Turkish Unemployment Rates
    Emerging Markets Finance and Trade, 2019, 55, (1), 201-217 Downloads
    See also Working Paper (2017)
  10. Long-term interest rates in Europe: A fractional cointegration analysis
    International Review of Economics & Finance, 2019, 61, (C), 170-178 Downloads
  11. Long-term price overreactions: are markets inefficient?
    Journal of Economics and Finance, 2019, 43, (4), 657-680 Downloads
    See also Working Paper (2015)
  12. Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration
    The Quarterly Review of Economics and Finance, 2019, 72, (C), 65-72 Downloads
  13. Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks
    International Journal of Finance & Economics, 2019, 24, (1), 412-426 Downloads View citations (3)
    See also Working Paper (2016)
  14. 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 Downloads
    See also Working Paper (2018)
  15. 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 Downloads
    See also Working Paper (2017)
  16. 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 Downloads
  17. The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis
    International Review of Finance, 2019, 19, (1), 237-244 Downloads
  18. The cyclical structure of the UK inflation rate: 1210–2016
    Economics Letters, 2019, 181, (C), 182-185 Downloads
  19. Time Trends and Persistence in the Global CO2 Emissions Across Europe
    Environmental & Resource Economics, 2019, 73, (1), 213-228 Downloads

2018

  1. Application of local projections in the monetary policy in Brazil
    Applied Economics Letters, 2018, 25, (13), 941-944 Downloads
  2. Brexit and Uncertainty in Financial Markets
    International Journal of Financial Studies, 2018, 6, (1), 1-9 Downloads View citations (2)
    See also Working Paper (2018)
  3. 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 Downloads
    See also Working Paper (2017)
  4. 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 Downloads
    See also Working Paper (2016)
  5. Inflation analysis in the Central American Monetary Council
    Empirical Economics, 2018, 54, (2), 547-565 Downloads View citations (1)
  6. Is market fear persistent? A long-memory analysis
    Finance Research Letters, 2018, 27, (C), 140-147 Downloads
    See also Working Paper (2017)
  7. Long memory and mean reversion in real exchange rates in Latin America
    Applied Economics, 2018, 50, (29), 3148-3155 Downloads
  8. Market efficiency of Baltic stock markets: A fractional integration approach
    Physica A: Statistical Mechanics and its Applications, 2018, 511, (C), 251-262 Downloads View citations (2)
    See also Working Paper (2016)
  9. 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 Downloads
  10. Oil price shocks and unemployment in Central and Eastern Europe
    Economic Systems, 2018, 42, (1), 164-173 Downloads View citations (1)
  11. On the invertibility of seasonally adjusted series
    Computational Statistics, 2018, 33, (1), 443-465 Downloads
    See also Working Paper (2016)
  12. Persistence in the cryptocurrency market
    Research in International Business and Finance, 2018, 46, (C), 141-148 Downloads View citations (12)
    See also Working Paper (2017)
  13. Short-Term Price Overreactions: Identification, Testing, Exploitation
    Computational Economics, 2018, 51, (4), 913-940 Downloads
    See also Working Paper (2014)
  14. Testing the great decoupling: a long memory approach
    Empirica, 2018, 45, (4), 801-820 Downloads
  15. The EMBI in Latin America: Fractional integration, non-linearities and breaks
    Finance Research Letters, 2018, 24, (C), 34-41 Downloads View citations (1)
    See also Working Paper (2015)
  16. The asymmetric behaviour of spanish unemployment persistence
    Economics Bulletin, 2018, 38, (1), 98-104 Downloads View citations (1)
  17. 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 Downloads
    See also Working Paper (2015)
  18. Tourism in Iceland: Persistence and seasonality
    Annals of Tourism Research, 2018, 68, (C), 20-29 Downloads View citations (2)
  19. Unemployment in Africa: A Fractional Integration Approach
    South African Journal of Economics, 2018, 86, (1), 76-81 Downloads View citations (1)

2017

  1. A performance assessment of Mozambique banks: a Bayesian stochastic frontier
    Applied Economics, 2017, 49, (45), 4579-4587 Downloads View citations (2)
  2. CPI and inflation in Kenya. Structural breaks, non-linearities and dependence
    International Economics, 2017, 150, (C), 72-79 Downloads View citations (1)
  3. CPI and inflation in Kenya. Structural breaks, non-linearities and dependenceOriginal Research Article
    International Economics, 2017, (150), 72-79 Downloads View citations (1)
  4. Carlos Pestana Barros
    Defence and Peace Economics, 2017, 28, (3), 271-271 Downloads
  5. Central bank policy rates: Are they cointegrated?
    International Economics, 2017, (152), 116-123 Downloads
    Also in International Economics, 2017, 152, (C), 116-123 (2017) Downloads

    See also Working Paper (2017)
  6. Crude oil price behaviour before and after military conflicts and geopolitical events
    Energy, 2017, 120, (C), 79-91 Downloads View citations (8)
  7. 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 Downloads View citations (5)
    See also Working Paper (2017)
  8. Effect of Intellectual Capital on Firms¡¯ Competitive Advantage Condition: An Empirical Investigation in India
    Review of Economics & Finance, 2017, 8, 61-78 Downloads
  9. Evidence of persistence in U.S. short and long-term interest rates
    Journal of Policy Modeling, 2017, 39, (5), 775-789 Downloads
  10. Fractional integration and nonlinear deterministic trends in the analysis of time series data
    Applied Economics Letters, 2017, 24, (14), 991-994 Downloads
  11. Persistence and cycles in the us federal funds rate
    International Review of Financial Analysis, 2017, 52, (C), 1-8 Downloads
    See also Working Paper (2012)
  12. 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 Downloads View citations (1)
  13. 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 Downloads
    See also Working Paper (2015)
  14. Searching for Inefficiencies in Exchange Rate Dynamics
    Computational Economics, 2017, 49, (3), 405-432 Downloads View citations (1)
  15. Shocks affecting electricity prices in Kenya, a fractional integration study
    Energy, 2017, 124, (C), 521-530 Downloads View citations (1)
  16. The demand for money in Angola
    Journal of Economics and Finance, 2017, 41, (2), 408-420 Downloads
  17. 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 Downloads View citations (5)
    See also Working Paper (2016)
  18. The fisher relationship in Nigeria
    Journal of Economics and Finance, 2017, 41, (2), 343-353 Downloads
  19. The global financial crisis: Testing For Fractional Cointegration Between The Us And Nigerian Stock Markets
    Journal of Developing Areas, 2017, 51, (4), 29-47 Downloads
  20. The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence
    Economic Change and Restructuring, 2017, 50, (1), 45-58 Downloads View citations (4)
  21. The weekend effect: a fractional integration and trading robot analysis
    International Journal of Bonds and Derivatives, 2017, 3, (2), 114-131 Downloads View citations (1)
  22. Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach
    Resources Policy, 2017, 53, (C), 117-124 Downloads View citations (5)
  23. U.S. shale oil production and WTI prices behaviour
    Energy, 2017, 141, (C), 12-19 Downloads View citations (6)
  24. Unemployment rate cycles in Europe
    Applied Economics Letters, 2017, 24, (2), 136-139 Downloads View citations (1)

2016

  1. Energy production in Brazil: Empirical facts based on persistence, seasonality and breaks
    Energy Economics, 2016, 54, (C), 88-95 Downloads View citations (4)
  2. Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market
    Empirical Economics, 2016, 51, (4), 1399-1414 Downloads View citations (1)
  3. Fractional integration and cointegration in merger and acquisitions in the US petroleum industry
    Applied Economics Letters, 2016, 23, (10), 701-704 Downloads View citations (3)
  4. Growth recovery after civil conflict: a fractional integration approach
    Defence and Peace Economics, 2016, 27, (4), 453-479 Downloads View citations (1)
  5. 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 Downloads View citations (1)
  6. Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate
    Journal of International Development, 2016, 28, (2), 214-232 Downloads
  7. Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    Computational Economics, 2016, 47, (2), 275-295 Downloads View citations (1)
    See also Working Paper (2014)
  8. Is inflation persistence different in reality?
    Economics Letters, 2016, 148, (C), 55-58 Downloads View citations (3)
    See also Working Paper (2016)
  9. Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach
    International Journal of Finance & Economics, 2016, 21, (2), 143-153 Downloads View citations (3)
    See also Working Paper (2015)
  10. 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 Downloads
  11. Long memory and ARFIMA modelling: The case of CPI inflation rate in Ghana
    Journal of Developing Areas, 2016, 50, (3), 287-304 Downloads
  12. Modeling persistence of carbon emission allowance prices
    Renewable and Sustainable Energy Reviews, 2016, 55, (C), 221-226 Downloads View citations (6)
    See also Working Paper (2015)
  13. Persistence and cyclical dependence in the monthly euribor rate
    Journal of Economics and Finance, 2016, 40, (1), 157-171 Downloads View citations (1)
    See also Working Paper (2011)
  14. Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013
    Applied Economics, 2016, 48, (34), 3244-3252 Downloads
    See also Working Paper (2014)
  15. Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
    Applied Economics, 2016, 48, (29), 2675-2696 Downloads
  16. Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data
    Environmental & Resource Economics, 2016, 63, (1), 45-56 Downloads View citations (3)
  17. Term Structure Persistence
    Journal of Financial Econometrics, 2016, 14, (2), 331-352 Downloads View citations (21)
    See also Working Paper (2012)
  18. Testing for bubbles in the BRICS stock markets
    Journal of Economic Studies, 2016, 43, (4), 646-660 Downloads View citations (4)
  19. 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 Downloads View citations (6)
  20. Testing unemployment theories: A multivariate long memory approach
    Journal of Applied Economics, 2016, 19, 95-112 Downloads View citations (4)
    See also Working Paper (2014)
  21. 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 Downloads View citations (2)
  22. The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach
    The Journal of International Trade & Economic Development, 2016, 25, (7), 978-991 Downloads View citations (1)
    See also Working Paper (2015)
  23. The weekend effect: an exploitable anomaly in the Ukrainian stock market?
    Journal of Economic Studies, 2016, 43, (6), 954-965 Downloads View citations (1)
    See also Working Paper (2015)
  24. Time series analysis of persistence in crude oil price volatility across bull and bear regimes
    Energy, 2016, 109, (C), 29-37 Downloads View citations (12)
    See also Working Paper (2015)

2015

  1. A time-series analysis of US entrepreneurship: evidence from fractional integration
    Applied Economics Letters, 2015, 22, (7), 521-524 Downloads
  2. An empirical analysis of freight transport traffic modes in Brazil, 1996-2012
    Transportation Planning and Technology, 2015, 38, (3), 305-319 Downloads View citations (2)
  3. Comovement in Euro area housing prices: A fractional cointegration approach
    Urban Studies, 2015, 52, (16), 3123-3143 Downloads View citations (3)
    See also Working Paper (2013)
  4. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
    Applied Economics, 2015, 47, (8), 798-808 Downloads View citations (5)
    See also Working Paper (2013)
  5. 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 Downloads View citations (2)
  6. Infant mortality rates: time trends and fractional integration
    Journal of Applied Statistics, 2015, 42, (3), 589-602 Downloads View citations (2)
  7. Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study
    Global Economy Journal, 2015, 15, (4), 507-524 Downloads View citations (1)
  8. Investment and saving in Angola and the Feldstein-Horioka puzzle
    Applied Economics, 2015, 47, (44), 4793-4800 Downloads View citations (2)
  9. Linear and segmented trends in sea surface temperature data
    Journal of Applied Statistics, 2015, 42, (7), 1531-1546 Downloads View citations (1)
  10. Modelling African inflation rates: nonlinear deterministic terms and long-range dependence
    Applied Economics Letters, 2015, 22, (5), 421-424 Downloads View citations (1)
  11. 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 Downloads
  12. Persistence of precious metal prices: A fractional integration approach with structural breaks
    Resources Policy, 2015, 44, (C), 57-64 Downloads View citations (16)
    See also Working Paper (2015)
  13. Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
    African Development Review, 2015, 27, (2), 161-170 Downloads View citations (4)
  14. 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 Downloads View citations (2)
  15. Testing the Marshall–Lerner Condition in Kenya
    South African Journal of Economics, 2015, 83, (2), 253-268 Downloads View citations (1)
    See also Working Paper (2012)
  16. The Impact of Ethnic Violence in Kenya on Wheat and Maize Markets
    Journal of African Economies, 2015, 24, (4), 502-529 Downloads
  17. 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 Downloads View citations (3)
  18. The Sustainability of European External Debt: What have We Learned?
    Review of International Economics, 2015, 23, (3), 445-468 Downloads View citations (1)
  19. 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 Downloads View citations (3)
  20. The macroeconomy of Angola: breaks and persistence in Angolan macro data
    Applied Economics, 2015, 47, (27), 2783-2802 Downloads View citations (2)
  21. Trends and cycles in historical gold and silver prices
    Journal of International Money and Finance, 2015, 58, (C), 98-109 Downloads View citations (6)
    See also Working Paper (2015)

2014

  1. Economic Growth and Recovery After Civil Wars
    Peace Economics, Peace Science, and Public Policy, 2014, 20, (4), 10 Downloads
  2. Fractional integration and cointegration in US financial time series data
    Empirical Economics, 2014, 47, (4), 1389-1410 Downloads View citations (3)
    See also Working Paper (2012)
  3. Fractional integration in the West African Economic and Monetary Union
    African Journal of Economic and Sustainable Development, 2014, 3, (3), 179-199 Downloads View citations (2)
  4. Global temperatures and sunspot numbers. Are they related?
    Physica A: Statistical Mechanics and its Applications, 2014, 396, (C), 42-50 Downloads View citations (5)
  5. Government debt dynamics and the global financial crisis: Has anything changed in the EA12?
    Economics Letters, 2014, 124, (1), 64-66 Downloads View citations (12)
  6. Inflation in Mozambique: empirical facts based on persistence, seasonality and breaks
    Applied Economics, 2014, 46, (21), 2545-2555 Downloads View citations (1)
  7. Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour
    African Development Review, 2014, 26, (1), 59-73 Downloads View citations (2)
    Also in African Development Review, 2014, 26, (1), 59–73 (2014) View citations (2)

    See also Working Paper (2014)
  8. Long memory and fractional integration in the housing price series of London and Paris
    Applied Economics, 2014, 46, (27), 3377-3388 Downloads View citations (4)
  9. Long‐Run and Cyclical Dynamics in the US Stock Market
    Journal of Forecasting, 2014, 33, (2), 147-161 Downloads View citations (3)
    See also Working Paper (2007)
  10. Mean Reversion in Agricultural Commodity Prices in India
    International Advances in Economic Research, 2014, 20, (4), 385-398 Downloads
  11. Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
    Resources Policy, 2014, 41, (C), 31-39 Downloads View citations (10)
  12. 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 Downloads View citations (11)
  13. Persistence and cycles in US hours worked
    Economic Modelling, 2014, 38, (C), 504-511 Downloads View citations (3)
    See also Working Paper (2012)
  14. Persistence and cycles in historical oil price data
    Energy Economics, 2014, 45, (C), 511-516 Downloads View citations (7)
    See also Working Paper (2013)
  15. Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
    Applied Economics, 2014, 46, (18), 2127-2138 Downloads View citations (10)
    See also Working Paper (2013)
  16. The housing market in Beijing and delays in sales: A fractional polynomial survival model
    Economic Modelling, 2014, 42, (C), 296-300 Downloads View citations (2)
  17. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets
    Economic Modelling, 2014, 38, (C), 463-469 Downloads View citations (4)
  18. 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 Downloads View citations (5)
    See also Working Paper (2014)
  19. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    Comparative Economic Studies, 2014, 56, (4), 581-591 Downloads View citations (10)
    See also Working Paper (2014)

2013

  1. 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) Downloads View citations (2)

    See also Working Paper (2012)
  2. 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 Downloads View citations (11)
    See also Working Paper (2013)
  3. Long memory in US real output per capita
    Empirical Economics, 2013, 44, (2), 591-611 Downloads View citations (5)
    See also Working Paper (2009)
  4. Modelling long-run trends and cycles in financial time series data
    Journal of Time Series Analysis, 2013, 34, (3), 405-421 Downloads View citations (1)
    See also Working Paper (2012)
  5. Real convergence: empirical evidence for Latin America
    Applied Economics, 2013, 45, (22), 3220-3229 Downloads View citations (2)
  6. Salient features of dependence in daily US stock market indices
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (15), 3198-3212 Downloads View citations (1)
  7. 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
  8. The Housing Markets in Spain and Portugal: Evidence of Persistence
    Review of Economics & Finance, 2013, 3, 19-32 Downloads
  9. U.S. Disaggregated renewable energy consumption: Persistence and long memory behavior
    Energy Economics, 2013, 40, (C), 425-432 Downloads View citations (11)
  10. Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis
    Economics Bulletin, 2013, 33, (3), 1978-1982 Downloads View citations (1)

2012

  1. Comovements among U.S. state housing prices: Evidence from fractional cointegration
    Economic Modelling, 2012, 29, (3), 936-942 Downloads View citations (9)
  2. Estimating persistence in the volatility of asset returns with signal plus noise models
    International Journal of Finance & Economics, 2012, 17, (1), 23-30
    See also Working Paper (2010)
  3. Evidence of long memory behavior in U.S. renewable energy consumption
    Energy Policy, 2012, 41, (C), 822-826 Downloads View citations (26)
  4. Exploring Survey‐Based Inflation Forecasts
    Journal of Forecasting, 2012, 31, (6), 524-539 View citations (9)
    See also Working Paper (2011)
  5. Fractional cointegration in US term spreads
    Applied Economics Letters, 2012, 19, (5), 431-434 Downloads
    See also Working Paper (2010)
  6. Fractional integration and structural breaks in U.S. macro dynamics
    Empirical Economics, 2012, 43, (1), 427-446 Downloads View citations (2)
    See also Working Paper (2009)
  7. Housing sales in urban Beijing
    Applied Economics, 2012, 44, (34), 4495-4504 Downloads View citations (1)
    See also Working Paper (2011)
  8. Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    Multinational Finance Journal, 2012, 16, (1-2), 105-136 Downloads
    See also Working Paper (2011)
  9. Mean reversion of short-run interest rates: empirical evidence from new EU countries
    The European Journal of Finance, 2012, 18, (2), 89-107 Downloads View citations (4)
  10. Persistence, Long Memory, and Unit Roots in Commodity Prices
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2012, 60, (4), 451-468 Downloads
  11. Real convergence in Latin America: a fractionally integrated approach
    Applied Financial Economics, 2012, 22, (20), 1713-1717 Downloads
  12. 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 Downloads
  13. The Deaton paradox in a long memory context with structural breaks
    Applied Economics, 2012, 44, (25), 3309-3322 Downloads
    See also Working Paper (2011)
  14. Uncovering the US term premium: An alternative route
    Journal of Banking & Finance, 2012, 36, (4), 1181-1193 Downloads View citations (31)
    See also Working Paper (2007)
  15. Unemployment hysteresis: empirical evidence for Latin America
    Journal of Applied Economics, 2012, 15, 213-233 Downloads View citations (7)

2011

  1. A further investigation of unemployment persistence in European transition economies
    Journal of Comparative Economics, 2011, 39, (4), 514-532 Downloads View citations (22)
  2. An analysis of oil production by OPEC countries: Persistence, breaks, and outliers
    Energy Policy, 2011, 39, (1), 442-453 Downloads View citations (29)
    See also Working Paper (2011)
  3. Endogenous problems in cross-sectional valuation models based on accounting information
    Review of Quantitative Finance and Accounting, 2011, 37, (2), 245-265 Downloads View citations (4)
  4. 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)
  5. 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 Downloads View citations (3)
  6. 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)
  7. Inflation in South Africa. A long memory approach
    Economics Letters, 2011, 111, (3), 207-209 Downloads View citations (7)
  8. Mean reversion and long memory in African stock market prices
    Journal of Economics and Finance, 2011, 35, (3), 296-308 Downloads View citations (11)
    See also Working Paper (2010)
  9. The weekly structure of US stock prices
    Applied Financial Economics, 2011, 21, (23), 1757-1764 Downloads
    See also Working Paper (2010)

2010

  1. A Note on the Effectiveness of National Anti-Terrorist Policies: Evidence from ETA
    Conflict Management and Peace Science, 2010, 27, (1), 28-46 Downloads View citations (4)
    See also Working Paper (2009)
  2. 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 Downloads View citations (1)
  3. Does energy consumption by the US electric power sector exhibit long memory behavior?
    Energy Policy, 2010, 38, (11), 7512-7518 Downloads View citations (33)
    See also Working Paper (2010)
  4. European Current Account Sustainability: New Evidence Based On Unit Roots and Fractional Integration
    Eastern Economic Journal, 2010, 36, (2), 177-187 Downloads View citations (6)
  5. 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)
  6. 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 Downloads
  7. 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 Downloads View citations (3)
  8. Multiple cyclical fractional structures in financial time series
    Applied Economics Letters, 2010, 17, (11), 1079-1081 Downloads View citations (1)
  9. Persistence in some energy futures markets
    Journal of Futures Markets, 2010, 30, (5), 490-507 Downloads View citations (10)
  10. REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
    Journal of Economic Development, 2010, 35, (2), 1-21 Downloads View citations (4)
  11. Testing persistence in the context of conditional heteroscedasticity errors
    Applied Financial Economics, 2010, 20, (22), 1709-1723 Downloads

2009

  1. 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 Downloads
  2. AK growth models: new evidence based on fractional integration and breaking trends
    Recherches économiques de Louvain, 2009, 75, (2), 131-149 Downloads View citations (1)
    See also Working Paper (2009)
  3. 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 Downloads View citations (4)
  4. Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes
    Economic Modelling, 2009, 26, (6), 1184-1192 Downloads View citations (3)
    See also Working Paper (2009)
  5. Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling
    International Advances in Economic Research, 2009, 15, (2), 143-155 Downloads View citations (1)
  6. Introduction to the special issue on: Understanding, quantifying and modelling the terrorist threat
    Journal of Policy Modeling, 2009, 31, (5), 737-738 Downloads
  7. Multiple shifts and fractional integration in the US and UK unemployment rates
    Journal of Economics and Finance, 2009, 33, (4), 364-375 Downloads View citations (3)
  8. New evidence on long-run monetary neutrality
    Journal of Applied Economics, 2009, 12, 229-248 Downloads
  9. New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data
    Applied Economics, 2009, 41, (2), 219-236 Downloads View citations (6)
  10. Seasonal Monthly Fractional Integration in the UK Unemployment
    The IUP Journal of Applied Economics, 2009, VIII, (1), 81-96
  11. Stock market returns and terrorist violence: evidence from the Basque Country
    Applied Economics Letters, 2009, 16, (15), 1575-1579 Downloads View citations (6)
  12. TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE
    Macroeconomic Dynamics, 2009, 13, (05), 580-604 Downloads View citations (11)
    See also Working Paper (2006)
  13. The nature of occupational unemployment rates in the United States: hysteresis or structural?
    Applied Economics, 2009, 41, (19), 2483-2493 Downloads View citations (3)
    See also Working Paper (2008)
  14. 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 Downloads View citations (4)
    See also Working Paper (2007)
  15. 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 Downloads View citations (3)
  16. Unemployment and entrepreneurship: A cyclical relation?
    Economics Letters, 2009, 105, (3), 318-320 Downloads View citations (8)

2008

  1. A simple non-linear model with fractional integration for financial time series data
    International Review of Financial Analysis, 2008, 17, (5), 838-848 Downloads View citations (1)
  2. Fractional integration and structural breaks at unknown periods of time
    Journal of Time Series Analysis, 2008, 29, (1), 163-185 Downloads View citations (122)
    See also Working Paper (2006)
  3. Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
    Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 Downloads View citations (17)
    See also Working Paper (2008)
  4. New Evidence on US Current Account Sustainability
    International Journal of Business and Economics, 2008, 7, (1), 1-21 Downloads View citations (1)
  5. Real GDP growth rates across countries: long memory and mean shifts
    Applied Economics Letters, 2008, 15, (6), 449-455 Downloads
  6. 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 Downloads View citations (1)
  7. Terrorism against American citizens in Africa: Related to poverty
    Journal of Policy Modeling, 2008, 30, (1), 55-69 Downloads View citations (22)
  8. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
    Empirica, 2008, 35, (3), 241-253 Downloads View citations (1)
    See also Working Paper (2006)
  9. Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand
    Economic Modelling, 2008, 25, (2), 326-339 Downloads View citations (2)
  10. The persistence of earnings per share
    Review of Quantitative Finance and Accounting, 2008, 31, (4), 425-439 Downloads View citations (2)
    See also Working Paper (2008)
  11. Tourism in the Canary Islands: forecasting using several seasonal time series models
    Journal of Forecasting, 2008, 27, (7), 621-636 Downloads View citations (10)
    See also Working Paper (2007)
  12. 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 Downloads View citations (2)

2007

  1. 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 Downloads
  2. ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
    Defence and Peace Economics, 2007, 18, (6), 495-507 Downloads View citations (2)
  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 Downloads
  4. Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited
    Empirica, 2007, 34, (2), 139-154 Downloads View citations (1)
    See also Working Paper (2006)
  5. Nonlinearities and Fractional Integration in the US Unemployment Rate*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 Downloads View citations (48)
    See also Working Paper (2006)
  6. Real convergence in some emerging countries: a fractionally integrated approach
    Recherches économiques de Louvain, 2007, 73, (3), 293-310 Downloads
    See also Working Paper (2007)
  7. Seasonal fractional integration with structural break. An application to the German GNP data
    Economics Bulletin, 2007, 3, (32), 1-6 Downloads
  8. Serial correlation in the Spanish Stock Market
    Global Finance Journal, 2007, 18, (1), 84-103 Downloads View citations (10)
  9. Strong dependence in the nominal exchange rates of the Polish zloty
    Applied Stochastic Models in Business and Industry, 2007, 23, (2), 97-116 Downloads
  10. Testing for deterministic and stochastic cycles in macroeconomic time series
    Empirica, 2007, 34, (2), 155-169 Downloads
    See also Working Paper (2005)
  11. Testing for stock market bubbles using nonlinear models and fractional integration
    Applied Financial Economics, 2007, 17, (16), 1313-1321 Downloads View citations (13)
  12. 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 Downloads
    See also Working Paper (2004)

2006

  1. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Review of World Economics (Weltwirtschaftliches Archiv), 2006, 142, (1), 67-91 Downloads View citations (8)
    See also Working Paper (2003)
  2. ETA: A PERSISTENT PHENOMENON
    Defence and Peace Economics, 2006, 17, (2), 95-116 Downloads View citations (6)
  3. Fractional integration in daily stock market indexes
    Review of Financial Economics, 2006, 15, (1), 28-48 Downloads View citations (22)
  4. 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 Downloads View citations (4)
    See also Working Paper (2005)
  5. Long memory at the long-run and the seasonal monthly frequencies in the US money stock
    Applied Economics Letters, 2006, 13, (15), 965-968 Downloads View citations (2)
    See also Working Paper (2005)
  6. Mean Reversion of Short‐run Interest Rates in Emerging Countries*
    Review of International Economics, 2006, 14, (1), 119-135 Downloads View citations (11)
  7. 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 Downloads
  8. Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
    Applied Financial Economics Letters, 2006, 2, (1), 9-12 Downloads View citations (3)
    See also Working Paper (2005)
  9. 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 Downloads View citations (1)
  10. Testing Seasonality in the Context of Fractionally Integrated Processes
    Annals of Economics and Statistics, 2006, (81), 69-91 Downloads View citations (1)
  11. Testing of nonstationary cycles in financial time series data
    Review of Quantitative Finance and Accounting, 2006, 27, (1), 47-65 Downloads View citations (4)
    See also Working Paper (2003)
  12. The timing of ETA terrorist attacks
    Journal of Policy Modeling, 2006, 28, (3), 335-346 Downloads View citations (8)
  13. UK Unemployment Dynamics: a Fractionally Cointegrated Approach
    Economia Internazionale / International Economics, 2006, 59, (1), 33-50 Downloads View citations (2)

2005

  1. A re-examination of historical real daily wages in England: 1260-1994
    Journal of Policy Modeling, 2005, 27, (7), 829-838 Downloads
  2. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
    Journal of Banking & Finance, 2005, 29, (10), 2633-2654 Downloads View citations (49)
  3. An I(d) Statistical Model for the Canadian Real Output
    The IUP Journal of Monetary Economics, 2005, III, (1), 79 - 93
  4. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*
    Manchester School, 2005, 73, (6), 737-753 Downloads View citations (10)
    See also Working Paper (2005)
  5. FRACTIONAL INTEGRATION AT ZERO AND THE CYCLICAL FREQUENCIES IN THE SPECIFICATION OF US PRICES
    The Singapore Economic Review (SER), 2005, 50, (02), 169-173 Downloads
  6. Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output
    European Research Studies Journal, 2005, VIII, (1-2), 99-126 Downloads
  7. Fractional Integration and Cointegration in the Japanese Exchange Rate Market
    Japanese Economy, 2005, 32, (4), 12-35 Downloads
  8. Fractional integration in total factor productivity: evidence from US data
    Applied Economics, 2005, 37, (12), 1369-1383 Downloads View citations (3)
  9. MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 675-691 Downloads
  10. 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 Downloads
  11. TESTING OF REAL CONVERGENCE IN GERMANY IN THE PRESENCE OF STRUCTURAL BREAKS
    The Singapore Economic Review (SER), 2005, 50, (01), 93-101 Downloads
  12. Testing and forecasting the degree of integration in the US inflation rate
    Journal of Forecasting, 2005, 24, (3), 173-187 Downloads View citations (6)
  13. 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 Downloads
  14. 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 Downloads View citations (3)

2004

  1. A fractionally integrated model for the Spanish real GDP
    Economics Bulletin, 2004, 3, (8), 1-6 Downloads View citations (1)
  2. 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 Downloads View citations (10)
  3. 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 Downloads View citations (2)
  4. Forecasting the real output using fractionally integrated techniques
    Applied Economics, 2004, 36, (14), 1583-1589 Downloads
  5. Fractional cointegration and real exchange rates
    Review of Financial Economics, 2004, 13, (4), 327-340 Downloads View citations (14)
  6. Fractional cointegration and tests of present value models
    Review of Financial Economics, 2004, 13, (3), 245-258 Downloads View citations (36)
  7. Fractional cointegration in the consumption and income relationship using semiparametric techniques
    Economics Bulletin, 2004, 3, (47), 1-8 Downloads
  8. Fractional integration and business cycle features
    Empirical Economics, 2004, 29, (2), 343-359 Downloads View citations (9)
    See also Working Paper (2004)
  9. Is the US fiscal deficit sustainable?: A fractionally integrated approach
    Journal of Economics and Business, 2004, 56, (6), 501-526 Downloads View citations (28)
  10. Long memory in the U.S. interest rate
    International Review of Financial Analysis, 2004, 13, (3), 265-276 Downloads View citations (10)
  11. Long range dependence in daily stock returns
    Applied Financial Economics, 2004, 14, (6), 375-383 Downloads View citations (8)
  12. 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 Downloads
  13. 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 Downloads View citations (7)
  14. Modelling the US real GNP with fractionally integrated techniques
    Applied Economics, 2004, 36, (8), 873-879 Downloads View citations (1)
  15. Real convergence in Taiwan: a fractionally integrated approach
    Journal of Asian Economics, 2004, 15, (3), 529-547 Downloads View citations (2)
  16. 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 Downloads View citations (1)
  17. Seasonal fractional components in macroeconomic time series
    Applied Economics, 2004, 36, (12), 1265-1279 Downloads
  18. Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
    Applied Economics, 2004, 36, (11), 1205-1217 Downloads
  19. Structural Change and the Order of Integration in Univariate Time Series
    Computational Economics, 2004, 23, (3), 239-254 Downloads
    See also Working Paper (2005)
  20. Testing for Seasonal Fractional Roots in German Real Output
    German Economic Review, 2004, 5, (3), 319-333 Downloads View citations (2)
  21. Testing of I(d) processes in the real output
    Economics Bulletin, 2004, 3, (32), 1-6 Downloads
  22. Testing of Unit Root Cycles in the Swedish Economy
    Empirica, 2004, 31, (4), 333-344 Downloads
  23. The Stochastic Permanent Break Model and the Fractional Integration Hypothesis
    Computational Economics, 2004, 23, (4), 315-324 Downloads
  24. 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 Downloads View citations (2)
  25. The permanent income hypothesis: A new framework based on fractional integration and cointegration
    International Advances in Economic Research, 2004, 10, (3), 165-179 Downloads

2003

  1. A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components
    Review on Economic Cycles, 2003, 7, (1) Downloads
  2. A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach
    Brazilian Review of Econometrics, 2003, 23, (2) Downloads
  3. A fractional integration analysis of the population in some OECD countries
    Journal of Applied Statistics, 2003, 30, (10), 1147-1159 Downloads View citations (9)
  4. A fractional multivariate long memory model for the US and the Canadian real output
    Economics Letters, 2003, 81, (3), 355-359 Downloads View citations (7)
  5. Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate
    Applied Economics Letters, 2003, 10, (2), 103-105 Downloads
  6. Empirical evidence on real convergence in some OECD countries
    Applied Economics Letters, 2003, 10, (3), 173-176 Downloads View citations (8)
  7. 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 Downloads View citations (1)
  8. Fractional Integration and the Dynamics of UK Unemployment
    Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 221-239 Downloads View citations (20)
    See also Working Paper (2003)
  9. 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 Downloads View citations (1)
  10. Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK
    Applied Econometrics and International Development, 2003, 3, (1) Downloads
  11. LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (02), 119-134 Downloads
  12. Long memory and structural breaks in hyperinflation countries
    Journal of Economics and Finance, 2003, 27, (2), 136-152 Downloads View citations (1)
  13. Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances
    Applied Economics Letters, 2003, 10, (1), 33-37 Downloads View citations (2)
  14. Long memory in the interest rates in some Asian countries
    International Advances in Economic Research, 2003, 9, (4), 257-267 Downloads View citations (1)
  15. Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
    Computational Economics, 2003, 22, (1), 65-74 Downloads View citations (3)
  16. Stochastic behavior of nominal exchange rates
    Atlantic Economic Journal, 2003, 31, (2), 159-173 Downloads View citations (2)
  17. Strong dependence in the real interest rates
    Applied Economics, 2003, 35, (2), 119-124 Downloads
  18. Testing of Fractional Cointegration in Macroeconomic Time Series
    Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 517-529 Downloads View citations (29)
    See also Working Paper (2003)
  19. Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
    Empirical Economics, 2003, 28, (1), 101-113 Downloads View citations (15)
  20. Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses
    Computational Economics, 2003, 22, (1), 23-38 Downloads
  21. The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
    Economia Internazionale / International Economics, 2003, 56, (3), 323-335
  22. Unemployment and real oil prices in Australia: a fractionally cointegrated approach
    Applied Economics Letters, 2003, 10, (4), 201-204 Downloads View citations (11)

2002

  1. A mean shift break in the US interest rate
    Economics Letters, 2002, 77, (3), 357-363 Downloads View citations (4)
  2. Confidence intervals for fractionally integrated hypotheses in the real output across Europe
    Applied Economics Letters, 2002, 9, (6), 407-409 Downloads View citations (3)
  3. Empirical evidence of the spot and the forward exchange rates in Canada
    Economics Letters, 2002, 77, (3), 405-409 Downloads View citations (4)
  4. Estimation and Testing of ARFIMA Models in the Real Exchange Rate
    International Journal of Finance & Economics, 2002, 7, (4), 279-92 Downloads View citations (3)
  5. FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (08), 775-783 Downloads
  6. Fractional integration and mean reversion in stock prices
    The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 Downloads View citations (23)
  7. 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 Downloads
  8. Modelling the Persistence of Unemployment in Canada
    International Review of Applied Economics, 2002, 16, (4), 465-477 Downloads View citations (7)
  9. Real exchange rates: evidence from black markets using fractionally integrated semiparametric techniques
    Applied Economics Letters, 2002, 9, (12), 787-790 Downloads View citations (3)
  10. Seasonal long memory in the aggregate output
    Economics Letters, 2002, 74, (3), 333-337 Downloads View citations (22)
  11. Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment
    Computational Economics, 2002, 19, (3), 323-39 Downloads View citations (2)
  12. Structural breaks and fractional integration in the US output and unemployment rate
    Economics Letters, 2002, 77, (1), 79-84 Downloads View citations (42)
  13. Testing the order of integration of the UK Unemployment
    Applied Econometrics and International Development, 2002, 2, (1) Downloads View citations (1)
  14. Unemployment and input prices: a fractional cointegration approach
    Applied Economics Letters, 2002, 9, (6), 347-351 Downloads View citations (11)
  15. Unit and fractional roots with deterministic trends in the UK output
    International Advances in Economic Research, 2002, 8, (4), 348-356 Downloads

2001

  1. A Fractionally Integrated Exponential Model for UK Unemployment
    Journal of Forecasting, 2001, 20, (5), 329-40 View citations (11)
  2. A fractionally integrated model with a mean shift for the US and the UK real oil prices
    Economic Modelling, 2001, 18, (4), 643-658 Downloads View citations (13)
  3. Estimation of Fractionally ARIMA Models for the UK Unemployment
    Annals of Economics and Statistics, 2001, (62), 127-137 Downloads View citations (1)
  4. Measuring unemployment persistence in terms of I(d) statistical models
    Applied Economics Letters, 2001, 8, (12), 761-763 Downloads View citations (3)
  5. Seasonal long memory in the US monthly monetary aggregate
    Applied Economics Letters, 2001, 8, (9), 573-575 Downloads View citations (6)
  6. Testing Stochastic Cycles in Macroeconomic Time Series
    Journal of Time Series Analysis, 2001, 22, (4), 411-430 Downloads View citations (3)
  7. Testing of seasonal fractional integration in UK and Japanese consumption and income
    Journal of Applied Econometrics, 2001, 16, (2), 95-114 Downloads View citations (70)
    See also Working Paper (2000)
  8. The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models
    Applied Economics, 2001, 33, (10), 1263-1269 Downloads View citations (15)

2000

  1. Mean reversion in the real exchange rates
    Economics Letters, 2000, 69, (3), 285-288 Downloads View citations (88)

1999

  1. Testing fractional integration with monthly data
    Economic Modelling, 1999, 16, (4), 613-629 Downloads View citations (59)

1997

  1. Testing of unit root and other nonstationary hypotheses in macroeconomic time series
    Journal of Econometrics, 1997, 80, (2), 241-268 Downloads View citations (177)

Chapters

2011

  1. Terrorism: The Case of ETA
    Chapter 16 in Handbook on the Economics of Conflict, 2011 Downloads

2007

  1. 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 Downloads
    See also Working Paper (2004)
 
Page updated 2019-10-23