This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

This note provides extensive evidence on the persistence properties of real GDP in 17 European countries and in the US over the period 1960-2023 using a fractional integration framework. The analysis suggests that in all cases shocks have permanent effects on the level of real GDP. This is...

This paper analyses trends and persistence in atmospheric pollution in ten US cities over the period from January 2014 to January 2024 using fractional integration methods. The results support the hypothesis of long memory and mean reversion in atmospheric pollution in all cities examined. They...

This paper applies a fractional integration framework to investigate the behaviour of the stock returns of two sets of representative US companies with different environmental profiles, namely green versus polluting firms, as well as of the widely used CPU (Climate Policy Uncertainty) index over...

This paper examines the impact of the Covid-19 pandemic on Spanish hotel activity to establish whether it has had temporary or permanent effects. The empirical investigation is based on both quantitative and qualitative approaches. For the former, data from Google Trends and the Spanish...

This paper puts forward a general statistical model in the time domain based on the concept of fractional integration. More specifically, in the proposed framework instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This approach...

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

This paper examines persistence and nonlinearities in the US Federal Funds rate over the period from July 1954 to April 2025 by using fractional integration methods. More precisely, a general model including both deterministic and stochastic components is estimated under alternative assumptions...

This paper uses fractional integration methods to obtain comprehensive evidence on the evolution of the number of hot days, defined as those with temperatures above 35 °C, in 54 countries from various regions of the world over the period from 1950 to 2022. The variable analysed is a key...

This paper examines the stochastic behaviour of the number of earthquakes (in total and also classified by magnitude) and stock market log prices and returns in the case of Japan over the period from January 2009 to February 2024 using fractional integration methods. Their linkages are then...