This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using continuous wavelet theory as constructed from smoothing kernels. We show that a log-log linear relationship exists between the variance of the wavelet coefficient and the level at...

For a process with stationary first differences necessary and sufficient conditions for the variance of the process to be unbounded are given. An example shows that the variance of an integrated process -- while being unbounded -- need not diverge to infinity. Sufficient conditions for the...

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...

In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to long-memory processes. We derive new restrictions on the order of the nominal and real variable and...

This paper uses an international multi-factor Arbitrage Pricing Theory (APT) model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. In general we find strong evidence that oil price risk...

Emerging markets are often exposed to sudden stops of capital inflows. What are the effects of monetary policy in such an environment? To answer this question, the paper proposes a model with the typical elements of an emerging market economy. Credit frictions generate balance sheet effects,...

Review of Peter J. Montiel 'Macroeconomics in Emerging Markets'

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...

In recent years the number of going private transactions has sharply increased in emerging markets. The purpose of this study is to establish the financial characteristics of companies that have gone private using a dataset comprising of Polish companies. We use a probit model to distinguish the...

A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond Markets: individual Long Range Dependence in volatility---Long Memory (LM)---, high fractional comovement and time varying risk premia. Evidence in favor of LM is uncovered and the...