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Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of …

Persistent link: https://www.econbiz.de/10009614880

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional … suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate …

Persistent link: https://www.econbiz.de/10009582384

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes …

Persistent link: https://www.econbiz.de/10009611543

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low …

Persistent link: https://www.econbiz.de/10009611544

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

integration as well as by the other short run components of the series. Then, we model the real GDP in France, the UK and the US … data at least for the cases of the UK and the US. -- Long memory ; Business cycles ; Fractional integration …

Persistent link: https://www.econbiz.de/10009614295