This article examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

This article analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow-Jones and the S&P stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies,...

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, fractional integration/cointegration techniques are used which allow for the...

This study shows that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. It uses a procedure that enables one to test simultaneously for the roots at all these frequencies. The results...

This article estimates a fractional integration model with nonlinear deterministic trends for the inflation rates of five African countries. The results indicate that nonlinearities are present in the case of Angola and Lesotho, but not in the case of Botswana, Namibia and South Africa....

The seasonal structure of the US monthly M1 monetary aggregate is investigated in this article by means of seasonal long memory processes. Using a version of the tests proposed by Robinson in 1994, the results show that the orders of integration are higher when seasonal monthly differences are...

Confidence intervals for the fractional differencing parameter are established in this article for the real output in several European countries. They are based on a testing procedure due to Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994) and the results indicate...

The behaviour of the real exchange rates (relative to the US dollar) is examined in this article using monthly data obtained from the black markets for foreign exchange of eight Asian developing countries. Using the quasi maximum likelihood estimation procedure of Robinson (Annals of Statistics,...

In the paper the unemployment rate series of nineteen countries are examined by means of fractionally integrated techniques. The results show that unemployment series are more persistent in some countries, such as Finland, Belgium or Spain, than in others, like the USA, Japan, Austria, Italy or...

This article deals with the analysis of the long memory property in the growth rates of the real GDP series across various countries, allowing for a mean break at an unknown period of time. We use a procedure suggested by Hsu and Kuan (1998, 2000) and the results show that the mean break takes...