In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate...

This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on...

The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...