integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the …

This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration … and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration … and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of …

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in … cases, the order of integration of the range is lower than that of the original series, which implies the existence of a …

span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration …

, and to exhibit an order of integration around 1. When first differences (of either the original data or their logged … a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for …