and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of …

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional …

This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special … focus on the new member countries of Central and Eastern Europe. Using an array of estimation methods, we show that the … Balassa-Samuelson effect is not an important driver of inflation rates. By contrast, we find that the initial price level and …

fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of …-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

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 … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market …

exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous … subsample estimates imply an increase over time in the degree of persistence of both series. …