This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively … detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its …

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. …

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

applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000 – 15 …

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this …

, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

cases; however, there are differences in the degree of persistence across regions, the series for Europe being the closest …

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

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 …