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

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 …

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …

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. …

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …