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A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001509586

Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001509600

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001470265

Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001550570

Tail behavior of credit loss distributions for general latent factor models

Lucas, André (contributor) - 2001

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Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

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Tax competition under minimum rates : the case of European diesel excises

Evers, Michiel; Mooij, Ruud A. de; Vollebergh, Herman R. J. - 2004

This paper estimates Nash-type fiscal reaction functions for European governments competing for revenue from diesel excises. It appears that European governments strategically set their excise levels by responding to their neighbors' tax rates. This provides evidence for the presence of tax...

Persistent link: https://www.econbiz.de/10002128268

Non-linearities and fractional integration in the US unemployment rate

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A general framework for observation driven time-varying parameter models

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008

Persistent link: https://www.econbiz.de/10003787160

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003963304