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Policy convergence, the exchange rate mechanism and the misalignment of exchange rates : some tests of purchasing power parity and generalized purchasing power parity

Sarno, Lucio - In: Applied economics 29 (1997) 5, pp. 591-605

Persistent link: https://www.econbiz.de/10001225026

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

Persistent link: https://www.econbiz.de/10001597000

Nonlinear dynamics in deviations from the law of one price : a broad-based empirical study

Sarno, Lucio; Taylor, Mark P.; Chowdhury, Ibrahim - In: Journal of international money and finance 23 (2004) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001896351

Short- and long-run price level uncertainty under different monetary policy regimes : an international comparison

Chadha, Jagjit; Sarno, Lucio - In: Oxford bulletin of economics and statistics 64 (2002) 3, pp. 187-216

Persistent link: https://www.econbiz.de/10001694535

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001550571

Fractional cointegration and aggregate money demand functions

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: The Manchester School 73 (2005) 6, pp. 737-753

Persistent link: https://www.econbiz.de/10003202926

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - In: Applied economics 36 (2004) 14, pp. 1583-1589

Persistent link: https://www.econbiz.de/10002157933

Exchange rates and fundamentals : evidence on the economic value of predictability

Abhyankar, Abhay; Sarno, Lucio; Valente, Giorgio - In: Journal of international economics 66 (2005) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10002961971

Multi-factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

Persistent link: https://www.econbiz.de/10003817132

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10003850335