This article provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

We show in this article that fractionally integrated univariate models for GDP lead to a better replication of the main business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run (AR, MA,...

In this paper we examine the stochastic behavior of short-run interest rates in several emerging countries using fractional integration techniques. We allow for a much richer flexibility in the dynamic behavior of the series than the classical representations based on I(0) or I(1) processes. It...

Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...