This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...

This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...