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Trade balance and exchange rate : unit roots, co-integration and long memory in the US and the UK

Gil-Alaña, Luis A.; Luqui, Natalia; Cuñado … - In: Economic notes : economic review of Banca Monte dei … 37 (2008) 1, pp. 59-74

Persistent link: https://www.econbiz.de/10003712973

Multiple shift and fractional integration in the US and UK unemployment rates

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739796

A simple non-linear model with fractional integration for financial time series data

Gil-Alaña, Luis A. - In: International review of financial analysis 17 (2008) 5, pp. 838-848

Persistent link: https://www.econbiz.de/10003792309

AK growth models : new evidence based on fractional integration and breaking trends

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Recherches économiques de Louvain 75 (2009) 2, pp. 131-149

Persistent link: https://www.econbiz.de/10003847506

The forward premium puzzle in the interwar period and deviations from covered interest parity

Payá, Ivan; Peel, David; Spiru, Alina - In: Economics letters 108 (2010) 1, pp. 55-57

Persistent link: https://www.econbiz.de/10008662258

Long memory and volatility dynamics in the US dollar exchange rate

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

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...