This article analyses the long memory properties of quarterly real output per capita in the US (1948Q1–2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

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

Most searchers performing unit root tests on terrorism series reject the null hypothesis of unit roots (I(1)) and conclude that terrorism is stationary (I(0)). In this paper we analyze ETA activity in Spain during the last 30 years by means of examining its degree of dependence across time,...

The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for describing the short-run components of the series, we use an approach due to Bloomfield (1973)....