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Testing Unemployment Hysteresis in European Countries : Argument Based on Three-Generation Unit Root Tests

Yaya, OlaOluwa S.; Ogbonna, Ahamuefula Ephraim; … - 2022

This paper employs a comprehensive set of “state-of-the-art” unit root tests, including the autoregressive neural network (ARNN) unit root test (Yaya et al. 2021; Oxford Bulletin of Economics and Statistics), to investigate unemployment hysteresis in five European countries: France, Italy, the...

Persistent link: https://www.econbiz.de/10014080991

Long memory and volatility dynamics in the US dollar exchange rate

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

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10010271381

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2008

This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

Persistent link: https://www.econbiz.de/10010264382

Estimating persistence in the volatility of asset returns with signal plus noise models

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

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

Persistent link: https://www.econbiz.de/10010271356

Testing Fractional Integration in Time Series with Artificial Neural Network

Furuoka, Fumitaka; Gil-Alana, Luis A.; Yaya, OlaOluwa S.; … - 2022

This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...

Persistent link: https://www.econbiz.de/10014080994

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

Long memory and fractional integration in high frequency financial time series

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

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Convergence of gender unemployment gaps in Africa: New evidence from Fourier ADF and KPSS unit root tests with break

Furuoka, Fumitaka; Gil-Alana, Luis A.; Yaya, OlaOluwa S; … - 2024

This paper uses four ADF-type unit root tests and four KPSS-type stationarity tests to examine whether the gender unemployment gap would converge to zero in Africa. Among these different tests, the two most restricted models, namely the ADF test and the KPSS test, indicate no convergence in the...

Persistent link: https://www.econbiz.de/10015214343

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10010264093

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10010264124