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Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming …

Persistent link: https://www.econbiz.de/10004972274

Long memory in the ukrainian stock market and financial crises

Maria Caporale, Guglielmo; Gil-Alana, Luis; Plastun, Alex; … - Volkswirtschaftliche Fakultät, … - 2013

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …

Persistent link: https://www.econbiz.de/10011111422

Fractional Integration of the Price-Dividend Ratio in a Present-Value Model.

Golinski, Adam; Madeira, Joao; Rambaccussing, Dooruj - Volkswirtschaftliche Fakultät, … - 2014

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional...

Persistent link: https://www.econbiz.de/10011201792

Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices

Goliński, Adam; Madeira, João; Rambaccussing, Dooruj - Department of Economics Studies, University of Dundee - 2015

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We nd that the nite sample order of integration of returns is approximately equal to the order of integration of the rst-di¤erenced price-dividend ratio. As such, the traditional...

Persistent link: https://www.econbiz.de/10011204291

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Franses, Philip Hans; Ooms, Marius; Eisinga, Eisinga, R. - Faculteit der Economische Wetenschappen, Erasmus … - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming …

Persistent link: https://www.econbiz.de/10010731848

Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries

Andre, Christophe; Gil-Alana, Luis A.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

. This paper uses the framework of fractional integration to test the persistence of price-to-income and price-to-rent ratios … possibility that persistence estimates may be affected by structural breaks in the series is also considered, but evidence of such …

Persistent link: https://www.econbiz.de/10010737581

Persistence and Cycles in the US Federal Funds Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012

rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 …

Persistent link: https://www.econbiz.de/10010877825

Non-linearities and fractional integration in the US unemployment rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - HWWA Institut für Wirtschaftsforschung - 2004

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...

Persistent link: https://www.econbiz.de/10010957400

Persistence in Youth Unemployment

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012

This paper examines the degree of persistence of youth unemployment (total, male and female) in twenty-four countries …-memory processes respectively. The evidence suggests that persistence is particularly high in Japan and some EU countries such as Spain …

Persistent link: https://www.econbiz.de/10010583640

Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility

Demetrescu, Matei; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2014

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root …

Persistent link: https://www.econbiz.de/10010795609