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The dynamics of the real exchange rates in Europe : a comparative study across countries using fractional integration

Gil-Alaña, Luis A. - In: Applied economics letters 11 (2004) 7, pp. 429-432

Persistent link: https://www.econbiz.de/10002111184

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

The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models

Gil-Alaña, Luis A. - In: Applied economics 33 (2001) 10, pp. 1263-1269

Persistent link: https://www.econbiz.de/10001590553

Testing persistence in the context of conditional heteroscedasticity errors

Gil-Alaña, Luis A. - In: Applied financial economics 20 (2010) 22/24, pp. 1709-1723

Persistent link: https://www.econbiz.de/10009012375

Identification of segments of European banks with a latent class frontier model

Barros, Carlos Pestana (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003641846

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...