This paper analyses monthly data on sea ice cover extent from January 1979 to April 2024 and on snow cover extent from January 1967 to April 2024 for various regions of the world using fractional integration methods. A statistically significant time trend is found when the errors in the...

This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that...

This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but...

This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods to a dataset constructed by Mankoff et al. (2020) on ice discharge for seven different regions of Greenland. The adopted empirical framework encompasses a wide range of...

Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in...

This paper analyses trends and persistence in atmospheric pollution in ten US cities over the period from January 2014 to January 2024 using fractional integration methods. The results support the hypothesis of long memory and mean reversion in atmospheric pollution in all cities examined. They...

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...