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Testing of unit root cycles in US macroeconomic series

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Persistent link: https://www.econbiz.de/10003854129

Is the US inflation rate a persistent variable?

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Semiparametric estimation of the fractional differencing parameter in the US interest rate

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CAC-40 stock market index : long memory in the returns and in the volatility processes at different data frequencies

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Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Recent econometric techniques for macroeconomic and …, (pp. 293-302). 2021

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 (nonzero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012395490

Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries : a stochastic hidden Markov model approach

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Output stabilization versus deficit sustainability : is it a trade-off?

Candelon, Bertrand; Hénin, Pierre-Yves - In: Business cycles and macroeconomic stability : should we …, (pp. 281-300). 1997

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Developed and emerging equity market tail risk : is it constant?

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Linkages between stock market fluctuations and business cycles in Asia

Candelon, Bertrand; Metiu, Norbert - In: The evolving role of Asia in global finance, (pp. 23-51). 2011

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Multivariate dynamic probit models : an application to financial crises mutation

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