This paper provides several examples of simple non-linear time series models with fractionally integrated disturbances. Both types of models (non-linear and fractional integration) have been widely used in recent years when modeling financial data. We use a testing procedure that permits us to...

This paper deals with the modelling of the global and northern and southern hemispheric anomaly temperature time series using a novel technique based on segmented trends and fractional integration. We use a procedure that permits us to estimate linear time trends and orders of integration at...

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

This paper examines the robustness of fractional integration estimates to different data frequencies. We show by means of Monte Carlo experiments that if the number of differences is an integer value (e.g., 0 or 1) there is no distortion when data are collected at wider intervals; however, if it...

In this paper we study the suitability of the CAPM to the Spanish Stock Market Interconnection System (SIBE) for the period 1988-2000, by means of time series and cross-section multivariate tests. Even though there is no enough empirical evidence to reject this model, it is shown that the...

This paper employs various empirical tests in order to measure the persistence of shocks to EPS for the S&P 500 index. Within the I(0)/I(1) paradigm the empirical evidence rejects the I(1) specification, supporting instead a trend-stationary representation. When fractional orders of integration...

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the...

The aim of this paper is to analyse the empirical fulfilment of the Purchasing Power Parity (PPP) theory for the Australian dollar. In order to do so we have applied recently developed unit root tests that account for asymmetric adjustment towards the equilibrium (Kapetanios et al., 2003) and...