This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete MODWT with Daubechies least asymmetric...

We employ the nonlinear unit-root test recently developed by Omay et al. (2018), as well as other linear and nonlinear tests, to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England (Thomas and Dimsdale, 2017). Three series span...

We investigate inflation persistence in six inflation targeting (IT) countries from the global-economy perspective. This view maintains that inflation persistence in IT countries has declined mainly because of the decline of inflation persistence in the global economy. We provide empirical...

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...

This paper reports a two-stage analysis of inflation persistence using monthly data from 11 IT countries and, for comparison, the US, a non IT country with a history of credible monetary policy. First, we estimate inflation persistence in a rolling-window fractional integration setting using the...

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

This paper employs linear and nonlinear unit-root tests to investigate: a) the price dynamics of the home price indices included in the S&P/Case-Shiller Composite10 index, and b) the validity of the “ripple effect,” following the approach outlined in Meen (1999). In general, the findings...