This paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling framework is very general since it allows the differencing parameter to take any real value, including fractional ones, and provides useful information on both the short and the...

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various technology-related assets such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques. More precisely, it analyzes the behavior of the...

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...

This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges...

This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in...

This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign tourist arrivals and overnight stays. The...