in mean reversal within a day and captures low frequency dynamics in the duration time series.The joint estimation of the …

that guarantee consistent estimation of persistence from residuals. At the same time limiting normality is derived, which …-periodogram regression to the (differenced) residuals in order to estimate and test the degree of persistence of the equilibrium deviation … allows to construct approximate confidence intervals to test hypotheses on the persistence. Our assumptions allow for …

persistence of the forward discount. However, after removing the breaks, we still find evidence of stationary long memory in all …

This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying … persistence in all debt/GDP series, which appear to be I(1). However, cross-country differences emerge when analysing the … low persistence and mean reversion (0<d<0.5). We also assess debt sustainability by analysing the stochastic properties of …