Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that...

Water deficiency is a major concern in several arid and semi-arid countries, affecting public utilities, sustainable development, and economic welfare. This paper aims to empirically investigate the structure of water demand in residential, industrial, and tourism sectors in Tunisia by using...

This paper examines empirically the electricity market integration process for Germany, France and Italy countries by investigating possible price convergence. Two empirical approaches have been considered to investigate this issue : cointegration analysis and state space model with time varying...

This paper contributes to the empirical literature on Islamic finance by investigating the feature of Islamic and conventional banks in Gulf Cooperation Council (GCC) countries over the period 2003-2010. We use parametric and non-parametric classification models (Linear discriminant analysis,...

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models that allow for long memory and/or structural changes:...

Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that...

This paper analyzes the dynamics of the US inflation series using two classes of models : structural changes models and Long memory processes. For the first class, we use the Markov Switching (MS-AR) model of Hamilton (1989) and the Structural Change (SCH-AR) model using the sequential method...

Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that...

Are structural break models true switching models or long memory processes? The answer to this question remains ambiguous. In recent years, many papers have dealt with this problem. Some studies have shown that, under specific conditions, switching models and long memory processes can easily be...

This paper investigates the short term relationship between the three major European electricity markets: France, Germany and Italy. Using a multivariate analysis, we study the impact of each electricity price changes in one country on the electricity price of the others two countries. Empirical...