Fisher's hypothesis in time-frequency space: a premier using South Africa as a case study. [PDF]
Qual Quant, 2022 Phiri A.
europepmc +1 more source
Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity [PDF]
This paper draws attention to the limitations of the standard unit root/cointegration approach to economic and financial modelling, and to some of the alternatives based on the idea of fractional integration, long memory models, and the random field ...
Derek Bond +2 more
core
Persistence in Airline Accidents [PDF]
This paper analyses airline accident data from 1927-2006, through fractional integration. It is shown that airline accidents are persistent and (fractionally) cointegrated with airline traffic.
Carlos Pestana Barros +2 more
core
Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study [PDF]
This paper draws attention to the limitations of the standard unit root/cointegration approach to economic and financial modelling, and to some of the alternatives based on the idea of fractional integration, long memory models, and the random field ...
Derek Bond +2 more
core
Residual-Based Tests for Fractional Cointegration
, 1998 This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when applied to regression residuals is more powerful than Geweke ...
openaire +2 more sources
Non-monotonic long memory dynamics in black-market premia [PDF]
The dynamic response of Black market premia to domestic shocks is an important issue in the design and implementation of stabilization and reform programs.
Michael Dueker, Patrick K. Asea
core
Determinants of consumption-based carbon emissions in Chile: an application of non-linear ARDL. [PDF]
Environ Sci Pollut Res Int, 2021 Adebayo TS +3 more
europepmc +1 more source
Persistence on airline accidents [PDF]
This paper analyses airline accidents data from 1927-2006. The fractional integration methodology is adopted. It is shown that airline accidents are persistent and (fractionally) cointegrated with airline traffic.
Carlos P. Barros +2 more
core
Beyond the Arena: How sports economics is advancing China's sustainable development goals.
Heliyon, 2023 Zhou L, Ke Z, Waqas M.
europepmc +1 more source
Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
europepmc +1 more source