Výsledky vyhledávání - "FRACTIONAL-INTEGRATION"

Akademický článek

Inflation persistence: new evidence across US metro areas

Autor: Apergis, Nicholas

Publikováno v: Studies in Economics and Finance, 2024, Vol. 42, Issue 1, pp. 63-74.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/SEF-03-2024-0135

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Akademický článek

Stock market indices and interest rates in the US and Europe: persistence and long-run linkages

Autor: Caporale, Guglielmo Maria, Gil-Alana, Luis Alberiko, Melnicenco, Eduard

Publikováno v: Studies in Economics and Finance, 2024, Vol. 41, Issue 5, pp. 1044-1056.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/SEF-06-2023-0304

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Akademický článek

Tourism persistence in Asean countries: The impact of Covid-19

Autor: Amir IMmeri, Luis Alberiko Gil-Alana

Publikováno v: Tourism and Hospitality Management, Vol 30, Iss 3, Pp 447-452 (2024)

Purpose – This study deals with the COVID-19’s effects on the travel sector in ASEAN countries and applies fractional integration methods. Methodology/Design/Approach – The persistence and seasonality of foreign tourist visitors in ASEAN mem

Externí odkaz: https://doaj.org/article/780b8449067f43489210f19c8498af32

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Akademický článek

Exogenous shocks and time-varying price persistence in the EU27

Autor: Guglielmo Maria Caporale, Luis A. Gil-Alana, Amir Imeri

Publikováno v: Journal of Applied Economics, Vol 27, Iss 1 (2024)

This paper analyses monthly price persistence in the EU27 countries over the period 2010–2022 using a fractional integration framework, where the measure of persistence is the fractional differencing parameter d. In addition to full sample estimate

Externí odkaz: https://doaj.org/article/4e8e926980c34a11bf0fd7be119c92cb

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Akademický článek

A new approach to detect long memory by fractional integration or short memory by structural break

Autor: Yirong Huang, Liang Ding, Yan Lin, Yi Luo

Publikováno v: AIMS Mathematics, Vol 9, Iss 6, Pp 16468-16485 (2024)

Long memory in test statistics can either originate from fractional integration or be spuriously induced by a short memory process with a structural break. This research estimated and detected long memory from the two causes by simulations and empiri

Externí odkaz: https://doaj.org/article/5d577b40dfd7439b8566152095928a44

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