Testing of Unit Root Cycles in the Swedish Economy
Long memory, unit root cycles, macroeconomic time series,
Uncovering the U.S. Term Premium: An Alternative Route
Luis Gil-Alana, Antonio Moreno
The estimates of the U.S. term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally...
Guglielmo Caporale, Luis Gil-Alana
Gegenbauer processes, Fractional cycles, Long memory, C22,
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
Testing for deterministic and stochastic cycles in macroeconomic time series
Guglielmo Caporale, Luis Gil-Alana
Deterministic cycles, Stochastic cycles, Long memory, C22,
ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
Carlos Pestana Barros, Isabel Proença, João Ricardo Faria, Luis Gil-Alana
This paper analyzes the determinants of the probability of US citizens being victims of terrorist attacks in European countries, taking into account uncontrolled heterogeneity of the data. The...
Stochastic volatility in the Spanish stock market: a long memory model with a structural break
In this paper, we examine the stochastic volatility behaviour in the Spanish stock market returns over the time period 2 January 2001 - 12 May 2006. We use a long memory model that takes into account...
Seasonal fractional integration with structural break. An application to the German GNP data
This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a...
Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
We investigate in this article the implications that seasonal misspecificationproduces in the context of fractionally integrated models. We use a versionof the tests of Robinson (1994) that permits...
Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series
In this article, we show that macroeconomic time series may contain unit and fractional roots at both, at zero and at zero and at the seasonal frequencies. The importance of the root at the long run...
We are concerned in this article with the estimation of the degree of dependence between the observations of the monthly temperatures in the northern hemisphere from 1854 to 1989 by means of using...
Carlos Pestana Barros, Luis Gil-Alana
Most searchers performing unit root tests on terrorism series reject the null hypothesis of unit roots (I(1)) and conclude that terrorism is stationary (I(0)). In this paper we analyze ETA activity...
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
Unemployment and entrepreneurship: a cyclical relationship?
Joao Ricardo Faria, Juan Carlos Cuestas, Luis Gil-Alana
This paper presents a cyclical model for unemployment and entrepreneurship. The estimated periodicity of the cycles for the US, the UK, Spain and Ireland is between 5 and 10 years, and the orders of...
Real GDP growth rates across countries: long memory and mean shifts
This article deals with the analysis of the long memory property in the growth rates of the real GDP series across various countries, allowing for a mean break at an unknown period of time. We use a...
Guglielmo Caporale, Luis Gil-Alana
Seasonality, Long memory, Monetary aggregates, C15, C22,
The persistence of earnings per share
Luis Gil-Alana, Rolando Peláez
Persistence, Fractional integration, Earnings per share, C010, C140, G100,
Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling
Public revenues, Public expenditures, Fractional integration, Asymmetric modeling, Structural breaks, C32, E62, H60,
Christian Fischer, Luis Gil-Alana
This article deals with the relationship between international trade and tourism. We focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different...
Luis Gil-Alana, Carlos Pestana Barros
This paper deals with the analysis of inflation in Latin America across the 20th century. We use annual data from 18 countries using a methodology based on fractional integration. However, given the...
Introduction to the special issue on: Understanding, quantifying and modelling the terrorist threat
Barros, Carlos Pestana, Gil-Alana, Luis, Faria, João Ricardo
Multiple shifts and fractional integration in the US and UK unemployment rates
Guglielmo Caporale, Luis Gil-Alana
Unemployment, Persistence, Long Memory, Multiple Shifts, C22, E32,
Stock market returns and terrorist violence: evidence from the Basque Country
We analyse the extent of the negative effects of violence in the Basque Country on the financial and economic activity of the region. We use daily data of the Basque stock market index and employ...
Carlos Barros, Guglielmo Maria Caporale, Luis Gil-Alana
In the last 15 years, terrorist activity in the Basque Country has substantially decreased and strategies have changed. Whilst the type of killings has become more specialised (politicians,...