1. Brunel University Research Archive

Browsing by Subject fractional integration

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Issue DateTitleAuthor(s)
19-Dec-2024Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic ActivityCaporale, GM; Gil-Alana, LA; Piqueras Martinez, PJ
1-Jun-2021Economic policy uncertainty: Persistence and cross-country linkagesAbakah, EJA; Caporale, GM; Gil-Alana, LA
20-Dec-2022The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysisAbakah, EJA; Caporale, GM; Gil-Alana, LA
2017THE EMBI IN LATIN AMERICA: FRACTIONAL INTEGRATION, NON-LINEARITIES AND BREAKSCarcel, H; Gil-Alana, L
11-Dec-2019Energy consumption in the GCC countries: evidence on persistenceCaporale, GM; Gil-Alana, LA; Monge, M
21-Mar-2024Exogenous shocks and time-varying price persistence in the EU27Caporale, GM; Gil-Alana, LA; Imeri, A
31-May-2024Exponential time trends in a fractional integration modelCaporale, GM; Gil-Alana, LA
30-Jan-2020Fractional integration and the persistence of UK inflation, 1210-2016Caporale, GM; Gil-Alana, L
15-Sep-2025A fractional integration model and testing procedure with roots within the unit circleCaporale, GM; Gil-Alana, LA
1-Jun-2021Global and regional financial integration in emerging Asia: evidence from stock marketsCaporale, GM; Gil-Alana, LA; You, K
11-Nov-2022The impact of the Covid-19 pandemic on persistence in the European stock marketsCaporale, GM; Gil-Alana, L; Arrese Lasaosa, I
23-Feb-2018Is market fear persistent? A long-memory analysisCaporale, GM; Gil-Alana, L; Plastun, A
3-Apr-2019Long memory and data frequency in financial marketsCaporale, GM; Gil-Alana, L; Plastun, A
7-Nov-2024A long-memory model for multiple cycles with an application to the US stock marketCaporale, GM; Gil-Alana, LA
6-Feb-2025Long-Run Trends and Cycles in US House PricesCaporale, GM; Gil-Alana, LA
8-Feb-2019Long-term interest rates in Europe: a fractional cointegration analysisCaporale, GM; Gil-Alana, LA
20-Apr-2024Measuring persistence of the world population: a fractional integration approachGil-Alana, LA; Caporale, GM; Infante, J; del Rio, M
2015Modelling African inflation rates: nonlinear deterministic terms and long-range dependenceCaporale, GM; Carcel, H; Gil-Alana, LA
7-Sep-2023Modelling profitability of private equity: A fractional integration approachCaporale, GM; Gil-Alana, LA; Puertolas, F
5-Jul-2023Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaksCaporale, GM; Gil-Alana, LA
Showing results 1 to 20 of 50  next >