1. Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks. (2022). ben Saad, Mouna ; Saidane, Bassem ; Boubaker, Heni.
   In: Financial Innovation.
   RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00348-3.

   Full description at Econpapers || Download paper

2. Modeling persistence and non-linearities in the US treasury 10-year bond yields. (2022). Yaya, Olaoluwa Simon ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria.
   In: Economics Bulletin.
   RePEc:ebl:ecbull:eb-22-00161.

   Full description at Econpapers || Download paper

3. Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields. (2022). Yaya, Olaoluwa Simon ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_9554.

   Full description at Econpapers || Download paper

4. The behaviour of real interest rates: New evidence from a suprasecular perspective. (2022). Miller, Stephen M ; Gupta, Rangan ; Gilalana, Luis A ; Canarella, Giorgio.
   In: International Finance.
   RePEc:bla:intfin:v:25:y:2022:i:1:p:46-64.

   Full description at Econpapers || Download paper

5. Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio.
   In: Working Papers.
   RePEc:pre:wpaper:2020106.

   Full description at Econpapers || Download paper

6. The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Mohamad, Nurul Sima .
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:50:y:2017:i:c:p:36-51.

   Full description at Econpapers || Download paper

7. Central Bank Policy Rates: Are They Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1648.

   Full description at Econpapers || Download paper

8. Central Bank Policy Rates: Are they Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_6389.

   Full description at Econpapers || Download paper

9. Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA. (2017). Bayraci, Seluk.
   In: Theoretical and Applied Economics.
   RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:71-82.

   Full description at Econpapers || Download paper

10. Persistence and cyclical dependence in the monthly euribor rate. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:40:y:2016:i:1:p:157-171.

    Full description at Econpapers || Download paper

11. Periodic and long range dependent models for high frequency wind speed data. (2015). Ambach, Daniel ; Schmid, Wolfgang.
    In: Energy.
    RePEc:eee:energy:v:82:y:2015:i:c:p:277-293.

    Full description at Econpapers || Download paper

12. On real interest rate persistence: the role of breaks. (2014). Haug, Alfred.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:10:p:1058-1066.

    Full description at Econpapers || Download paper

13. Modelling Return and Volatility of Oil Price using Dual Long Memory Models. (2014). Sghaier, Nadia ; Boubaker, Heni.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-283.

    Full description at Econpapers || Download paper

14. BRICS countries: real interest rates and long memory. (2014). Vieira, Flavio ; da Silva, Cleomar Gomes.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00561.

    Full description at Econpapers || Download paper

15. On Real Interest Rate Persistence: The Role of Breaks. (2013). Haug, Alfred.
    In: Working Papers.
    RePEc:otg:wpaper:1303.

    Full description at Econpapers || Download paper

16. On real interest rate persistence: the role of breaks. (2012). Haug, Alfred.
    In: Working Papers.
    RePEc:wse:wpaper:65.

    Full description at Econpapers || Download paper

17. Common trends and common cycles among interest rates of the G7-countries. (2012). Westermann, Frank ; Lindenberg, Nannette.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:4:p:1125-1140.

    Full description at Econpapers || Download paper

18. Bias correction and out-of-sample forecast accuracy. (2012). Kim, Hyeongwoo ; Durmaz, Nazif.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:3:p:575-586.

    Full description at Econpapers || Download paper

19. Fractional integration and the volatility of UK interest rates. (2012). Sirichand, Kavita ; Coleman, Simeon.
    In: Economics Letters.
    RePEc:eee:ecolet:v:116:y:2012:i:3:p:381-384.

    Full description at Econpapers || Download paper

20. Fractional integration and the volatility of UK interest rates. (2011). Sirichand, Kavita ; Coleman, Simeon.
    In: Working Papers.
    RePEc:nbs:wpaper:2011/02.

    Full description at Econpapers || Download paper

21. An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil. (2011). da Silva, Cleomar Gomes ; Leme, Maria Carolina da Silva, .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:65:y:2011:i:3:a:3373.

    Full description at Econpapers || Download paper

22. An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil. (2011). da Silva, Cleomar Gomes ; Maria Carolina da Silva Leme, .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:65:n:3:a:4.

    Full description at Econpapers || Download paper

23. Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study. (2011). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159.

    Full description at Econpapers || Download paper

24. Bias Correction and Out-of-Sample Forecast Accuracy. (2010). Kim, Hyeongwoo ; Durmaz, Nazif.
    In: Auburn Economics Working Paper Series.
    RePEc:abn:wpaper:auwp2010-02.

    Full description at Econpapers || Download paper

25. Bias Correction and Out-of-Sample Forecast Accuracy. (2009). Kim, Hyeongwoo ; Durmaz, Nazif.
    In: MPRA Paper.
    RePEc:pra:mprapa:16780.

    Full description at Econpapers || Download paper

26. Dual long-memory, structural breaks and the link between turnover and the range-based volatility. (2009). Kartsaklas, A. ; Karanasos, M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:838-851.

    Full description at Econpapers || Download paper

27. Common Trends and Common Cycles among Interest Rates of the G7-Countries. (2009). Westermann, Frank ; Lindenberg, Nannette.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2532.

    Full description at Econpapers || Download paper

28. Real interest rate persistence: evidence and implications. (2008). Neely, Christopher ; Rapach, David E..
    In: Working Papers.
    RePEc:fip:fedlwp:2008-018.

    Full description at Econpapers || Download paper

29. Real interest rate persistence: evidence and implications. (2008). Neely, Christopher ; Rapach, David E..
    In: Review.
    RePEc:fip:fedlrv:y:2008:i:nov:p:609-642:n:v.90no.6.

    Full description at Econpapers || Download paper

30. Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics. (2008). Nesmith, Travis ; Jones, Barry.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:1:n:6.

    Full description at Econpapers || Download paper

31. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

    Full description at Econpapers || Download paper

32. Linear cointegration of nonlinear time series with an application to interest rate dynamics. (2006). Nesmith, Travis ; Jones, Barry.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-03.

    Full description at Econpapers || Download paper

33. Forecasting US bond yields at weekly frequency. (2006). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: Working Papers.
    RePEc:anc:wpaper:261.

    Full description at Econpapers || Download paper

1. Conrad, C. and Karanasos, M., 2005. The dual long memory process revisited: inequality constraints, impulse response weights, and autocorrelation coefficients. Unpublished manuscript, University of Newcastle.
   Paper not yet in RePEc: Add citation now
   
2. Conrad, C., Haag, B., 2004. Inequality constraints in the FIGARCH model. Unpublished Manuscript, University of Manheim.
   Paper not yet in RePEc: Add citation now
   

3. Elliott, G. ; Rothenberg, T. ; Stock, J.H. Efficient tests for an autoregressive unit root. 1996 Econometrica. 64 813-836

4. Hansen, B. The grid bootstrap and the autoregressive model. 1999 The Review of Economics and Statistics. 81 594-607

5. Kwiatkowski, D. ; Phillips, P.C.B. ; Schmidt, P. ; Shin, Y. Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic series are non stationary?. 1992 Journal of Econometrics. 54 159-178

6. Lai, K.S. Long-term persistence in the real interest rate: some evidence of a fractional unit root?. 1997 International Journal of Finance and Economics. 2 225-235

7. Laurent, S. ; Peters, J.P. G@ARCH 2.2: an Ox package for estimating and forecasting various ARCH models. 2002 Journal of Economic Surveys. 3 447-485

8. Ng, S. ; Perron, P. Lag length selection and the construction of unit root tests with good size and power. 2001 Econometrica. 69 1519-1554

9. Rapach, D.E. ; Weber, C.E. Are real interest rates really nonstationary? New evidence from tests with good size and power. 2004 Journal of Macroeconomics. 26 409-430

10. Sekioua, S.H., 2004. The real interest rate: is it mean-reverting? If yes, how long does it take to mean-revert? Unpublished manuscript, University of Newcastle.
    Paper not yet in RePEc: Add citation now
    

11. Tsay, W.J. Long memory story of the real interest rate. 2000 Economics Letters. 67 325-330

12. Tse, Y.K. The conditional heteroscedasticity of the yen–dollar exchange rate. 1998 Journal of Applied Econometrics. 13 49-55
    Paper not yet in RePEc: Add citation now
    

1. Vertical price transmission along the diary supply chain in Russia. (2015). Kharin, Sergei .
   In: Studies in Agricultural Economics.
   RePEc:ags:stagec:208888.

   Full description at Econpapers || Download paper

2. Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production. (2013). Smyth, Russell.
   In: Applied Energy.
   RePEc:eee:appene:v:104:y:2013:i:c:p:371-378.

   Full description at Econpapers || Download paper

3. A VECX* Model of the Swiss Economy. (2008). Assenmacher, Katrin ; Pesaran, M.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0809.

   Full description at Econpapers || Download paper

4. Efficiency of the foreign exchange markets in South Asian Countries. (2008). Noman, Abullah M ; Ahmed, Minhaz U.
   In: AIUB Bus Econ Working Paper Series.
   RePEc:aiu:abewps:18.

   Full description at Econpapers || Download paper

5. Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures. (2006). Yamagata, Takashi ; Smith, Ronald ; Pesaran, M ; Hvozdyk, Lyudmyla.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0634.

   Full description at Econpapers || Download paper

6. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests. (2006). Qu, Zhongjun ; Perron, Pierre.
   In: Boston University - Department of Economics - Working Papers Series.
   RePEc:bos:wpaper:wp2006-010.

   Full description at Econpapers || Download paper

7. Short-Run Italian GDP Forecasting and Real-Time Data. (2005). Golinelli, Roberto ; Parigi, Giuseppe .
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:5302.

   Full description at Econpapers || Download paper

8. Total Factor Productivity: An Unobserved Components Approach. (2005). Crespo, Raul.
   In: Bristol Economics Discussion Papers.
   RePEc:bri:uobdis:05/579.

   Full description at Econpapers || Download paper

9. Long Run Effects of Money on Real Consumption and Investment in the U.S.. (2004). Wallace, Frederick ; Shelley, Gary L..
   In: Macroeconomics.
   RePEc:wpa:wuwpma:0404007.

   Full description at Econpapers || Download paper

10. Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?. (2004). Silva Lopes, Artur.
    In: Econometrics.
    RePEc:wpa:wuwpem:0402007.

    Full description at Econpapers || Download paper

11. Regional convergence across European Union. (2004). Gutierrez, Luciano ; Brasili, Cristina.
    In: Development and Comp Systems.
    RePEc:wpa:wuwpdc:0402002.

    Full description at Econpapers || Download paper

12. Dynamics of Intra-EMS Interest Rate Linkages. (2004). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:492.

    Full description at Econpapers || Download paper

13. State of the Art Unit Root Tests and the PPP Puzzle. (2003). Papell, David ; Murray, Chris ; Lopez, Claude.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0310009.

    Full description at Econpapers || Download paper

14. Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models. (2003). PEGUIN-FEISSOLLE, Anne ; Mignon, Valérie ; Dufrénot, Gilles ; PEGUIN-FEISSOLE, Anne.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0309002.

    Full description at Econpapers || Download paper

15. Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification. (2003). Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul.
    In: Econometrics.
    RePEc:wpa:wuwpem:0311008.

    Full description at Econpapers || Download paper

16. EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST. (2003). Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul.
    In: Econometrics.
    RePEc:wpa:wuwpem:0311007.

    Full description at Econpapers || Download paper

17. An Improved Panel Unit Root Test Using GLS-Detrending. (2003). Lopez, Claude.
    In: Econometrics.
    RePEc:wpa:wuwpem:0310006.

    Full description at Econpapers || Download paper

18. Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison. (2003). Gutierrez, Luciano.
    In: Econometrics.
    RePEc:wpa:wuwpem:0310004.

    Full description at Econpapers || Download paper

19. An Improved Panel Unit Root Test Using GLS-Detrending. (2003). Lopez, Claude.
    In: Econometrics.
    RePEc:wpa:wuwpem:0310003.

    Full description at Econpapers || Download paper

20. Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets. (2003). Leon-Ledesma, Miguel ; Ferreira, Alex.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:0301.

    Full description at Econpapers || Download paper

21. A Decomposition of Global Linkages in Financial Markets Over Time. (2003). Forbes, Kristin ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9555.

    Full description at Econpapers || Download paper

22. The Chinese Economies in Global Context: The Integration Process and Its Determinants. (2003). Fujii, Eiji ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10047.

    Full description at Econpapers || Download paper

23. Efficient Tests of Stock Return Predictability. (2003). Yogo, Motohiro ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10026.

    Full description at Econpapers || Download paper

24. Interest Rate Transmission to Commercial Credit Rates in Austria. (2003). Burgstaller, Johann.
    In: Economics working papers.
    RePEc:jku:econwp:2003_06.

    Full description at Econpapers || Download paper

25. Inflation, Minimum Wage and Other Wages: An Econometric Study on French Macroeconomic Data. (2003). Rault, Christophe ; L'Horty, Yannick.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp861.

    Full description at Econpapers || Download paper

26. Cross-sectional dependency and size distortion in a small-sample homogeneous panel-data unit root test. (2003). Jönsson, Kristian.
    In: Working Papers.
    RePEc:hhs:lunewp:2003_010.

    Full description at Econpapers || Download paper

27. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence. (2003). Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0346.

    Full description at Econpapers || Download paper

28. Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era. (2002). Ahking, Francis.
    In: Working papers.
    RePEc:uct:uconnp:2002-17.

    Full description at Econpapers || Download paper

29. Dynamics of Intra-EMS Interest Rate Linkages. (2002). Barkoulas, John ; Baum, Christopher.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:13.

    Full description at Econpapers || Download paper

30. Another Look at Origins of the Asian Crisis: Tests of External Borrowing Constraints. (2002). MIYAO, Ryuzo ; Ryuzo, MIYAO .
    In: ESRI Discussion paper series.
    RePEc:esj:esridp:011.

    Full description at Econpapers || Download paper

31. Structural Unemployment and the Output Gap in Germany: Evidence from an SVAR Analysis within a Hysteresis Framework. (2002). Logeay, Camille ; Fritsche, Ulrich.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp312.

    Full description at Econpapers || Download paper

32. An I(2) analysis of inflation and the markup. (2001). Russell, Bill ; Banerjee, Anindya ; Cockerell, Lynne .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:3:p:221-240.

    Full description at Econpapers || Download paper

33. Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:461.

    Full description at Econpapers || Download paper

34. Internal Versus External Convertibility and Developing-Country Financial. (2000). Taylor, Alan ; della Paolera, Gerardo.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0004002.

    Full description at Econpapers || Download paper

35. A Century of Purchasing-Power Parity. (2000). Taylor, Alan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8012.

    Full description at Econpapers || Download paper

36. Fin de Siecle Real Interest Parity. (2000). Fujii, Eiji ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7880.

    Full description at Econpapers || Download paper

37. New results on the rationality of survey measures of exchange-rate expectations. (2000). Osterberg, William P..
    In: Economic Review.
    RePEc:fip:fedcer:y:2000:i:qi:p:14-21.

    Full description at Econpapers || Download paper

38. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. (2000). Perron, Pierre ; Ng, Serena.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:369.

    Full description at Econpapers || Download paper

39. Internal Versus External Convertibility and Developing-Country Financial Crises: Lessons from the Argentine Bank Bailout of the 1930s.. (1999). Taylor, Alan ; della Paolera, Gerardo.
    In: Center for International and Development Economics Research (CIDER) Working Papers.
    RePEc:ucb:calbcd:c99-106.

    Full description at Econpapers || Download paper

40. Internal Versus External Convertibility and Developing-Country FinancialCrises: Lessons from the Argentine Bank Bailout of the 1930s. (1999). Taylor, Alan ; della Paolera, Gerardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7386.

    Full description at Econpapers || Download paper

41. Unit Root Tests are Useful for Selecting Forecasting Models. (1999). Kilian, Lutz ; Diebold, Francis.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-063.

    Full description at Econpapers || Download paper

42. Is hysteresis important for U.S. unemployment?. (1999). Roberts, John ; Morin, Norman J..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-56.

    Full description at Econpapers || Download paper

43. Intraperiod and Intertemporal Substitution in Import Demand. (1999). Wirjanto, Tony ; Ho, Wai-Ming ; Amano, Robert.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:84.

    Full description at Econpapers || Download paper

44. Forecasting Dynamic Time Series in the Presence of Deterministic Components. (1999). Vogelsang, Timothy.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:445.

    Full description at Econpapers || Download paper

45. The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis. (1998). Papell, David.
    In: Working Papers.
    RePEc:onb:oenbwp:30.

    Full description at Econpapers || Download paper

46. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series. (1998). Watson, Mark ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6607.

    Full description at Econpapers || Download paper

47. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

48. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian .
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

49. Forecasting EMU macroeconomic variables. (). Marcellino, Massimiliano.
    In: Working Papers.
    RePEc:igi:igierp:216.

    Full description at Econpapers || Download paper

50. Forecast pooling for short time series of macroeconomic variables. (). Marcellino, Massimiliano.
    In: Working Papers.
    RePEc:igi:igierp:212.

    Full description at Econpapers || Download paper

Report date: 2025-02-24 11:49:54 || Missing content? Let us know