We use a fractional difference model to reconcile two features of yields on US government bonds with modem asset pricing theory: the persistence of the short ra

We use parametric models of long memory in both the conditional mean and the conditional variance of inflation and monthly data in the USA, Japan and the UK for

This article analyzes the inflation dynamics of several countries belonging to the European Monetary Union and of the UK. We estimate the two main parameters dr

Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexplor

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial m