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Browsing Economic and Management Sciences by Author "Canarella, Giorgio"
Now showing items 1-7 of 7
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Canarella, Giorgio; Gupta, Rangan; Miller, Stephen M.; Omay, Tolga (Routledge, 2020)We employ linear and nonlinear unit-root tests to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England. Three series span 1270 to 2016 and two series span ...
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Canarella, Giorgio; Gil-Alana, Luis A.; Gupta, Rangan; Miller, Stephen M. (Springer, 2022-11)This paper investigates whether the real interest rate parity (RIRP) is valid during the three waves of globalizations that occurred in the last 150 years (1870–1914, 1944–1971, 1989 to the present). If any, these periods ...
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Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; Miller, Stephen M. (Springer, 2023-12)This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition ...
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Canarella, Giorgio; Gil-Alana, Luis A.; Gupta, Rangan; Miller, Stephen M. (Springer, 2020-04)We consider two important features of the historical US price data (1774–2015), namely the data’s persistence and cyclical structure. We first consider the persistence of the series and focus on standard long-memory models ...
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Canarella, Giorgio; Gil-Alana, Luis; Gupta, Rangan; Miller, Stephen M. (Sage, 2021-01)This paper provides a new and unique look at the dynamics and persistence of historical house prices in the USA and the UK using fractional integration techniques not previously applied to housing markets. Unlike previous ...
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Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; Miller, Stephen M. (De Gruyter, 2017-09)We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying ...
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Canarella, Giorgio; Gupta, Rangan; Miller, Stephen M.; Pollard, Stephen K. (Springer, 2019-01)Standard unit-root tests of the hysteresis hypothesis specify a unit root under the null against the stationary alternative of the natural-rate hypothesis, making the two theories of unemployment mutually exclusive over ...
Now showing items 1-7 of 7