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 ...

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 ...

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 ...