Search Results - "Gil‐Alana, L. A."

Time trend estimation with breaks in temperature time series by Gil-Alana, L. A

“…This paper deals with the modelling of the global and northern and southern hemispheric anomaly temperature time series using a novel technique based on…”
Get full text

Cyclical long‐range dependence and the warming effect in a long temperature time series by Gil‐Alana, L. A.

“…In this paper, we propose a new approach for modelling a long temperature time series, using fractional cyclical integration. This model is based on the…”
Get full text

Long Memory in Earthquake Time Series: The Case Study of the Geysers Geothermal Field by Barani, S., Cristofaro, L., Taroni, M., Gil-Alaña, L. A., Ferretti, G.

“…The present study aims at proving the existence of long memory (or long-range dependence) in the earthquake process through the analysis of time series of…”
Get full text

Testing Stochastic Cycles in Macroeconomic Time Series by Gil-Alana, L. A.

“…A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a…”
Get full text

An application of fractional integration to a long temperature series by Gil‐Alana, L. A.

“…Some recently proposed techniques of fractional integration are applied to a long UK temperature series. The tests are valid under general forms of serial…”
Get full text

The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration by Gil-Alana, L.A

“…In this article, we propose the use of a model proposed by Bloomfield [1] as an approximation to the ARMA structure underlying the I(0) disturbances in the…”
Get full text

The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain by Gil-Alana, L.A.

“…This article examines the finite sample behaviour of time and frequency domain versions of the tests of Robinson (1994) for testing roots in the unit circle,…”
Get full text

A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach by Cuñado, J., Gil-Alana, L.A., de Gracia, F. Perez

“…In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on…”
Get full text

Fractional integration analysis of precipitation dynamics: empirical insights from Nigeria by Awe, O.O., Gil-Alana, L.A.

“…This paper deals with the time series analysis of precipitation patterns in Africa's most populated nation using recently developed flexible modelling…”
Get full text

Testing of seasonal fractional integration in UK and Japanese consumption and income by Gil-Alaña, L. A., Robinson, P. M.

“…The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These…”
Get full text

Strong dependence in the nominal exchange rates of the Polish zloty by Gil-Alana, L. A., Nazarski, M.

“…We examine the nominal exchange rates of six currencies (Canadian, Australian and U.S. dollars, euro, Japanese yen and U.K. pound) against the Polish zloty by…”
Get full text

Fractional Integration and Structural Breaks: Evidence from International Monthly Arrivals in the USA by Cunado, J., Gil-Alana, L.A., de Gracia, F. P Erez

“…This paper proposes a new modelling approach for the total number of international monthly arrivals in the USA using fractional integration with a structural…”
Get full text

Measuring length of business cycles across countries using a new non-stationary unit-root cyclical approach by Gil-Alana, L. A.

“…This article examines the length of the cycles in the gross domestic product (GDP) real per capita series of 15 countries by means of new statistical…”
Get full text

US stock market volatility persistence: evidence before and after the burst of the IT bubble by Cuñado, J., Gil-Alana, L. A., de Gracia, F. Perez

“…In this paper we test whether the US stock market volatility presents a different behavior before and after the burst of the IT bubble. Using long range…”
Get full text

Persistence in International Monthly Arrivals in the Canary Islands by Cunado, J., Gil-Alana, L.A., de Gracia, F. Perez

“…This study analyses persistence in international monthly arrivals to the Canary Islands using a model based on fractional integration and seasonal…”
Get full text

A fractionally integrated exponential model for UK unemployment by Gil-Alana, L.A.

“…Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling UK…”
Get full text

Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand by Gil-Alana, L.A.

“…This article examines seasonal quarterly data of several labour demand variables in Denmark by means of fractional integration techniques. We use the same…”
Get full text

A fractional multivariate long memory model for the US and the Canadian real output by Gil-Alana, L.A.

“…This paper uses an extension of the univariate tests of Robinson [J. Am. Stat. Assoc. 89 (1994) 1420] to the multivariate case. We examine the degrees of…”
Get full text

Evaluation of robinson's (1994) Tests in finite samples by Gil-Alana, L.A.

“…Finite-sample critical values of Robinson's (1994) tests are evaluated in this article by means of Monte-Carlo simulations. The finite-sample behaviour of the…”
Get full text

The Nature of Seasonality in Spanish Tourism Time Series by Cunado, J., Gil-Alana, L.A., de Gracia, F. Péarez

“…This paper deals with the analysis of seasonality in the context of tourism time series. The authors present a general testing procedure that permits them to…”
Get full text