The paper proposes a novel model for time series displaying persistent stationary cycles, the
fractional sinusoidal waveform process. The underlying idea is to allow the parameters that …

This paper offers a multifaceted perspective of the literature on long memory. Although the
research on long memory has played an instrumental role in elevating the level of scholarly …

This paper contributes to the debate on Europe's modern economic growth using the
statistical concept of long-range dependence. Different regimes, defined as periods between …

This paper analyses the stochastic properties of the US real estate market in the long term
(1987–2023). For this purpose, we rely on fractionally integrated methods to fill the gap left …

This article deals with the analysis of volatility persistence in a group of metal prices, namely
gold, silver, copper, platinum, aluminium, palladium, lead, zinc and tin, using monthly data …

Econometric studies for global heating have typically used regional or global temperature
averages to study its long memory properties. One typical explanation behind the long …

This paper studies a linear panel data model with interactive fixed effects wherein
regressors, factors and idiosyncratic error terms are all stationary but with potential long …

In this paper, based on the Realized GARCH model, the fractional integration Realized
GARCH model is proposed by combining long memory parameters with conditional …

Fractionally integrated and fractionally cointegrated time series are classes of models that
generalize standard notions of integrated and cointegrated time series. The fractional …

We explore the application of integrated nested Laplace approximations for the Bayesian
estimation of stochastic volatility models characterized by long memory. The logarithmic …