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Structural breaks and their trace in the memory: Inflation rate series in the long-run

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  • Gadea, Maria Dolores
  • Sabate, Marcela
  • Serrano, Jose Maria

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  • Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
  • Handle: RePEc:eee:intfin:v:14:y:2004:i:2:p:117-134
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    3. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    4. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    5. Amanjot Singh, 2018. "A Note on Conditional Variance and Decaying Rate: Chinese Equity Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 595-611, June.
    6. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
    7. Cró, Susana & Martins, António Miguel, 2017. "Structural breaks in international tourism demand: Are they caused by crises or disasters?," Tourism Management, Elsevier, vol. 63(C), pages 3-9.
    8. DRAMA Bedi Guy Herve, 2018. "Re-Examining the Mean Reversion of Inflation Rate in ECOWAS," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(5), pages 653-668, May.
    9. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
    10. Villanueva, O. Miguel, 2007. "Spot-forward cointegration, structural breaks and FX market unbiasedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 58-78, February.
    11. Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    13. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
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    15. Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73, March.
    16. Gadea, María Dolores & Kaabia, Monia Ben & Sabaté, Marcela, 2009. "Exchange rate regimes and prices: The cases of Italy, Spain and the United Kingdom (1874-1998)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 477-489, July.
    17. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
    18. Luis A. Gil-Alana & Yadollah Dadgar & Rouhollah Nazari, 2019. "Iranian inflation: peristence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 398-408, April.

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