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A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis
This paper proposes a nonlinear fractional unit root approach which is known as the autoregressive neural network–fractional integration (ARNN–FI)...
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The effect of economic policy uncertainty under fractional integration
One of the most popular measures of economic policy uncertainty (EPU) is an index based on newspapers coverage of particular keywords. The...
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Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach
This paper examines the non-linear integration between the real estate and stock market for a series of developed markets namely UK, Germany,...
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Private and public debt convergence: a fractional cointegration approach
The devastating effects of the financial and economic recessions within the last two decades have led researchers to question whether there is a...
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Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main...
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A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation
In this paper, option pricing through introducing a novel hybrid method for solving time-fractional Black–Scholes equation is considered. The...
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Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives
The work adopts Caputo fractional derivative, conformable fractional derivative and local fractional derivative to study option pricing problems in...
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Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion
In this paper, a new concept for some stochastic process called fractional G-Brownian motion (fGBm) is developed and applied to the financial...
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Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar
The global dominance of the dollar is unquestionable, but the European Commission is committed to strengthening the role of the euro in international...
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Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches
The analysis of the dynamics of the share price series using the fractional integration technique that accommodates nonlinear deterministic trend...
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Environmental regulations and firms’ integration in global markets: using a new environmental performance index
This paper investigates how the environmental performance of firms impacts their participation in global value chains (GVC). The analysis is based on...
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Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing
We propose and analyze a fully-discrete finite element method to a variable-order time-fractional Black–Scholes model, which provides adequate...
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Consumer sentiments across G7 and BRICS economies: Are they related?
This paper utilizes fractional integration and cointegration techniques to investigate the stochastic properties of the bilateral linkages between...
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All Road User Casualties (Killed) in Great Britain from 1926. Linear and Nonlinear Trends with Persistent Data
This paper deals with the analysis of road casualties in Great Britain, using annual data since 1926. Based on the persistent nature of the data,...
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Persistence in the Unemployment and Inflation Relationship. Evidence from 38 OECD Countries
This paper focuses on the analysis of persistence in the unemployment and inflation rates in a group of 38 OECD countries as well as on the...
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Analyzing Stationarity in World Coffee Prices
This paper investigates the degree of persistence of monthly coffee prices of five different groups (ICO Composite, Brazilian Naturals, Other Milds,...
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Labour market integration of refugees and the importance of the neighbourhood: Norwegian quasi-experimental evidence
This paper exploits a quasi-experimental feature of the Norwegian spatial dispersal policy for UNHCR quota refugees, which leads to nearly as-if...
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Testing for unemployment persistence in Nigeria
In this study, we examine the behaviour of unemployment in Nigeria using fractional integration & fractional cointegration techniques. Based on the...
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U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks
This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically...
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A note on CO2 emissions using two new tests
Recent research suggests that policies implementing structural change are required to alter the paths of carbon dioxide emissions in many nations....