title: Essays in financial econometrics : long-run, persistence and common trends
abstract: This thesis recognizes that the premises of standard cointegration (I (1)/I (0) dichotomy) are too restrictive. In this sense, the empirical literature has shown that many economic and financial time series hold long-range dependence in the autocorrelation function but do not precisely exhibit a unit root process, i.e., the long memory process. For this reason, traditional cointegration assumptions that the time series may follow the dichotomy I (0)/I (1) are discard, in favour that they follow 