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Josu Arteche

Personal Details

First Name:Josu
Middle Name:
Last Name:Arteche
Suffix:
RePEc Short-ID:par54
[This author has chosen not to make the email address public]
https://sites.google.com/view/josu---arteche

Affiliation

Departamento de Economía Aplicada III (Econometría y Estadística)
Facultad de Economía y Empresa
Universidad del País Vasco - Euskal Herriko Unibertsitatea

Bilbao, Spain
https://www.ehu.eus/es/web/ea3
RePEc:edi:deehues (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Mariam Kamal & Josu Arteche, 2023. "Long memory, fractional integration and cointegration analysis of real convergence in Spain," Papers 2304.12433, arXiv.org.
  2. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  3. Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011. "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  4. Arteche González, Jesús María, 2010. "Semiparametric inference in correlated long memory signal plus noise models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  5. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  6. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  7. Arteche González, Jesús María, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  8. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  9. Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
  10. Arteche, Josu & Robinson, Peter M., 1998. "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics 2203, London School of Economics and Political Science, LSE Library.
  11. Josu Artech & Peter M Robinson, 1998. "Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)," STICERD - Econometrics Paper Series 360, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  12. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series 359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

Articles

  1. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
  2. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
  3. Arteche, Josu, 2020. "Exact Local Whittle Estimation In Long Memory Time Series With Multiple Poles," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1064-1098, December.
  4. Javier García-Enríquez & Josu Arteche & Arantza Murillas-Maza, 2017. "Testing for substitutability in the mackerel market: a new method using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 49(39), pages 3912-3926, August.
  5. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
  6. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
  7. García-Enríquez, Javier & Murillas-Maza, Arantza & Arteche, Josu, 2016. "Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.
  8. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
  9. Javier García-Enríquez & Javier Hualde & Josu Arteche & Arantza Murillas-Maza, 2016. "Spatial Integration in the Spanish Mackerel Market Volume 65, Issue 1, January 2014, pp. 234–256," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(1), pages 250-250, February.
  10. Arteche, Josu, 2015. "Signal Extraction In Long Memory Stochastic Volatility," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1382-1402, December.
  11. Javier García-Enríquez & Javier Hualde & Josu Arteche & Arantza Murillas-Maza, 2014. "Spatial Integration in the Spanish Mackerel Market," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(1), pages 234-256, January.
  12. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
  13. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
  14. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
  15. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
  16. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
  17. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
  18. Josu Arteche, 2007. "The Analysis of Seasonal Long Memory: The Case of Spanish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 749-772, December.
  19. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
  20. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.
  21. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
  22. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
  23. Josu Arteche, 2002. "Semiparametric robust tests on seasonal or cyclical long memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(3), pages 251-285, May.
  24. Josu Arteche & Peter M. Robinson, 2000. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 1-25, January.

Books

  1. Josu arteche & María Araceli Garín & Ana María Martín & Vicente Núñez-Antón & Jesús Orbe & Jorge Virto & Amaya Zárraga, 2000. "Ejercicios de estadística II. Estadística Empresarial y para Economistas," UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, number 09, June.
  2. Josu arteche & María Araceli Garín & Ana María Martín & Vicente Núñez-Antón & Jesús Orbe & Jorge Virto & Amaya Zárraga, 2000. "Ejercicios de estadística I. Elementos de Probabilidad y Estadística," UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, number 08, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    2. Peter C. B. Phillips, 2021. "Pitfalls in Bootstrapping Spurious Regression," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 163-217, December.

  2. Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011. "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
    2. Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
    4. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    5. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  3. Arteche González, Jesús María, 2010. "Semiparametric inference in correlated long memory signal plus noise models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
    2. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.

  4. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Javier García-Enríquez & Josu Arteche & Arantza Murillas-Maza, 2017. "Testing for substitutability in the mackerel market: a new method using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 49(39), pages 3912-3926, August.

  5. Arteche González, Jesús María, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    3. Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
    4. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    5. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
    6. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    7. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
    8. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3075-3082, February.
    9. Veiga, Helena, 2006. "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS ws066016, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    11. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
    12. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    13. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    14. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    15. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    16. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    17. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
    18. García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
    19. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
    20. Ying Lun Cheung & Uwe Hassler, 2020. "Whittle-type estimation under long memory and nonstationarity," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 363-383, September.

  6. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
    2. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
    3. Jensen Mark J., 2016. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 455-475, September.
    4. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    5. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    6. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    7. Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
    8. Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
    10. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    11. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    12. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    13. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
    14. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
    15. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    16. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
    17. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    18. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    19. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
    20. Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers 2008-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics.
    22. Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
    23. La Spada Gabriele & Lillo Fabrizio, 2014. "The effect of round-off error on long memory processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 445-482, September.
    24. Dalla, Violetta & Giraitis, Liudas & Hidalgo, Javier, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
    25. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
    26. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    27. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
    28. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series 497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    29. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    30. Ferraz, Rosemeire O. & Hotta, Luiz K., 2007. "Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(2), November.
    31. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
    32. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    33. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
    34. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    35. Maria Kalli & Jim Griffin, 2015. "Flexible Modeling of Dependence in Volatility Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 102-113, January.
    36. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
    37. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
    38. García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
    39. Luis A. Gil-Alana & Trilochan Tripathy, 2016. "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 199-215, December.
    40. Milan Bašta, 2012. "Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2012(2), pages 3-20.
    41. Alva, Kenedy, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
    42. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
    43. Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.
    44. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
    45. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  7. Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    3. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Testing For Deterministic And Stochastic Cycles In Macroeconomic Time Series," Economics and Finance Discussion Papers 05-11, Economics and Finance Section, School of Social Sciences, Brunel University.
    5. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
    6. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    7. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
    8. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
    9. Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.
    10. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.
    11. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2006. "Forecasting electricity demand using generalized long memory," International Journal of Forecasting, Elsevier, vol. 22(1), pages 17-28.
    12. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    13. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    14. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    15. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    16. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," PSE-Ecole d'économie de Paris (Postprint) halshs-00646178, HAL.
    17. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    18. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    19. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.
    20. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259193, HAL.
    21. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    22. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    23. Dominique Guegan & Zhiping Lu, 2009. "Wavelet Method for Locally Stationary Seasonal Long Memory Processes," Post-Print halshs-00375531, HAL.
    24. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    25. Shunsuke Managi, 2004. "Unit root cycles in the US unemployment rate," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-10.
    26. Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 491, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    27. Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
    28. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    29. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Post-Print halshs-00259193, HAL.
    30. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    31. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    32. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
    33. Giraitis, Liudas & Robinson, Peter M., 2001. "Parametric estimation under long-range dependence," LSE Research Online Documents on Economics 2227, London School of Economics and Political Science, LSE Library.
    34. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    35. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
    36. Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, vol. 29(2), pages 296-311, March.
    37. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    38. Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
    39. Ben Nasr, Adnen & Trabelsi, Abdelwahed, 2005. "Seasonal and Periodic Long Memory Models in the In�ation Rates," MPRA Paper 22690, University Library of Munich, Germany, revised 03 Feb 2006.
    40. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  8. Arteche, Josu & Robinson, Peter M., 1998. "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics 2203, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. McCoy, E. J. & Stephens, D. A., 2004. "Bayesian time series analysis of periodic behaviour and spectral structure," International Journal of Forecasting, Elsevier, vol. 20(4), pages 713-730.
    2. Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
    3. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    4. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    5. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    6. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Testing For Deterministic And Stochastic Cycles In Macroeconomic Time Series," Economics and Finance Discussion Papers 05-11, Economics and Finance Section, School of Social Sciences, Brunel University.
    8. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
    9. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    10. Lohre, Michael & Sibbertsen, Philipp, 2001. "Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins," Technical Reports 2001,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    11. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
    12. Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.
    13. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.
    14. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    15. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2006. "Forecasting electricity demand using generalized long memory," International Journal of Forecasting, Elsevier, vol. 22(1), pages 17-28.
    16. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    17. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    18. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    19. Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
    20. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    21. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," PSE-Ecole d'économie de Paris (Postprint) halshs-00646178, HAL.
    22. Federico Maddanu, 2022. "A harmonically weighted filter for cyclical long memory processes," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(1), pages 49-78, March.
    23. Hidalgo, Javier, 2005. "Semiparametric estimation for stationary processes whose spectra have an unknown pole," LSE Research Online Documents on Economics 6842, London School of Economics and Political Science, LSE Library.
    24. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," LSE Research Online Documents on Economics 6829, London School of Economics and Political Science, LSE Library.
    25. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    26. Javier Hidalgo, 2005. "Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole," STICERD - Econometrics Paper Series 481, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    27. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    28. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.
    29. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259193, HAL.
    30. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    31. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    32. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
    33. Dominique Guegan & Zhiping Lu, 2009. "Wavelet Method for Locally Stationary Seasonal Long Memory Processes," Post-Print halshs-00375531, HAL.
    34. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    35. Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
    36. Masaki Narukawa, 2016. "Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 272-295, June.
    37. Marques, G.O.L.C., 2011. "Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 8-17.
    38. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    39. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Post-Print halshs-00259193, HAL.
    40. Nicholas Apergis & Andrea Mervar & James E. Payne, 2017. "Forecasting disaggregated tourist arrivals in Croatia," Tourism Economics, , vol. 23(1), pages 78-98, February.
    41. Ould Haye, Mohamedou & Philippe, Anne, 2011. "Marginal density estimation for linear processes with cyclical long memory," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1354-1364, September.
    42. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    43. Richard Hunt & Shelton Peiris & Neville Weber, 2022. "Estimation methods for stationary Gegenbauer processes," Statistical Papers, Springer, vol. 63(6), pages 1707-1741, December.
    44. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    45. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    46. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    47. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
    48. Guglielmo Caporale & Luis Gil-Alana, 2008. "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 241-253, July.
    49. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    50. Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
    51. Violetta Dalla & Javier Hidalgo, 2005. "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series 486, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    52. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
    53. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    54. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
    55. Wilfredo Palma & Ngai Hang Chan, 2005. "Efficient Estimation of Seasonal Long‐Range‐Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 863-892, November.
    56. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
    57. Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
    58. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    59. Javier Hidalgo & Philippe Soulier, 2004. "Estimation of the location and exponent of the spectral singularity of a long memory process," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 55-81, January.
    60. Alex Gonzaga & Michael Hauser, 2011. "A wavelet Whittle estimator of generalized long-memory stochastic volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(1), pages 23-48, March.
    61. Luis Gil-alana, 2004. "Testing of Unit Root Cycles in the Swedish Economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(4), pages 333-344, December.
    62. Rosa Espejo & Nikolai Leonenko & Andriy Olenko & María Ruiz-Medina, 2015. "On a class of minimum contrast estimators for Gegenbauer random fields," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 657-680, December.
    63. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
    64. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

Articles

  1. Arteche, Josu, 2020. "Exact Local Whittle Estimation In Long Memory Time Series With Multiple Poles," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1064-1098, December.

    Cited by:

    1. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    2. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    3. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    4. del Barrio Castro, Tomás & Rachinger, Heiko, 2020. "Aggregation of Seasonal Long-Memory Processes," MPRA Paper 102890, University Library of Munich, Germany.

  2. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.

    Cited by:

    1. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    2. del Barrio Castro, Tomás & Rachinger, Heiko, 2020. "Aggregation of Seasonal Long-Memory Processes," MPRA Paper 102890, University Library of Munich, Germany.
    3. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    4. Karahan, Cenk C. & Odabaşı, Attila & Tiryaki, C. Sani, 2024. "Wired together: Integration and efficiency in European electricity markets," Energy Economics, Elsevier, vol. 133(C).

  3. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.

    Cited by:

    1. Bógalo, Juan & Poncela, Pilar & Senra, Eva, 2017. "Automatic Signal Extraction for Stationary and Non-Stationary Time Series by Circulant SSA," MPRA Paper 76023, University Library of Munich, Germany.
    2. Moreno, Sinvaldo Rodrigues & Seman, Laio Oriel & Stefenon, Stefano Frizzo & Coelho, Leandro dos Santos & Mariani, Viviana Cocco, 2024. "Enhancing wind speed forecasting through synergy of machine learning, singular spectral analysis, and variational mode decomposition," Energy, Elsevier, vol. 292(C).
    3. Juan Bógalo & Pilar Poncela & Eva Senra, 2021. "Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time," Mathematics, MDPI, vol. 9(11), pages 1-17, May.
    4. Wei, Nan & Yin, Lihua & Li, Chao & Wang, Wei & Qiao, Weibiao & Li, Changjun & Zeng, Fanhua & Fu, Lingdi, 2022. "Short-term load forecasting using detrend singular spectrum fluctuation analysis," Energy, Elsevier, vol. 256(C).
    5. Mahdi Kalantari & Hossein Hassani, 2019. "Automatic Grouping in Singular Spectrum Analysis," Forecasting, MDPI, vol. 1(1), pages 1-16, October.
    6. Kalantari, Mahdi, 2021. "Forecasting COVID-19 pandemic using optimal singular spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    7. Wei, Nan & Li, Changjun & Peng, Xiaolong & Li, Yang & Zeng, Fanhua, 2019. "Daily natural gas consumption forecasting via the application of a novel hybrid model," Applied Energy, Elsevier, vol. 250(C), pages 358-368.
    8. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.

  4. García-Enríquez, Javier & Murillas-Maza, Arantza & Arteche, Josu, 2016. "Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.

    Cited by:

    1. Javier García-Enríquez & Josu Arteche & Arantza Murillas-Maza, 2017. "Testing for substitutability in the mackerel market: a new method using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 49(39), pages 3912-3926, August.
    2. Stefano Mainardi, 2021. "Parametric and Semiparametric Efficiency Frontiers in Fishery Analysis: Overview and Case Study on the Falkland Islands," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 79(2), pages 169-210, June.

  5. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.

    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    2. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    4. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    5. Ying Lun Cheung & Uwe Hassler, 2020. "Whittle-type estimation under long memory and nonstationarity," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 363-383, September.

  6. Arteche, Josu, 2015. "Signal Extraction In Long Memory Stochastic Volatility," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1382-1402, December.

    Cited by:

    1. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    2. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    3. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    4. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    5. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    6. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.

  7. Javier García-Enríquez & Javier Hualde & Josu Arteche & Arantza Murillas-Maza, 2014. "Spatial Integration in the Spanish Mackerel Market," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(1), pages 234-256, January.

    Cited by:

    1. García-Enríquez, Javier & Murillas-Maza, Arantza & Arteche, Josu, 2016. "Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.
    2. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    3. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.

  8. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.

    Cited by:

    1. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
    2. Taghreed Alghamdi & Sifatul Mostafi & Ghadeer Abdelkader & Khalid Elgazzar, 2022. "A Comparative Study on Traffic Modeling Techniques for Predicting and Simulating Traffic Behavior," Future Internet, MDPI, vol. 14(10), pages 1-21, October.
    3. Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
    4. Reisen, Valdério Anselmo & Monte, Edson Zambon & da Conceição Franco, Glaura & Sgrancio, Adriano Marcio & Molinares, Fábio Alexander Fajardo & Bondon, Pascal & Ziegelmann, Flávio Augusto & Abraham, Bo, 2018. "Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 146(C), pages 27-43.
    5. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    6. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  9. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    See citations under working paper version above.
  10. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.

    Cited by:

    1. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    2. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    3. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    4. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza & Alvaro Baños Izquierdo, 2023. "Persistence and Seasonality in the US Industrial Production Index," CESifo Working Paper Series 10756, CESifo.
    5. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    6. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  11. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
    See citations under working paper version above.
  12. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    2. J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.

  13. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.

    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    2. de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
    3. M. de Carvalho & K. F. Turkman & A. Rua, 2013. "Dynamic threshold modelling and the US business cycle," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 62(4), pages 535-550, August.
    4. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

  14. Josu Arteche, 2007. "The Analysis of Seasonal Long Memory: The Case of Spanish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 749-772, December.

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    3. Richard Hunt & Shelton Peiris & Neville Weber, 2022. "Estimation methods for stationary Gegenbauer processes," Statistical Papers, Springer, vol. 63(6), pages 1707-1741, December.
    4. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    5. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    6. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza & Alvaro Baños Izquierdo, 2023. "Persistence and Seasonality in the US Industrial Production Index," CESifo Working Paper Series 10756, CESifo.
    7. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    8. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  15. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    See citations under working paper version above.
  16. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.

    Cited by:

    1. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    2. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
    3. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    4. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    5. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    6. Masaki Narukawa, 2016. "Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 272-295, June.
    7. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.

  17. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.

    Cited by:

    1. Saeed Heravi & Kerry Patterson, 2013. "Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators," Economics Discussion Papers em-dp2013-02, Department of Economics, University of Reading.
    2. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    3. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    4. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    5. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    6. Gerolimetto, Margherita, 2006. "Frequency domain bootstrap for the fractional cointegration regression," Economics Letters, Elsevier, vol. 91(3), pages 389-394, June.
    7. Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
    8. Berenguer Rico, Vanessa, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
    10. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.

  18. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
    See citations under working paper version above.
  19. Josu Arteche, 2002. "Semiparametric robust tests on seasonal or cyclical long memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(3), pages 251-285, May.

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    3. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    4. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
    5. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    6. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.
    7. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    8. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2006. "Forecasting electricity demand using generalized long memory," International Journal of Forecasting, Elsevier, vol. 22(1), pages 17-28.
    9. Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
    10. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    11. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    12. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," PSE-Ecole d'économie de Paris (Postprint) halshs-00646178, HAL.
    13. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    14. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    15. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    16. Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 491, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    17. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    18. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    19. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    20. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
    21. Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, vol. 29(2), pages 296-311, March.
    22. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    23. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    24. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    25. Luis Gil-alana, 2004. "Testing of Unit Root Cycles in the Swedish Economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(4), pages 333-344, December.
    26. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  20. Josu Arteche & Peter M. Robinson, 2000. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 1-25, January.
    See citations under working paper version above.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (3) 2006-07-15 2021-01-04 2023-05-22
  2. NEP-ECM: Econometrics (1) 2021-01-04

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