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, Spainhttps://www.ehu.eus/es/web/ea3
RePEc:edi:deehues (more details at EDIRC)
Research output
Jump to: Working papers Articles BooksWorking papers
- Mariam Kamal & Josu Arteche, 2023. "Long memory, fractional integration and cointegration analysis of real convergence in Spain," Papers 2304.12433, arXiv.org.
- Josu Arteche, 2006.
"Semiparametric estimation in perturbed long memory series,"
Computing in Economics and Finance 2006
22, Society for Computational Economics.
- Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
- 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.
- 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.
- 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.
- 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.
- 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.
repec:ehu:biltok:48980 is not listed on IDEAS
repec:ehu:biltok:5665 is not listed on IDEAS
repec:ehu:biltok:5570 is not listed on IDEAS
repec:ehu:biltok:5744 is not listed on IDEAS
repec:ehu:biltok:5577 is not listed on IDEAS
repec:ehu:biltok:5585 is not listed on IDEAS
repec:ehu:biltok:5567 is not listed on IDEAS
Articles
- Josu Arteche, 2025. "Frequency domain local bootstrap in short and long memory time series," Econometric Reviews, Taylor & Francis Journals, vol. 44(2), pages 163-191, February.
- Mariam Kamal & Josu Arteche, 2024. "Do Spanish regions converge? A time-series approach using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 56(59), pages 8666-8679, December.
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Arteche, Josu, 2015. "Signal Extraction In Long Memory Stochastic Volatility," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1382-1402, December.
- 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.
- 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.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- 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.
- J. Arteche, 2012. "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
- 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.
- 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.
- 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.
- Arteche, J., 2006.
"Semiparametric estimation in perturbed long memory series,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
- Josu Arteche, 2006. "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006 22, Society for Computational Economics.
- 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.
- Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
- 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.
- 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.
- 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.
- 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.
Books
- 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.
- 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
- Josu Arteche, 2006.
"Semiparametric estimation in perturbed long memory series,"
Computing in Economics and Finance 2006
22, Society for Computational Economics.
- Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
Cited by:
- Stefano Grassi & Paolo Santucci de Magistris, 2011.
"When Long Memory Meets the Kalman Filter: A Comparative Study,"
CREATES Research Papers
2011-14, Department of Economics and Business Economics, Aarhus University.
- 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.
- Ruiz, Esther & Veiga, Helena, 2008.
"Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
- 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 EstadÃstica.
- Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008.
"Local polynomial Whittle estimation of perturbed fractional processes,"
CREATES Research Papers
2008-29, Department of Economics and Business Economics, Aarhus University.
- Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
- 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.
- 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.
- 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.
- 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.
- 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.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Busch, Marie & Sibbertsen, Philipp, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Hannover Economic Papers (HEP)
dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- 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.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- 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.
- 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.
- 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.
- 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.
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- 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.
- 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.
- 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.
Cited by:
- Guglielmo Caporale & Luis Gil-Alana, 2014.
"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
- 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.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010.
"Testing Fractional Order of Long Memory Processes: A Monte Carlo Study,"
Post-Print
hal-00486655, HAL.
- 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.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," PSE-Ecole d'économie de Paris (Postprint) hal-00486655, HAL.
- 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.
- Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra.
- 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.
- Guglielmo Caporale & Luis Gil-Alana, 2007. "Testing for deterministic and stochastic cycles in macroeconomic time series," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(2), pages 155-169, April.
- Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003.
"Forecasting electricity demand using generalized long memory,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
486, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Dominique Guegan & Laurent Ferrara, 2008.
"Fractional and seasonal filtering,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Post-Print halshs-00646178, HAL.
- 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.
- Ferrara, L. & Gu gan, D., 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models,"
Working papers
224, Banque de France.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00277379, HAL.
- 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.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," PSE-Ecole d'économie de Paris (Postprint) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne b08035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
- Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- 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.
- 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.
- Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
- 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.
- Gil-Alana, Luis & Lovcha, Yuliya & Pérez Laborda, Àlex, 2016.
"On the invertibility of seasonally adjusted series,"
Working Papers
2072/261539, Universitat Rovira i Virgili, Department of Economics.
- 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.
- 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.
- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
- 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.
- Gil-Alana, Luis A. & Gupta, Rangan, 2014.
"Persistence and cycles in historical oil price data,"
Energy Economics, Elsevier, vol. 45(C), pages 511-516.
- Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Post-Print halshs-00259193, HAL.
- 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.
- 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.
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013.
"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
- 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.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
- 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.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- 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.
- Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
- Proietti, Tommaso & Maddanu, Federico, 2024.
"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Brandon Whitcher, 2000. "Wavelet-Based Estimation Procedures For Seasonal Long-Memory Models," Computing in Economics and Finance 2000 148, Society for Computational Economics.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
- 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.
- Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
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Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 241-253, July.
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"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
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"Testing of nonstationary cycles in financial time series data,"
Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
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"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.
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"Higher-Order Kernel Semiparametric M-Estimation of Long Memory,"
STICERD - Econometrics Paper Series
436, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
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- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
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"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
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- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- 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.
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- Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
- 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.
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- 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.
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"Semiparametric estimation in perturbed long memory series,"
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- Dominique Guegan & Zhiping Lu, 2009. "Wavelet Method for Locally Stationary Seasonal Long Memory Processes," Post-Print halshs-00375531, HAL.
- Guglielmo Caporale & Luis Gil-Alana, 2014.
"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
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- 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.
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- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- del Barrio Castro, Tomás & Rachinger, Heiko, 2021.
"Aggregation of Seasonal Long-Memory Processes,"
Econometrics and Statistics, Elsevier, vol. 17(C), pages 95-106.
- del Barrio Castro, Tomás & Rachinger, Heiko, 2020. "Aggregation of Seasonal Long-Memory Processes," MPRA Paper 102890, University Library of Munich, Germany.
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"Fractional integration and cointegration,"
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- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
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"Estimation of a dynamic multi-level factor model with possible long-range dependence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
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- Jan Beran & Jeremy Näscher & Fabian Pietsch & Stephan Walterspacher, 2024. "Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(4), pages 705-731, December.
- Paul M. Beaumont & Aaron D. Smallwood, 2024. "Conditional sum of squares estimation of k-factor GARMA models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(3), pages 501-543, September.
- 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.
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- 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.
- 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.
- 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).
- 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.
- 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).
- 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.
- Mahdi Kalantari & Hossein Hassani, 2019. "Automatic Grouping in Singular Spectrum Analysis," Forecasting, MDPI, vol. 1(1), pages 1-16, October.
- Kalantari, Mahdi, 2021. "Forecasting COVID-19 pandemic using optimal singular spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
- 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:
- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- del Barrio Castro, Tomás & Rachinger, Heiko, 2021.
"Aggregation of Seasonal Long-Memory Processes,"
Econometrics and Statistics, Elsevier, vol. 17(C), pages 95-106.
- del Barrio Castro, Tomás & Rachinger, Heiko, 2020. "Aggregation of Seasonal Long-Memory Processes," MPRA Paper 102890, University Library of Munich, Germany.
- Karahan, Cenk C. & Odabaşı, Attila & Tiryaki, C. Sani, 2024. "Wired together: Integration and efficiency in European electricity markets," Energy Economics, Elsevier, vol. 133(C).
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- 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.
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- 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.
- 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.
- 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.
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- 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.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- Arteche, Josu, 2015.
"Signal Extraction In Long Memory Stochastic Volatility,"
Econometric Theory, Cambridge University Press, vol. 31(6), pages 1382-1402, December.
Cited by:
- 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.
- 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.
- 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.
- 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.
- Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
- 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:
- Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
- Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
- 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.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- 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.
- Jan Beran & Jeremy Näscher & Fabian Pietsch & Stephan Walterspacher, 2024. "Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(4), pages 705-731, December.
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"Spatial Integration in the Spanish Mackerel Market,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 65(1), pages 234-256, January.
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- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"Integration and Disintegration of EMU Government Bond Markets,"
Econometrics, MDPI, vol. 9(1), pages 1-17, March.
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"Doubly fractional models for dynamic heteroscedastic cycles,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
Cited by:
- Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
- Manabu Asai & Shelton Peiris & Michael McAleer, 2017.
"Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory,"
Documentos de Trabajo del ICAE
2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
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"Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,"
JRFM, MDPI, vol. 10(4), pages 1-16, December.
- 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.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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"Standard and seasonal long memory in volatility: an application to Spanish inflation,"
Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
Cited by:
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- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- 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.
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Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
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"Estimation of long memory in integrated variance,"
DEM Working Papers Series
017, University of Pavia, Department of Economics and Management.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
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"Estimation of long memory in integrated variance,"
DEM Working Papers Series
017, University of Pavia, Department of Economics and Management.
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"Bootstrap‐based bandwidth choice for log‐periodogram regression,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
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"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.
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- 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.
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- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- 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.
- 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.
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Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
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017, University of Pavia, Department of Economics and Management.
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JRFM, MDPI, vol. 10(4), pages 1-16, December.
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"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:
- Guglielmo Caporale & Luis Gil-Alana, 2014.
"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
- 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.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.
- Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003.
"Forecasting electricity demand using generalized long memory,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
486, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- 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.
- Dominique Guegan & Laurent Ferrara, 2008.
"Fractional and seasonal filtering,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Post-Print halshs-00646178, HAL.
- 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.
- Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, vol. 29(2), pages 296-311, March.
- 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.
- Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
- 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.
- Luis A. Gil-Alana, 2004. "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers 07/04, School of Economics and Business Administration, University of Navarra.
- 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.
- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- 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.
- 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.
- 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.
- 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.
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013.
"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
- 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.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- 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.
- 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).
- 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.
- 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.
- Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- 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.
- 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.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- 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.
- Guglielmo Caporale & Luis Gil-Alana, 2014.
"Fractional integration and cointegration in US financial time series data,"
Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
- 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.
- 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.
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