Nothing Special   »   [go: up one dir, main page]
create a website
Fractional seasonality: Models and Application to Economic Activity in the Euro Area. (2006). Guegan, Dominique ; Ferrara, Laurent.
In: Post-Print.
RePEc:hal:journl:halshs-00185370.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 30

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Anderson, O.D. (1979) The autocovariance structures associated with general unit circle non-stationary factors in the autocovariance operators of otherwise stationary ARMA time series models, Cahiers du CERO, 21, 221 - 237.
    Paper not yet in RePEc: Add citation now

  2. Arteche J. (2003) Semi-parametric robust tests on seasonal or cyclical long memory time series, Journal of Time Series Analysis, 23, 251 - 285.

  3. Arteche J., Robinson P.M. (2000) Semiparametric inference in seasonal and cyclical long memory processes, Journal of Time Series Analysis, 21, 1 - 25.

  4. Carlin, J.B., Dempster A.P. (1989) Sensitivity analysis of seasonal adjustements: Empirical cas studies, Journal of the American Statistical Association, 84, 6 - 20.
    Paper not yet in RePEc: Add citation now
  5. Chan N.H., Palma W. (2005) Efficient estimation of seasonal long range dependent processes, Journal of Time Series Analysis, 26, 863 - 892.
    Paper not yet in RePEc: Add citation now
  6. Chung C-F. (1996) A generalized fractionally integrated autoregressive moving average process, Journal of Time Series Analysis, 17, 111-140.
    Paper not yet in RePEc: Add citation now

  7. Darné O., Guiraud V., Terraza M. (2004) Forecast of the seasonal fractional integrated series, Journal of Forecasting, 23, 1 - 17.

  8. Diongue A. K., Guégan D. (2004) Forecasting electricity spot market prices with a k-factor GIGARCH process, Note de recherché MORA - IDHE - nř 9-2004, Décembre 2004, Cachan, France.

  9. Ferrara, L. and D. Guégan (2000) Forecasting financial time series with generalized long memory processes, in Advances in Quantitative Asset Management, p.319-342, C.L. Dunis eds., Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  10. Ferrara, L. and D. Guégan (2001b), Comparison of parameter estimation methods in cyclical long memory time series, in Developments in Forecast Combination and Portfolio Choice , Chapter 8, C. Dunis, J. Moody and A. Timmermann (eds.), Wiley, New York.
    Paper not yet in RePEc: Add citation now

  11. Ferrara, L. and Guégan, D. (2001a), Forecasting with k-factor Gegenbauer processes: Theory and applications, Journal of Forecasting, 20, 581-601.

  12. Franses P.H., Ooms M. (1997) A periodic long memory model for quartely UK inflation, International Journal of Forecasting, 13, 117 - 126.
    Paper not yet in RePEc: Add citation now
  13. Geweke J., Porter Hudak S. (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 67 - 90.
    Paper not yet in RePEc: Add citation now
  14. Gil-Alana L.A. (2001) Testing stochastic cycles in macro-economic time series, Journal of Time Series Analysis, 22, 411 - 430.
    Paper not yet in RePEc: Add citation now
  15. Giraitis, L. and Leipus, R. (1995), A generalized fractionally differencing approach in long memory modeling, Lithuanian Mathematical Journal, 35, 65-81.
    Paper not yet in RePEc: Add citation now
  16. Giraitis, L., Leipus R. (1995) A generalized Fractionally Differencing Approacg in Long Memory Modelling, Lithuanian Mathematical Journal, 35, 65 - 81.
    Paper not yet in RePEc: Add citation now
  17. Granger C.W.J. and R. Joyeux (1980) An introduction to long memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15 - 29.
    Paper not yet in RePEc: Add citation now
  18. Grassman, P. and F. Keereman (2001), An indicator-based short-term forecast for quarterly GDP in the euro area, Economic Paper 154, European Commission.
    Paper not yet in RePEc: Add citation now

  19. Gray, H.L., Zhang, N.-F. and Woodward, W.A. (1989), On generalized fractional processes, Journal of Time Series Analysis, 10, 233-257.

  20. Guégan D., Ladoucette S. (2001) Non mixing properties of long memory processes, CRAS Paris, t. 332, Série I, 1-4.

  21. Guégan, D. (2000), A new model : the k-factor GIGARCH process, Journal of Signal Processing, 4, 265-271.
    Paper not yet in RePEc: Add citation now
  22. Guégan, D. (2003, A prospective study of the k-factor Gegenbauer process with heteroscedastic errors and an application to inflation rates, Finance India, 17, 1 - 21.
    Paper not yet in RePEc: Add citation now
  23. Hassler U. (1994) Misspecification of long memory seasonal time series, Journal of Time Series Analysis, 15, 19 - 30.
    Paper not yet in RePEc: Add citation now
  24. Huang D., Anh V.V. (1993) Estimation of the non-stationary factor in ARUMA models, Journal of Time Series Analysis, 14, 27 - 46.
    Paper not yet in RePEc: Add citation now
  25. Olhede S.C., McCoy E.J., Stephens D.A. (2004) Large-sample of the periodogram estimator of sesonally persistent processes, Biometrika, 91, 613 - 628.
    Paper not yet in RePEc: Add citation now
  26. Porter-Hudak, S. (1990) An application to the seasonally fractionally differenced model to the monetary aggregates, Journal of the American Statistical Association, 85, 338 - 344.
    Paper not yet in RePEc: Add citation now

  27. Ray B.K. (1993) Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model, International Journal of Forecasting, 9, 255 -269.

  28. Reisen, V.A., A.L. Rodrigues, and W. Palma (2004) Estimation of seasonal fractionally integrated processes, mimeo.
    Paper not yet in RePEc: Add citation now
  29. Robinson P.M. (1994) Efficient tests of non-stationary hypotheses, Journal of the American Statistical Association, 89, 1420-1457.
    Paper not yet in RePEc: Add citation now
  30. Woodward, W.A., Cheng Q.C. and Gray H.L. (1998) A k-factor GARMA longmemory model, Journal of Time Series Analysis, 19, 5, 485-504. 0 pi/6 pi/3 pi/2 2 pi/3 5 pi/6 pi 1e+09 2e+09 3e+09 4e+09 5e+09 6e+09 7e+09 8e+09 9e+09
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. On the invertibility of seasonally adjusted series. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya ; Gil-Alana, Luis.
    In: Computational Statistics.
    RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0715-5.

    Full description at Econpapers || Download paper

  2. Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-599.

    Full description at Econpapers || Download paper

  3. Fractional integration and cointegration in US financial time series data. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirical Economics.
    RePEc:spr:empeco:v:47:y:2014:i:4:p:1389-1410.

    Full description at Econpapers || Download paper

  4. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case. (2014). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-198.

    Full description at Econpapers || Download paper

  5. Modelling Long Run Trends and Cycles in Financial Time Series Data. (2012). Gil-Alana, Luis ; Cuñado, Juncal ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1312.

    Full description at Econpapers || Download paper

  6. Fractional Integration and Cointegration in US Financial Time Series Data. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1212.

    Full description at Econpapers || Download paper

  7. Standard and seasonal long memory in volatility: an application to Spanish inflation. (2012). Arteche, Josu.
    In: Empirical Economics.
    RePEc:spr:empeco:v:42:y:2012:i:3:p:693-712.

    Full description at Econpapers || Download paper

  8. Doubly fractional models for dynamic heteroscedastic cycles. (2012). Arteche, Josu ; Artiach, Miguel.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:6:p:2139-2158.

    Full description at Econpapers || Download paper

  9. Oil Prices: Persistence and Breaks. (2011). Gil-Alana, Luis ; Barros, Carlos.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0911.

    Full description at Econpapers || Download paper

  10. A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics. (2010). Gil-Alana, Luis.
    In: Empirical Economics.
    RePEc:spr:empeco:v:38:y:2010:i:2:p:471-501.

    Full description at Econpapers || Download paper

  11. Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country. (2010). García Enríquez, Javier ; Arteche, Josu ; Maza, Arantza Murillas ; MurillasMaza, Arantza ; Enriquez, Javier Garcia .
    In: BILTOKI.
    RePEc:ehu:biltok:5567.

    Full description at Econpapers || Download paper

  12. Seasonal Nonlinear Long Memory Model for the US Inflation Rates. (2008). Boutahar, Mohamed ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen.
    In: Computational Economics.
    RePEc:kap:compec:v:31:y:2008:i:3:p:243-254.

    Full description at Econpapers || Download paper

  13. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). Guegan, Dominique ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00277379.

    Full description at Econpapers || Download paper

  14. Fractional and seasonal filtering. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00646178.

    Full description at Econpapers || Download paper

  15. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00283710.

    Full description at Econpapers || Download paper

  16. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c20041.

    Full description at Econpapers || Download paper

  17. Modelling Long-Run Trends and Cycles in Financial Time Series Data. (2008). Gil-Alana, Luis ; Cuñado, Juncal ; Caporale, Guglielmo Maria ; Cunado, Juncal.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2330.

    Full description at Econpapers || Download paper

  18. Business surveys modelling with Seasonal-Cyclical Long Memory models.. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Working papers.
    RePEc:bfr:banfra:224.

    Full description at Econpapers || Download paper

  19. Testing for deterministic and stochastic cycles in macroeconomic time series. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirica.
    RePEc:kap:empiri:v:34:y:2007:i:2:p:155-169.

    Full description at Econpapers || Download paper

  20. Global and local stationary modelling in finance : theory and empirical evidence. (2007). Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00187875.

    Full description at Econpapers || Download paper

  21. Electricity rationing and public response. (2007). Souza, Leonardo ; Soares, Lacir Jorge.
    In: Energy Economics.
    RePEc:eee:eneeco:v:29:y:2007:i:2:p:296-311.

    Full description at Econpapers || Download paper

  22. Generalised long-memory GARCH models for intra-daily volatility. (2007). Lisi, Francesco ; Caporin, Massimiliano ; Bordignon, Silvano .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:12:p:5900-5912.

    Full description at Econpapers || Download paper

  23. Testing The Existence of Multiple Cycles in Financial and Economic Time Series. (2007). Gil-Alanaa, L. A..
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:1-20.

    Full description at Econpapers || Download paper

  24. Long Run and Cyclical Dynamics in the US Stock Market. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2046.

    Full description at Econpapers || Download paper

  25. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu ; University of the Basque Country, .
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:22.

    Full description at Econpapers || Download paper

  26. Seasonal and Periodic Long Memory Models in the In�ation Rates. (2006). Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
    In: MPRA Paper.
    RePEc:pra:mprapa:22690.

    Full description at Econpapers || Download paper

  27. Testing of nonstationary cycles in financial time series data. (2006). Gil-Alana, Luis ; DePenya, F..
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:27:y:2006:i:1:p:47-65.

    Full description at Econpapers || Download paper

  28. Semiparametric estimation in perturbed long memory series. (2006). Arteche, Josu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2118-2141.

    Full description at Econpapers || Download paper

  29. Seasonal Adjustment. (2006). Hylleberg, Svend.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2006-04.

    Full description at Econpapers || Download paper

  30. Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output. (2005). Gil-Alana, Luis.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:viii:y:2005:i:1-2:p:99-126.

    Full description at Econpapers || Download paper

  31. Semiparametric estimation in perturbed long memory series. (2005). Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:5665.

    Full description at Econpapers || Download paper

  32. Semiparametric estimation in perturbed long memory series. (2005). .
    In: BILTOKI.
    RePEc:ehu:biltok:200502.

    Full description at Econpapers || Download paper

  33. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

    Full description at Econpapers || Download paper

  34. Deterministic Seasonality versus Seasonal Fractional Integration. (2004). Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0704.

    Full description at Econpapers || Download paper

  35. Testing of Unit Root Cycles in the Swedish Economy. (2004). Gil-Alana, Luis.
    In: Empirica.
    RePEc:kap:empiri:v:31:y:2004:i:4:p:333-344.

    Full description at Econpapers || Download paper

  36. Long-run and Cyclical Dynamics in the US Stock Market. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Economics Series.
    RePEc:ihs:ihsesp:155.

    Full description at Econpapers || Download paper

  37. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. (2004). Arteche, Josu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:1:p:131-154.

    Full description at Econpapers || Download paper

  38. Long-run and Cyclical Dynamics in the US Stock Market. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:344.

    Full description at Econpapers || Download paper

  39. Unit root cycles in the US unemployment rate. (2004). Managi, Shunsuke.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-03c20016.

    Full description at Econpapers || Download paper

  40. Testing of Nonstationary Cycles in Financial Time Series Data. (2003). Gil-Alana, Luis ; DePenya, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1503.

    Full description at Econpapers || Download paper

  41. Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:491.

    Full description at Econpapers || Download paper

  42. Forecasting electricity demand using generalized long memory. (2003). Souza, Leonardo ; Soares, Lacir Jorge.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:486.

    Full description at Econpapers || Download paper

  43. Higher-order kernel semiparametric M-estimation of long memory. (2003). Robinson, Peter ; Henry, Marc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:114:y:2003:i:1:p:1-27.

    Full description at Econpapers || Download paper

  44. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models. (2002). Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:5744.

    Full description at Econpapers || Download paper

  45. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models. (2002). .
    In: BILTOKI.
    RePEc:ehu:biltok:200202.

    Full description at Econpapers || Download paper

  46. Higher-order kernel semiparametric M-estimation of long memory. (2002). Henry, Marc ; Robinson, Peter.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2147.

    Full description at Econpapers || Download paper

  47. Higher-Order Kernel Semiparametric M-Estimation of Long Memory. (2002). Henry, Marc ; Robinson, Peter M.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:436.

    Full description at Econpapers || Download paper

  48. Parametric estimation under long-range dependence. (2001). Giraitis, Liudas ; Robinson, Peter M..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2227.

    Full description at Econpapers || Download paper

  49. Parametric Estimation under Long-Range Dependence. (2001). Giraitis, Liudas ; Robinson, Peter M.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:416.

    Full description at Econpapers || Download paper

  50. WAVELET-BASED ESTIMATION PROCEDURES FOR SEASONAL LONG-MEMORY MODELS. (2000). Whitcher, Brandon .
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:148.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-20 20:37:13 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.