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Semiparametric Inference in Seasonal and Cyclical Long Memory Processes. (2000). Arteche, Josu ; Robinson, Peter M.
In: Journal of Time Series Analysis.
RePEc:bla:jtsera:v:21:y:2000:i:1:p:1-25.

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  1. Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987.

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  2. Estimation methods for stationary Gegenbauer processes. (2022). Hunt, Richard ; Weber, Neville ; Peiris, Shelton.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:63:y:2022:i:6:d:10.1007_s00362-022-01290-3.

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  3. A harmonically weighted filter for cyclical long memory processes. (2022). Maddanu, Federico.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00394-9.

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  4. Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier.
    In: Papers.
    RePEc:arx:papers:2211.10235.

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  5. Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier.
    In: CREATES Research Papers.
    RePEc:aah:create:2022-02.

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  6. Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process. (2021). Proietti, Tommaso ; Maddanu, Federico.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:518.

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  7. Cyclical fractional cointegration. (2021). Sibbertsen, Philipp ; Voges, Michelle.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:19:y:2021:i:c:p:114-129.

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  8. Frequency Domain Local Bootstrap in long memory time series. (2020). Arteche, Josu.
    In: BILTOKI.
    RePEc:ehu:biltok:48980.

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  9. .

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  10. Inference for likelihood-based estimators of generalized long-memory processes. (2019). Smallwood, Aaron ; Beaumont, Paul .
    In: MPRA Paper.
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  11. International Financial Markets. (2019). Saglio, Sophie ; Sanhaji, Bilel ; Guerreiro, David ; Goutte, Stéphane ; Chevallier, Julien.
    In: Post-Print.
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  12. Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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  13. On the invertibility of seasonally adjusted series. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya ; Gil-Alana, Luis.
    In: Computational Statistics.
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  14. 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).
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  15. Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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  16. Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models. (2016). Narukawa, Masaki .
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:28:y:2016:i:2:p:272-295.

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  17. A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar.
    In: CREATES Research Papers.
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  18. On a class of minimum contrast estimators for Gegenbauer random fields. (2015). Espejo, Rosa ; Leonenko, Nikolai ; Olenko, Andriy ; Ruiz-Medina, Maria .
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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  19. Long memory and level shifts in REITs returns and volatility. (2015). Assaf, Ata.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:172-182.

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  20. 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.

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  21. 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.

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  22. Model Order Selection in Seasonal/Cyclical Long Memory Models. (2014). Sibbertsen, Philipp ; Leschinski, Christian.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-535.

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  23. A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model. (2014). Arteche, Josu ; Zamprogno, Bartolomeu ; Palma, Wilfredo ; Reisen, Valderio A..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:98:y:2014:i:c:p:1-17.

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  24. Persistence and cycles in historical oil price data. (2014). GUPTA, RANGAN ; Gil-Alana, Luis.
    In: Energy Economics.
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  25. Modelling Long Run Trends and Cycles in Financial Time Series Data. (2012). Gil-Alana, Luis ; Cuñado, Juncal ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
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  26. Fractional Integration and Cointegration in US Financial Time Series Data. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
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  27. 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.

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  28. Long memory and Periodicity in Intraday Volatility. (2012). Rossi, Eduardo ; Fantazzini, Dean.
    In: DEM Working Papers Series.
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  29. 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.

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  30. A wavelet Whittle estimator of generalized long-memory stochastic volatility. (2011). Hauser, Michael ; Gonzaga, Alex .
    In: Statistical Methods & Applications.
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  31. Marginal density estimation for linear processes with cyclical long memory. (2011). Philippe, Anne ; Haye, Mohamedou Ould.
    In: Statistics & Probability Letters.
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  32. Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters. (2011). Marques, G. O. L. C., .
    In: Physica A: Statistical Mechanics and its Applications.
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  33. 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.
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  34. Testing Fractional Order of Long Memory Processes: A Monte Carlo Study. (2010). Ferrara, Laurent ; Lu, Zhiping ; Guegan, Dominique.
    In: PSE-Ecole d'économie de Paris (Postprint).
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  35. Testing Fractional Order of Long Memory Processes: A Monte Carlo Study. (2010). Ferrara, Laurent ; Lu, Zhiping ; Guegan, Dominique.
    In: Post-Print.
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  36. 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.
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  37. Wavelet Method for Locally Stationary Seasonal Long Memory Processes. (2009). Guegan, Dominique ; Lu, Zhiping .
    In: Post-Print.
    RePEc:hal:journl:halshs-00375531.

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  38. Using the bootstrap for finite sample confidence intervals of the log periodogram regression. (2009). Orbe, Jesus ; Arteche, Josu.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1940-1953.

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  39. Bootstrap-based bandwidth choice for log-periodogram regression. (2009). Orbe, Jesus ; Arteche, Josu.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:30:y:2009:i:6:p:591-617.

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  40. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates. (2008). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirica.
    RePEc:kap:empiri:v:35:y:2008:i:3:p:241-253.

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  41. Fractional and seasonal filtering. (2008). Ferrara, Laurent ; Guegan, Dominique.
    In: PSE-Ecole d'économie de Paris (Postprint).
    RePEc:hal:pseptp:halshs-00646178.

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  42. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). Ferrara, Laurent ; Guegan, Dominique.
    In: PSE-Ecole d'économie de Paris (Postprint).
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  43. Fractional and seasonal filtering. (2008). Guegan, Dominique ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00646178.

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  44. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). Guegan, Dominique ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00283710.

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  45. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). Guegan, Dominique ; Ferrara, Laurent.
    In: Post-Print.
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  46. Testing fractional order of long memory processes : a Monte Carlo study. (2008). Guegan, Dominique ; Lu, Zhiping ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00259193.

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

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  48. 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.

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  49. Selection of the number of frequencies using bootstrap techniques in log-periodogram regression. (2008). Arteche, Josu ; Orbe, Jesus Maria .
    In: BILTOKI.
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  50. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). Gugan, Dominique .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2008:i:29:p:1-10.

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  51. Business surveys modelling with Seasonal-Cyclical Long Memory models. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Economics Bulletin.
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  52. 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.
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  53. Business surveys modelling with Seasonal-Cyclical Long Memory models.. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Working papers.
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  54. 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.

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  55. Long Run and Cyclical Dynamics in the US Stock Market. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
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  56. 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.

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  57. Fractional seasonality: Models and Application to Economic Activity in the Euro Area. (2006). Guegan, Dominique ; Ferrara, Laurent.
    In: Post-Print.
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  58. Forecasting electricity demand using generalized long memory. (2006). Souza, Leonardo ; Soares, Lacir Jorge.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:1:p:17-28.

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  59. Estimation of seasonal fractionally integrated processes. (2006). Rodrigues, Alexandre L. ; Palma, Wilfredo ; Reisen, Valderio Anselmo.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:50:y:2006:i:2:p:568-582.

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

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  61. 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.

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  62. Semiparametric estimation for stationary processes whose spectra have an unknown pole. (2005). Hidalgo, Javier.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:6842.

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  63. A parametric bootstrap test for cycles. (2005). Hidalgo, Javier ; Dalla, Violetta.
    In: LSE Research Online Documents on Economics.
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  64. Bootstrapping the log-periodogram regression. (2005). Orbe, Jesus ; Arteche, Josu.
    In: Economics Letters.
    RePEc:eee:ecolet:v:86:y:2005:i:1:p:79-85.

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  65. A Parametric Bootstrap Test for Cycles. (2005). Dalla, Violetta ; Hidalgo, Javier.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:486.

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  66. Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole. (2005). Hidalgo, Javier.
    In: STICERD - Econometrics Paper Series.
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  67. Efficient Estimation of Seasonal Long‐Range‐Dependent Processes. (2005). Palma, Wilfredo ; Chan, Ngai Hang.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:26:y:2005:i:6:p:863-892.

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  68. Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series. (2005). Velasco, Carlos ; Arteche, Josu.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:26:y:2005:i:4:p:581-611.

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

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  70. Bayesian time series analysis of periodic behaviour and spectral structure. (2004). Stephens, D. A. ; McCoy, E. J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:713-730.

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  71. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. (2004). Arteche, Josu.
    In: Journal of Econometrics.
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  72. Long-run and Cyclical Dynamics in the US Stock Market. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Econometric Society 2004 Latin American Meetings.
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  73. Unit root cycles in the US unemployment rate. (2004). Managi, Shunsuke.
    In: Economics Bulletin.
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  74. Estimation of the location and exponent of the spectral singularity of a long memory process. (2004). Soulier, Philippe ; Hidalgo, Javier.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:25:y:2004:i:1:p:55-81.

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

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  76. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models. (2002). Arteche, Josu.
    In: BILTOKI.
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  77. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models. (2002). .
    In: BILTOKI.
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  78. Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins. (2001). Sibbertsen, Philipp ; Lohre, Michael .
    In: Technical Reports.
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  79. WAVELET-BASED ESTIMATION PROCEDURES FOR SEASONAL LONG-MEMORY MODELS. (2000). Whitcher, Brandon .
    In: Computing in Economics and Finance 2000.
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