UB Paderborn / Katalog / Suche / in CDI

EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

Econometric theory, 2020-12, Vol.36 (6), p.1064-1098

Arteche, Josu

2020

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Bootstrapping long memory time series: Application in low frequency estimators

Econometrics and statistics, 2024-01, Vol.29, p.1-15

Arteche, Josu

2024

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Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

Journal of econometrics, 2004-03, Vol.119 (1), p.131-154

Arteche, Josu

2004

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Do Spanish regions converge? A time-series approach using fractional cointegration

Applied economics, 2024-01, p.1-14

2024

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SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY

Econometric theory, 2015-12, Vol.31 (6), p.1382-1402

Arteche, Josu

2015

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A bootstrap approximation for the distribution of the Local Whittle estimator

Computational statistics & data analysis, 2016-08, Vol.100, p.645-660

2016

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Parametric vs. semiparametric long memory: Comments on “Prediction from ARFIMA models: Comparison between MLE and semiparametric estimation”

International journal of forecasting, 2012-01, Vol.28 (1), p.54-56

Arteche, Josu

2012

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Standard and seasonal long memory in volatility: an application to Spanish inflation

Empirical economics, 2012-06, Vol.42 (3), p.693-712

Arteche, Josu

2012

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A strategy for optimal bandwidth selection in Local Whittle estimation

Econometrics and statistics, 2017-10, Vol.4, p.3-17

2017

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Semiparametric Inference in Seasonal and Cyclical Long Memory Processes

Journal of time series analysis, 2000-01, Vol.21 (1), p.1-25

2000

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Doubly fractional models for dynamic heteroscedastic cycles

Computational statistics & data analysis, 2012-06, Vol.56 (6), p.2139-2158

2012

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Singular spectrum analysis for value at risk in stochastic volatility models

Journal of forecasting, 2022-01, Vol.41 (1), p.3-16

2022

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The Analysis of Seasonal Long Memory: The Case of Spanish Inflation

Oxford bulletin of economics and statistics, 2007-12, Vol.69 (6), p.749-772

Arteche, Josu

2007

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Semiparametric estimation in perturbed long memory series

Computational statistics & data analysis, 2006-12, Vol.51 (4), p.2118-2141

Arteche, J.

2006

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Singular Spectrum Analysis for signal extraction in Stochastic Volatility models

Econometrics and statistics, 2017-01, Vol.1, p.85-98

2017

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Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Computational statistics & data analysis, 2009-04, Vol.53 (6), p.1940-1953

2009

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Estimation of the frequency in cyclical long-memory series

Journal of statistical computation and simulation, 2011-11, Vol.81 (11), p.1627-1639

2011

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Testing for substitutability in the mackerel market: a new method using fractional cointegration

Applied economics, 2017-08, Vol.49 (39), p.3912-3926

2017

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Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models

Econometric reviews, 2012-07, Vol.31 (4), p.440-474

Arteche, J.

2012

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Using the bootstrap for finite sample confidence intervals of the log periodogram regression: The Fourth Special Issue on Computational Econometrics

Computational statistics & data analysis, 2009, Vol.53 (6), p.1940-1953

2009

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A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model

Mathematics and computers in simulation, 2014-04, Vol.98, p.1-17

2014

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Semiparametric robust tests on seasonal or cyclical long memory time series

Journal of time series analysis, 2002-05, Vol.23 (3), p.251-285

ARTECHE, JOSU

2002

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Spatial Integration in the Spanish Mackerel Market

Journal of agricultural economics, 2014-01, Vol.65 (1), p.234-256

2014

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Spatial Integration in the Spanish Mackerel Market Volume 65, Issue 1, January 2014, pp. 234-256

Journal of agricultural economics, 2016-02, Vol.67 (1), p.250-250

2016

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Bootstrap-based bandwidth choice for log-periodogram regression

Journal of time series analysis, 2009-11, Vol.30 (6), p.591-617

2009

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EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

Bootstrapping long memory time series: Application in low frequency estimators

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

Do Spanish regions converge? A time-series approach using fractional cointegration

SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY

A bootstrap approximation for the distribution of the Local Whittle estimator

Parametric vs. semiparametric long memory: Comments on “Prediction from ARFIMA models: Comparison between MLE and semiparametric estimation”

Standard and seasonal long memory in volatility: an application to Spanish inflation

A strategy for optimal bandwidth selection in Local Whittle estimation

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes

Doubly fractional models for dynamic heteroscedastic cycles

Singular spectrum analysis for value at risk in stochastic volatility models

The Analysis of Seasonal Long Memory: The Case of Spanish Inflation

Semiparametric estimation in perturbed long memory series

Singular Spectrum Analysis for signal extraction in Stochastic Volatility models

Using the bootstrap for finite sample confidence intervals of the log periodogram regression

Estimation of the frequency in cyclical long-memory series

Testing for substitutability in the mackerel market: a new method using fractional cointegration

Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models

Using the bootstrap for finite sample confidence intervals of the log periodogram regression: The Fourth Special Issue on Computational Econometrics

A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model

Semiparametric robust tests on seasonal or cyclical long memory time series

Spatial Integration in the Spanish Mackerel Market

Spatial Integration in the Spanish Mackerel Market Volume 65, Issue 1, January 2014, pp. 234-256

Bootstrap-based bandwidth choice for log-periodogram regression

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