Browsing Biltoki by Author "Arteche, Josu"
Now showing items 1-7 of 7
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Doubly fractional models for dynamic heteroskedastic cycles
Strong persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series. The class of doubly fractional models is extended to include the possibility of long ... -
Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country
This paper analyses weekly prices for mackerel landed by the inshore fleet at the ports of the Basque Country in 1995-2008, using new econometric techniques never before applied to the fishing market. The idea is to learn ... -
Frequency Domain Local Bootstrap in long memory time series
Bootstrap techniques in the frequency domain have been proved to be effective instruments to approximate the distribution of many statistics of weakly dependent (short memory) series. However their validity with long ... -
Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models
This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local ... -
Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different ... -
Semiparametric estimation in perturbed long memory series
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the ... -
Semiparametric inference in correlated long memory signal plus noise models
This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation ...