Semiparametric robust tests on seasonal or cyclical long memory time series

By Josu Arteche. 2002

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f7c82071ffc8345f3a15ec7faf0cafe23203f11d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Anindya Banerjee
2. G. Urga
3. Josu Arteche
4. Katsumi Shimotsu
5. Pierre Perron
6. Eric Zivot
7. Kyongwook Choi
8. Fulvio Corsi

In Finance

1. Anindya Banerjee
2. G. Urga
3. Katsumi Shimotsu
4. Pierre Perron
5. Eric Zivot
6. Kyongwook Choi
7. Fulvio Corsi
8. Jie Hou

Citations in the corpus

• Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models (2004, background): “Thus the only difference in the proof of the consistency with respect to Theorems 1 in Robinson (1995b) and Arteche (2000) comes out from the presence of Iξξ(λ) + Ivξ(λ) + Iξv(λ) and we have only to prove that the terms involving Iξξ(λ), Ivξ(λ) and Iξv(λ) are asymptotically negligible.”
• Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “…with conditional heavy tails; Henry (2001) introduces a periodogram spectral estimation for the case of long memory conditional heteroscedasticity; Arteche (2002) deals with the problem of seasonal and cyclical long memory developing semiparametric robust tests; Christensen and Nielsen (2002)…”