Standard and seasonal long memory in volatility: an application to Spanish inflation-Reference-Cited by-同舟云学术

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

Published:2010-12-16 Issue:3 Volume:42 Page:693-712
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Arteche Josu

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00181-010-0446-8.pdf

Reference33 articles.

1. Arteche J (2002) Semiparametric robust tests on seasonal or cyclical long memory time series. J Time Ser Anal 23: 251–285

2. Arteche J (2004) Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. J Econom 119: 131–154

3. Arteche J (2006) Semiparametric estimation in perturbed long memory series. Comput Stat Data Anal 52: 2118–2141

4. Arteche J (2007) The analysis of seasonal long memory: the case of Spanish inflation. Oxf Bull Econ Stat 69: 749–772

5. Arteche J, Robinson PM (1999) Seasonal and cyclical long memory. In: Ghosh S (ed) Asymptotics, nonparametrics and time series. Marcel Dekker, Inc., New York, pp 115–148

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