Details about Josu Arteche

Access statistics for papers by Josu Arteche.

Last updated 2013-01-04. Update your information in the RePEc Author Service.

Short-id: par54

Working Papers

2011

1. Doubly fractional models for dynamic heteroskedastic cycles
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)
   See also Journal Article in Computational Statistics & Data Analysis (2012)

2010

2. Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)
3. Semiparametric inference in correlated long memory signal plus noise models
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

2008

4. Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

2006

5. Semiparametric estimation in perturbed long memory series
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (5)
   Also in BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) (2005)
   See also Journal Article in Computational Statistics & Data Analysis (2006)

2002

6. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) View citations (1)
   See also Journal Article in Journal of Econometrics (2004)

1998

7. Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
8. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (22)

Undated

9. Trimming and tapering semi-parametric estimates in asymmetric long memory time series
   Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
   See also Journal Article in Journal of Time Series Analysis (2005)

Journal Articles

2012

1. Doubly fractional models for dynamic heteroscedastic cycles
   Computational Statistics & Data Analysis, 2012, 56, (6), 2139-2158
   See also Working Paper (2011)
2. Standard and seasonal long memory in volatility: an application to Spanish inflation
   Empirical Economics, 2012, 42, (3), 693-712 View citations (1)

2009

3. Bootstrap-based bandwidth choice for log-periodogram regression
   Journal of Time Series Analysis, 2009, 30, (6), 591-617
4. Using the bootstrap for finite sample confidence intervals of the log periodogram regression
   Computational Statistics & Data Analysis, 2009, 53, (6), 1940-1953 View citations (1)

2007

5. The Analysis of Seasonal Long Memory: The Case of Spanish Inflation
   Oxford Bulletin of Economics and Statistics, 2007, 69, (6), 749-772 View citations (1)

2006

6. Semiparametric estimation in perturbed long memory series
   Computational Statistics & Data Analysis, 2006, 51, (4), 2118-2141 View citations (5)
   See also Working Paper (2006)

2005

7. Bootstrapping the log-periodogram regression
   Economics Letters, 2005, 86, (1), 79-85 View citations (4)
8. Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series
   Journal of Time Series Analysis, 2005, 26, (4), 581-611 View citations (4)
   See also Working Paper

2004

9. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
   Journal of Econometrics, 2004, 119, (1), 131-154 View citations (16)
   See also Working Paper (2002)

Books

2000

1. Ejercicios de estadística I. Elementos de Probabilidad y Estadística
   UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales
2. Ejercicios de estadística II. Estadística Empresarial y para Economistas
   UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales