Details about Josu Arteche

Access statistics for papers by Josu Arteche.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: par54

Working Papers

2023

1. Long memory, fractional integration and cointegration analysis of real convergence in Spain
   Papers, arXiv.org

2020

2. Frequency Domain Local Bootstrap in long memory time series
   BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) View citations (1)

2011

3. 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

4. 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) View citations (1)
5. Semiparametric inference in correlated long memory 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 Econometric Reviews (2012)

2008

6. 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

7. Semiparametric estimation in perturbed long memory series
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (21)
   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

8. 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)
   See also Journal Article in Journal of Econometrics (2004)

1998

9. 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
10. Seasonal and cyclical long memory
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (56)
11. 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
12. Semiparametric inference in seasonal and cyclical long memory processes
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (49)
    See also Journal Article in Journal of Time Series Analysis (2000)

Journal Articles

2022

1. Singular spectrum analysis for value at risk in stochastic volatility models
   Journal of Forecasting, 2022, 41, (1), 3-16

2020

2. EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
   Econometric Theory, 2020, 36, (6), 1064-1098 View citations (6)

2017

3. A strategy for optimal bandwidth selection in Local Whittle estimation
   Econometrics and Statistics, 2017, 4, (C), 3-17 View citations (3)
4. Singular Spectrum Analysis for signal extraction in Stochastic Volatility models
   Econometrics and Statistics, 2017, 1, (C), 85-98 View citations (7)
5. Testing for substitutability in the mackerel market: a new method using fractional cointegration
   Applied Economics, 2017, 49, (39), 3912-3926

2016

6. A bootstrap approximation for the distribution of the Local Whittle estimator
   Computational Statistics & Data Analysis, 2016, 100, (C), 645-660 View citations (4)
7. Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country
   Economia Agraria y Recursos Naturales, 2016, 16, (01) View citations (2)
8. Spatial Integration in the Spanish Mackerel Market Volume 65, Issue 1, January 2014, pp. 234–256
   Journal of Agricultural Economics, 2016, 67, (1), 250-250

2015

9. SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY
   Econometric Theory, 2015, 31, (6), 1382-1402 View citations (5)

2014

10. A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
    Mathematics and Computers in Simulation (MATCOM), 2014, 98, (C), 1-17 View citations (6)
11. Spatial Integration in the Spanish Mackerel Market
    Journal of Agricultural Economics, 2014, 65, (1), 234-256 View citations (4)

2012

12. Doubly fractional models for dynamic heteroscedastic cycles
    Computational Statistics & Data Analysis, 2012, 56, (6), 2139-2158 View citations (7)
    See also Working Paper (2011)
13. Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models
    Econometric Reviews, 2012, 31, (4), 440-474 View citations (3)
    See also Working Paper (2010)
14. Standard and seasonal long memory in volatility: an application to Spanish inflation
    Empirical Economics, 2012, 42, (3), 693-712 View citations (5)

2009

15. Bootstrap‐based bandwidth choice for log‐periodogram regression
    Journal of Time Series Analysis, 2009, 30, (6), 591-617 View citations (2)
16. Using the bootstrap for finite sample confidence intervals of the log periodogram regression
    Computational Statistics & Data Analysis, 2009, 53, (6), 1940-1953 View citations (4)

2007

17. The Analysis of Seasonal Long Memory: The Case of Spanish Inflation*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (6), 749-772 View citations (7)

2006

18. Semiparametric estimation in perturbed long memory series
    Computational Statistics & Data Analysis, 2006, 51, (4), 2118-2141 View citations (21)
    See also Working Paper (2006)

2005

19. Bootstrapping the log-periodogram regression
    Economics Letters, 2005, 86, (1), 79-85 View citations (10)
20. Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
    Journal of Time Series Analysis, 2005, 26, (4), 581-611 View citations (11)

2004

21. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
    Journal of Econometrics, 2004, 119, (1), 131-154 View citations (56)
    See also Working Paper (2002)

2002

22. Semiparametric robust tests on seasonal or cyclical long memory time series
    Journal of Time Series Analysis, 2002, 23, (3), 251-285 View citations (34)

2000

23. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
    Journal of Time Series Analysis, 2000, 21, (1), 1-25 View citations (78)
    See also Working Paper (1998)

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