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 memory in cyclical (non-zero) frequencies in both the levels and the...

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 to what extent fishermen can pass on the effects of negative shocks (e.g....

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 in many economic and financial series. Consistency (for d 1) and...

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 estimates, which may lead to contradictory conclusions, for example about the...

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 use of Long Memory in Stochastic Volatility (LMSV) processes to model such a...

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 Whittle estimator of the memory parameter in a long memory signal plus...