This paper explores seasonal and long-memory time series properties by using the fractional ARIMA model when the data have one and two seasonal periods and short-memory components. The stationarity and invertibility parameter conditions are established for the model studied. To estimate the...

Strong cyclical persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series, specially in astronomical or business cycle data. The class of doubly fractional models is extended to include the possibility of long memory in...

type="main" xml:id="jage12020-abs-0001" <title type="main">Abstract</title> <p>This article analyses the potential links between regional first-sale markets for mackerel in Spain using fractional cointegration techniques. The results indicate that this is not an integrated market, and we demonstrate that there are no links,...</p>