There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept has been extended to SCLM (Seasonal/Cyclical Long Memory) where 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>

This paper describes semiparametric techniques recently proposed for the analysis of seasonal or cyclical long memory and applies them to a monthly Spanish inflation series. One of the conclusions is that this series has long memory not only at the origin but also at some but not all seasonal...

Log periodogram regression is widely applied in empirical applications to estimate the memory parameter, d, of long memory time series. This estimator is consistent for d1 and pivotal asymptotically normal for d3/4. However, the asymptotic distribution is a poor approximation of the (unknown)...