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Semiparametric inference in correlated long memory signal plus noise models
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 ...
Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country
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 ...