This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article...

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following Amado and Terasvirta (2009), Cizek and Spokoiny (2009) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a...

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci˘zek and Spokoiny (2009), Amado and Teräsvirta (2012) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a...