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|Title:||Multiple cyclical fractional structures in financial time series|
|Keywords:||Multiple cyclical structures; Long memory; Stock market indices|
|Citation:||Economics and Finance Discussion Papers, Brunel University, 08-02.|
|Abstract:||This paper analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow Jones and the Standard&Poor stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies, including the long-run or zero frequency.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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