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Title: Multiple cyclical fractional structures in financial time series
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Multiple cyclical structures; Long memory; Stock market indices
Issue Date: 2008
Publisher: Brunel University
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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