Multiple cyclical fractional structures in financial time series

This article analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow-Jones and the S&P 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.

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Year of publication:	2010
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 11, p. 1079-1081
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008498622