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CAC-40 stock market index : long memory in the returns and in the volatility processes at different data frequencies

Gil-Alaña, Luis A.; Laniepce, Arnold - In: Stock returns : cyclicity, prediction and economic …, (pp. 211-220). 2009

Persistent link: https://www.econbiz.de/10003945030

Parameter estimation and practical aspects of modeling stochastic volatility

Jungbacker, Borus; Koopman, Siem Jan - In: Handbook of financial time series, (pp. 313-344). 2009

Persistent link: https://www.econbiz.de/10003833957

Trend-cycle decomposition models with smooth-transition parameters: Evidence from US economic time series

Koopman, Siem Jan; Lee, Kai Ming; Wong, Soon Yip - In: Nonlinear time series analysis of business cycles, (pp. 199-219). 2006

Persistent link: https://www.econbiz.de/10003312252

Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Recent econometric techniques for macroeconomic and …, (pp. 293-302). 2021

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (nonzero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012395490

Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries : a stochastic hidden Markov model approach

Antunes, Jorge Junio Moreira; Gil-Alaña, Luis A.; … - In: Financial modeling and risk management of energy and …, (pp. 191-229). 2022

Persistent link: https://www.econbiz.de/10013349945