Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2008) Multiple cyclical fractional structures in financial time series. Centre for International Capital Markets discussion papers, 2008 (04). pp. 1-9. ISSN 1749-3412
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Abstract / Description
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.
Item Type: | Article |
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Uncontrolled Keywords: | Centre for International Capital Markets discussion papers; CICM discussion papers; multiple cyclical structures; long memory; stock market indices |
Subjects: | 300 Social sciences > 330 Economics |
Department: | Guildhall School of Business and Law |
Depositing User: | Mary Burslem |
Date Deposited: | 21 Apr 2015 13:53 |
Last Modified: | 21 May 2020 14:44 |
URI: | https://repository.londonmet.ac.uk/id/eprint/459 |
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