Multiple cyclical fractional structures in financial time series

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

[img]
Preview
Text
CentreForInternationalCapitalMarketsDiscussionPapers_2008-04_p01-09.pdf - Published Version

Download (166kB) | Preview
Official URL: http://www.londonmet.ac.uk/media/london-metropolit...

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.

Item Type: Article
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 Apr 2015 13:53
URI: http://repository.londonmet.ac.uk/id/eprint/459

Actions (login required)

View Item View Item