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

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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
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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