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Multiple cyclical fractional structures in financial time series

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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

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.

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Title:
Multiple cyclical fractional structures in financial time series
Creators:
Caporale, Guglielmo Maria and Gil-Alana, Luis A.
Identification Number:
10.1080/00036840902817425
Date:
2008
Subjects:
300 Social sciences > 330 Economics
Department:
Guildhall School of Business and Law
Publisher:
Centre for International Capital Markets, London Metropolitan University
Uncontrolled Keywords:
Centre for International Capital Markets discussion papers; CICM discussion papers; multiple cyclical structures; long memory; stock market indices
Record
URI:
https://repository.londonmet.ac.uk/id/eprint/459
Item Type:
Article
Depositing User:
Mary Burslem
Date Deposited:
21 Apr 2015 13:53
Revision:
10
Last Modified:
21 May 2020 14:44
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