Multiple cyclical fractional structures in financial time series

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/3512

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DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Gil-Alana, LA	-
dc.coverage.spatial	8	en
dc.date.accessioned	2009-07-22T15:32:17Z	-
dc.date.available	2009-07-22T15:32:17Z	-
dc.date.issued	2008	-
dc.identifier.citation	Economics and Finance Discussion Papers, Brunel University, 08-02.	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/3512	-
dc.description.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.	en
dc.format.extent	130224 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Multiple cyclical structures; Long memory; Stock market indices	en
dc.title	Multiple cyclical fractional structures in financial time series	en
dc.type	Research Paper	en
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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