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http://bura.brunel.ac.uk/handle/2438/3512| Title: | Multiple cyclical fractional structures in financial time series |
| Authors: | Caporale, GM Gil-Alana, LA |
| Keywords: | Multiple cyclical structures; Long memory; Stock market indices |
| Issue Date: | 2008 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Discussion Papers, Brunel University, 08-02. |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/3512 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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