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Testing The Existence of Multiple Cycles in Financial and Economic Time Series

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  • L.A. Gil-Alanaa

    (University of Navarra, Faculty of Economics)

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    Abstract

    In this article we show that multiple cycles can occur in financial and economic time series. We model these cycles by means of Gegenbauer processes, using a procedure that permits us to test multiple roots at fixed frequencies over time and thus, it permits us to approximate the length of each cycle. This procedure is applied to one economic time series (US monthly unemployment rate) and a financial one (US Federal Funds rate of interest), and the results show that both series can be specified in terms of a multiple cyclical fractional model.

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    File URL: http://www.aeconf.net/Articles/May2007/aef080101.pdf
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    Bibliographic Info

    Article provided by Society for AEF in its journal Annals of Economics and Finance.

    Volume (Year): 8 (2007)
    Issue (Month): 1 (May)
    Pages: 1-20

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    Handle: RePEc:cuf:journl:y:2007:v:8:i:1:p:1-20

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    Related research

    Keywords: Fractional integration; Long memory; Gegenbauer processes;

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    Cited by:
    1. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo Group Munich.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series 2648, CESifo Group Munich.
    3. De-Chih Liu, 2011. "Hysteresis Hypothesis in Job Creation and Destruction: Evidence from the U.S," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 389-409, November.

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