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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)

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.

Suggested Citation

  • L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    • Handle: RePEc:cuf:journl:y:2007:v:8:i:1:p:1-20
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    Cited by:

    1. Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
    2. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    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.
    4. Luis A. Gil-Alana, 2009. "Time series modelling of sunspot numbers using long range cyclical dependence," Faculty Working Papers 06/09, School of Economics and Business Administration, University of Navarra.
    5. Beaumont, Paul & Smallwood, Aaron, 2019. "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper 96314, University Library of Munich, Germany.

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    More about this item

    Keywords

    Fractional integration; Long memory; Gegenbauer processes;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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