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Multiple cyclical fractional structures in financial time series

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  • Guglielmo Maria Caporale
  • Luis Gil-Alana

Abstract

This article analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow-Jones and the S&P 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.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Gil-Alana, 2010. "Multiple cyclical fractional structures in financial time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1079-1081.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:11:p:1079-1081
    DOI: 10.1080/00036840902817425
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    References listed on IDEAS

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    9. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261.
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    Cited by:

    1. Sanjay Rajagopal, 2012. "A Study of the Returns Behavior of Small Capitalization REITs," Journal of Economics and Behavioral Studies, AMH International, vol. 4(8), pages 457-466.

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