A Long-Memory Model for Multiple Cycles with an Application to the S&P500
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- Guglielmo Maria Caporale & Alfonso Dominguez & Luis Alberiko Gil-Alana, 2025. "Testing for Persistence in Real House Prices in 47 Countries from the OECD Database," CESifo Working Paper Series 11662, CESifo.
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More about this item
Keywords
fractional integration; multiple cycles; stock market indices; S&P500;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
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-03-25 (Econometrics)
- NEP-ETS-2024-03-25 (Econometric Time Series)
- NEP-HIS-2024-03-25 (Business, Economic and Financial History)
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