Multiple cyclical fractional structures in financial time series

Guglielmo Maria Caporale and Luis Gil-Alana

Applied Economics Letters, 2010, vol. 17, issue 11, 1079-1081

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.

Date: 2010
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DOI: 10.1080/00036840902817425

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