EconPapers    
Economics at your fingertips  
 

Modelling Long Run Trends and Cycles in Financial Time Series Data

Luis Gil-Alana, Juncal Cuñado () and Guglielmo Maria Caporale
Additional contact information
Juncal Cuñado: School of Economics and Business Administration, University of Navarra

Authors registered in the RePEc Author Service: Juncal Cuñado ()

No 13/12, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This paper proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined.

Pages: 46 pages
Date: 2012-10-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1352908915_WP_UNAV_13_12.pdf (application/pdf)

Related works:
Journal Article: Modelling long-run trends and cycles in financial time series data (2013) Downloads
Working Paper: Modelling Long-Run Trends and Cycles in Financial Time Series Data (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp1312

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().

 
Page updated 2024-02-22
Handle: RePEc:una:unccee:wp1312