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Multiple cyclical fractional structures in financial time series
2010
Applied Economics Letters
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This paper analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow Jones and the Standard&Poor 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. JEL Classification: C22
doi:10.1080/00036840902817425
fatcat:4hcgtkp7xneclkkorpzxxlgp64