Caporale, Guglielmo Maria; Gil-Alana, Luis - In: Applied Economics Letters 17 (2010) 11, pp. 1079-1081
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,...