Modelling long-run trends and cycles in financial time series data

DOI10.1111/jtsa.12010zbMath1273.91398OpenAlexW1919510772MaRDI QIDQ2852600

Luis A. Gil-Alana, Guglielmo Maria Caporale, Juncal Cunado

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/8548

zbMATH Keywords

cyclesfractional integrationtrendsfinancial time series data

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic dynamics (91B55)

Related Items

On cointegration for processes integrated at different frequencies, Business cycles, financial cycles and capital structure

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