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

DOI10.1111/JTSA.12010MaRDI QIDQ2852600zbMATH OpenOpenAlexFDO

Authors Guglielmo Maria Caporale, Juncal Cuñado, Luis A. Gil-Alana

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

fractional integrationcyclestrendsfinancial time series data

Mathematics Subject Classification ID

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

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Cited in

(3)

• Business cycles, financial cycles and capital structure
• On cointegration for processes integrated at different frequencies
• Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area

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