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

DOI10.1111/JTSA.12010zbMATH Open1273.91398OpenAlexW1919510772MaRDI QIDQ2852600FDOQ2852600

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

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zbMATH Keywords

fractional integrationcyclestrendsfinancial time series data

Mathematics Subject Classification ID

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

Cites Work

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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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