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 (2)

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

Cites Work

• A new technique for postsample model selection and validation
• A limit theory for long-range dependence and statistical inference on related models
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Long-term dependence in stock returns
• A floor and ceiling model of US output
• Gaussian estimation of parametric spectral density with unknown pole
• Long memory processes and fractional integration in econometrics
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• Testing Stochastic Cycles in Macroeconomic Time Series
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• Fractional integration and structural breaks at unknown periods of time
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• Testing for a Structural Break at Unknown Date with Long-memory Disturbances
• Fractional differencing
• On a measure of lack of fit in time series models
• ON GENERALIZED FRACTIONAL PROCESSES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Efficient Tests of Nonstationary Hypotheses
• Semiparametric robust tests on seasonal or cyclical long memory time series
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Estimating and Testing Linear Models with Multiple Structural Changes
• MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
• Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
• Estimation of the location and exponent of the spectral singularity of a long memory process
• Efficient Wald Tests for Fractional Unit Roots
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

This page was built for publication: Modelling long-run trends and cycles in financial time series data