|
EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/26375
|
| | |
| Title: | | Modelling long-run trends and cycles in financial time series data  |
| Authors: | | Caporale, Guglielmo Maria Cunado, Juncal Gil-Alana, Luis A. |
| Issue Date: | | 2008 |
| Series/Report no.: | | CESifo working paper 2330 |
| Abstract: | | This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at zero and non-zero (cyclical) frequencies. This model is used to analyse four annual time series with a long span, namely dividends, earnings, interest rates and long-term government bond yields. The results indicate that the four series exhibit fractional integration with one or two poles in the spectrum. A forecasting comparison shows that a model with a non-linear trend along with fractional integration outperforms alternative models over long horizons. |
| Subjects: | | Fractional integration financial time series data trends cycles |
| JEL: | | C22 G1 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/26375
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|