A long-memory model for multiple cycles with an application to the S&P500
Year of publication: |
February 2024
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Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. |
Publisher: |
Munich, Germany : CESifo |
Subject: | fractional integration | multiple cycles | stock market indices | S&P500 | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Schätzung | Estimation | Aktienindex | Stock index | Volatilität | Volatility | Konjunktur | Business cycle |
Extent: | 1 Online-Ressource (circa 21 Seiten) Illustrationen |
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Series: | CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. 10947 (2024) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Classification: | C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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