Testing of Nonstationary Cycles in Financial Time Series DataJavier De Peña () and Luis Gil-Alana No 15/03, Faculty Working Papers from School of Economics and Business Administration, University of Navarra Abstract: In this article we propose a new method for testing nonstationary cycles in financial time series data. In particular, we use a procedure due to Robinson (1994) that permits us to test unit root cycles in raw time series. These tests have several distinguishing features compared with other procedures. In particular, they have a standard null limit distribution and they are the most efficient ones when directed against the appropriate alternatives. In addition, the procedure of Robinson (1994) allows us to test unit root cycles at each of the frequencies, and thus permits us to approximate the number of periods per cycle. The results, based on the daily structure of the Spanish stock market prices (IBEX 35) show that some intra-year cycles occur, and they take place at approximately 6, 9 or between 24 and 50 periods. Keywords: Stock market; Unit root cycles; Nonstationarity (search for similar items in EconPapers) Published, Review of Quantitative Finance and Accounting, 2006, vol. 27(1) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp1503 Access Statistics for this paper More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra |
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