In this paper the problem of cycles existence in capital markets is addressed. A spectral analysis algorithm, which reduces signal-to-noise ratio, is proposed to derive cycle periodograms for the yield function of DJIA, WIG~20, and NIKKEI 225 indices. Peaks of the the periodograms provide premises to postulate the existence of some possible cycles. The 3.5 year periodicity in all 3 indices, which can be related to Kitchin cycle is found to be the most distinctive one.
Authors
Additional information
- Category
- Publikacja w czasopiśmie
- Type
- artykuł w czasopiśmie wyróżnionym w JCR
- Language
- angielski
- Publication year
- 2013
Source: MOSTWiedzy.pl - publication "Spectral Analysis of Capital Markets" link open in new tab
