<section name="raw">
    <SEQUENTIAL>
      <record key="001" att1="001" value="152830" att2="152830">001   152830</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-155.pdf</field>
      <field key="079" subkey="z">Caporale, Guglielmo Maria - et al., Long-run and Cyclical Dynamics in the US Stock Market (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/155.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 155 (RePEc)</field>
      <field key="100" subkey="">Caporale, Guglielmo Maria</field>
      <field key="103" subkey="">London South Bank University</field>
      <field key="104" subkey="a">Gil-Alana, Luis A.</field>
      <field key="107" subkey="">Department of Economics, University of Navarra</field>
      <field key="331" subkey="">Long-run and Cyclical Dynamics in the US Stock Market</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2004, May</field>
      <field key="433" subkey="">29 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 155</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; The statistical model; The testing procedure; An empirical application to the US stock</field>
      <field key="mar" subkey="k">et; Forecasting and comparisons with other models; Conclusions;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 155</field>
      <field key="700" subkey="">C22</field>
      <field key="700" subkey="">G12</field>
      <field key="700" subkey="">G14</field>
      <field key="720" subkey="">Stock market</field>
      <field key="720" subkey="">Fractional cycles</field>
      <field key="720" subkey="">Long memory</field>
      <field key="720" subkey="">Gegenbauer processes</field>
      <field key="753" subkey="">Abstract: This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional</field>
      <field key="int" subkey="e">gration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both</field>
      <field key="at" subkey="t">he zero (long-run) and at the cyclical frequencies. We consider inflation, real risk-free rate, real stock returns, equity</field>
      <field key="pre" subkey="m">ium and price/dividend ratio, annually from 1871 to 1993. When focusing exclusively on the long-run frequency, the estimated</field>
      <field key="ord" subkey="e">r of integration varies considerably, but nonstationarity is found only for the price/dividend ratio. When the cyclical</field>
      <field key="com" subkey="p">onent is also taken into account, most series appear to be stationary and to exhibit long memory. Further, mean reversion</field>
      <field key="occ" subkey="u">rs. Finally, the fractional (at zero and cyclical) models are shown to forecast more accurately than rival ones based on</field>
      <field key="fra" subkey="c">tional and integer differentiation exclusively at the zero frequency.;</field>
    </SEQUENTIAL>
  </section>