𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Interest Rate Asymmetries in Long-Term Loan and Deposit Markets

✍ Scribed by Barry Scholnick


Book ID
110258660
Publisher
Springer
Year
1999
Tongue
English
Weight
184 KB
Volume
16
Category
Article
ISSN
0920-8550

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Long memory in interest rate futures mar
✍ G. Geoffrey Booth; Yiuman Tse πŸ“‚ Article πŸ“… 1995 πŸ› John Wiley and Sons 🌐 English βš– 622 KB

CCC 0270-731 41951050573-I 2 'The robustness to conditional heteroskedastic effects and variance shifts is crucial, since, as pointed out by Milonas et al. (1 985), results of futures price dynamics may be biased by variance nonstationarity.

Long-term returns in stochastic interest
✍ Deelstra, Griselda ;Delbaen, Fred πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 92 KB

In this paper, we focus on different convergence results of the long-term return (1/t) R r S du, where the short interest rate r follows an extension of the Cox-Ingersoll-Ross (1985) model. Using the theory of Bessel processes, we proved the convergence almost everywhere of (1/t) R X S du, where (X

Long-term persistence in the real intere
✍ Kon S. Lai πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 156 KB πŸ‘ 2 views

This study examines the long-term persistence in ex ante real interest rates. According to the long-run Fisher effect, ex ante real ratesÐthe difference between nominal rates and expected in¯ationÐshould be mean-reverting and have no unit root. Empirical evidence on mean reversion has been mixed and