Long memory in the interest rates in some Asian countries
β Scribed by Luis A. Gil-Alana
- Book ID
- 105529799
- Publisher
- Springer US
- Year
- 2003
- Tongue
- English
- Weight
- 942 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1083-0898
No coin nor oath required. For personal study only.
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## Abstract The issues of nonβstationarity and long memory of real interest rates are examined here. Autoregressive models allowing shortβterm mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast outβofβsample.
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