✦ LIBER ✦

Long memory in the U.S. interest rate

✍ Scribed by Luis A. Gil-Alana

Book ID: 116577197
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 313 KB
Volume: 13
Category: Article
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2004.02.009

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Long memory story of the real interest r

Long memory story of the real interest rate

✍ Wen-Jen Tsay 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 43 KB

Long memory in the interest rates in som

Long memory in the interest rates in some Asian countries

✍ Luis A. Gil-Alana 📂 Article 📅 2003 🏛 Springer US 🌐 English ⚖ 942 KB

A simple long-memory equilibrium interes

A simple long-memory equilibrium interest rate model

✍ Jin-Chuan Duan; Kris Jacobs 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 449 KB

Evidence of long memory in short-term in

Evidence of long memory in short-term interest rates

✍ Nigel Meade; Margaret R. Maier 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 129 KB 👁 2 views

## Abstract The issues of non‐stationarity and long memory of real interest rates are examined here. Autoregressive models allowing short‐term mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast out‐of‐sample.

U.S. Interest rates and the dollar

✍ Bahram Adrangi; Mary Allender 📂 Article 📅 1995 🏛 Springer US 🌐 English ⚖ 84 KB

Memory in interest rate futures

✍ Hung-Gay Fung; Wai-Chung Lo 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 423 KB

CCC 0270-7314/93/080865-08 'Spectral density (defined on a frequency domain) is the Fourier cosine transform of the autocorrelation function of a time series. Knowledge of the autocovariance function is mathematically equivalent to knowledge of the spectral density and vice versa.