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Long memory story of the real interest rate

✍ Scribed by Wen-Jen Tsay

Book ID
117333677
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
43 KB
Volume
67
Category
Article
ISSN
0165-1765

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## 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.