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Memory in interest rate futures

✍ Scribed by Hung-Gay Fung; Wai-Chung Lo

Book ID
102216485
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
423 KB
Volume
13
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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We thank Robert Webb (the Editor) and an anonymous referee for their extremely helpful comments and suggestions. We are also grateful to David Simon for his detailed discussion of an earlier version presented at the 2008 European Financial Management Annual Conference. The usual disclaimer applies.

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