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Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates

✍ Scribed by Kam Fong Chan

Book ID
110936480
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
136 KB
Volume
45
Category
Article
ISSN
0810-5391

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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.