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.
✦ LIBER ✦
Normal backwardation in short-term interest rate futures markets
✍ Scribed by Krehbiel, Tim; Collier, Roger
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 764 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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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.