𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the Relationship Between Short- and Long-term Interest Rates

✍ Scribed by Teruyoshi Kobayashi


Book ID
110879942
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
217 KB
Volume
7
Category
Article
ISSN
1367-0271

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Evidence of long memory in short-term in
✍ Nigel Meade; Margaret R. Maier πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 129 KB πŸ‘ 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.