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The long-term decline in interest rates

✍ Scribed by Richard N. Farmer

Book ID
115809062
Publisher
Elsevier Science
Year
1982
Tongue
English
Weight
420 KB
Volume
25
Category
Article
ISSN
0007-6813

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Evidence of long memory in short-term in
Evidence of long memory in short-term interest rates
✍ 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.