## Abstract The issues of nonβstationarity and long memory of real interest rates are examined here. Autoregressive models allowing shortβterm mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast outβofβsample.
β¦ LIBER β¦
The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence
β Scribed by Clifford A. Ball; Walter N. Torous
- Book ID
- 108502908
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 254 KB
- Volume
- 54
- Category
- Article
- ISSN
- 0022-1082
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