A simple long-memory equilibrium interest rate model

DOI10.1016/S0165-1765(96)00918-4zbMath0897.90035OpenAlexW2008568753WikidataQ127814661 ScholiaQ127814661MaRDI QIDQ1391624

Kris Jacobs, Jin-Chuan Duan

Publication date: 22 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00918-4

zbMATH Keywords

Euler equationfractional integrationGARCH

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Long memory affine term structure models ⋮ Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models ⋮ Time-varying long-range dependence in US interest rates

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Modeling and pricing long memory in stock market volatility
• An equilibrium characterization of the term structure

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