Long memory story of the real interest rate
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Publication:1978774
DOI10.1016/S0165-1765(99)00272-4zbMath0951.91064MaRDI QIDQ1978774
Publication date: 4 June 2000
Published in: Economics Letters (Search for Journal in Brave)
Related Items (8)
Pricing credit derivatives under fractional stochastic interest rate models with jumps ⋮ Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data ⋮ The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests ⋮ Time-varying long-range dependence in US interest rates ⋮ Fractional integration and the volatility of UK interest rates ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter
Cites Work
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Long memory relationships and the aggregation of dynamic models
- Long memory processes and fractional integration in econometrics
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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