Long memory story of the real interest rate

DOI10.1016/S0165-1765(99)00272-4zbMath0951.91064MaRDI QIDQ1978774

Yanyan Li

Publication date: 4 June 2000

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

zbMATH Keywords

unit rootlong memoryreal interest rate

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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

This page was built for publication: Long memory story of the real interest rate