Time-varying long-range dependence in US interest rates

被引：30

作者：

Cajueiro, Daniel O.

Tabak, Benjamin M.

机构：

[1] Banco Cent Brasil, BR-70074900 Andar, DF, Brazil

[2] Univ Catolica Brasilia, Mestrado Econ Empresas, BR-70790160 Asa Norte, DF, Brazil

来源：

CHAOS SOLITONS & FRACTALS | 2007年 / 34卷 / 02期

关键词：

D O I：

10.1016/j.chaos.2006.04.012

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper presents empirical evidence of time-varying long-range dependence for 1, 3, 5 and 10 years interest rates for the US. Based on the local Whittle method empirical results suggest that the degree of long-range dependence in the US interest rates has significantly decreased over time. (c) 2006 Elsevier Ltd. All rights reserved.

引用

页码：360 / 367

页数：8

共 31 条

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