Integration of international long-term interest rates: A fractional cointegration analysis

Financial Review

Volumn 33, Issue 3, 1998, Pages 213-224

  Hsueh, L Paul ^a   Pan, Ming Shiun ^b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b Shippenshurg University   (United States)

Author keywords

Fractional cointegration; Interest rates; Mean reversion

Indexed keywords

EID: 0001944936     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.1998.tb01392.x     Document Type: Article

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