Evidence of long memory in short-term interest rates

Journal of Forecasting

Volumn 22, Issue 8, 2003, Pages 553-568

  Meade, Nigel ^a   Maier, Margaret R ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b Department of Trade and Industry ^*  (United Kingdom)

Author keywords

Interest rates; Long memory; Mean reversion

Indexed keywords

FINANCE; INTEGRATION; MATHEMATICAL MODELS; REGRESSION ANALYSIS;

AUTOREGRESSIVE MODELS; FRACTIONAL INTEGRATION MODELS; INTEREST RATES;

FORECASTING;

EID: 0346936369     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.873     Document Type: Article

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