The long-range dependence behavior of the term structure of interest rates in Japan

Physica A: Statistical Mechanics and its Applications

Volumn 350, Issue 2-4, 2005, Pages 418-426

  Tabak, Benjamin M ^a   Cajueiro, Daniel O ^b  

^a BANCO CENTRAL DO BRASIL   (Brazil)

^b UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

Author keywords

Emerging markets; GARCH; Hurst exponent; Long range dependence

Indexed keywords

DATA ACQUISITION; DECISION MAKING; ECONOMIC AND SOCIAL EFFECTS; INVESTMENTS; MICROSTRUCTURE; RISK MANAGEMENT;

EMERGING MARKETS; GARCH; HURST EXPONENT; INTEREST RATES; LONG-RANGE DEPENDENCE;

PUBLIC POLICY;

EID: 14844334617     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.11.048     Document Type: Article

References (8)

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