Long-range dependence and multifractality in the term structure of LIBOR interest rates

Physica A: Statistical Mechanics and its Applications

Volumn 373, Issue , 2007, Pages 603-614

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

^a UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

Global Hurst exponents; Interest rates; LIBOR; Long range dependence; Multifractality

Indexed keywords

MATHEMATICAL MODELS; RISK ASSESSMENT; RISK MANAGEMENT; STATISTICAL MECHANICS;

GLOBAL HURST EXPONENTS; INTEREST RATES; LIBOR; LONG RANGE DEPENDENCE; MULTIFRACTALITY;

FINANCE;

EID: 33751048867     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.110     Document Type: Article

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