• Title of article

    Time-varying long-range dependence in US interest rates

  • Author/Authors

    Daniel O. Cajueiro، نويسنده , , Benjamin M. Tabak، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2007
  • Pages
    8
  • From page
    360
  • To page
    367
  • Abstract
    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.
  • Journal title
    Chaos, Solitons and Fractals
  • Serial Year
    2007
  • Journal title
    Chaos, Solitons and Fractals
  • Record number

    902801

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=902801