Is long memory necessary? An empirical investigation of nonnegative interest rate processes

Is long memory necessary? An empirical investigation of nonnegative interest rate processes

10.1016/j.jempfin.2007.06.003

Saved in:
Bibliographic Details
Main Authors: Duan, J.-C., Jacobs, K.
Other Authors: FINANCE
Format: Article
Published: 2013
Subjects:
GARCH
Heteroskedasticity
Interest rate
Long memory
Nonnegativity
Term structure
Online Access:http://scholarbank.nus.edu.sg/handle/10635/44424
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: National University of Singapore
Description
Summary:10.1016/j.jempfin.2007.06.003

Similar Items