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

10.1016/j.jempfin.2007.06.003

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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
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-44424
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spelling	sg-nus-scholar.10635-444242024-04-04T00:33:13Z Is long memory necessary? An empirical investigation of nonnegative interest rate processes Duan, J.-C. Jacobs, K. FINANCE GARCH Heteroskedasticity Interest rate Long memory Nonnegativity Term structure 10.1016/j.jempfin.2007.06.003 Journal of Empirical Finance 15 3 567-581 JEFIE 2013-10-09T08:06:05Z 2013-10-09T08:06:05Z 2008 Article Duan, J.-C., Jacobs, K. (2008). Is long memory necessary? An empirical investigation of nonnegative interest rate processes. Journal of Empirical Finance 15 (3) : 567-581. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jempfin.2007.06.003 09275398 http://scholarbank.nus.edu.sg/handle/10635/44424 000258227900012 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	GARCH Heteroskedasticity Interest rate Long memory Nonnegativity Term structure
spellingShingle	GARCH Heteroskedasticity Interest rate Long memory Nonnegativity Term structure Duan, J.-C. Jacobs, K. Is long memory necessary? An empirical investigation of nonnegative interest rate processes
description	10.1016/j.jempfin.2007.06.003
author2	FINANCE
author_facet	FINANCE Duan, J.-C. Jacobs, K.
format	Article
author	Duan, J.-C. Jacobs, K.
author_sort	Duan, J.-C.
title	Is long memory necessary? An empirical investigation of nonnegative interest rate processes
title_short	Is long memory necessary? An empirical investigation of nonnegative interest rate processes
title_full	Is long memory necessary? An empirical investigation of nonnegative interest rate processes
title_fullStr	Is long memory necessary? An empirical investigation of nonnegative interest rate processes
title_full_unstemmed	Is long memory necessary? An empirical investigation of nonnegative interest rate processes
title_sort	is long memory necessary? an empirical investigation of nonnegative interest rate processes
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/44424
_version_	1795373765959352320

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

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