Long memory story of the real interest rate

DOI10.1016/S0165-1765(99)00272-4zbMATH Open0951.91064MaRDI QIDQ1978774FDOQ1978774

Authors: Yanyan Li 

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

long memoryreal interest rateunit root

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long memory processes and fractional integration in econometrics
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Long memory relationships and the aggregation of dynamic models
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives

Cited In (9)

• Fractional integration and the volatility of UK interest rates
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Time-varying long-range dependence in US interest rates
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Pricing credit derivatives under fractional stochastic interest rate models with jumps

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