Estimating the fractional order of integration of interest rates using a wavelet OLS estimator

MaRDI QIDQ3368264zbMATH OpenFDO

Authors Greg Tkacz

Publication date 27 January 2006

Full work available at URL https://semanticscholar.org/paper/3b2100ea3fa9495ab9d083314a218205c79bf59a

zbMATH Keywords

fractional integrationinterest rateswavelets

Mathematics Subject Classification ID

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(5)

• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Indirect inference in fractional short-term interest rate diffusions
• Wavelet-based prediction of oil prices
• Fractional integration and the volatility of UK interest rates

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