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

waveletsfractional integrationinterest rates

Mathematics Subject Classification ID

Recommendations

• Fractional integration and the volatility of UK interest rates
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• A simple long-memory equilibrium interest rate model

Cited in

(5)

• Wavelet-based prediction of oil prices
• Fractional integration and the volatility of UK interest rates
• 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

This page was built for publication: Estimating the fractional order of integration of interest rates using a wavelet OLS estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368264)