Article ID Journal Published Year Pages File Type
1890044 Chaos, Solitons & Fractals 2007 8 Pages PDF
Abstract
This paper presents empirical evidence of time-varying long-range dependence for 1, 3, 5 and 10 years interest rates for the US. Based on the local Whittle method empirical results suggest that the degree of long-range dependence in the US interest rates has significantly decreased over time.
Related Topics
Physical Sciences and Engineering Physics and Astronomy Statistical and Nonlinear Physics
Preview
Time-varying long-range dependence in US interest rates
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