Fractional Cointegration Analysis of Long Term International Interest Rates
Year of publication: |
1996-01-01
|
---|---|
Authors: | Barkoulas, John ; Baum, Christopher F. ; Oguz, Gurkan S. |
Institutions: | Department of Economics, Boston College |
Subject: | long term interest rates | fractional cointegration | long memory |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | published, International Journal of Finance, 1997, 9:2, 586-606. The text is part of a series Boston College Working Papers in Economics Number 315. 29 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
-
Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates
Barkoulas, John, (1996)
-
Unemployment and input prices: A fractional cointegration approach
Caporale, Guglielmo Maria, (2000)
-
Unemployment and input prices: A fractional cointegration approach
Caporale, Guglielmo Maria, (2000)
- More ...
-
Stochastic Long Memory in Traded Goods Prices
Barkoulas, John T., (1997)
-
Barkoulas, John, (1996)
-
Nearest-Neighbor Forecasts of U.S. Interest Rates
Barkoulas, John, (1996)
- More ...