Fractional cointegration in US term spreads
Year of publication: |
2010
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alana, Luis A. |
Publisher: |
Berlin : Deutsches Institut für Wirtschaftsforschung (DIW) |
Subject: | Zinsstruktur | Öffentliche Anleihe | Kointegration | Schätzung | USA | Term structure | long memory | fractional integration | fractional cointegration |
Series: | DIW Discussion Papers ; 981 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 620758058 [GVK] hdl:10419/36711 [Handle] RePEc:diw:diwwpp:dp981 [RePEc] |
Classification: | C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates
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Fractional Cointegration in US Term Spreads
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