Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
Year of publication: |
2005-02-28
|
---|---|
Authors: | Jamdee, Sutthisit ; Los, Cornelis A. |
Institutions: | EconWPA |
Subject: | MMAR | multifractal spectrum | long memory | scaling | term stucture | persistence | Brownian motion | GARCH | time-frequency analysis |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 44 44 pages |
Classification: | C19 - Econometric and Statistical Methods: General. Other ; C23 - Models with Panel Data ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice |
Source: |
-
Multifractal Modeling of the Us Treasury Term Structure and Fed Funds Rate
Jamdee, Sutthisit, (2005)
-
Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C., (2008)
-
An inflation expectations horserace
Guzman, Giselle C., (2010)
- More ...
-
Dynamic Risk Profile of the US Term Structure by Wavelet MRA
JAMDEE, SUTTHISIT, (2004)
-
Long Memory Options: LM Evidence and Simulations
Jamdee, Sutthisit, (2005)
-
Long Memory Options: Valuation
JAMDEE, SUTTHISIT, (2004)
- More ...