Gu, Rongbao; Chen, Xi; Li, Xinjie - In: Physica A: Statistical Mechanics and its Applications 412 (2014) C, pp. 101-112
the term increases. The smaller fluctuations of all interest rates have long-term memory property. The larger fluctuations … of medium- or long-term interest rates have also long-term memory property but not for those of short-term rates …. Moreover, there is long-term memory property between the two interest rates of SHIBOR with one medium- or long-term, but not …