In this paper new results are documented regarding the short term evolution of global short term interest rates. Much work has been carried out concerning the evolution of interest rates over long time scales, on the order on one month or greater. However high frequency data has only been...

This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance...