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Persistence in US interest rates : is it stable over time?

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739798

Long memory in the U.S. interest rate

Gil-Alaña, Luis A. - In: International review of financial analysis 13 (2004) 3, pp. 265-276

Persistent link: https://www.econbiz.de/10002115098

Seasonal and non-seasonal long memory in the US interest rate and the monetary aggregates

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Quarterly journal of business and economics : QJBE 45 (2006) 3/4, pp. 31-47

Persistent link: https://www.econbiz.de/10003417866

Semiparametric estimation of the fractional differencing parameter in the US interest rate

Gil-Alaña, Luis A. - In: Liquidity, interest rates and banking, (pp. 235-247). 2009

Persistent link: https://www.econbiz.de/10008654502

Persistence and cycles in the US federal funds rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10009666490