Barros, Carlos P.; Gil-Alana, Luis; Matousek, Roman - In: The European Journal of Finance 18 (2012) 2, pp. 89-107
This article deals with the analysis of the mean reversion property of short-term interest rates in Central and Eastern European countries, using daily data from January 2000 to December 2008. For this purpose, we use long memory (fractionally integrated) models, and employ non-parametric,...