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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

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

Modelling the US interest rate in terms of I(d) statistical models

Gil-Alaña, Luis A. - In: The quarterly review of economics and finance : journal … 44 (2004) 4, pp. 475-486

Persistent link: https://www.econbiz.de/10002375547

A mean shift break in the US interest rate

Gil-Alaña, Luis A. - In: Economics letters 77 (2002) 3, pp. 357-363

Persistent link: https://www.econbiz.de/10001711501

Lond memory in the interest rates in some Asian countries

Gil-Alaña, Luis A. - In: International advances in economic research : IAER ; an … 9 (2003) 4, pp. 257-267

Persistent link: https://www.econbiz.de/10001838355

Persistence and cycles in the US federal funds rate

Caporale, Guglielmo Maria; Gil-Alana, 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/10010289805