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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
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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
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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
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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
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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
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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
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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
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Mean reversion of short-run interest rates in emerging countries
Candelon, Bertrand; Gil-Alaña, Luis A. - In: Review of international economics 14 (2006) 1, pp. 119-135
Persistent link: https://www.econbiz.de/10003301280
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Persistence and cyclical dependence in the monthly euribor rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero...
Persistent link: https://www.econbiz.de/10009579627
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Persistence and cyclical dependence in the monthly Euribor rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero...
Persistent link: https://www.econbiz.de/10009380406