A comparative Long-memory Analysis between Spanish, Mexican and U.S. interest rates

Fernando Espinosa Navarro, Klender Cortez and Roman Jordi Adillon Boladeres
Additional contact information
Roman Jordi Adillon Boladeres: Universitat de Barcelona

No 149, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot. The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

JEL-codes: C13 C82 E43 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2006
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-mac
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ere.ub.es/dtreball/E06149.rdf/at_download/file
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.ere.ub.es:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:2006149

Access Statistics for this paper

More papers in Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Espai de Recerca en Economia ().