Time-varying long-range dependence in US interest rates

Daniel Cajueiro and Benjamin Tabak

Chaos, Solitons & Fractals, 2007, vol. 34, issue 2, 360-367

Abstract: This paper presents empirical evidence of time-varying long-range dependence for 1, 3, 5 and 10 years interest rates for the US. Based on the local Whittle method empirical results suggest that the degree of long-range dependence in the US interest rates has significantly decreased over time.

Date: 2007
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:34:y:2007:i:2:p:360-367

DOI: 10.1016/j.chaos.2006.04.012

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