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Time-varying long-range dependence in US interest rates

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  • Cajueiro, Daniel O.
  • Tabak, Benjamin M.

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.

Suggested Citation

  • Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.
    • Handle: RePEc:eee:chsofr:v:34:y:2007:i:2:p:360-367
    DOI: 10.1016/j.chaos.2006.04.012
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    9. Zhongxing Wang & Yan Yan & Xiaosong Chen, 2016. "Long-range Correlation and Market Segmentation in Bond Market," Papers 1610.09812, arXiv.org.
    10. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
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    13. Marques, G.O.L.C., 2011. "Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 8-17.
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    15. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
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