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

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  • Fernando Espinosa Navarro
  • Klender Cortez
  • Roman Jordi Adillon Boladeres

    (Universitat de Barcelona)

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    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).

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    Bibliographic Info

    Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 149.

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    Length: 19 pages
    Date of creation: 2006
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    Handle: RePEc:bar:bedcje:2006149

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    Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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