IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814397841_0004.html
   My bibliography  Save this book chapter

Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis

In: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

This chapter examines the long-memory behavior of the LIBOR rates and volatilities using wavelet analysis. The major innovation of this chapter is to introduce the wavelet OLS estimation approach (Jensen, 1999a) using London Interbank Offer Rate (LIBOR) data for four major currencies, namely, the US dollar, the UK pound, the Japanese yen, and the Australian dollar. Our empirical findings show that the Japanese yen and Australian dollar LIBOR rates do not show any significant long-memory pattern, while the US dollar and UK pound do show some degree of significant long-memory pattern regardless of the maturity. In contrast, for all currencies, we find that the volatility has a clear pattern of long memory regardless of maturity and currencies, except for 6-month LIBOR rates for the Japanese yen and Australian dollar.

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis," World Scientific Book Chapters, in: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach, chapter 4, pages 75-85, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814397841_0004
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814397841_0004
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814397841_0004
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814397841_0004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.