Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
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- Tkacz Greg, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-15, April.
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More about this item
KeywordsEconometric and statistical methods; Interest rates;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2000-07-03 (All new papers)
- NEP-ECM-2000-07-03 (Econometrics)
- NEP-ETS-2000-07-03 (Econometric Time Series)
- NEP-FMK-2000-07-03 (Financial Markets)
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