Fractional Cointegration in US Term Spreads
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More about this item
KeywordsTerm structure; Long memory; Fractional integration; Fractional cointegration;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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-2010-03-20 (All new papers)
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