Long Memory Characteristics of the Distribution of Treasury Security Yields, Returns, and Volatility
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- repec:kap:iaecre:v:9:y:2003:i:4:p:257-267 is not listed on IDEAS
- Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 265-276.
- Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
- Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
- Bertrand Candelon & Luis A. Gil-Alana, 2006. "Mean Reversion of Short-run Interest Rates in Emerging Countries," Review of International Economics, Wiley Blackwell, vol. 14(1), pages 119-135, February.
- Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
- Luis Gil-Alana, 2003. "Long memory in the interest rates in some Asian countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(4), pages 257-267, November.
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