Dynamic Risk Profile of the US Term Structure by Wavelet MRA
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KeywordsWavelet; Interest rates; Hurst exponent; Term structure; Yield curve;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- 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-2004-09-30 (All new papers)
- NEP-CMP-2004-09-30 (Computational Economics)
- NEP-ETS-2004-09-30 (Econometric Time Series)
- NEP-FIN-2004-09-30 (Finance)
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