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Long-range dependence and multifractality in the term structure of LIBOR interest rates. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:373:y:2007:i:c:p:603-614.

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  7. Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hursts pattern in equity portfolio management. (2021). Cadena, Javier Bernardo ; Ariza, Miller Janny ; Martinez, Manuel Andres.
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Documents in RePEc which have cited the same bibliography

  1. The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi.
    In: Post-Print.
    RePEc:hal:journl:hal-02367200.

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  2. Extending the Fama and French model with a long term memory factor. (2021). POUCHKAREV, I ; Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Lopez-Garcia, M N.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:291:y:2021:i:2:p:421-426.

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  3. Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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  4. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. (2020). McAleer, Michael ; Allen, David ; David, Allen ; Shelton, Peiris ; Manabu, Asai .
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2.

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  5. Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. (2019). Liu, Rui.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:09:y:2019:i:01:n:s2010139219400019.

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  6. Affine representations of fractional processes with applications in mathematical finance. (2019). Stefanovits, David ; Harms, Philipp.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:4:p:1185-1228.

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  7. Inflation analysis in the Central American Monetary Council. (2018). Gil-Alana, Luis ; Carcel, Hector.
    In: Empirical Economics.
    RePEc:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1223-0.

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  8. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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  9. Affine representations of fractional processes with applications in mathematical finance. (2018). Harms, Philipp ; Stefanovits, David.
    In: Papers.
    RePEc:arx:papers:1510.04061.

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  10. Does the Hurst index matter for option prices under fractional volatility?. (2017). Kijima, Masaaki ; Funahashi, Hideharu.
    In: Annals of Finance.
    RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1.

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  11. Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates. (2017). Leschinski, Christian ; Rinke, Saskia ; Busch, Marie.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-584.

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  12. Introducing Hurst exponent in pair trading. (2017). Ramos-Requena, J P ; Sanchez-Granero, M A ; Trinidad-Segovia, J E.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:488:y:2017:i:c:p:39-45.

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  13. Long-range correlation and market segmentation in bond market. (2017). Wang, Zhongxing ; Chen, Xiaosong ; Yan, Yan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:482:y:2017:i:c:p:477-485.

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  14. Evidence of persistence in U.S. short and long-term interest rates. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:39:y:2017:i:5:p:775-789.

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  15. The advantages of using excess returns to model the term structure. (2017). Golinski, Adam ; Spencer, Peter ; Goliski, Adam .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181.

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  16. Central Bank Policy Rates: Are They Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1648.

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  17. Central Bank Policy Rates: Are they Cointegrated?. (2017). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6389.

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  18. Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA. (2017). Bayraci, Seluk.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:71-82.

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  19. Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging. (2016). Kunst, Robert ; Jumah, Adusei .
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:45:p:4366-4378.

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  20. Does final energy demand in Portugal exhibit long memory? A fractional integration analysis. (2016). Pereira, Alfredo ; Belbute, José.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:15:y:2016:i:2:d:10.1007_s10258-016-0118-5.

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  21. Persistence and cyclical dependence in the monthly euribor rate. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:40:y:2016:i:1:p:157-171.

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  22. Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M.
    In: Econometrics.
    RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

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  23. Local-momentum autoregression and the modeling of interest rate term structure. (2016). Duan, Jin-Chuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:349-359.

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  24. Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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  25. Long-range Correlation and Market Segmentation in Bond Market. (2016). Wang, Zhongxing ; Chen, Xiaosong ; Yan, Yan.
    In: Papers.
    RePEc:arx:papers:1610.09812.

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  26. Modelling African inflation rates: nonlinear deterministic terms and long-range dependence. (2015). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:22:y:2015:i:5:p:421-424.

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  27. Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos Pestana ; Gil-Alaa, Luis Alberiko .
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp01-2014.

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  28. Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate. (2014). Gu, Rongbao ; Li, Xinjie ; Chen, XI.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:412:y:2014:i:c:p:101-112.

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  29. Indirect Inference in fractional short-term interest rate diffusions. (2013). Laurini, Márcio ; Hotta, Luiz.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126.

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  30. Inflation Forecasting in Angola: A Fractional Approach. (2013). Gil-Alana, Luis ; Barros, Carlos.
    In: African Development Review.
    RePEc:bla:afrdev:v:25:y:2013:i:1:p:91-104.

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  31. Inflation forecasting in Angola: a fractional approach. (2012). Gil-Alana, Luis ; Barros, Carlos.
    In: CEsA Working Papers.
    RePEc:cav:cavwpp:wp103.

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  32. Interest rate dynamics in Kenya. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Gil-Alaa, Luis Alberiko .
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp10-2011.

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  33. Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria.. (2011). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Shittu, Olanrewaju L ; Gil-Alaa, Luis Alberiko .
    In: NCID Working Papers.
    RePEc:nva:unnvaa:wp04-2011.

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  34. Testing for long-range dependence in the Brazilian term structure of interest rates. (2009). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:40:y:2009:i:4:p:1559-1573.

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  35. On the need for a new approach to analyzing monetary policy. (2008). Kehoe, Patrick ; Atkeson, Andrew.
    In: Working Papers.
    RePEc:fip:fedmwp:662.

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  36. Long memory testing for Fed Funds Futures’ contracts. (2008). Tabak, Benjamin ; Cajueiro, Daniel ; Souza, Sergio R.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:37:y:2008:i:1:p:180-186.

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  37. Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics. (2008). Nesmith, Travis ; Jones, Barry.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:1:n:6.

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  38. Long-range dependence and multifractality in the term structure of LIBOR interest rates. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:373:y:2007:i:c:p:603-614.

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  39. Time-varying long-range dependence in US interest rates. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:34:y:2007:i:2:p:360-367.

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  40. Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance. (2005). Conrad, Christian ; Karanasos, Menelaos.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:9:y:2005:i:4:n:5.

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  41. Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity. (2005). Smallwood, Aaron.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:9:y:2005:i:2:n:7.

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  42. Modelling the U.S. interest rate in terms of I(d) statistical models. (2004). Gil-Alana, Luis.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:4:p:475-486.

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  43. A Nonparametric Dimension Test of the Term Structure. (2004). Gil-Bazo, Javier ; Rubio, Gonzalo.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:3:n:6.

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  44. Long memory in the interest rates in some Asian countries. (2003). Gil-Alana, Luis.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:9:y:2003:i:4:p:257-267:10.1007/bf02296174.

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  45. A Non-Parametric Dimension Test of the Term Structure. (2002). Irigoyen, Gonzalo Rubio ; Bazo, Javier Gil .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:6754.

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  46. A general model for short-term interest rates. (2000). Chung, Ching-Fan .
    In: Applied Economics.
    RePEc:taf:applec:v:32:y:2000:i:2:p:111-121.

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  47. Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator. (2000). Tkacz, Greg.
    In: Staff Working Papers.
    RePEc:bca:bocawp:00-5.

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  48. Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis. (2000). Khan, Hashmat.
    In: Staff Working Papers.
    RePEc:bca:bocawp:00-13.

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  49. Optimal Investment, Growth Options, and Security Returns. (1998). Green, Richard ; Berk, Jonathan ; Naik, Vasant.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6627.

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  50. Reverse Engineering the Yield Curve. (1994). Zin, Stanley ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4676.

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