Analysing one-month Euro-market interest rates by fractionally integrated models
- 15 January 2005
- journal article
- research article
- Published by Taylor & Francis in Applied Financial Economics
- Vol. 15 (2) , 95-106
Abstract
This article considers the modelling of short-term interest rates with the ARFIMA model in six European countries based on daily data in the 1990s using the Modified Profile Likelihood estimation method. This allows one to study the different convergence processes that have been followed in each case. Empirical evidence shows that, even with this estimation method, the standard AIC tends to select models that in some cases are in accordance with traditional inference but in other cases may not be so. Analysing these results, the series for Switzerland appears to be an I(1) series, which conflicts with the findings in previous literature.Keywords
This publication has 26 references indexed in Scilit:
- Semiparametric and nonparametric testing for long memory: A Monte Carlo studyEmpirical Economics, 1997
- Fractional integration with drift: estimation in small samplesEmpirical Economics, 1997
- On the power of the KPSS test of stationarity against fractionally-integrated alternativesJournal of Econometrics, 1996
- Long memory processes and fractional integration in econometricsJournal of Econometrics, 1996
- Varieties of long memory modelsJournal of Econometrics, 1996
- Editors' introduction: Fractional differencing and long memory processesJournal of Econometrics, 1996
- Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA modelsEmpirical Economics, 1993
- Uncertainty and implied variance bounds in long-memory models of the interest rate term structureEmpirical Economics, 1991
- Tests for Unit Roots: A Monte Carlo InvestigationJournal of Business & Economic Statistics, 1989
- Distribution of the Estimators for Autoregressive Time Series with a Unit RootJournal of the American Statistical Association, 1979