Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/6126
Title: Persistence and cyclical dependence in the monthly Euribor rate
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Euribor rate;Time dependence;Cyclical behaviour
Issue Date: 2011
Publisher: Brunel University
Citation: Economics and Finance Working Paper, 11-13, Oct 2011
Abstract: This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical structure. Therefore, a more general cyclical fractional model is considered. Future directions for research in this context are also discussed.
Description: Copyright @ 2011 Brunel University
URI: http://bura.brunel.ac.uk/handle/2438/6126
Appears in Collections:Economics and Finance
Publications
Dept of Economics and Finance Research Papers

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