1995
IGARCH and variance change in the U.S. long-run interest rate
Publication
Publication
Applied Economics Letters p. 113- 114
Shows that a one-time variance change in the long run interest rate spuriously suggests that it can be described with an IGARCH process. Detection of variance change using an statistical test; Correlation of variance with a change in monetary policy; Characteristics of ARCH type process.
| Additional Metadata | |
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| , , | |
| hdl.handle.net/1765/2092 | |
| Applied Economics Letters | |
| Organisation | Erasmus School of Economics |
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Franses, P. H. (1995). IGARCH and variance change in the U.S. long-run interest rate. Applied Economics Letters, 113–114. Retrieved from http://hdl.handle.net/1765/2092 |
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