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http://bura.brunel.ac.uk/handle/2438/6126Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.date.accessioned | 2012-01-06T10:34:15Z | - |
| dc.date.available | 2012-01-06T10:34:15Z | - |
| dc.date.issued | 2011 | - |
| dc.identifier.citation | Economics and Finance Working Paper, 11-13, Oct 2011 | en_US |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/6126 | - |
| dc.description | Copyright @ 2011 Brunel University | en_US |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Brunel University | en_US |
| dc.subject | Euribor rate | en_US |
| dc.subject | Time dependence | en_US |
| dc.subject | Cyclical behaviour | en_US |
| dc.title | Persistence and cyclical dependence in the monthly Euribor rate | en_US |
| dc.type | Article | en_US |
| pubs.organisational-data | /Brunel | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
| Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers | |
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