Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
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DOI: 10.2202/1558-3708.1068
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- Greg Tkacz, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Staff Working Papers 00-5, Bank of Canada.
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More about this item
Keywords
fractional integration; interest rates; wavelets;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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