References
- Abbritti, M., L. A. Gil-Alana, Y. Lovcha, and A. Moreno. 2016. “Term Structure Persistence.” Journal of Financial Econometrics 14 (2): 331–352. doi:https://doi.org/10.1093/jjfinec/nbv003.
- Bai, J., and P. Perron. 2003. “Computation and Analysis of Multiple Structural Change Models.” Journal of Applied Econometrics 18 (1): 1–22. doi:https://doi.org/10.1002/jae.659.
- Barkoulas, J. T., and C. F. Baum. 1997. “Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates.” The Journal of Financial Research 20: 355–372. doi:https://doi.org/10.1111/j.1475-6803.1997.tb00254.x.
- Bierens, H. J. 1997. “Testing the Unit Root with Drift Hypothesis against Nonlinear Trend Stationarity, with an Application to the U.S. Price Level and Interest Rate.” Journal of Econometrics 81 (1): 29–64. doi:https://doi.org/10.1016/S0304-4076(97)00033-X.
- Bloomfield, P. 1973. “An Exponential Model in the Spectrum of a Scalar Time Series.” Biometrika 60 (2): 217–226. doi:https://doi.org/10.1093/biomet/60.2.217.
- Campbell, J. Y., and R. J. Shiller. 1987. “Cointegration and Tests of Present Value Models.” Journal of Political Economy 95: 1062–1088. doi:https://doi.org/10.1086/261502.
- Caporale, G. M., and L. A. Gil-Alana. 2009. “Persistence in US Interest Rates: Is It Stable over Time?” Quantitative and Qualitative Analysis in Social Sciences 3 (1): 63–77.
- Caporale, G. M., and L. A. Gil-Alana. 2016. “Persistence and Cyclical Dependence in the Monthly Euribor Rate.” Journal of Economics and Finance 40: 157–171. doi:https://doi.org/10.1007/s12197-014-9296-0.
- Caporale, G. M., and L. A. Gil-Alana. 2017. “Persistence and Cycles in the US Federal Funds Rate.” International Review of Financial Analysis 52: 1–8. doi:https://doi.org/10.1016/j.irfa.2017.04.007.
- Couchman, J., R. Gounder, and J. J. Su. 2006. “Long Memory Properties of Real Interest Rates for 16 Countries.” Applied Financial Economics Letters 2 (1): 25–30. doi:https://doi.org/10.1080/17446540500396990.
- Cox, J., J. Ingersoll, and S. Ross. 1985. “A Theory of Term Structure of Interest Rates.” Econometrica 53: 385–408. doi:https://doi.org/10.2307/1911242.
- Cuestas, J. C., and L. A. Gil-Alana. 2016. “Testing for Long-Memory in the Presence of Non-Linear Chebyshev Polynomials.” Studies in Nonlinear Dynamics and Econometrics 20 (1): 57–74.
- Diebold, F. X., and G. Rudebush. 1991. “On the Power of the Dickey-Fuller Tests against Fractional Alternatives.” Economic Letters 35: 55–160. doi:https://doi.org/10.1016/0165-1765(91)90163-F.
- Gil-Alana, L. A. 2004a. “Long Memory in the Interest Rates in Some Asian Countries.” International Advances in Economic Research 9: 257–267. doi:https://doi.org/10.1007/BF02296174.
- Gil-Alana, L. A. 2004b. “Long Memory in the US Interest Rate.” International Review of Financial Analysis 13: 265–276. doi:https://doi.org/10.1016/j.irfa.2004.02.009.
- Gil-Alana, L. A. 2004c. “The Use of the Bloomfield (1973) Model as an Approximation to ARMA Processes in the Context of Fractional Integration.” Mathematical and Computer Modelling 39: 429–436. doi:https://doi.org/10.1016/S0895-7177(04)90515-8.
- Gil-Alana, L. A. 2008. “Fractional Integration and Structural Breaks at Unknown Periods of Time.” Journal of Time Series Analysis 29 (1): 163–185. doi:https://doi.org/10.1111/j.1467-9892.2007.00550.x.
- Gil-Alana, L. A., and A. Moreno. 2012. “Uncovering the US Term Premium: An Alternative Route.” Journal of Banking and Finance 36 (4): 1181–1193. doi:https://doi.org/10.1016/j.jbankfin.2011.11.013.
- Granger, C. W., and N. Hyung. 2004. “Occasional Structural Breaks and Long Memory with an Application to the S&P 500 Absolute Stock Returns.” Journal of Empirical Finance 11 (3): 399–421. doi:https://doi.org/10.1016/j.jempfin.2003.03.001.
- Hamming, R. W. 1973. Numerical Methods for Scientists and Engineers. UK: Dover.
- Hassler, U., and J. Wolters. 1994. “On the Power of Unit Root Tests against Fractional Alternatives.” Economics Letters 45: 1–5. doi:https://doi.org/10.1016/0165-1765(94)90049-3.
- Lai, K. S. 1997. “Long Term Persistence in Real Interest Rate. Some Evidence of a Fractional Unit Root.” International Journal of Finance and Economics 2: 225–235. doi:https://doi.org/10.1002/(SICI)1099-1158(199707)2:3<225::AID-IJFE49>3.0.CO;2-C.
- Lee, D., and P. Schmidt. 1996. “On the Power of the KPSS Test of Stationarity against Fractionally Integrated Alternatives.” Journal of Econometrics 73: 285–302. doi:https://doi.org/10.1016/0304-4076(95)01741-0.
- Meade, N., and M. R. Maier. 2003. “Evidence of Long Memory Is Short Term Interest Rates.” Journal of Forecasting 22: 553–568. doi:https://doi.org/10.1002/for.873.
- Phillips, P. C. B. 1998. “Econometric Analysis of Fisher’s Equation.” Cowles Foundation Discussion Paper 1180. Yale University.
- Smyth, G. K. 1998. Polynomial Approximation. Chichester, UK: John Wiley & Sons.
- Tomasevic, N., M. Tomasevic, and T. Stanivuk. 2009. “Regression Analysis and Approximation by Means of Chebyshev Polynomial.” Informatologia 42 (3): 166–172.
- Tsay, W. J. 2000. “The Long Memory Story of the Real Interest Rate.” Economics Letters 67: 325–330. doi:https://doi.org/10.1016/S0165-1765(99)00272-4.