Long memory story of the real interest rate

By Wen-Jen Tsay. 2000

86 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f612c65a0df2530415b450f73acd9809a4b8de50

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Wolfgang Karl Härdle
2. Wen-Jen Tsay
3. Rangan Gupta
4. M. Balcılar
5. Han Lin Shang
6. Victor Troster

In Finance

1. Wolfgang Karl Härdle
2. Wen-Jen Tsay
3. Han Lin Shang

Citations in the corpus

• A generalized ARFIMA process with Markov-switching fractional differencing parameter (2009, methodology): “Another interesting feature of the real interest rate is that the data of these three subperiods can be well described with the ARFIMA models as shown in Tsay [34].”