Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142495
Authors: 
Alderweireld, Thomas
Nuyts, Jean
Year of Publication: 
2003
Series/Report no.: 
EERI Research Paper Series 5/2003
Abstract: 
The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more ''microscopic'' level.
Subjects: 
Interest rates scaling laws
JEL: 
B23
C51
Document Type: 
Working Paper

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