Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53135 
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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alana, Luis A.en
dc.date.accessioned2011-12-01-
dc.date.accessioned2011-12-14T12:18:29Z-
dc.date.available2011-12-14T12:18:29Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/53135-
dc.description.abstractThis 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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3653en
dc.subject.jelC22en
dc.subject.jelE30en
dc.subject.ddc330en
dc.subject.keywordEuribor rateen
dc.subject.keywordtime dependenceen
dc.subject.keywordcyclical behaviouren
dc.titlePersistence and cyclical dependence in the monthly Euribor rate-
dc.typeWorking Paperen
dc.identifier.ppn675947820en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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