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Long memory in interest rate futures markets: A fractional cointegration analysis
Author(s) -
Booth G. Geoffrey,
Tse Yiuman
Publication year - 1995
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.3990150505
Subject(s) - cointegration , futures contract , economics , long memory , interest rate , econometrics , financial economics , monetary economics , volatility (finance)
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