Long-range dependence and multifractality in the term structure of LIBOR interest rates
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://twingo.ucb.br:8080/jspui/handle/10869/299 https://repositorio.ucb.br:9443/jspui/handle/123456789/7439 |
Resumo: | In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of interest rates on Japanese Yen and on Indonesian Rupiah. Furthermore, interest rates have a multifractal nature and the degree of multifractality is much stronger for Indonesia (emerging market). These findings suggest that interest rates derivatives should take these features into account. Furthermore, fixed income risk and portfolio management should incorporate long-range dependence in the modeling of interest rates. |
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Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:30Z2016-10-10T03:51:30Z2007CAJUEIRO, D ; TABAK, B . Long-range dependence and multifractality in the term structure of LIBOR interest rates. Physica. A, v. 373, p. 603-614, 2007http://twingo.ucb.br:8080/jspui/handle/10869/299https://repositorio.ucb.br:9443/jspui/handle/123456789/7439In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of interest rates on Japanese Yen and on Indonesian Rupiah. Furthermore, interest rates have a multifractal nature and the degree of multifractality is much stronger for Indonesia (emerging market). These findings suggest that interest rates derivatives should take these features into account. Furthermore, fixed income risk and portfolio management should incorporate long-range dependence in the modeling of interest rates.Made available in DSpace on 2016-10-10T03:51:30Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
title |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
spellingShingle |
Long-range dependence and multifractality in the term structure of LIBOR interest rates Cajueiro, Daniel Oliveira Global Hurst exponents Multifractality Interest rates LIBOR Long-range dependence |
title_short |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
title_full |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
title_fullStr |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
title_full_unstemmed |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
title_sort |
Long-range dependence and multifractality in the term structure of LIBOR interest rates |
author |
Cajueiro, Daniel Oliveira |
author_facet |
Cajueiro, Daniel Oliveira Tabak, Benjamin Miranda |
author_role |
author |
author2 |
Tabak, Benjamin Miranda |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Cajueiro, Daniel Oliveira Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
Global Hurst exponents Multifractality Interest rates LIBOR Long-range dependence |
topic |
Global Hurst exponents Multifractality Interest rates LIBOR Long-range dependence |
dc.description.abstract.por.fl_txt_mv |
In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of interest rates on Japanese Yen and on Indonesian Rupiah. Furthermore, interest rates have a multifractal nature and the degree of multifractality is much stronger for Indonesia (emerging market). These findings suggest that interest rates derivatives should take these features into account. Furthermore, fixed income risk and portfolio management should incorporate long-range dependence in the modeling of interest rates. |
dc.description.version.pt_BR.fl_txt_mv |
Sim |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of interest rates on Japanese Yen and on Indonesian Rupiah. Furthermore, interest rates have a multifractal nature and the degree of multifractality is much stronger for Indonesia (emerging market). These findings suggest that interest rates derivatives should take these features into account. Furthermore, fixed income risk and portfolio management should incorporate long-range dependence in the modeling of interest rates. |
publishDate |
2007 |
dc.date.issued.fl_str_mv |
2007 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:30Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:30Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
status_str |
publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
CAJUEIRO, D ; TABAK, B . Long-range dependence and multifractality in the term structure of LIBOR interest rates. Physica. A, v. 373, p. 603-614, 2007 |
dc.identifier.uri.fl_str_mv |
http://twingo.ucb.br:8080/jspui/handle/10869/299 https://repositorio.ucb.br:9443/jspui/handle/123456789/7439 |
identifier_str_mv |
CAJUEIRO, D ; TABAK, B . Long-range dependence and multifractality in the term structure of LIBOR interest rates. Physica. A, v. 373, p. 603-614, 2007 |
url |
http://twingo.ucb.br:8080/jspui/handle/10869/299 https://repositorio.ucb.br:9443/jspui/handle/123456789/7439 |
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eng |
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eng |
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Repositório Institucional da UCB |
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