Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7521
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dc.contributor.authorTabak, Benjamin Miranda
dc.contributor.authorCajueiro, Daniel Oliveira
dc.date.accessioned2016-10-10T03:51:46Z-
dc.date.available2016-10-10T03:51:46Z-
dc.date.issued2005
dc.identifier.citationTABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The long-range dependence behavior of the term structure of interest rates in Japan. Physica, v. 350, n. 2, p. 418-426, 2005.pt_BR
dc.identifier.urihttp://twingo.ucb.br:8080/jspui/handle/10869/296
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7521-
dc.description.abstractThis paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure ofinterest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics ofshort-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:46Z (GMT). No. of bitstreams: 5 The long-range dependence behavior of the term structure of interest rates in Japan.pdf: 238722 bytes, checksum: 15a29be6752349484cf25e3468a21bd0 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2005en
dc.formatTextopt_BR
dc.language.isoenpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectEmerging marketspt_BR
dc.subjectHurst exponentpt_BR
dc.subjectGARCHpt_BR
dc.subjectLong-range dependencept_BR
dc.titleThe long-range dependence behavior ofthe term structure ofinterest rates in Japanpt_BR
dc.typeArtigopt_BR
dc.description.statusPublicadopt_BR
dc.journalPhysicapt_BR
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