Mean Reversion of Interest Rates: Further Evidence based on a Unit Root Test with a Fourier Function
碩士 === 逢甲大學 === 統計與精算所 === 100 === In this empirical study, we applied a unit root test with a Fourier function to re-examine the mean reversion properties in the interest rates for the G-7 countries over the period 1980M1 to 2010M12. The empirical results from several conventional unit root tests i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58087956651531274053 |